General Instructions ...............................................................................................................................101
Schedule SC – Consolidated Statement of Condition ........................................................................ 201
Schedule SO – Consolidated Statement of Operations ...................................................................... 301
Schedule VA – Consolidated Valuation Allowances ........................................................................... 401
Schedule PD – Consolidated Past Due and Nonaccrual..................................................................... 501
Schedule LD – Consolidated Loan Data ............................................................................................... 601
Schedule CC – Consolidated Commitments and Contingencies....................................................... 701
Schedule CF – Consolidated Cash Flow Information ......................................................................... 801
Schedule DI – Consolidated Deposit Information ............................................................................... 901
Schedule SI – Supplemental Information ........................................................................................... 1001
Schedule SQ – Consolidated Supplemental Questions.................................................................... 1101
Schedule SB – Consolidated Small Business Loans........................................................................ 1201
Schedule FS – Fiduciary and Related Services ................................................................................. 1301
Schedule HC – Thrift Holding Company.............................................................................................1401
Schedule CSS – Subordinate Organization Schedule ...................................................................... 1501
Schedule CCR – Consolidated Capital Requirements ...................................................................... 1601
Schedule CMR – Consolidated Maturity and Rate............................................................................. 1701
Glossary ................................................................................................................................................. 1901
Index ....................................................................................................................................................... 2001

SCHEDULE SO — CONSOLIDATED STATEMENT OF OPERATIONS

Throughout these instructions, you and your refers to the reporting savings association and its consolidated subsidiaries; we and our refers to the Office of Thrift Supervision.

Complete this Statement of Operations, Schedule SO, on a consolidated basis from the savings association downward. Do not consolidate your holding company. You should apply generally accepted accounting principles (GAAP) unless we specifically state otherwise in these instructions. Report net income or loss allocable to noncontrolling shareholders on SO488, Other Noninterest Income.

Report income and expense for the quarter ending on the report date, regardless of your fiscal year end. Do not report data in Schedule SO on a year-to-date basis. Note that GAAP requires the accrual basis of accounting.

When you correct errors made in prior periods within the current calendar year, you should report them in the same data field in which you would have reported them on the original report. However, you should not report them in the same data field if the adjustment distorts yields for the quarter or results in negative numbers in fields that do not permit negatives. Where the latter would occur, you may include the adjustments in Other Noninterest Income, SO488, or Other Noninterest Expense, SO580. Generally, you may file amendments only within 45 days of the report date. For further information on correcting prior period errors, see Item 5 in the General Instructions.

INTEREST INCOME

The balance of financial assets carried at fair value where the changes in fair value are reflected in current earnings is reported on SI376. For such assets, report the interest income earned on the appropriate lines described in this section, unless it is not appropriate under GAAP to recognize income (for example, where a loan is on nonaccrual status because of collectibility concerns). Report the changes in fair value of such assets in noninterest income on SO485.

SO11: TOTAL

The EFS software will compute this line as the sum of SO115 through SO172.

SO115: DEPOSITS AND INVESTMENT SECURITIES

Report income on all deposits and investments included in SC112 through SC185.

Include:

The gross income earned on all deposits and investment securities including those you use as collateral under agreements to resell.
The net amount of yield adjustments made to interest and dividend income on deposits and investment securities.

Do not include:

Interest on assets reported on SC689, Other Assets. Report this interest on SO488, Other Noninterest Income.

SO125: MORTGAGE-BACKED SECURITIES

Report income on mortgage-backed securities reported on SC210 through SC228, including amortization of premiums and discounts.

SO141: MORTGAGE LOANS

Report income on mortgage loans, including amortization of yield adjustments, reported on SC230 through SC265. Do not include prepayment fees, late fees, and assumption fees on mortgage loans.

If you have bought or sold a participating interest in mortgage loans, report only the interest applicable to the portion of the loans you own. If you have purchased mortgage loans or participating interests in mortgage loans on a net-yield basis, report the net interest earned.

If you assume a liability to a third party in connection with a wrap-around mortgage loan where you report the assumed liability on SC760, Other Borrowings, report the gross interest income and charge the interest incurred on the assumed liability to expense on SO260, Interest Expense on Other Borrowed Money.

SO142: PREPAYMENT FEES, LATE FEES, AND ASSUMPTION FEES FOR MORTGAGE LOANS

Report the total prepayment fees, late fees, and assumption fees received for mortgage loans.

NONMORTGAGE LOANS:

Report the contractual interest earned and the net yield adjustments on nonmortgage loans.

SO160: Commercial Loans and Leases

Report the net interest earned, including any yield adjustments, on commercial nonmortgage loans that you reported on SC300 through SC306, Secured and Unsecured Commercial Loans and Financing Leases. Do not include prepayment fees, late fees, and assumption fees on commercial loans and leases.

SO162: Prepayment Fees, Late Fees, and Assumption Fees for Commercial Loans

Report the total prepayment fees, late fees, and assumption fees received for commercial loans.

SO171: Consumer Loans and Leases

Report income including any yield adjustments on consumer loans reported on SC35. Include with yield adjustments the amortization of credit card fees. Do not include prepayment fees, late fees, and assumption fees on consumer loans and leases.

SO172: Prepayment Fees, Late Fees, and Assumption Fees for Consumer Loans

Report the total prepayment fees, late fees, and assumption fees received for consumer loans.

DIVIDEND INCOME ON EQUITY INVESTMENTS NOT SUBJECT TO FASB STATEMENT NO. 115

SO18: TOTAL

The EFS software will compute this line as the sum of SO181 and SO185.

SO181: FEDERAL HOME LOAN BANK STOCK

Report cash and stock dividends on FHLBank stock reported on SC510.

SO185: OTHER

Report dividend and interest income on investments reported on SC540 accounted for using the cost method, including interest income on advances (secured and unsecured) that are included in SC540. Do not include net income or loss recorded under the equity method; include this on SO488, Other Noninterest Income, using Code 06.

INTEREST EXPENSE

The balance of financial liabilities carried at fair value where the changes in fair value are reflected in current earnings is reported on SI377. For such liabilities, report the interest expense incurred on the appropriate lines described in this section. Report the changes in fair value of such liabilities in noninterest income on SO485.

SO21: TOTAL

The EFS software will automatically compute this line as the sum of SO215 through SO260, less SO271.

SO215: DEPOSITS

Report the sum of the following:

All interest expense on deposits that you reported on SC710, Deposits.
The amortization of yield adjustments to deposits that you reported on SC715, Unamortized Yield Adjustments, less the amount for penalties charged to depositors for early withdrawals.

Do not include:

Interest on escrow accounts that you reported on SC712, Escrows. Report the interest on escrow accounts on SO225.

SO225: ESCROWS

Report interest expense on escrows reported on SC712, Escrows.

SO230: ADVANCES FROM FHLBANK

Report interest expense and the amortization of any related yield adjustments on FHLBank advances that you reported on SC720, Advances from FHLBank.

Generally FHLBank prepayment penalties should be expensed on SO580, Other Noninterest Expense. However, in limited circumstances (outlined in EITF Issue No. 96-19), prepayment penalties may be deferred and amortized as a yield adjustment increasing interest expense.

SO240: SUBORDINATED DEBENTURES (INCLUDING MANDATORY CONVERTIBLE SECURITIES)

Report interest, dividends, and the amortization of yield adjustments on all subordinated debentures, mandatory convertible securities, and REIT preferred stock that you or your consolidated subsidiaries issued and that you reported on SC736, Subordinated Debentures (Including Mandatory Convertible Securities and Limited Life Preferred Stock).

SO250: MORTGAGE COLLATERALIZED SECURITIES ISSUED

Report interest expense and amortization of yield adjustments on all mortgage collateralized securities that you issued and that you reported on SC740 and SC745, Mortgage Collateralized Securities Issued.

SO260: OTHER BORROWED MONEY

Report interest expense and amortization of yield adjustments on borrowings not included above.

Include interest on:

1. SC730, Federal Funds Purchased and Securities Sold Under Agreements to Repurchase.

2. SC760, Other Borrowings. Report the gross amount of interest that you pay on securities sold under agreements to repurchase and loans sold with recourse accounted for as financings. Do not reduce the amount of interest that you paid

for such securities or loans by the amount of interest income you received on the securities and loans sold under such agreements.

SO271: CAPITALIZED INTEREST

Report all capitalized interest costs in accordance with FASB Statement No. 34, Capitalization of Interest Costs. Do not use an interest rate that exceeds the weighted average rate for total interest-bearing deposits and other liabilities. Capitalized interest will be deducted from interest expense. Therefore, report this as a positive number even though it will always be a credit balance.

SO312: NET INTEREST INCOME (EXPENSE) BEFORE

PROVISION FOR LOSSES ON INTEREST-BEARING

ASSETS

The EFS software will automatically compute this line as SO11 plus SO18 less SO21.

SO321: NET PROVISION FOR LOSSES ON INTERESTBEARING ASSETS

Report the provision for losses on all earning assets, including loans, as well as debt and equity securities Report credit balances as negative.

For a discussion on how to calculate provision for losses, refer to the general instructions for Schedule VA.

Do not report adjustments to valuation allowances as prior period expenses. Report adjustments to valuation allowances as an expense in the period in which you determined the amount of the loss even if the loss actually occurred in a prior period.

Include:

Other-than-temporary impairment charges on debt and equity securities. As no valuation allowances on these assets will remain, also report these losses as charge-offs on VA115, and also on VA370 and/or VA930, as appropriate.
Losses you recognized in marking loans to fair value at the time of foreclosure or in-substance foreclosure.

Do not include:

Adjustments to available-for-sale securities for unrealized gains or losses in accordance with FASB Statement No. 115. Report the adjustments on SC860, Unrealized Gains (Losses) on Available-for-Sale Securities.
Adjustments to trading assets. Report on SO485, Net Income (Loss) from Trading Assets (Realized and Unrealized).
Recoveries of valuation allowances at the time of sale. Include these in the gain or loss on the sale.
Provisions for losses on noninterest-bearing assets. Report the provision for losses on SO570, Net Provision for Losses on Non-interest-bearing Assets.
Adjustments to or recording of a liability for off-balance-sheet commitments or contingencies; include these in SO580, Other Noninterest Expense.

SO332: NET INTEREST INCOME (EXPENSE) AFTER PROVISION FOR LOSSES ON INTEREST-BEARING ASSETS

The EFS software will automatically compute this line as SO312 less SO321.

NONINTEREST INCOME

Do not include material adjustments to income from prior calendar years; refer to page 3 of the General Instructions for procedures to correct prior periods.

SO42: TOTAL

The EFS software will compute this line as the sum of SO410 through SO488.

SO410: MORTGAGE LOAN SERVICING FEES

Include:

Fees earned from servicing mortgage loans for others.
Impairment losses on servicing assets reported on SC642.

Do not include:

Servicing fees for nonmortgage loans. Report the servicing fees on nonmortgage loans on SO420, Other Fees and Charges.
Amortization of loan servicing assets or liabilities and valuation adjustments for classes of loan servicing accounted for using the amortization method.
Fair value adjustments for classes of servicing carried at fair value.

Report the difference between the net interest retained from mortgage loan servicing and the amortization or other write-down of mortgage servicing assets. Do not deduct servicing expenses.

SO411: AMORTIZATION OF AND FAIR VALUE ADJUSTMENTS TO LOAN SERVICING ASSETS AND LOAN SERVICING LIABILITIES

Report the total servicing amortization and valuation adjustments.

Include:

Amortization of loan servicing assets or liabilities and valuation adjustments for classes of loan servicing accounted for using the amortization method
Fair value adjustments for classes of servicing carried at fair value.

SO420: OTHER FEES AND CHARGES

Report all fees and charges not reported on SO410.

Include:

Loan servicing fee income on nonmortgage loans, including credit card servicing income.
Trust fee income.
Amortization of commitment fees when it is unlikely that the borrower will exercise the
commitment.
Brokerage fee income.
Annuity fee income.
Insurance premiums, fees, and commissions.
Transaction account fees, including overdraft and non-sufficient funds (NSF) fees.
Credit enhancement fees.
All other fees not reported on SO410.

Do not include:

Amortization of loan fees. Report amortization of loan fees as a yield adjustment to interest income.

NET INCOME (LOSS) FROM:

Report net income or loss on the categories below. Enter a loss as negative.

SO430: Sale of Assets Held for Sale and Available-for-Sale Securities

Include:

Profit or loss from the disposition of assets held for sale.
Profit or loss from the disposition of available-for-sale securities pursuant to FASB Statement No.

115. When you sell securities classified as available-for-sale pursuant to FASB Statement No. 115, reverse the amount of the unrealized gain or loss previously recorded on SC860, Unrealized Gains (Losses) on

Available-for-Sale Securities, and report the entire difference between amortized cost and net sales proceeds in earnings.

Because you recognize in income the lower-of-cost-or-market adjustments to assets held for sale as they occur, when you sell the assets, you recognize the difference between the recorded value and the net sales proceeds.

Do not include:

Gains or losses on trading assets. Report on SO485.
Lower-of-cost-or-market adjustments to assets held for sale. Report these adjustments on SO465.

SO441: OTHER-THAN-TEMPORARY IMPAIRMENT CHARGES ON DEBT AND EQUITY SECURITIES

Report other-than-temporary charges on debt and equity securities. Such charges reflect losses resulting from write-downs to fair value. These fair value losses are not necessarily related to any sale of the securities.

Do not report losses from the sale of securities on this line. Rather report those losses on SO430, SO467, SO475, or SO477, as appropriate.

SO461: Operations and Sale of Repossessed Assets

Include:

Net income or loss from repossessed assets reported on SC40, Repossessed Assets. Report direct expenses on repossessed assets, even if there is no income.
Gains and losses from the sale of repossessed assets reported on SC40, Repossessed Assets.

Do not include:

Adjustments to valuation allowances established on REO. Report these adjustments on SO570, Net Provision for Losses on Noninterest-Bearing Assets.
Write-downs taken when marking foreclosed assets to fair value at time of foreclosure. Report these write-downs on SO321, Net Provision for Losses on Interest-bearing Assets.

SO465: LOCOM Adjustments Made to Assets Held for Sale

Report adjustments to assets held for sale to value them at the lower-of-cost-or-market. The amounts reported here should directly adjust the asset and should not be established as a valuation allowance.

Do not include:

Any unrealized gains or losses on available-for-sale securities recorded pursuant to FASB Statement No. 115. Report these unrealized gains or losses only as a separate component of equity capital on SC860.
Profit or loss on the sale of assets held for sale. Report the profit or loss on SO430.
Operating income and expense from mortgage banking activities. Report in the appropriate income or expense category.

SO467: Sale of Securities Held-to-Maturity

Include:

Gains and losses from the sale or other disposition of mortgage-backed securities that you reported on SC210 through SC228, Mortgage-Backed Securities, and that were held-to-maturity.
Gains and losses from the sale or other disposition of securities that you reported on SC130 through SC185, Cash, Deposits and Investment Securities, and that were held-to-maturity.

Do not include:

Gains and losses from the sale of securities held in a trading portfolio. Report these gains or losses on SO485.
Gains and losses from the sale of available-for-sale securities. Report these gains and losses on SO430.

SO475: Sale of Loans Held for Investment

Report gains and losses from the sale or other disposition of mortgage and nonmortgage loans that you reported on SC230 through SC265 and SC300 through SC330.

Do not include:

Gains and losses from the sale of loans and securities in a trading portfolio. Report these gains and losses on SO485;
Gains and losses from the sale of loans held for sale. Report these gains and losses on SO430.
Recoveries of losses previously written off. Report on VA140, Recoveries.

SO477: Sale of Other Assets Held for Investment

Report gains and losses from the sale or other disposition of any assets that you did not report on SO430 through SO475 or SO485.

Include:

Gains and losses from the sale of real estate held for investment reported on SC45, Real Estate Held for Investment, that you may account for as current income in accordance with FASB Statement No. 66, Accounting for Sales of Real Estate.
Gains and losses from the sale of a branch operation or a portion thereof, such as deposits.
Gains and losses from the sale of loan servicing rights when sold separately from the loan.
Gains and losses from the sale of subsidiaries.

SO485: Gains and Losses on Financial Assets and Liabilities Carried at Fair Value

The balances of financial assets and liabilities carried at fair value where the change in fair value is reflected in current earnings are reported on SI376 and SI377. For such instruments, report interest income earned and interest expense incurred on the appropriate lines under Interest Income and Interest Expense, and report the changes in fair value in noninterest income on this line.

Derivatives are financial assets and liabilities, and therefore the balances of derivatives are included on SI376 and SI377. In general for derivatives, include the changes in fair value in noninterest income on this line. However, for derivatives subject to fair value or cash flow hedge accounting, it may be appropriate under GAAP to include the changes in fair value that are reflected in current earnings in other lines on Schedule SO, including interest income or interest expense.

The balance of available-for-sale securities (carried at fair value) is reported on SI385. For such instruments, the changes in fair value are not reflected in current earnings, but rather in other comprehensive income net of any deferred tax impact. Accordingly, do not include the changes in fair value on available-for-sale securities on this line. Rather, report such changes in other comprehensive income on SI662.

Under a “fair value option”, servicing assets may be carried at fair value with the changes in fair value reflected in current earnings. However, servicing assets are not financial assets, and therefore the balance is not included on SI376. Accordingly, do not include the changes in fair value on servicing assets on this line. Rather, report such changes in noninterest income on SO411.

Include:

Realized and unrealized gains and losses on financial assets and liabilities carried at fair value where the balances are reported on SI376 and SI377.
Realized and unrealized gains and losses on financial assets held for trading purposes where the balance is reported on SI375 (and where the balance is also included on SI376).

SO488: Other Noninterest Income

Report the total of all noninterest income that you did not include on SO410 through SO485. You can find a list of the types of income to include under Memo: Detail of Other Noninterest Income below.

Do not include:

Loan servicing fees. Report these fees on SO410 or SO420, as appropriate;
Trust fee income. Report this income on SO420.
Other fees. Report these fees on SO420.

Memo: Detail of Other Noninterest Income

SO489, 495, 497 and SO492, 496, and 498:

Report the three largest items comprising the amount reported on SO488, excluding dividends on FHLBank stock. Codes best describing these items should be selected from the list below and reported on SO489, 495, and 497. You must complete this detail if you reported an amount on SO488.

Because SO488 may consist of both positive and negative amounts – for example, net income or loss from leasing operations, you should report the three amounts that have the greatest impact on the total, regardless of their sign. Therefore, when selecting the three largest amounts comprising the amount reported on SO488, disregard the sign of the number. However, although you should disregard the sign when you select the three largest numbers; you should use the correct sign when you report the amount.

Combine similar accounts with the same code; that is, do not report a code more than once. However, you should not combine unlike accounts in reporting code 99. You may have more than one code 99 if you cannot find codes describing the items you report.

SO489, 495, and 497: Codes

01 No longer used 02 Interest income from income tax refunds. 03 No longer used 04 Net income or loss from leasing or subleasing space in the association’s office quarters, future

office quarters, and parking lots. 05 Net income or loss from real estate held for investment. 06 Net income or loss from investments in unconsolidated subordinate organizations and pass-

through investments, accounted for using the equity method, after the elimination of intercompany profits. 07 Net income or loss from leased property. 08 Net loss allocable to noncontrolling shareholders. 09 Net income from data processing equipment leased or services provided to others. 10 No longer used. 11 Adjustments to prior periods. 12 Income received on real estate acquired through foreclosure or deed in lieu of foreclosure on VA or FHA loans pending conveyance to the insuring agency. 13 No longer used 14 Income from interest-only strip receivables and certain other instruments reported on SC665.

15 Income from corporate-owned life insurance
Report adjustments to cash surrender value of corporate-owned life insurance that you
reported on SC615 and SC625.

99 Other. (Use this code only for an item not identified above.)

SO492, 496, and 498: Amounts

Report the dollar amounts (using the correct positive or negative sign) corresponding to the codes reported on SO489, 495, and 497.

NONINTEREST EXPENSE

Do not include material adjustments to expenses from prior calendar years; refer to page 3 of the General Instructions for procedures to correct prior periods.

SO51: TOTAL

The EFS software will compute this line as the sum of SO510 through SO580.

SO510: ALL PERSONNEL COMPENSATION AND EXPENSE

Report gross salaries, wages, bonuses, and other compensation and expenses of officers, directors and employees, whether employed full- or part-time.

Include:

The cost of temporary help and employment contractors.
Fringe benefits such as the employer’s share of payroll taxes, insurance premiums, lunchroom expenses, tuition fees, uniforms, parking, and other such benefits.
Bonuses and awards.
Employer contributions to pension and retirement funds and ESOP plans.
Pensions paid directly by you.
Lump-sum pension contributions.
Payments related to past services, such as severance pay.
Directors’ fees.
Travel and other expenses for directors, officers, and employees.
The fair value of employee stock options granted.

Do not include:

Allowances for privately owned automobiles used in connection with your business, or any depreciation and other noninterest expense incurred on leased automobiles. Report these figures on SO530.

SO520: LEGAL EXPENSE

Report all legal fees and retainers, including accruals and amortization.

Do not include material legal settlements; most settlement payments should be reported on SO580.

SO530: OFFICE OCCUPANCY AND EQUIPMENT EXPENSE

Include:

Depreciation and other expenses of association-owned space, capital leases, furniture and fixtures, automobiles and equipment reported on SC55, Office Premises and Equipment.
Amortization of leasehold improvements.
Rent, net of the amortization of deferred gain on a sale/leaseback.
Uncapitalized equipment purchases.
Taxes, assessments, and insurance premiums on office premises, equipment, and land for future use.
Rental costs, maintenance contracts, and expenses on office furniture, machines, and data processing equipment.

7. Accounting servicing fees paid to a data center. If a portion of office premises and equipment is leased to others, allocate related expenses to SO488,

Other Noninterest Income. When actual data are not available, a reasonable, consistent, and documented estimate is acceptable.

SO540: MARKETING AND OTHER PROFESSIONAL SERVICES

Include:

Advertising, production, agency fees, and direct mail.
Market research, including consultants.
Public relations, including consultants, seminars, or customer magazines.
Sales training by consultants.
Public accountants’ fees.
Management services.
Consulting fees for economic surveys.
Other special advisory services.

Do not include:

Legal fees; report on SO520.
Data processing fees; report on SO530.
Supervisory examination fees; report on SO580.
Deposit promotions, giveaways, premiums, and commissions that are capitalized. Report amortization on SO215, Interest Expense on Deposits.

SO550: LOAN SERVICING FEES

Report fees paid to others to service mortgage and nonmortgage loans.

Include:

Fees for servicing loans owned by you.
Fees for servicing loans owned by others where you own the servicing rights.

Do not include:

Amortization of loan servicing assets. Report the amortization on SO411.
Servicing fees for loans acquired on a net yield basis. Deduct the servicing fees from related interest income.

SO560: GOODWILL AND OTHER INTANGIBLES EXPENSE

Report write-downs and expense of SC660, Goodwill and Other Intangible Assets.

Include amortization of:

Goodwill, an unidentifiable intangible asset, recorded pursuant to APB No. 16 or FASB Statement No. 141.
The unidentifiable intangible asset recorded pursuant to FASB Statement No. 72.
Core deposit premium, an identifiable intangible asset.
Intangible pension assets recorded pursuant to FASB Statement No. 87.
Technology-based intangible assets, such as computer software.

6. Other intangible assets, excluding servicing assets. Also, include impairment write-downs on goodwill and other intangible assets.

Do not include amortization of Servicing assets; report this on SO410.

Upon adoption of FASB Statement No. 142 in 2002, goodwill recorded pursuant to APB No. 16 or FASB Statement No. 141 will no longer be amortized. However, this unidentifiable intangible asset will continue to be subject to impairment write-downs. The exact adoption date of FASB Statement No. 142 in 2002 will depend on your fiscal year-end.

SO570: NET PROVISION FOR LOSSES ON NON-INTEREST-BEARING ASSETS

Report the provision for losses on all non-interest-bearing assets. Report credit balances as negative.

Refer to the general instructions for Schedule VA for a discussion of how to properly calculate provision for losses. Report adjustments to valuation allowances as an expense in the period in which you determine the amount of the loss even if that loss actually occurred in a prior period.

Include adjustments to valuation allowances on:

Real estate owned.
Other assets.

Do not include:

Recoveries of valuation allowances at the time of sale. Include these recoveries in the gain or loss on the sale.
Provisions for losses on interest-bearing assets. Report the losses on SO321, Net Provision for Losses on Interest-bearing Assets.
Direct charge-offs of servicing assets. Report the direct charge-offs on SO410, Mortgage Loan Servicing Fees.
Losses recognized in marking foreclosed assets to fair value at the time of foreclosure or in-substance foreclosure. Report these as losses on loans on SO321, Net Provision for Losses on Interest-bearing Assets.

SO580: OTHER NONINTEREST EXPENSE

Report the total of all noninterest expense not included on SO510 through SO570. A list of the types of expense you should include appears below in the memo items detailing other noninterest expense.

Memo: Detail of Other Noninterest Expense

Report the three largest items comprising the amount you reported on SO580. Select codes best describing these items from the list below and report the codes on SO581, 583, and 585. Report the corresponding amounts on SO582, 584, and 586. You must complete this detail if an amount is reported on SO580.

If SO580 consists of both positive and negative amounts, you should report the three amounts that have the greatest impact on the total, regardless of their sign. Therefore, when selecting the three largest amounts comprising the amount reported on SO580, disregard the sign of the number. However, although you should disregard the sign when you select the three largest numbers; you should use the correct sign when you report the amount.

SO581, 583, and 585: Codes

01 Deposit Insurance premiums.
02 OTS assessments.
03 Interest expense on income taxes.
04 Interest expense on Treasury tax and loan accounts administered under the note option.
05 Forfeited commitment fees on FHLBank advances not taken down by the association.
06 Supervisory examination fees.
07 Office supplies, printing, and postage.
08 Telephone, including data lines.
09 Loan origination expense

Include appraisal reports, credit reports, and other similar expenses; also include, as a negative amount, reversals of origination costs when such costs are capitalized. 10 ATM expense. 11 Adjustments to prior periods (and other immaterial audit adjustments). 12 Acquisition and organization costs, including mergers and branch office acquisitions. 13 Miscellaneous taxes other than income taxes and real estate taxes. 14 Losses from fraud. 15 Foreclosure expenses. 16 Web site expenses. 17 Charitable Contributions. 99 Other. (Use this code only for an item not identified above.)

SO582, 584, and 586: Amounts

Report the dollar amounts corresponding to the codes reported on SO581, 583 and 585.

SO60: INCOME (LOSS) BEFORE INCOME TAXES

The EFS software will compute this line as the sum of SO332 plus SO42 less SO51.

INCOME TAXES

SO71: TOTAL

The EFS software will compute this line as the sum of SO710 and SO720.

SO710: FEDERAL

Report federal income tax expense. Report a net credit as negative.

Include:

Deficiency payments, penalties.
Immaterial adjustments to correct prior period accruals for which the amendment cycle is no longer open.
Amortization of prepaid or deferred federal income taxes.
Reductions for refunds from prior periods not previously reported.
Reductions for NOL carrybacks.

Do not include:

Interest income and expense on tax accounts. Report these on SO488, Other Noninterest Income, or SO580, Other Noninterest Expense.

SO720: STATE, LOCAL, AND OTHER

Report state, local, and other income tax expenses. Report a net credit as negative.

Include:

Deficiency payments, penalties.
Immaterial adjustments to correct prior period accruals for which the amendment cycle is no longer open.
Amortization of prepaid or deferred state, local and other income taxes.
Reductions for refunds from prior periods not previously reported.
Reductions for NOL carrybacks.
Gross receipts taxes.

Do not include:

Interest income and expense on tax accounts. Report these on SO488, Other Noninterest Income, or SO580, Other Noninterest Expense.
Any local taxes other than those based on income. Report real estate taxes on SO530, Office Occupancy and Equipment Expense; report franchise and other local taxes on SO580, Other Noninterest Expense.

SO81: INCOME (LOSS) BEFORE EXTRAORDINARY ITEMS

The EFS software will compute this line as the sum of SO60 less SO71.

SO811: EXTRAORDINARY ITEMS

Extraordinary items are material events and transactions that are unusual and infrequent. Both of these conditions must exist for an event or transaction to be an extraordinary item.

Unusual – To be unusual, an event or transaction must be highly abnormal or clearly unrelated to the ordinary and typical activities of the association. An event or transaction beyond the control of management is not automatically considered unusual.
Infrequent – To be infrequent, an event or transaction should not reasonably be expected to recur in the foreseeable future. Although the past occurrence of an event or transaction provides a basis for estimating the likelihood of its future occurrence, the absence of a past occurrence does not automatically imply that an event or transaction is infrequent.

Rarely do events or transactions qualify for treatment as extraordinary items. Among those that qualify are:

The excess of fair value over cost of net assets acquired in a purchase business combination (negative goodwill) recognized in earnings at the date of combination;
Losses that result directly from a major disaster such as an earthquake (except in areas where earthquakes are expected to recur in the foreseeable future);
Gains or losses from a government expropriation;
Gains or losses from discontinued operations; or
Losses from a prohibition under a newly enacted law or regulation.

Do not include:

Adjustments to valuation allowances. Report these on SO32, Net Provision for Losses on Interest-Bearing Assets, or SO570, Net Provision for Losses on Noninterest-Bearing Assets, even if the actual loss occurred in a prior period.
Audit adjustments for corrections of accruals. For information on correcting prior period errors, see Item 5 in the General Instructions.
Adjustments for periods where the cycle is open for amendments to the TFR. Refer to the general instructions for the submission of amended reports.
Adjustments related to prior interim periods of your current fiscal year. Report these adjustments currently in the appropriate current income or expense data field.
Net income or loss allocable to noncontrolling shareholders. Report in SO488, Other Noninterest Income.
Gains and losses on extinguishments of debt that do not meet the criteria in APB Opinion No. 30 for classification as an extraordinary item. Generally prepayment penalties should be expensed on SO580, Other Noninterest Expense.

SO88: NET INCOME (LOSS) ATTRIBUTABLE TO SAVINGS ASSOCIATION AND NONCONTROLLING INTERESTS

The EFS software will compute this line as the sum of SO81 plus SO811.

SO880: NET INCOME (LOSS) ATTRIBUTABLE TO NONCONTROLLING INTERESTS

Report the net income or loss attributable to noncontrolling interests in consolidated subsidiaries.

SO91: NET INCOME (LOSS) ATTRIBUTABLE TO SAVINGS ASSOCIATION

The EFS software will compute this line as the sum of SO88 less SO880.

THIS PAGE INTENTIONALLY LEFT BLANK

SCHEDULE VA — CONSOLIDATED VALUATION ALLOWANCES

GENERAL INSTRUCTIONS

This schedule reports the combined activity for the period in all valuation allowance accounts. The reconciliation consists of three columns:

General valuation allowances, including allowances for loan and lease losses, ALLL.
Specific valuation allowances, including valuation allowances established for assets classified as loss.

3. Total valuation allowances. The EFS software generates this column. Valuation allowances are contra-asset accounts that reduce the recorded investment in an asset to its carrying amount. In preparing financial statements, management should review the carrying amount of all

assets and adjust the related valuation allowances as necessary. Assessing the adequacy of valuation allowances is crucial to preparing the financial statement.

The ending balance in a valuation allowance account is the balance at the beginning of the period adjusted for the activity during the period. The following table shows the types of activity that flow through the valuation allowance account:

Beginning Balance (ending balance from previous period)

Add:

Provision for Loss

Recoveries

Adjustments

Deduct:

Charge-offs

Ending Balance

Charge-offs

When you charge off an asset, the accounting entries reduce the total recorded investment of the asset and reduce the valuation allowance. However, since the carrying value is the recorded investment less the specific valuation allowance, the carrying value decreases when you charge-off a general valuation allowance. The carrying value does not change when you charge-off a specific valuation allowance. Record direct charge-offs in this schedule even though there is no valuation allowance relating to the asset. You should also record a charge-off if the established valuation allowance is inadequate to absorb the entire charge-off. You can record a charge-off against either a general or specific valuation allowance.

The Sales section discusses eliminating valuation allowances when you sell the related asset.

Recoveries

A recovery is a payment received after you charge-off an asset. A recovery increases both the general valuation allowance and cash accounts.

In Schedule VA, recoveries do not include profits from assets that you had previously written down and later sold at a price exceeding the carrying value. For example, you would record profits from the sale of REO as a gain on the sale.

Provision for Loss

Calculate the provision for loss as the amount required to establish the appropriate ending balance in the valuation allowance account. You should base the amount of the ending balance on your management’s review of the following:

An assessment of all assets.
Valuation calculations for troubled real estate assets.
Estimates of credit and other losses inherent in the portfolios of homogeneous assets.
The results of your self-classification of assets.
The following formula reconciles the provision for loss with the valuation allowance accounts:

+ The valuation allowance ending balance per analysis (VA165 and 168)

-The valuation allowance beginning balance (VA105 and 108)

= Net change in valuation allowances

+ Charge-offs (including sales) (VA155 and 158)

-Adjustments (VA145 and 148)

-Recoveries (VA135)

= Provision for loss (VA115 and 118)

The process of determining the appropriateness of the ending balances in valuation allowance accounts results in the provision for loss being a net adjustment. For example, in the rare circumstance that a troubled real estate asset with a valuation allowance increases in value, you should adjust the required valuation allowance downward. This increase in the asset’s value is a reduction of the current provision. Do not confuse this with a recovery of assets previously charged-off discussed above. Carefully analyze the total valuation allowance before you record a gain or reduction of the provision for loss.

The total provision for loss consists of the provision for loss on interest-bearing assets, SO321, and the provision for loss on non-interest-bearing assets, SO570. Do not include the LOCOM adjustments for assets held for sale, SO465, because LOCOM adjustments are due to changes in interest rates, and not due to credit losses. You should not establish a valuation allowance for the credit to assets resulting from LOCOM adjustments, but rather should directly reduce the asset.

You may record a negative provision for loss when management determines that the valuation allowance is higher than required. If this occurs, management should consider whether it has analyzed all possible situations and determine if the previously established valuation allowances were higher than necessary. To reverse a portion of the valuation allowance, report a negative amount in the provision for loss on SO321 or SO570.

Sales

When you sell an asset with a previously established valuation allowance or that had been reduced by a direct charge-off, compute the gain or loss as follows: Sales price minus the asset’s carrying value, which is net of the specific valuation allowance and charge-off.

The sale of an asset in excess of its carrying value is not a recovery when reconciling valuation allowances. Do not report profits from this type of sale in the net provision for loss. Report the profit as a gain on sale.

To remove an existing specific valuation allowance after selling the related asset, you must report the valuation allowance on VA158, Charge-offs of Specific Valuation Allowances.

Foreclosures

In cases involving foreclosure, including in-substance foreclosure, compare the recorded investment to the current fair value less cost to sell. Classify as loss any excess of recorded investment over fair value less cost to sell. Record this excess as a charge-off against the existing specific valuation allowance. If the specific valuation allowance is not sufficient to absorb the loss, you should record an additional charge-off against the loan. Record assets acquired through in-substance foreclosures as REO at the fair value less cost to sell at date of transfer. You should apply the same procedures described above.

VALUATION ALLOWANCE RECONCILIATION

VA105, 108, AND 110:BEGINNING BALANCE

The EFS software automatically generates beginning balances from the prior quarter’s ending balances. Generally, the beginning balances must equal the amounts reported on VA165, 168 and 170, Ending Balances, from the immediately preceding reporting period.

If during the quarter you have consummated a business combination accounted for under the purchase method, report the beginning balance of the surviving association only. Report valuation allowances on purchased assets on VA145, 148, and 150, Adjustments.

ADD OR DEDUCT:

Report increases in valuation allowance accounts, net credits, as positive numbers and decreases in valuation allowance accounts, net debits, as negative numbers.

VA115, 118, and 120: Net Provision for Loss

The EFS software automatically generates the total net provision for loss, VA120, from SO321 plus SO570. The EFS software also automatically generates VA118 after you enter VA115. On VA115, report the provision for loss related to general valuation allowances, and also other-than-temporary impairment charges on debt and equity securities.

A net credit to assets increases valuation allowances and charge-offs and flows through to the Statement of Operations as a debit, which is an expense. You should report a net credit as a positive number. Conversely, a net debit to assets decreases valuation allowances and flows through to the Statement of Operations as a credit or income. Report a net debit as a negative number on these lines.

VA125 and 128: Transfers

Report transfers between general and specific valuation allowances. VA125 and VA128 will have opposite signs even though they are always equal. Once you enter VA125, the transfer from general valuation allowances, the EFS software automatically generates VA128, the corresponding transfer to specific valuation allowances.

ADD:

VA135 and 140: Recoveries

You should report any amount recovered during the quarter due to repayment of assets previously charged off. Refer to the discussion of recoveries in the general instructions to Schedule VA. VA135 always equals VA140, and VA 140 is the sum of VA371, 47, 57, and 931. Therefore, once you enter VA371, 47, 57, and 931, the EFS software automatically sums these and generates VA135 and 140.

VA145, 148, and 150: Adjustments

Acquisitions

Report the amount of valuation allowances on assets you purchased but for which you did not take a direct charge-off. Under certain circumstances, you may carry the existing valuation allowances of assets that you purchase forward to your books. You should include any valuation allowances acquired in a business combination accounted for under the purchase method. You should also include necessary adjustments that resulted from purchasing or selling a consolidated subsidiary, where the valuation allowances on the books of the subsidiary are consolidated with yours. The EFS software automatically generates VA150, which is the sum of VA145 and VA148.

Do not include:

Additional valuation allowances established after an acquisition, even if previous management should have established the valuation allowances. Report such additions to the valuation allowances in VA120, Net Provision for Loss.

Adjustments for Charge-Offs on Credit Card Loans

On VA145, report as a positive number that portion of charge-offs included on VA556 that reduce an account other than a valuation allowance (for example, interest income). This reporting will permit the valuation allowance reconciliation to balance, because on VA556 you should report all charge-offs on credit card loans, including those that do not reduce valuation allowances.

DEDUCT:

VA155, 158 and 160: Charge-Offs

VA155 equals the sum of the charge-off detail below, VA370, 46, 56, 60, and 930. The EFS software automatically generates VA 155 once you enter charge-offs on VA370, 46, 56, 60, and 930. The software also generates VA160, total charge-offs. VA160 is the sum of VA155, charge-offs against general valuation allowances, and VA158, charge-offs against specific valuation allowances.

Report charge-offs as positive amounts, since EFS will deduct them from the ending valuation allowance balance.

If there is no specific valuation allowance established for the asset you are charging off, report chargeoffs in the detail below and on VA155. If there is a specific valuation allowance for the asset, report the charge-off on VA158 for purposes of reconciliation. You should not report charge-offs of specific valuation allowances in the detail below because they have no effect on the balance sheet, Schedule SC, or on the income statement, Schedule SO.

Include:

Charge-offs to mark repossessed assets, including in-substance foreclosures, to fair value.
Charge-offs to eliminate valuation allowances of sold assets. See Sales above.
Charge-offs on credit card loans that do not reduce valuation allowances, as described in the instructions for VA556.

Do not include:

Charge-offs due to recognizing unrealized losses on trading assets.
Charge-offs in connection with marking assets to market in a business combination accounted for as a purchase.

VA165, 168 AND 170: ENDING BALANCE

The EFS software automatically generates these balances as the sum of the General, Specific, and Total columns, and brings them forward as the beginning balances for the next reporting period. VA165 must equal the sum of the general valuation allowances that you reported in Schedule SC on SC229, SC283, SC357, SC441, and SC699.

CHARGE-OFFS, RECOVERIES, AND SPECIFIC VALUATION ALLOWANCE ACTIVITY

CHARGE-OFFS

Report the amount of loss that you charged off during the quarter against general valuation allowances. You should only include charge-offs for which no specific valuation allowance has previously been established.

The sum of VA370, 46, 56, 60, and 930 must equal VA155. The EFS software automatically generates VA155 once you enter charge-offs on VA370, 46, 56, 60, and 930.

VA370: Mortgage-Backed Securities

Report the amount of loss that you charged off on SC210 through SC228, Mortgage-Backed Securities. Include other-than-temporary impairment charges on mortgage-backed securities where the associated provision is included in SO321 and VA115.

Mortgage Loans:

Report charge-offs of mortgage loans, accrued interest receivable, and advances for taxes and insurance in the appropriate mortgage loan category below.

Include charge-offs to mark repossessed assets to fair value at the date of foreclosure.

VA46: Total

The EFS software automatically generates this amount as the sum of VA420, 430, 440, 446, 456, 466, 470, 480, and 490.

Construction:

VA420: 1-4 Dwelling Units

Report the amount of loss that you charged off on SC230, Construction Loans on 1-4 Dwelling Units.

VA430: Multifamily (5 or More) Dwelling Units

Report the amount of loss that you charged off on SC235, Construction Loans on 5 or More Dwelling Units.

VA440: Nonresidential Property

Report the amount of loss that you charged off on SC240, Construction Loans on Nonresidential Property.

Permanent:

VA446: 1-4 Dwelling Units: Revolving, Open-End Loans

Report the amount of loss that you charged off on SC251, Permanent: 1-4 Dwelling Units: Revolving, Open-End Loans.

VA456: 1-4 Dwelling Units: Secured By First Liens

Report the amount of loss that you charged off on SC254, Permanent: 1-4 Dwelling Units: Secured By First Liens.

VA466: 1-4 Dwelling Units: Secured by Junior Liens

Report the amount of loss that you charged off on SC255, Permanent: 1-4 Dwelling Units: Secured by Junior Liens.

VA470: Multifamily (5 or More) Dwelling Units

Report the amount of loss that you charged off on SC256, Permanent Mortgages on 5 or More Dwelling Units.

VA480: Nonresidential Property (Except Land)

Report the amount of loss that you charged off on SC260, Permanent Mortgages on Nonresidential Property.

VA490: Land

Report the amount of loss that you charged off on SC265, Permanent Mortgages on Land.

Nonmortgage Loans

Report charge-offs of nonmortgage loans and accrued interest receivable in the appropriate loan category below.

VA56: Total

The EFS software automatically generates this line as the sum of VA520, 510, 516, 530, 540 550, 556, and 560.

VA520: Commercial Loans

Report the amount of loss that you charged off on SC300, Secured Commercial Loans, SC303, Unsecured Commercial Loans, and SC306, Commercial Financing Leases.

Consumer Loans

VA510: Loans on Deposits

Report the amount of loss that you charged off on SC310, Consumer Loans on Deposits.

VA516: Home Improvement Loans

Report the amount of loss that you charged off on SC316, Consumer Home Improvement Loans.

VA530: Education Loans

Report the amount of loss that you charged off on SC320, Consumer Education Loans.

VA540: Auto Loans

Report the amount of loss that you charged off on SC323 Consumer Auto Loans.

VA550: Mobile Home Loans

Report the amount of loss that you charged off on SC326, Consumer Mobile Home Loans.

VA556: Credit Cards

Report the amount of loss that you charged off on SC328, Credit Cards.

VA560: Other

Report the amount of loss that you charged off on SC330, Other Closed-End Consumer Loans.

Repossessed Assets:

Report all direct charge-offs on repossessed assets. You should mark repossessed assets to fair value at the date of foreclosure and charge the markdown against the loan balance.

VA60: Total

The EFS software automatically generates this amount as the sum of VA605 through VA630.

Real Estate:

VA605: Construction

Report the amount of loss that you charged off on SC405, Repossessed Real Estate Construction.

VA613: 1-4 Dwelling Units

Report the amount of loss that you charged off on SC415, Repossessed 1-4 Dwelling Unit Real Estate.

VA616: Multifamily (5 or More) Dwelling Units

Report the amount of loss that you charged off on SC425, Repossessed 5 or More Dwelling Unit Real Estate.

VA625: Nonresidential (Except Land)

Report the amount of loss that you charged off on SC426, Repossessed Nonresidential Real Estate, Except Land.

VA628: Land

Report the amount of loss that you charged off on SC428, Repossessed Land.

VA630: Other Repossessed Assets

Report the amount of loss that you charged off on SC430, Other Repossessed Assets.

VA930: Other Assets

Report the amount of loss that you charged off on SC689, Other Assets, and on any other assets not otherwise reported as charge-offs. Include other-than-temporary impairment charges on nonmortgage debt securities and equity securities where the associated provision is included in SO321 and VA115.

Do not include:

Write-downs of office buildings, leasehold improvements, furniture, fixtures, equipment, and automobiles. Report these write-downs as an adjustment of depreciation on SO440, Net Income (Loss) from Office Building Operations, and SO530, Office Occupancy and Equipment Expense.
Write-downs on SC660, Goodwill and Other Intangible Assets. Report these write-downs as an adjustment of amortization on SO560, Amortization of Goodwill.

RECOVERIES

Report the amount of recoveries during the quarter due to the repayment of assets previously charged off in the recovery column. For additional information, see the general instructions to Schedule VA.

The EFS software automatically generates VA135 once you enter recoveries on VA371, 47, 57, and 931.

Do not include:

Sale of an asset at a sales price exceeding the carrying value. Report this amount in income on SO430 and SO467 through SO477.
Payments received on assets for which a valuation allowance has been established. Adjust the ending balance of the valuation allowance appropriately.

VA371: Mortgage-Backed Securities

Report the amount of recoveries on mortgage-backed securities that you reported on SC210 through SC228.

Mortgage Loans

Include recoveries of accrued interest receivable and advances for taxes and insurance in the appropriate mortgage loan category below. Report recoveries on deficiency judgments in the mortgage loan category to which the judgment applies.

VA47: Total

The EFS software automatically generates this amount as the sum of VA421, 431, 441, 447, 457, 467, 471, 481, and 491.

Construction:

VA421: 1-4 Dwelling Units

Report the amount of recoveries on SC230, Construction Loans on: 1-4 Dwelling Units.

VA431: Multifamily (5 or More) Dwelling Units

Report the amount of recoveries on SC235, Construction Loans on: 5 or More Dwelling Units.

VA441: Nonresidential Property

Report the amount of recoveries on SC240, Construction Loans on: Nonresidential Property.

Permanent:

VA447: 1-4 Dwelling Units: Revolving, Open-End Loans

Report the amount of recoveries on SC251, Permanent: 1-4 Dwelling Units: Revolving, Open-End Loans.

VA457: 1-4 Dwelling Units: Secured By First Liens

Report the amount of recoveries on SC254, Permanent: 1-4 Dwelling Units: Secured By First Liens.

VA467: 1-4 Dwelling Units: Secured by Junior Liens

Report the amount of recoveries on SC255, Permanent: 1-4 Dwelling Units: Secured by Junior Liens.

VA471: Multifamily (5 or More) Dwelling Units

Report the amount of recoveries on SC256, Permanent Mortgages on: 5 or More Dwelling Units.

VA481: Nonresidential Property (Except Land)

Report the amount of recoveries on SC260, Permanent Mortgages on: Nonresidential Property (Except Land).

VA491: Land

Report the amount of recoveries on SC265, Permanent Mortgages on: Land.

Nonmortgage Loans

Report recoveries of nonmortgage loans and accrued interest receivable in the appropriate loan category below.

VA57: Total

The EFS software automatically generates this amount as the sum of VA521, VA511, VA517, 531, 541, 551, 557, and 561.

VA521: Commercial Loans

Report the amount of recoveries on Commercial Loans on SC300, Commercial Loans: Secured, SC303, Commercial Loans: Unsecured, and SC306, Commercial Loans: Financing Leases.

Consumer Loans

VA511: Loans on Deposits

Report the amount of recoveries on SC310, Closed-End Consumer Loans: Loans on Deposits.

VA517: Home Improvement Loans

Report the amount of recoveries on SC316, Closed-End Consumer Loans: Home Improvement Loans.

VA531: Education Loans

Report the amount of recoveries on SC320, Closed-End Consumer Loans: Education Loans.

VA541: Auto Loans

Report the amount of recoveries on SC323, Closed-End Consumer Loans: Auto Loans.

VA551: Mobile Home Loans

Report the amount of recoveries on SC326, Closed-End Consumer Loans: Mobile Home Loans.

VA557: Credit Cards

Report the amount of recoveries on SC328, Credit Cards.

VA561: Other

Report the amount of recoveries on SC330, Consumer Loans: Other, Including Lease Receivables.

VA931: Other Assets

Report the amount of recoveries on all other financial assets that you did not include above. Include recoveries on miscellaneous receivables that you reported on SC689, Other Assets.

Do not include:

Gains on the sale of REO. Report these gains on SO461, Operations and Sale of Repossessed Assets.
Recoveries on deficiency judgments or other recoveries of loans foreclosed upon. Report these recoveries as a recovery of the loan in the appropriate loan category above.

SPECIFIC VALUATION ALLOWANCE PROVISIONS & TRANSFERS FROM GENERAL ALLOWANCES

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances during the quarter. This applies to any specific valuation allowance activity with the exception of charge-offs and acquisitions.

The sum of VA38, 372, 48, 58, 62, 72, 822, and 932 must equal the sum of VA118 and 128.

VA38: Deposits, and Investment Securities

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on all deposits and investment securities that you reported on SC110 through SC191.

VA372: Mortgage-Backed Securities

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC210 through SC228, Mortgage-Backed Securities.

Mortgage Loans:

Report the provision for loss established for specific valuation allowances and the transfers between general valuation allowances of mortgage loans in the appropriate mortgage loan category below. You should report specific valuation allowance activity of accrued interest receivable and advances for taxes and insurance in the appropriate mortgage loan category of the related loan.

VA48: Total

The EFS software automatically generates this amount as the sum of VA422, 432, 442, 452, 462, 472, 482, and 492.

Construction:

VA422: 1-4 Dwelling Units

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC230, Construction Loans on: 1-4 Dwelling Units.

VA432: Multifamily (5 or More) Dwelling Units

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC235, Construction Loans on: 5 or More Dwelling Units.

VA442: Nonresidential Property

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC240, Construction Loans on: Nonresidential Property.

Permanent:

VA448: 1-4 Dwelling Units: Revolving, Open-End Loans

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC251, Permanent: 1-4 Dwelling Units: Revolving, Open-End Loans.

VA458: 1-4 Dwelling Units: Secured By First Liens

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC254, Permanent: 1-4 Dwelling Units: Secured By First Liens.

VA468: 1-4 Dwelling Units: Secured by Junior Liens

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC255, Permanent: 1-4 Dwelling Units: Secured by Junior Liens.

VA472: Multifamily (5 or More) Dwelling Units

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC256, Permanent Mortgages on: 5 or More Dwelling Units.

VA482: Nonresidential Property (Except Land)

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC260, Permanent Mortgages on: Nonresidential Property.

VA492: Land

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC265, Permanent Mortgages on: Land.

Nonmortgage Loans

Report the provision for loss established for specific valuation allowances and the transfers between general valuation allowances of mortgage loans in the appropriate nonmortgage loan category below. You should report specific valuation allowance activity of accrued interest receivable in the related loan category.

VA58: Total

The EFS software automatically generates this amount as the sum of VA522, 512, 518, 532, 542, 552, 558, and 562.

VA522: Commercial Loans

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC300, Commercial Loans: Secured, SC303, Commercial Loans: Unsecured, and SC306, Commercial Loans: Financing Leases.

Consumer Loans

VA512: Loans on Deposits

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC310, Closed-End Consumer Loans: Loans on Deposits.

VA518: Home Improvement Loans

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC316, Closed-End Consumer Loans: Home Improvement Loans.

VA532: Education Loans

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC320, Closed-End Consumer Loans: Education Loans.

VA542: Auto Loans

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC323, Closed-End Consumer Loans: Auto Loans.

VA552: Mobile Home Loans

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC326, Closed-End Consumer Loans: Mobile Home Loans.

VA556: Credit Cards

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC328, Credit Cards.

VA562: Other

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC330, Consumer Loans: Other, Including Lease Receivables.

Repossessed Assets:

Report the provision for loss established for specific valuation allowances and the transfers between general valuation allowances of repossessed assets after the date of foreclosure. Do not include adjustments to mark repossessed assets to fair value at the date of foreclosure; these adjustments should be charged off against the loan balance and reported on VA420 through VA560.

VA62: Total

The EFS software automatically generates this amount as the sum of VA606, 614, 617, 626, 629, and

632.

Real Estate:

VA606: Construction

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC405, Repossessed Assets: Real Estate: Construction.

VA614: 1-4 Dwelling Units

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC415, Repossessed Assets: Real Estate: 1-4 Dwelling Units.

VA617: Multifamily (5 or More) Dwelling Units

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC425, Repossessed Assets: Real Estate: 5 or More Dwelling Units.

VA626: Nonresidential (Except Land)

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC426, Repossessed Assets: Real Estate: Nonresidential (Except Land).

VA629: Land

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC428, Repossessed Assets: Real Estate: Land.

VA632: Other Repossessed Assets

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC430, Other Repossessed Assets.

VA72: Real Estate Held for Investment

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC45, Real Estate Held for Investment.

VA822: Equity Investments Not Subject to FASB Statement No. 115

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC51, Equity Investments Not Subject to FASB Statement No.

115.

VA932: Other Assets

Report the amount of provision for loss established for specific valuation allowances and the transfers between general valuation allowances on SC689, Other Assets.

ADJUSTED NET CHARGE-OFFS

The EFS software automatically generates this column.

This column totals:

Charge-offs
Less Recoveries

• Plus specific valuation allowance provisions and transfers from general allowances Therefore, this total represents adjusted net charge-offs.

OTHER ITEMS

TROUBLED DEBT RESTRUCTURED:

A troubled debt restructuring (TDR) occurs when you, as a creditor, for economic or legal reasons related to the debtor’s financial difficulties, grant a concession to the debtor that you would not otherwise consider. That concession either stems from an agreement between you and the debtor or is imposed by law or a court. Whatever the form of concession you grant to the debtor, your objective is to make the best of a difficult situation. Additionally, you expect to obtain more cash or other value from the debtor by granting the concession than by not granting it.

You may accept any of the following when you restructure a troubled debt:

A note, secured or unsecured, from a third party as payment of your receivable from the
borrower.
The underlying collateral as payment of the loan, either through foreclosure, other title transfer, or in-substance foreclosure.
Other assets in payment of a loan.
An equity interest in either the borrower or its assets in lieu of its receivable.
A modification of the debt terms, including, but not limited to the following:

a.: Reduction in stated interest rate.
b.: Extension of maturity.
c.: Reduction in the face amount of the debt.
d.: Reduction in the accrued interest.

Include:

Restructured real estate loans that are equity investments under GAAP and that you reported on SC45, Real Estate Held for Investment.
Restructured loans that you reported on SC230 through SC265 (Mortgage Loans) and SC300 through SC330 (Nonmortgage Loans).
Foreclosed assets that you reported on SC405 through SC430 (Repossessed Assets).
Troubled debt restructurings even if you recorded no losses this quarter, but had previous charge-offs.

VA940: Amount this Quarter

Report the amount of new TDR this quarter. Report the recorded investment less specific valuation allowances in the restructured asset after restructuring. The recorded investment is the outstanding principal balance, adjusted for charge-offs and unamortized yield adjustments. The restructured asset would comprise, for instance, a modified loan or foreclosed asset. Report all new TDR even if you subsequently sold or otherwise disposed of the asset during the quarter

VA942: Included in Schedule SC in Compliance with Modified Terms

Report the recorded investment of loans that have been modified in troubled debt restructurings, reduced by specific valuation allowances, that remain on the books at the end of the quarter that are not past due or in nonaccrual status, and, therefore, that you do not report in Schedule PD. Report such TDRs regardless of the quarter in which the restructuring took place.

In general, you should continue to report loans as TDRs until they are paid off. However, you only need to report a TDR that yields a market rate at issuance during the first year of the restructuring if the borrower complies with the terms of the restructured contract.

Do not include repossessed assets acquired in troubled debt restructurings.

MORTGAGE LOANS FORECLOSED DURING THE QUARTER

Report the recorded investment less specific valuation allowances of mortgage loans foreclosed during the quarter.

Include the types of mortgages that you reported on SC230 through SC265 and real estate loans that are considered equity investments under GAAP that you reported on SC45, that you either foreclosed on and acquired a voluntary deed in lieu of foreclosure or on which you performed an in-substance foreclosure during the quarter.

Note: Even though foreclosed real estate loans that are considered equity investments under GAAP are reported here as foreclosures, do not transfer them on Schedule SC to Repossessed Assets, SC405 through SC430. These foreclosures should remain in Real Estate Held For Investment, SC45.

Report all foreclosures during the quarter, even if you have sold or otherwise disposed of the property since foreclosure.

Include:

Cancellations of real estate contracts or similar actions where you reacquire any property you previously owned that you sold on contract or on installment basis.
FHA/VA mortgage loans, other federally insured or guaranteed mortgage loans, or privately insured mortgage loans that have been foreclosed, whether or not title has been subsequently transferred to the insurer.
The portion of participations that you held at the time of foreclosure whether or not you were the lead lender or initiated foreclosure proceedings.
Loans and participations that you sold with recourse and reacquired prior to foreclosure. If you reacquired a loan and obtained a foreclosure judgment, in fact or in substance, in the same quarter, report it as a purchase on CF280 through CF300, Loans and Participations Purchased, and as a foreclosure on VA95.

Do not include:

Loans to which title reverted to the seller prior to foreclosure.
Loans serviced for others unless you reacquired the loan prior to foreclosure.

VA95: Total

The EFS software will compute this line as sum of VA951 through VA955.

VA951: Construction

Report foreclosures during the quarter on loans that you previously reported on SC230 through SC240, Mortgage Construction Loans, and SC450 through SC470, Real Estate Held for Investment.

Permanent Loans Secured By:

VA952: 1-4 Dwelling Units

Report foreclosures during the quarter on permanent mortgages secured by one-to-four dwelling unit property that you previously reported on SC251 through SC255, Permanent Mortgages on 1-4 Dwelling Units.

VA953: Multifamily (5 or More Dwelling Units)

Report foreclosures during the quarter on permanent mortgages secured by five or more dwelling unit property that you previously reported on SC256, Permanent Mortgages on Multifamily (5 or More) Dwelling Units.

VA954: Nonresidential (Except Land)

Report foreclosures during the quarter on permanent mortgages secured by nonresidential property that you previously reported on SC260, Permanent Mortgages on: Nonresidential Property (Except Land).

VA955: Land

Report foreclosures during the quarter on permanent mortgages secured by land that you previously reported on SC265, Permanent Mortgages on Land.

CLASSIFICATION OF ASSETS

Report classified assets and assets designated special mention, net of related specific valuation allowances, accumulated charge-offs, and recorded liabilities. Include off-balance-sheet items, such as loan commitments, loans sold with recourse, and lines and letters of credit that you are required to classify.

End of Quarter Balances:

VA960: Special Mention

Report all assets, portions of assets, and off-balance-sheet items as of the end of the quarter that are not classified but are designated as special mention pursuant to the Examination Handbook Section 260 and 12 CFR § 560.160.

VA965: Substandard

Report all assets, portions of assets, and off-balance-sheet items as of the end of the quarter classified as substandard pursuant to the Examination Handbook Section 260 and 12 CFR § 560.160.

VA970: Doubtful

Report all assets, portions of assets, and off-balance-sheet items classified doubtful as of the end of the quarter pursuant to the Examination Handbook Section 260 and 12 CFR § 560.160.

VA975: Loss

Report all assets, portions of assets, and off-balance-sheet items classified loss as of the end of the quarter pursuant to Examination Handbook Section 260 and 12 CFR. § 560.160.

You should deduct any related specific valuation allowances, accumulated charge-offs, and recorded liabilities prior to reporting the amount of assets classified loss. Accordingly, you should generally report zero in this data field.

PURCHASED IMPAIRED LOANS HELD FOR INVESTMENT ACCOUNTED FOR IN ACCORDANCE WITH AICPA SOP 03-3 (EXCLUDE LOANS HELD FOR SALE)

Report purchased impaired loans as defined by SOP 03-3 that your savings association has purchased, including those acquired in a purchase business combination, when there is evidence of deterioration of credit quality since the origination of the loan and it is possible, at the purchase date, that the savings association will be unable to collect all contractually required payments receivable. SOP 03-3 does not prohibit placing loans on nonaccrual status and any nonaccrual purchased impaired loans should be reported accordingly in Schedule PD. For those purchased impaired loans that are not on nonaccrual status, you should determine the loans’ delinquency status in accordance with the contractual repayment terms of the loans without regard to the purchase price of (initial investment in) these loans or the amount and timing of the cash flows expected at acquisition.

VA980: Outstanding Balance (Contractual)

Report the outstanding balance of purchased impaired loans. The outstanding balance is the undiscounted sum of all amounts, including amounts deemed principal, interest, fees, penalties, and other under the loan, owed to the savings association at the report date, whether or not currently due and whether or not any such amounts have been charged off by the savings association. However, the outstanding balance does not include amounts that would be accrued under the contract as interest, fees, penalties, and other after the report date.

VA981: Recorded Investment (Carrying Amount Before Deducting Any Loan Loss Allowances)

Report the recorded investment (carrying amount before deducting any loan loss allowances) as of the report date of the purchased impaired loans held for investment. Loans held for investment are those loans that the savings association has the intent and ability to hold for the foreseeable future or until maturity or payoff. Thus, the outstanding balance and recorded investment of any purchased impaired loans that are held for sale would not be reported in these memorandum items.

VA985: Allowance Amount Included In Allowance for Loan and Lease Losses (SC283, SC357)

Report the amount of post-acquisition loan loss allowances for purchased impaired loans held for investment that is included in the total amount of the allowance for loan and lease losses as of the report date.

SCHEDULE PD – CONSOLIDATED PAST DUE AND NONACCRUAL

Report all loans and leases that you own that are contractually past due or are in nonaccrual status, regardless of whether such loans are held for sale or are secured, unsecured, or guaranteed by the Government or by others. Report the entire loan, not simply the amount of the delinquent payment. You should report the balance of the recorded investment after deducting specific valuation allowances. Recorded investment is the principal balance, adjusted for charge-offs and unamortized yield adjustments.

PAST DUE

Do not take grace periods into account when determining past due status.
Report loans and lease financing receivables as past due when either interest or principal is unpaid in the following circumstances:

a) Amortizing closed-end mortgage loans, closed-end nonmortgage installment loans, and any other loans and lease financing receivables with:

i) Payments scheduled monthly – when the borrower’s interest and/or principal amount is past due thirty or more days (or one calendar month). For example, a loan payment is due March 15^th. At March 31, the loan is not a full month past due, so it would not be reported in Schedule PD until after April 15^th. On April 30 it would be 30 – 89 days past due.

ii) Payments scheduled other than monthly – when one scheduled payment of interest and/or principal is due and unpaid for 30 calendar days or more.

b) Open-end loans such as home equity loans, charge-card plans, check credit, and other revolving credit plans when the customer has not made the minimum payment for two or more billing cycles.

c) Single payment and demand notes providing for the payment of interest at stated intervals (such as certain construction loans) after one interest payment is due and unpaid for 30 days or more.

d) Single payment notes providing for the payment of interest at maturity if interest or principal remains unpaid for 30 days or more after maturity.

e) Unplanned overdrafts if the account remains continuously overdrawn for 30 days or more.

You have the option to use actual days as stated in the schedule headings in lieu of months when you calculate the past due period.

Example using months (instead of actual days):

In this example, the payment is due on the first of the month and the first payment missed is the one due March first.

Actual Days Complete Months Past-Due
Payment Payments Overdue At Overdue At Category At
Due Date Missed Month-End Month-End Month-End

March 1 (one) 30 0 Under 30 Days
April 1 (two) 60 1 30 - 89 Days
May 1 (three) 91 2 30 - 89 Days
June 1 (four) 121 3 90 Days or More

In the March TFR, you would not report this loan in Schedule PD. In the June TFR, you would report this loan in either the 90 Days or More or Nonaccrual category.

Example using actual days:

In this example, the payment is due on the first of the month and the first payment missed is the one due first.

Actual Days Past-Due
Payment Payments Overdue At Category At
Due Date Missed Month-End Month-End

March 1 (one) 30 30 - 89 Days
April 1 (two) 60 30 - 89 Days
May 1 (three) 91 90 Days or More
June 1 (four) 121 90 Days or More

In the March TFR, you would report this loan the 30 - 89 Days category. In the June TFR, you would report this loan in either the 90 Days or More or Nonaccrual category.

Partial Payments for Amortizing Closed-end Loans:

When borrowers make partial payments, they get credit for the amount of payment they make, so the loan will generally not be reported as past due until two or more months of partial payments have been made.

For example:

If the payment due were $100 and the borrower, due to a temporary condition, only paid $25 a month, the loan would be $75 past due at the end of the first month, $150 past due the second month, and $225 past due the third month.

If the loan were due on January 1, the loan would be $75 past due on February 1 (and February 28), $150 past due on March 1 (and March 31), and $225 on April 1 (and April 30). On the March 31 TFR, the loan would be more than 30 days delinquent and would be reported as 30-89 days past due on Schedule PD.

Likewise, if the borrower paid $50 a month, the loan would be $50 past due on February 1 (and February 28), $100 past due on March 1 (and March 31), and $150 on April 1 (and April 30). Again, on the March 31 TFR, the loan would be 30 days delinquent and reported as 30-89 days past due.

However, if the borrower paid $51 a month, the loan would be $49 past due on February 1 (and February 28), $98 past due on March 1 (and March 31), and $147 on April 1 (and April 30). Therefore, on the March 31 TFR, the loan would be less than 30 days delinquent and would not be reported as past due.

Restructured loans:

You need not maintain a loan in nonaccrual status where you have formally restructured the loan so that you are reasonably assured of repayment and of performance according to the modified terms, provided the restructured loan is well secured and collection under the revised terms is probable. To determine probability of collection, consider the borrower’s sustained historical repayment performance for a reasonable period, which may take into account performance prior to restructuring. A sustained period of repayment performance generally would equal a minimum of six months and would involve payments of cash or cash equivalents.

Do not include:

Loans on which interest is being accrued for record-keeping purposes but not for reporting purposes.
Accrued interest and advance payments of borrowers’ taxes and insurance unless they have been capitalized to the loan balance.
Deductions for allowances for loan and lease losses (ALLL) or the assumed liability of wraparound loans applicable to such loans.

NONACCRUAL

Report loans on which you no longer accrue interest.

Interest does not accrue on:

An asset that you maintain on a cash basis due to the borrower’s deteriorating financial position.
An asset for which you do not expect to receive full payment of interest or principal.
An asset with principal or interest in default unless the value of the property securing the loan exceeds the receivable balance, including principal, interest, and escrows, and collection is probable.

MORTGAGE LOANS:

PD115, 215, AND 315:CONSTRUCTION

Report loans included on SC230 through SC240, Construction Loans.

Permanent, Secured by:

1-4 Dwelling Units:

PD121, PD221, and PD321: Revolving, Open-End Loans

Report past due and nonaccrual revolving, open-end mortgages on 1-4 dwelling units reported on SC251.

All Other:

PD123, PD223, and PD323: Secured by First Liens

Report past due and nonaccrual mortgages with a first lien on 1-4 dwelling units reported on SC254.

PD124, PD224, and PD324: Secured by Junior Liens

Report past due and nonaccrual mortgages with a junior lien on 1-4 dwelling units reported on SC255.

PD125, 225, and 325: Multifamily (5 or More) Dwelling Units

Report loans included on SC256, Permanent Mortgages on: Multifamily (5 or More) Dwelling Units.

PD135, 235, and 335: Nonresidential Property (Except Land)

Report loans included on SC260, Permanent Mortgages on: Nonresidential Property (Except Land).

PD138, 238, and 338: Land

Report loans included on SC265, Permanent Mortgages on: Land.

NONMORTGAGE LOANS AND LEASES: PD140, 240, AND 340: COMMERCIAL

Report loans and leases included on SC300 through SC306, Nonmortgage Loans: Commercial Loans.

CONSUMER LOANS:
PD161, 261, and 361: Loans on Deposits

Report loans included on SC310, Consumer Loans: Loans on Deposits.

PD163, 263, and 363: Home Improvement Loans

Report loans included on SC316, Consumer Loans: Home Improvement Loans.

PD165, 265, and 365: Education Loans

Report loans included on SC320, Consumer Loans: Education Loans.

PD167, 267, and 367: Auto Loans

Report loans included on SC323, Consumer Loans: Auto Loans.

PD169, 269, and 369: Mobile Home Loans

Report loans included on SC326, Consumer Loans: Mobile Home Loans.

PD171, 271, and 371: Credit Cards

Report past due and nonaccrual consumer credit cards reported on SC328

PD180, 280, and 380: Other

Report past due and nonaccrual consumer loans reported on SC330.

PD10, 20, AND 30: TOTAL

The EFS software automatically computes these totals as the sum of PD115 through PD180 on PD10, the sum of PD215 through PD280 on PD20, and the sum of PD315 through PD380 on PD30.

MEMORANDA:

PD190, 290, AND 390: TROUBLED DEBT RESTRUCTURED INCLUDED ABOVE

Report troubled debt restructurings that you included above in Schedule PD. Refer to the instructions for VA942 for a discussion of troubled debt restructured. These lines plus the amount reported on VA942 will equal the total troubled debt restructured included in your balance sheet as of the quarter end.

PD192, 292, AND 392: LOANS AND LEASES REPORTED IN PD115 – PD380 THAT ARE HELD FOR SALE

Report loans and leases held for sale that are included above in Schedule PD.

PD195, 295, AND 395: LOANS AND LEASES REPORTED IN PD115 – PD380 THAT ARE WHOLLY OR PARTIALLY GUARANTEED BY THE U.S. GOVERNMENT, AGENCY, OR SPONSORED ENTITY

Report the recorded investment included above in Schedule PD of past due or nonaccrual loans that are wholly or partially recoverable from the U.S. Government, its agencies, and its government sponsored entities.

PD196, 296, AND 396: GUARANTEED PORTION OF OTHER LOANS AND LEASES INCLUDED IN PD195-PD395 (EXCLUDE REBOOKED “GNMA LOANS”)

Report the guaranteed portion of loans (excluding rebooked “GNMA loans”) reported in PD195 through PD395 above.

PD197, 297, AND 397 REBOOKED “GNMA LOANS” REPURCHASED OR ELIGIBLE FOR REPURCHASE INCLUDED IN PD195 – PD395

Report the amount of “GNMA loans” repurchased or eligible for repurchase that are reported in PD195 through PD395 above.

SCHEDULE LD — CONSOLIDATED LOAN DATA

GENERAL INSTRUCTIONS

You should report on this schedule only information about your loans and those of your consolidated subsidiaries. Do not include information of your holding company, affiliates, or unconsolidated subsidiaries.

HIGH LOAN-TO-VALUE LOANS SECURED BY 1-4 FAMILY RESIDENTIAL PROPERTIES, WITHOUT PMI OR GOVERNMENT GUARANTEE

Report data on 1-4 family real estate loans that meet both of the following conditions:

The loan-to-value equals or exceeds 90 percent.
There is no private mortgage insurance (PMI) or government guarantee, such as FHA or VA.

For reporting 1-4 family, high loan-to-value loans on this schedule, include small business loans secured by single-family residences classified as commercial loans on Schedule SC, as well as loans reported as mortgages. The only 1-4 family real estate loans that you can exclude are those that the borrower has otherwise substantially secured and where you take the mortgage as an abundance of caution (for example secured auto loans), and where you have not made the terms more favorable than they would have been in the absence of the real estate lien. Report all loans at recorded investment less specific valuation allowances. See the instructions for mortgage loans in Schedule SC for a definition of recorded investment. Note that the amount you report as the loan value may differ from the amount used in the calculation of LTV as explained below.

You may exclude from this schedule loans that you intend to sell within 90 days from origination, without recourse, to a financially responsible third party. However, you must include any uninsured, high LTV loans originated for sale that are more than 90 days old.

Include both permanent and construction loans secured by 1-4 family dwellings. Include conventional construction loans that have been approved for PMI that will be effective when the loan converts to a permanent loan, but where the construction loan is not yet covered by PMI.

In determining the LTV ratio, you must combine all loans secured by the same property regardless of whether you classify the loan as a mortgage or consumer loan in Schedule SC. If you hold a junior lien, you must include all liens senior to your lien in the LTV calculation, even if you do not hold all the senior liens.

In calculating LTV, use the recorded investment of the loan as the numerator. Do not deduct specific valuation allowances. If you have not yet disbursed the entire loan and you are legally bound to fund an undisbursed commitment, for the numerator use the recorded investment plus the undisbursed commitment, including letters of credit.

Use the borrower’s purchase price of the real estate or appraised value at origination, whichever is less, for the denominator in the LTV calculation. Subsequent to origination if the real estate market has changed significantly and the value of the real estate has increased, you may use a current market valuation. You must support this valuation by a current appraisal or evaluation performed in accordance with 12 CFR 564. However, if the value of the real estate has decreased, you may use the appraised value at origination; we do not require that you use a lower current appraisal unless you have refinanced the loan or disbursed additional funds. When the borrower has paid down his loan below 90% LTV, you no longer have to report the loan in Schedule LD.

If you make an adjustable rate mortgage loan where the loan contract permits negative amortization when interest rates rise, such that the loan could exceed 90 percent LTV, you do not need to report the loan as a high LTV loan until the balance of the loan reaches 90 percent of the value of the property. See definitions in 12 CFR § 560.101.

Example 1: You make a loan with a principal balance of $90,000 on the purchase of a house, with deferred fees net of origination costs of $2,000. At origination the appraised value is $100,000. There is no PMI on this loan. The recorded investment at origination is $88,000 ($90,000 less $2,000). Therefore, at origination the LTV equals 88 percent and the loan is not reported as a high LTV loan in Schedule LD.

Example 2: You purchase a loan with a principal balance of $88,000 at a premium of $3,000. The originator appraised the property at $100,000. Your recorded investment is $91,000 ($88,000 plus $3,000), and thus the LTV is 91 percent. There is no PMI on this loan. You must include your recorded investment in this loan in the 90 up to 100 LTV category.

Example 3: You make a legally binding commitment of $9 million on a construction loan on a project of single-family homes, with a projected value at completion of $10 million. Therefore, the LTV equals 90 percent. There is no PMI on this loan. At the reporting date, you have disbursed $3 million on this loan; this is the recorded investment. You must report the $3 million in the 90 up to 100 LTV category.

Example 4: You make an adjustable rate mortgage loan with a principal balance of $85 thousand on the purchase of a house for $100 thousand. There is no PMI on this loan. The loan document guarantees that the monthly payment will not exceed $750. The LTV at origination is 85 percent, and you, therefore, do not report the loan as a high LTV loan. Interest rates rise to the point that, if you fully amortized the loan, the loan payment would exceed $750. Each month you add the amount of the loan amortization in excess of $750 to the recorded investment of the loan. In time, the recorded investment of the loan reaches 90 percent. At that time, you must include the recorded investment of the loan in the 90 up to 100 LTV category.

BALANCES AT QUARTER-END:

Report the recorded investment less specific valuation allowances of all mortgages secured by 1-4 family residential properties where the loan-to-value falls in the range indicated and that are not covered by PMI or government guarantee.

If you hold junior and senior liens on the same property and the senior lien is covered by PMI but the junior lien is a home equity loan that is not covered by PMI or government guarantee, report the recorded investment of only the home equity loan. However, for purposes of calculating LTV, you include the recorded investments of the first mortgage and the home equity loan and the undisbursed commitment of the home equity loan as the numerator. If the first mortgage has an LTV less than 80% and therefore has no PMI, you must combine it with junior liens on the same property on LD110 and LD120.

LD110: 90 up to 100 LTV

LD120: 100 or Greater LTV

PAST DUE AND NONACCRUAL BALANCES:

Report the recorded investment less specific valuation allowances of all past due and nonaccrual mortgages secured by 1-4 family residential properties, where the loan-to-value falls in the range indicated and that are not covered by PMI or government guarantee. You should use the same definitions of past due and nonaccrual that we provide in Schedule PD. If you have made multiple loans on the same property, report only the loans that are past due.

Past Due and Still Accruing:

30 - 89 Days

LD210: 90 up to 100 LTV

LD220: 100 and Greater LTV

90 Days or More

LD230: 90 up to 100 LTV

LD240: 100 and Greater LTV

Nonaccrual

LD250: 90 up to 100 LTV

LD260: 100 and Greater LTV

CHARGE-OFFS AND RECOVERIES:

Net Charge-offs (including Specific Valuation Allowance Provisions & Transfers from General to Specific Allowances):

We define net charge-offs as charge-offs from general valuation allowances, as reported on VA155, less recoveries, as reported on VA135, plus specific valuation allowance provisions, as reported on VA118, and transfers from general allowances, as reported VA128. This is also referred to as adjusted net charge-offs. You also report adjusted net charge-offs on Schedule VA in the column beginning with VA39. Include adjusted net charge-offs of all balances reportable on LD110 and LD 120. Include all charge-offs, recoveries and specific valuation allowance activity on high loan-to-value 1-4 family mortgages even if the acquisition and the charge-off took place in the same quarter. Report charge-offs and recoveries if the loan was reported on Schedule LD either in the prior or current quarter.

LD310: 90 up to 100 LTV

LD320: 100 and Greater LTV

PURCHASES

Report the cost of all high loan-to-value loans secured by 1-4 family residential properties purchased during the quarter from other entities. You should also report these purchases in Schedule CF.

LD410: 90 up to 100 LTV

LD420: 100 and Greater LTV

ORIGINATIONS

Report the amount disbursed for all high loan-to-value loans secured by 1-4 family residential properties during the quarter. Note that you report all amounts net of loans-in-process (LIP), and report additional disbursements in the quarter in which you make them. Use the definition of disbursements found in the instructions as Schedule CF for the definition of originations in this schedule.

LD430: 90 up to 100 LTV

LD440: 100 and Greater LTV

SALES

Report all high loan-to-value loans secured by 1-4 family residential properties sold to other entities or otherwise disposed of during the quarter. You should also report these sales in Schedule CF.

LD450: 90 up to 100 LTV

LD460: 100 and Greater LTV

SUPPLEMENTAL LOAN DATA FOR ALL LOANS

LD510: 1-4 DWELLING UNITS CONSTRUCTION-TO-PERMANENT LOANS

Report the outstanding balance of all construction-to-permanent loans secured by 1-4 dwelling units, and construction loans to the ultimate owner-occupant, that are reported in SC230, Construction loans on 1-4 Dwelling Units. Do not include loans to builders who plan to sell or rent after completion.

LD520: OWNER-OCCUPIED MULTIFAMILY PERMANENT LOANS

Report the outstanding balance of all owner-occupied multifamily permanent loans secured by 5 or more dwelling units that are reported in SC256, Multifamily (5 or More) Dwelling Units.

The determination as to whether a multifamily property is considered “owner-occupied” should be made upon acquisition (origination or purchase) of the loan. However, for purposes of determining whether existing multifamily real estate loans should be reported as “owner-occupied”, the institution may consider the source of repayment either when the loan was acquired or based on the most recent available information. Once the institution determines whether a loan should be reported as “owner-occupied” or not, this determination need not be reviewed thereafter.

Loans secured by owner-occupied multifamily properties are those multifamily property loans for which the primary source of repayment is the cash flow from the ongoing operations and activities conducted by the party, or an affiliate of the party, who owns the property. Thus, for loans secured by owner-occupied multifamily properties, the primary source of repayment is not derived from third party, nonaffiliated, rental income associated with the property (i.e., any such rental income is less than 50 percent of the source of repayment) or the proceeds of the sale, refinancing, or permanent financing of the property.

LD530: OWNER-OCCUPIED NONRESIDENTIAL PROPERTY (EXCEPT LAND) PERMANENT LOANS

Report the outstanding balance of all owner-occupied nonresidential property (except land) permanent loans that are reported in SC260, Permanent Loans - Nonresidential Property (Except Land).

The determination as to whether a nonresidential property is considered “owner-occupied” should be made upon acquisition (origination or purchase) of the loan. However, for purposes of determining whether existing nonresidential real estate loans should be reported as “owner-occupied”, the institution may consider the source of repayment either when the loan was acquired or based on the most recent available information. Once the institution determines whether a loan should be reported as “owneroccupied” or not, this determination need not be reviewed thereafter.

Loans secured by owner-occupied nonresidential properties are those nonresidential property loans for which the primary source of repayment is the cash flow from the ongoing operations and activities conducted by the party, or an affiliate of the party, who owns the property. Thus, for loans secured by owner-occupied nonresidential properties, the primary source of repayment is not derived from third party, nonaffiliated, rental income associated with the property (i.e., any such rental income is less than 50 percent of the source of repayment) or the proceeds of the sale, refinancing, or permanent financing of the property. Include loans secured by hospitals, golf courses, recreational facilities, and car washes unless the property is owned by an investor who leases the property to the operator who, in turn, is not related to or affiliated with the investor. Also include loans secured by churches unless the property is owned by an investor who leases the property to the congregation.

LD610: 1-4 DWELLING UNITS OPTION ARM LOANS

Report the outstanding balance of all option ARM loans secured by 1-4 dwelling units that are reported in SC251, Revolving, Open-End Loans on 1-4 Dwelling Units, SC254, First Liens, Closed-End on 1-4 Dwelling Units, and SC255, Junior Liens, Closed-End on 1-4 Dwelling Units.

Option ARMs loans generally represent adjustable rate mortgages where the borrower may have the option to opt for a minimum payment or an interest only payment.

LD620: 1-4 DWELLING UNITS ARM LOANS WITH NEGATIVE AMORTIZATION

Report the outstanding balance of all ARM loans with negative amortization secured by 1-4
dwelling units that are reported in SC251, Revolving, Open-End Loans on 1-4 Dwelling Units, SC254,
First Liens, Closed-End on 1-4 Dwelling Units, and SC255, Junior Liens, Closed-End on 1-4 Dwelling
Units.

LD650: TOTAL CAPITALIZED NEGATIVE AMORTIZATION

Report the total capitalized negative amortization included in the outstanding balances reported in LD620, 1-4 Dwelling Units ARM Loans with Negative Amortization.

SCHEDULE CC — CONSOLIDATED COMMITMENTS AND CONTINGENCIES

COMMITMENTS OUTSTANDING

Report all commitments outstanding that will close in your name. In the case of securities held by an agent, report commitments made on your behalf.

In reporting commitments to originate loans on CC280 through CC310, do not include the portion of refinancings, including wrap-around loans, that will not involve your disbursing cash. Report only the amount you will disburse. Do not report the gross commitment amount.

Report commitments to purchase or sell loans or securities on CC320 through CC375 on a gross basis. Do not net commitments to sell against commitments to purchase, even if the commitments are for the same or similar investments and even if no cash will be disbursed or received. For example, report a commitment to swap mortgages for mortgage pool securities as a commitment to sell mortgages and purchase mortgage pool securities, even though no cash will be involved in the transaction. Do not include resale agreements accounted for as financings.

UNDISBURSED BALANCE OF LOANS CLOSED (LOANS-IN-PROCESS EXCLUDING LINES OF CREDIT)

Report loan distributions on loans closed, but not disbursed.

Include:

All undisbursed amounts relating to construction loans reported on SC230, SC235, and SC240.
Loans disbursed according to a specified schedule or upon completion of specified terms.
Loans awaiting completion of certain contractual terms prior to disbursal.
Loans where you have executed the documents but have not yet disbursed loan proceeds.

Do not include:

The undisbursed portion of open-ended lines of credit, including home equity loans.
Borrower’s advances or deposits that are reported on SC710, Deposits, or SC783, Escrows.

CC105: Mortgage Construction Loans

Report undisbursed amounts (loans-in-process) on mortgage construction loans of the types reported on SC230 through SC240.

CC115: Other Mortgage Loans

Report the undisbursed balance of closed-end permanent mortgage loans of the types reported on SC254 through SC265.

CC125: Nonmortgage Loans

Report the undisbursed balance of closed-end nonmortgage loans of the types reported on SC300 through SC330.

TO ORIGINATE MORTGAGES SECURED BY

Report outstanding commitments made to builders, owners, or purchasers of real estate to originate mortgage loans that will close in your name, classified by the type of property securing the loan.

CC280: 1-4 Dwelling Units

Report outstanding commitments to originate mortgage loans secured by 1-4 dwelling units. Include the full amount committed for revolving lines of credit not yet closed that will be secured by 1-4 dwelling units. Once the revolving line of credit has closed, report the unused line on CC412.

CC290: Multifamily (5 or More) Dwelling Units

Report outstanding commitments to originate mortgage loans secured by multifamily (5 or more) dwelling units. Include unused lines of credit committed for revolving lines of credit secured by permanent mortgages on multifamily (5 or more) dwelling units.

CC300: All Other Real Estate

Report outstanding commitments to originate mortgage loans on nonresidential property and land. Include unused lines of credit committed for revolving lines of credit secured by permanent mortgages on nonresidential property.

CC310: TO ORIGINATE NONMORTGAGE LOANS

Report outstanding commitments to originate nonmortgage loans that will close in your name.

CC320: TO PURCHASE LOANS

Report outstanding commitments to purchase whole mortgage and nonmortgage loans and participating interests.

CC330: TO SELL LOANS

Report outstanding commitments to sell whole mortgage and nonmortgage loans and participating interests.

TO PURCHASE OR SELL MORTGAGE-BACKED SECURITIES AND INVESTMENT SECURITIES

Report all commitments to purchase mortgage-backed securities and investment securities whether or not they are accounted for under SFAS Statement No. 133 (e.g., when-issued, regular-way trades, or normal purchases and sales) on the appropriate line: CC335, CC355, CC365, or CC375. Report commitments to purchase and sell when-issued securities that are accounted for as derivatives under SFAS Statement No. 133 on a gross basis (except you may net purchases and sales of the identical security with the same party). For example, report a GSE To-Be-Announced (TBA) mortgage-backed security where there is expectation of physical delivery upon issuance of the security (regular-way trade) on CC335. Similarly, report a GSE TBA where there is no expectation of delivery, and therefore, accounted for under SFAS Statement No. 133 as a forward contract, also on CC335.

CC335: TO PURCHASE MORTGAGE-BACKED SECURITIES

Report outstanding commitments to purchase mortgage-backed securities of the types included on SC210 through SC222.

CC355: TO SELL MORTGAGE-BACKED SECURITIES

Report outstanding commitments to sell mortgage-backed securities of the types included on SC210 through SC222.

CC365: TO PURCHASE INVESTMENT SECURITIES

Report outstanding commitments to purchase investment securities of the types reported on SC130 through SC185.

CC375: TO SELL INVESTMENT SECURITIES

Report outstanding commitments to sell investment securities of the types reported on SC130 through SC185.

LINES AND LETTERS OF CREDIT:

UNUSED LINES OF CREDIT:

Report all unused lines of credit that you issue in connection with credit cards or open-end loans. Unused lines of credit are defined as the difference between the amount authorized by contract and the actual amount outstanding at quarter-end.

Do not include loans-in-process on constructions loans; report construction LIP on CC105.

CC412: Revolving Open-End Loans On 1-4 Dwelling Units

Report unused lines of credit on mortgage loans on 1-4 dwelling units for revolving, open-end loans (home equity lines of credit) reported on SC251.

CC420: Commercial Lines

Report unused lines of credit on nonmortgage commercial loans reported on SC300, SC303, and SC306.

Open-End Consumer Lines:

CC423: Credit Cards

Report unused lines of credit on consumer credit cards reported on SC328.

CC425: Other

Report unused lines of credit on consumer loans reported on SC330, including credit extended to individuals under prearranged overdraft plans.

LETTERS OF CREDIT

Report the undrawn portion of outstanding letters of credit at the end of the quarter. Do not report any other type of commitment. Report most other types of commitments on CC280 through CC375.

There are two classifications of letters of credit:

A commercial letter of credit is one where the issuer expects to pay drafts or other demands for payment.
A standby letter of credit is one where the issuer stands ready to pay in the unexpected event

that the customer defaults or fails to perform on the underlying contract with the third party. Do not include unused lines of credit.

CC430: Commercial

Report the undrawn portion of commercial letters of credit.

CC435: Standby, Not Included on CC465 or CC468

Report the undrawn portion of all standby letters of credit not included on CC465 or CC468. Include both collateralized and uncollateralized standby letters of credit.

RECOURSE OBLIGATIONS AND DIRECT CREDIT SUBSTITUTES

If you have recourse obligations, residual interests, credit-enhancing interest-only strips, subordinated securities, or direct credit substitutes, you should use the lines below to report these interests and the amount of assets that they enhance.

You may find it helpful to review the definitions in 12 CFR 567.1. While that section does not include a specific definition for subordinated securities, in context you should consider subordinated securities as a type of direct credit substitute.

You also use these lines to report exposures arising through a nonsecurity financial instrument under FASB Statement No. 140.

CC455: TOTAL PRINCIPAL AMOUNT OF ALL ASSETS COVERED BY RECOURSE OBLIGATIONS OR DIRECT CREDIT SUBSTITUTES

Report the outstanding principal balance of assets you enhance, fully or partially, by recourse obligations, credit-enhancing interest-only strips, residual interests, subordinated securities, or direct credit substitutes.

Include:

The full amount of assets enhanced by your recourse obligations, requiring you to absorb credit
losses on assets held by a third party.
Example: If you sell $1000 in loans, and agree to absorb the first 10% of losses, you report
$1000 on this line, and $100 on line CC468.

The full amount of assets enhanced by your residual interests.
Example: If you create and securitize a $1000 pool of loans and you sell $900 and retain a “first loss” residual interest of $100, you report $1,000 on this line and $100 on line CC468.

The full amount of assets enhanced by your subordinated securities: Example: If you buy a subordinated security in a senior/subordinated structure, the total structure
is $1,000, and your subordinated security is $200, you report $1,000 on this line and $200 on line CC465.

The full amount of assets enhanced by your letters of credit, or other direct credit substitutes,
both collateralized and uncollateralized, to cover credit obligations of another party.
Example: If you provide a simple line of credit of $100 to another party, you report $100 on this
line, and $100 on line CC465.
Example: If you provide a line of credit of $100 to another party that is available to enhance the
other party’s “first loss” or otherwise subordinate obligation on a $1,000 loan pool, you report
$1000 on this line and $100 on line CC465.

Assets covered by recourse obligations even if the obligation is limited to 120 days or less.

Do not Include:

Positions subordinate to your own. Example: If you have retained a $100 mezzanine “second loss” security in a $1000 pool of assets that you have securitized or purchased and you have sold the $100 first loss security (subordinate to your security) and the $800 security (senior to your security), you report $900 on this line and $100 on line CC468.

CC465: AMOUNT OF DIRECT CREDIT SUBSTITUTES ON ASSETS IN CC455

Include the amount of direct credit substitutes, including purchased credit-enhancing interest-only strips, purchased subordinated securities, and other similar exposures that you have purchased from another party.

Report the face amount of the exposure, residual, or security that you have purchased from another party, or the face amount of a letter of credit that you supply to another party. Refer to the examples in item 4, CC455 above.

CC468: AMOUNT OF RECOURSE OBLIGATIONS ON ASSETS IN CC455

Include the amount of recourse obligations, residuals, credit-enhancing interest-only strips, and subordinated securities that arise from your own securitization activities.

Report the face amount of the exposure, residual, or security that arises from your own securitization activities. Include letters of credit issued on behalf of affiliates or on behalf of any securitization trust that you have created. Refer to the examples under CC455 above.

CC480: OTHER CONTINGENT LIABILITIES

Report all contingent liabilities that you do not report elsewhere in this schedule or in Schedule SC.

CC490: CONTINGENT ASSETS

Report all contingent assets not reported elsewhere in this schedule or Schedule SC.

SCHEDULE CF — CONSOLIDATED CASH FLOW INFORMATION

GENERAL INSTRUCTIONS

You should report on this schedule only the activity of you and your consolidated subsidiaries. Do not include activity of your holding company, affiliates, or unconsolidated subsidiaries. Do not report as new activity the following: bulk sales and purchases of loans and deposits, branch purchases and sales, and assets and deposits acquired through a merger. In the case of a merger of depository institutions, you should report activity for all institutions involved in the merger for the entire quarter. If you have been acquired by a holding company where you used pushdown accounting, you should report your activity for the entire quarter regardless of the date of acquisition.

MORTGAGE-BACKED SECURITIES

Report purchases and sales of securities included on SC210 through SC222, including those that you purchased and sold during the same quarter.

PASS-THROUGH:

CF143: Purchases

Report the purchase price of mortgage-backed securities reported on SC210 and SC215 that you purchased during the quarter.

CF145: Sales

Report the carrying value of mortgage pool securities reported on SC210 and SC215 that you sold during the quarter.

CF148: Other Balance Changes

Report other balance changes of mortgage pool securities reported on SC210 and SC215. Include cash repayments of principal, adjustments pursuant to FASB Statements 115 and 133, and amortization of discounts and premiums. Report as negative amounts decreases in the security balance, and as positive amounts, increases in the security balance.

OTHER MORTGAGE-BACKED SECURITIES:

CF153: Purchases

Report the purchase price of mortgage-backed securities reported on SC217 through SC222 that you purchased during the quarter.

CF155: Sales

Report the carrying value of mortgage-backed securities reported on SC217 through SC222 that you sold during the quarter.

CF158: Other Balance Changes

Report other balance changes of mortgage-backed securities reported on SC217 through SC222. Include cash repayments of principal, adjustments pursuant to FASB Statements No. 115 and No. 133, and amortization of discounts and premiums. Report as negative amounts decreases in the security balance, and as positive amounts, increases in the security balance.

MORTGAGE LOANS

MORTGAGE LOANS DISBURSED:

Report the amount disbursed for mortgage loans during the quarter. Note that you report all amounts net of loans-in-process, LIP. Report additional disbursements in the quarter in which you make them.

Include:

All loans closed in your name. Report all loans closed, even if a third party funds the loans or you immediately transfer the loans to a third party. Include loans whether or not you, an affiliate, or another entity performs the actual closing. Do not report subsequent transfers to you from the closing entity as purchases. This is because you already reported the loans as your originations.

Increases in loan balances of existing loans such as the following:

Disbursement of LIP.
Disbursement of a previously closed but undisbursed mortgage.
Negative amortizations.
Additional disbursements of home equity loans.
The amount disbursed for refinanced loans.

Combination construction-permanent loans both when the construction loan closes and when the loan converts to permanent financing, even if you disburse no new funds.
All loans meeting the above definitions, even if you immediately securitize or sell the loans. Also report these loans on CF310 through CF330.

Do not include:

Loans closed in the name of an affiliated unconsolidated entity. If you subsequently acquire mortgages closed in the name of an affiliated unconsolidated entity, you should report the acquisition as a purchase on CF280 through CF300.
The undisbursed portion of construction and open-end home equity loans. Report as
contingencies on Schedule CC.
Mortgages closed by brokers under warehouse lines of credit where you closed the loans, but disbursed no money. Report only as you disburse funds as described in item 2 under Include above.

Construction Loans On:

CF190: 1-4 Dwelling Units

Report the amount of construction loans disbursed during the quarter of the type on SC230, Construction Loans on 1-4 Dwelling Units.

Do not include:

Construction loans secured by condominium projects. Report on CF200.

CF200: Multifamily (5 or More) Dwelling Units

Report the amount of construction loans disbursed during the quarter of the type on SC235, Construction Loans on 5 or More Dwelling Units.

Include:

Construction loans secured by apartment buildings including condominium and timeshare projects.

CF210: Nonresidential

Report the amount of construction loans disbursed during the quarter of the type on SC240, Construction Loans on Nonresidential Property.

Permanent Loans On:

When a single loan provides permanent financing for more than one type of property, you should report the entire loan in the data field describing the type of property representing the largest use of loan proceeds.

CF225: 1-4 Dwelling Units

Report the amount of mortgage loans disbursed during the quarter of the type reported on SC251, SC254, and SC255. Include the amounts disbursed for open-end home equity loans, revolving, open-end loans secured by 1-4 dwelling units and extended under lines of credit.

CF226: Home Equity and Junior Liens

Report the amount of mortgage loans disbursed during the quarter included under CF225 that are of the type reported on SC251 and SC255.

CF245: Multifamily (5 or More) Dwelling Units

Report the amount of mortgage loans disbursed during the quarter of the type reported on SC256, permanent mortgages on multifamily residential property.

CF260: Nonresidential (Except Land)

Report the amount of mortgage loans disbursed during the quarter of the type on SC260, Permanent Mortgages on Nonresidential Property (Except Land).

CF270: Land

Report the amount of mortgage loans disbursed during the quarter of the type on SC265, Permanent Mortgages on Land.

Include:

Developed building lots.
Land in the acquisition or development stage such as loans for making improvements required to convert to developed building lots.
Unimproved land.

Do not include:

Land used for farming. Report on CF260.
Combination land and construction loans. Report on CF190 through CF210.

LOANS AND PARTICIPATIONS PURCHASED, SECURED BY:

Include:

The purchase price of mortgage loans and participations purchased from other entities after adjusting for discounts, premiums, and LIP.

Do not include:

Transfers from an unconsolidated affiliate where you closed the loans in your name. Report as mortgage loans disbursed when originated.
Acquisitions of mortgage-backed securities. Report on CF143 and CF153.

CF280: 1-4 Dwelling Units

Report loans and participations purchased during the quarter of the types on SC230, Construction Loans on: 1-4 Dwelling Units, and SC251 through SC255, Permanent Mortgages on 1-4 Dwelling Units.

CF281: 1-4 Dwelling Units Purchased From Entities Other Than Federally-Insured Depository Institutions or Their Subsidiaries

Report loans and participations included in CF280 that were purchased from entities other than federally-insured depository institutions or their subsidiaries during the quarter that are included under CF280 and of the types on SC230, Construction Loans on: 1-4 Dwelling Units, and SC251 through SC255, Permanent Mortgages on 1-4 Dwelling Units.

CF282: Home Equity and Junior Liens

Report loans and participations included in CF280 that are of the type reported on SC251 and SC255.

CF290: Multifamily (5 or More) Dwelling Units

Report loans and participations purchased during the quarter of the types on SC235, Construction Loans on 5 or More Dwelling Units, and SC256, Permanent Mortgages on 5 or More Dwelling Units.

CF300: Nonresidential

Report loans and participations purchased during the quarter of the types on SC240, Construction Loans on Nonresidential Property, SC260, Permanent Mortgages on Nonresidential Property (Except Land), and SC265, Permanent Mortgages on Land.

LOANS AND PARTICIPATIONS SOLD, SECURED BY:

Include:

The carrying value of mortgage loans and participations sold to other entities or otherwise disposed of.
Securitized loans, both those sold and those you retain in your security portfolio. If you retain a portion of a loan securitization, report that portion as an acquisition on CF143 or CF153.

CF310: 1-4 Dwelling Units

Report loans and participations sold during the quarter of the types on SC230, Construction Loans on 1-4 Dwelling Units, and SC251 through SC255, Permanent Mortgages on 1-4 Dwelling Units.

CF311: Home Equity and Junior Liens

Report loans and participations included under CF310 that are of the type reported on SC251 and SC255.

CF320: Multifamily (5 or More) Dwelling Units

Report loans and participations sold during the quarter of the types on SC235, Construction Loans on 5 or More Dwelling Units, and SC256, Permanent Mortgages on 5 or More Dwelling Units.

CF330: Nonresidential

Report loans and participations sold during the quarter of the types on SC240, Construction Loans on Nonresidential Property; SC260, Permanent Mortgages on Nonresidential Property (Except Land); and SC265, Permanent Mortgages on Land.

CF361: MEMO: REFINANCING LOANS

Report the gross amount of refinanced or restructured mortgage loans during the quarter.

Include:

Both refinanced loans that you reported on CF190 through CF270 where the reporting institution held the original mortgage and refinanced loans where another institution held the original mortgage.
Any loan where the terms of the loan (principal, rate, or maturity) are modified, including TDRs.
The full amount of the new refinanced loan even though you report only the new amount disbursed on CF190 through C270.
All loans refinanced this quarter, even if you disbursed no new funds; these loans will not be reported on CF190 through CF270.

NONMORTGAGE LOANS:

Report the amount disbursed for commercial and consumer nonmortgage loans and financing leases. Include both loans originated by you and loans you purchased.

Include:

Disbursements made during the quarter on lines of credit.
Disbursements of LIP.
Disbursements made on loans even if the loans paid off or you sold them during the same quarter

– line-of-credit transactions and loans originated for sale.

Refer to the general instructions at the beginning of this schedule for reporting when there is a merger or bulk acquisition.

COMMERCIAL:

CF390: Closed or Purchased

Report disbursements of loans and financing leases that you originated or purchased during the quarter of the types on SC300 through SC306, Commercial Loans.

CF395: Sales

Report the carrying value of nonmortgage commercial loans you sold or otherwise disposed of during the quarter. Include commercial loans that you securitized, including both those securities sold and those retained in your portfolio.

CONSUMER:

CF400: Closed or Purchased

Report disbursements of loans and financing leases that you originated or purchased during the quarter of the types on SC310 through SC330, Consumer Loans.

CF405: Sales

Report the carrying value of nonmortgage consumer loans sold or otherwise disposed of during the quarter. Include consumer loans that have been securitized, including both those securities sold and those retained in your portfolio.

DEPOSITS

CF430: INTEREST CREDITED TO DEPOSITS

Report amount of interest and dividends credited during the quarter to accounts on SC710, Deposits.

In the case of a merger, include the following:

Merger with a savings association regulated by the OTS:

Report your combined interest credited and any from a savings association that you merged with for the full quarter, regardless of whether you used the purchase or pooling method of accounting. This should reflect the entire quarter’s interest credited regardless of the merger date.

Merger with depository institution not previously regulated by the OTS:

Do not report the interest credited by the acquired non-OTS depository institution before the merger date. After the merger date, report your interest credited combined with the merged institution.

Do not include:

Interest paid out in cash.
Accrued interest reported on SC763, Accrued Interest Payable – Deposits.

THIS PAGE INTENTIONALLY LEFT BLANK

SCHEDULE DI —CONSOLIDATED DEPOSIT INFORMATION

Throughout these instructions, you and your refers to the savings association and its consolidated subsidiaries; we and our refers to the Office of Thrift Supervision.

DEPOSIT DATA:

TOTAL BROKER-ORIGINATED DEPOSITS:

DI100: Fully Insured

Report brokered deposits included on SC710, Deposits, and SC712, Escrows, and received from brokers, dealers, or agents, for the account of others where the individual account balance is equal to or less than the account insurance limit.

DI110: Other

Report brokered deposits included on SC710, Deposits, and SC712, Escrows, received from brokers, dealers, or agents, for the account of others where the individual account exceeds the account insurance limit. Report the full amount of the deposit, both insured and uninsured portions.

Based on the FDIC definition of deposits in Section 3(l), each institution must complete lines DI120 through DI185, DI210, DI510, DI520, and DI530 on an unconsolidated single FDIC certificate number basis. Each separately chartered depository institution that is insured by the FDIC has a unique FDIC certificate number. When an insured institution owns another depository institution as a subsidiary, each institution should report only its own deposit liabilities in this section (i.e., the parent institution should not combine the subsidiary institution’s deposit liabilities with its own in this section). Each of the above referenced lines should also include accrued interest that is reported on SC763 and exclude unposted debits and unposted credits.

The sum of DI120, DI130, DI170, and DI175 must equal the institution’s assessable deposits, i.e. line DI510, less DI520.

DEPOSITS (EXCLUDING RETIREMENT ACCOUNTS) WITH BALANCES:

DI120: $100,000 or Less

Report deposits (excluding retirement accounts) included on SC710, Deposits, and SC712, Escrows, and SC763, Accrued Interest Payable-Deposits, with current balances of $100,000 or less. Include broker-originated deposits (excluding retirement accounts) where the current balances of the investors’ participating shares are $100,000 or less.

DI130: Greater than $100,000

Report deposits (excluding retirement accounts) included on SC710, Deposits, and SC712, Escrows, and SC763, Accrued Interest Payable-Deposits, with current balances greater than $100,000. Include broker-originated deposits (excluding retirement accounts) where the current balances of the investors’ participating shares exceed $100,000.

NUMBER OF DEPOSIT ACCOUNTS (EXCLUDING RETIREMENT ACCOUNTS) WITH BALANCES:

DI150: $100,000 or Less

Report the actual number of accounts (excluding retirement accounts) that have outstanding balances including accrued interest of $100,000 or less. Do not report the outstanding balances. Report each investor participation in a broker-originated deposit (excluding retirement accounts) as a separate account. Report the actual number; do not round to thousands.

The sum of DI150, DI160, DI180, and DI185 must equal the total number of deposit accounts that you hold and that you report on SC710, Deposits, and SC712, Escrows.

DI160: Greater than $100,000

Report the actual number of accounts (excluding retirement accounts) that have outstanding balances including accrued interest greater than $100,000. Do not report the outstanding balances. Report each investor participation in a broker-originated deposit as a separate account. Report the actual number; do not round to thousands.

The sum of DI150, DI160, DI180, and DI185 must equal the total number of deposit accounts that you hold and that you report on SC710, Deposits, and SC712, Escrows.

RETIREMENT DEPOSITS WITH BALANCES:

DI170: $250,000 or Less

Report retirement deposits included on SC710, Deposits, and SC712, Escrows, and SC763, Accrued Interest Payable-Deposits, with current balances of $250,000 or less. Include broker-originated deposits where the current balances of the investors’ participating shares are $250,000 or less.

DI175: Greater than $250,000

Report retirement deposits included on SC710, Deposits, and SC712, Escrows, and SC763, Accrued Interest Payable-Deposits, with current balances greater than $250,000. Include broker-originated deposits where the current balances of the investors’ participating shares exceed $250,000.

NUMBER OF RETIREMENT DEPOSIT ACCOUNTS WITH BALANCES:

DI180: $250,000 or Less

Report the actual number of retirement accounts that have outstanding balances including accrued interest of $250,000 or less. Do not report the outstanding balances. Report each investor participation in a broker-originated retirement deposit as a separate account. Report the actual number; do not round to thousands.

The sum of DI150, DI160, DI180, and DI185 must equal the total number of deposit accounts that you hold and that you report on SC710, Deposits, and SC712, Escrows.

DI185: Greater than $250,000

Report the actual number of retirement accounts that have outstanding balances including accrued interest greater than $250,000. Do not report the outstanding balances. Report each investor participation in a broker-originated retirement deposit as a separate account. Report the actual number; do not round to thousands.

The sum of DI150, DI160, DI180, and DI185 must equal the total number of deposit accounts that you hold and that you report on SC710, Deposits, and SC712, Escrows.

DI200: IRA/KEOGH ACCOUNTS

Report IRA and Keogh accounts included in SC710, Deposits, and SC712, Escrows.

Include other retirement accounts such as SEP accounts.

Do not include:

401(k) accounts.
Accounts that, under applicable tax laws, are predominantly for uses other than retirement.

DI210: UNINSURED DEPOSITS

Institutions with less than $1 billion in total assets are not required to complete this item. Institutions with $1 billion or more in total assets are required to report these data on a unconsolidated single FDIC certificate number basis. To determine whether to complete this item, use your institution's total assets from line SC60 as of the June 30 TFR prior to or current with the current reporting cycle. Once an institution passes the $1 billion total assets threshold, it must continue to report its estimated uninsured deposits regardless of subsequent changes in its total assets. Report the uninsured portion of all deposits and escrows in excess of insured limits pursuant to Section 141 of the FDIC Improvement Act, FDICIA.

You may not be able to precisely determine the amount of uninsured deposits due to the lack of information about interests by other parties in certain deposit accounts. However, you should diligently seek the best estimate of your uninsured deposits. You should derive the estimate from your existing information systems or personal knowledge of your depositor base.

The estimated amount of uninsured deposits reported in this item should be based on the institution’s deposits included in Schedule DI, line DI510, “Total deposit liabilities before exclusions (gross) as defined in Section 3(1) of the Federal Deposit Insurance Act and FDIC regulations,” less line DI520, “Total allowable exclusions (including foreign deposits)”. In addition to the uninsured portion of deposits in “domestic offices” reported in Schedule SC, line SC71, the estimate of uninsured deposits should take into account all other items included in Schedule DI, line DI510 less line DI520, including, but not limited to:

Interest accrued and unpaid on deposits in domestic offices;
Deposits in insured branches in Puerto Rico and U.S. territories and possessions (including interest accrued and unpaid on these deposits);
Deposits on consolidated subsidiaries in domestic offices and in insured branches in Puerto Rico and U.S. territories and possessions (including interest accrued and unpaid on these deposits); and
Deposit liabilities that have been reduced by assets netted against these liabilities in accordance with generally accepted accounting principles.

DI220: PREFERRED DEPOSITS

Report all deposits and escrows from states and political subdivisions in the U.S. included in SC710, Deposits, secured or collateralized as required under state law, pursuant to Section 141 of FDICIA.

Do not include:

Deposits of the U.S. Government secured or collateralized as required under federal law.
Deposits of trust funds secured or collateralized as required under state law unless the

beneficiary is a state or political subdivision in the U.S. State law may require you to pledge securities or other readily marketable assets to cover the uninsured portion of the deposits of a state or political subdivision. If you pledge securities with a value that exceeds the amount of the uninsured portion of the state or political subdivision’s deposits, report only the uninsured amount and none of the insured portion of the deposits as a preferred deposit.

For example, you hold a political subdivision’s $350,000 in deposits. Under state law, you must pledge securities to cover only the uninsured portion of such deposits, or $250,000. Although you have pledged securities with a value of $300,000 to secure these deposits, consider only $250,000 of the political subdivision’s $350,000 in deposits – the uninsured amount – as preferred deposits.

In other states, you must participate in a state public deposits program to receive deposits from the state or from political subdivisions within the state in amounts exceeding federal deposit insurance. Under state law, you calculate annually the value of the securities you must pledge to the state, but this represents only a percentage of the uninsured portion of your public deposits. State law may require you to participate in the state program that may ultimately require you to share in any loss to public depositors incurred in the failure of another participating institution.

As long as the value of the securities pledged to the state exceeds the calculated requirement, you protect all of your uninsured public deposits from loss under the operation of the state program if you fail. Therefore, consider all of the uninsured public deposits preferred deposits.

For example, you are participating in a state public deposits program with $1,000,000 in public deposits under the program and $700,000 of this amount is uninsured; you pledge securities with an actual value of $800,000. You should report the $700,000 in uninsured public deposits as preferred deposits.

COMPONENTS OF DEPOSITS AND ESCROWS:

The sum of DI310, DI320, DI330, and DI340 must equal SC710 plus SC712.

DI310: Transaction Accounts (Including Demand Deposits)

Report the balance of all transaction accounts included in SC710, Deposits, and SC712, Escrows.

Transaction accounts are those deposit and escrow accounts from which the depositor is permitted to make:

Transfers or withdrawals by negotiable or transferable instruments.
Payment orders of withdrawal, telephone transfers, or other similar devices for purpose of making payments or transfers to third persons or others.
Third party payments at an automated teller machine (ATM), a remote service unit (RSU), or other electronic device, including by debit card.

Transaction accounts include demand deposits, NOW (negotiable order of withdrawal) accounts, ATS (automatic transfer service) accounts, and telephone and preauthorized transfer accounts. These accounts may be interest-bearing or non-interest-bearing.

Exclude money market deposit accounts (MMDAs) and other savings deposits as defined below in DI320 and DI330, even though such deposits permit some third-party transfers. However, report as a transaction account an account that otherwise meets the definition of a savings deposit but that authorizes or permits the depositor to exceed the transfer limitations specified for that account.

DI310 plus DI320 plus DI330 plus DI340 must equal SC710 plus SC712.

DI320: Money Market Deposit Accounts

Report the balance of money market deposit accounts (MMDAs) as defined in 12 CFR §561.28 or applicable state law.

MMDAs generally have the following requirements:

The savings association reserves the right to require at least seven days’ notice prior to
withdrawal or transfer of funds in the account.
The depositor may make no more than six transfers per calendar month or statement cycle, provided that no more than three of the six transfers may be by check, draft, debit card, or similar order.

Refer to 12 CFR §561.28 for more detailed requirements of MMDAs.

DI330: Passbook Accounts (Including Nondemand Escrows)

Report the balance of nontransactional savings accounts that are not MMDAs or time deposits.

DI340: Time Deposits

Report the balance of time deposits. Time deposits are nontransactional savings deposits payable at a specified future date with earnings at a specified rate of interest. The interest specified may adjust periodically according to a predetermined formula or index or may be fixed for the term of the deposit. The specified maturity date must be not less than seven days after the date of the deposit. Time deposits may be an open savings deposit or may be evidenced by a negotiable or nonnegotiable instrument or receipt commonly known as a certificate of deposit (CD). Open time deposits include club accounts, such as Christmas club and vacation club accounts, are made under written contracts that provide that no withdrawal may be made until the customer makes a certain number of periodic deposits or a certain period of time has elapsed.

Time deposits issued to deposit brokers in the form of large ($100,000 or more) certificates of deposit that have been participated out by the broker in shares of less than $100,000 should also be reported as deposits of $100,000 or less.

Data reported in lines DI350 and DI360 are used by the Federal Reserve to ensure accurate construction of the monetary aggregates for monetary policy purposes.

DI350: Time Deposits of $100,000 or Greater (Excluding Brokered

Time Deposits Participated Out by the Broker in Shares of

Less Than $100,000 and Brokered Certificates of Deposit

Issued In $1,000 Amounts Under a Master Certificate of

Deposit)

Report the balance of time deposits of $100,000 or greater. Do not include brokered time deposits participated out by the broker in shares of less than $100,000 and brokered certificates of deposit issued in $1,000 amounts under a master certificate of deposit.

DI360: IRA/Keogh Accounts of $100,000 or Greater Included in Time Deposits

Report the balance of IRA / Keogh accounts of $100,000 or greater included in time deposits.

DI610: NON-INTEREST-BEARING DEMAND DEPOSITS

Report all demand deposits reported on SC710, Deposits, and SC712, Escrows. FDIC Regulations 12 CFR § 329.1, 329.101, and 329.102 define the demand deposits to report on this line.

A demand deposit is a non-interest-bearing deposit with the following characteristics:

Is payable immediately on demand.
Is issued with an original maturity or required notice period of less than seven days.
Where the depository institution does not reserve the right to require at least seven days’ written notice of an intended withdrawal.

Demand deposits include:

Matured time deposits that do not have automatic renewal provisions, unless the deposit
agreement provides for the transfer of funds at maturity to another type of account.
Escrow accounts reported on SC712 that meet the definition of demand deposits.
Outstanding checks drawn against zero-balance accounts reported on SC710, including those at Federal Home Loan Banks.

Demand deposits do not include:

Money market deposit accounts, MMDAs.
NOW accounts not meeting the three criteria listed above for demand deposits.
Deposits held either in branches outside of the territories and possessions of the U.S. or by an Edge or Agreement Subsidiary or by an International Banking Facility (IBF).
Amounts not included in SC710 or SC712, such as outstanding checks drawn against Federal Home Loan Banks.

DEPOSIT DATA FOR DEPOSIT INSURANCE PREMIUM ASSESSMENTS

GENERAL INSTRUCTIONS

Each institution must complete lines DI510, DI520, and DI530 on an unconsolidated single FDIC certificate number basis. Each separately chartered depository institution that is insured by the FDIC has a unique FDIC certificate number. When an insured institution owns another depository institution as a subsidiary, each institution should report only its own deposit liabilities in this section (i.e., the parent institution should not combine the subsidiary institution’s deposit liabilities with its own in this section).

In addition, an institution that meets one of the criteria discussed below must complete lines DI540, DI550, and DI560 on an unconsolidated single FDIC certificate number basis each quarter.

Effective March 31, 2008, an institution that (a) reported $1 billion or more in total assets as of the March 31, 2007, report date (regardless of its asset size in subsequent quarters) or (b) became insured by the FDIC on or after April 1, 2007, but before January 1, 2008, must report both quarter-end balances and daily averages for the quarter in this section of Schedule DI. In addition, an institution that meets one of the following criteria must report both quarter-end deposit totals and daily averages in Schedule DI:

If an institution reports $1 billion or more in total assets in two consecutive Thrift Financial Reports subsequent to its March 31, 2007, report, the institution must begin reporting both quarter-end balances and daily averages for the quarter beginning on the later of the March 31, 2008, report date or the report date six months after the second consecutive quarter in which it reports total assets of $1 billion or more. For example, if an institution reports $1 billion or more in total assets in its reports for June 30 and September 30, 2007, it would have to begin reporting daily averages in its report for March 31, 2008. If the institution reports $1 billion or more in total assets in its reports for December 31, 2008, and March 31, 2009, it would have to begin reporting daily averages in its report for September 30, 2009.
If an institution becomes newly insured by the FDIC on or after January 1, 2008, the institution must report daily averages in Schedule DI beginning in the first quarterly Thrift Financial Report that it files. The daily averages reported in the first report the institution files after becoming FDIC-insured would include the dollar amounts for the days since the institution began operations and zero for the days prior to the date the institution began operations, effectively pro-rating the first quarter’s assessment base.

Any institution that reports less than $1 billion in total assets in its March 31, 2007, report may continue to report only quarter-end total deposits and allowable exclusions until it meets the two-consecutive-quarter asset size test for reporting daily averages. Alternatively, the institution may opt permanently at any time to begin reporting daily averages for purposes of determining its assessment base. After an institution begins to report daily averages for its total deposits and allowable exclusions, either voluntarily or because it is required to do so, the institution is not permitted to switch back to reporting only quarter-end balances.

The amounts to be reported as daily averages are the sum of the gross amounts of total deposits (domestic and foreign) and allowable exclusions for each calendar day during the quarter divided by the number of calendar days in the quarter (except as noted above for an institution that becomes insured on or after January 1, 2008, in the first report it files after becoming insured). For days that an office of the reporting institution (or any of its subsidiaries or branches) is closed (e.g., Saturdays, Sundays, or holidays), the amounts outstanding from the previous business day would be used. An office is considered closed if there are no transactions posted to the general ledger as of that date.

DI510: TOTAL DEPOSIT LIABILITIES BEFORE EXCLUSIONS

(GROSS) AS DEFINED IN SECTION 3(L) OF THE FEDERAL

DEPOSIT INSURANCE ACT AND FDIC REGULATIONS

Report on an unconsolidated single FDIC certificate number basis the gross total deposit liabilities as of the calendar quarter-end report date that meet the statutory definition of deposits in Section 3(l) of the Federal Deposit Insurance Act before deducting exclusions from total deposits that are allowed in the determination of the assessment base upon which deposit insurance assessments (and FICO premiums) are calculated. Since the FDIC’s amendments to its assessment regulations in 2006 did not substantially change the definition of deposits for assessment purposes, an institution’s gross total deposit liabilities are the combination of all deposits reported in line SC710 (excluding unposted credits net of unposted debits), all escrows reported in line SC712, and accrued interest payable on deposits reported in line SC763.

An institution’s documentation to support the amounts reported for purposes of determining its assessment base has always been, and continues to be, subject to verification. This documentation includes the actual system control summaries in the institution’s systems that provide the detail sufficient to track, control, and handle inquiries from depositors about their specific individual accounts. These systems can be automated or manual. If the system control summaries have been reduced by accounts that are overdrawn, these overdrawn accounts are extensions of credit that must be treated and reported as "loans" rather than being treated as negative deposit balances.

Unposted debits and unposted credits should not be included in an institution’s system control summaries. However, if they are included in the gross total deposit liabilities reported in this line, they may be excluded in line DI520 below.

DI520: TOTAL ALLOWABLE EXCLUSIONS (INCLUDING FOREIGN DEPOSITS)

Report, on an unconsolidated single FDIC certificate number basis, the total amount of allowable exclusions from deposits as of the calendar quarter-end report date if the institution maintains such records as will readily permit verification of the correctness of its reporting of exclusions. Any accrued and unpaid interest on the allowable exclusions listed below should also be reported in this item as an allowable exclusion.

The allowable exclusions include:

1. Foreign Deposits: As defined in Section 3(l)(5) of the Federal Deposit Insurance Act, foreign deposits include

(B): any international banking facility deposit, including an international banking facility time deposit, as such term is from time to time defined by the Board of Governors of the Federal Reserve System in regulation D or any successor regulation issued by the Board of Governors of the Federal Reserve System.

NOTE: Foreign deposits are deposit obligations under the FDIC certificate number of the reporting institution only. Deposit obligations of a subsidiary depository institution chartered in a foreign country should not be included in amounts reported in Schedule DI under the domestic institution’s FDIC certificate number.

Reciprocal balances: Any demand deposit due from or cash item in the process of collection due from any depository institution (not including a foreign bank or foreign office of another U.S. depository institution) up to the total amount of deposit balances due to and cash items in the process of collection due such depository institution.
Drafts drawn on other depository institutions: Any outstanding drafts (including advices and authorization to charge the depository institution’s balance in another bank) drawn in the regular course of business by the reporting depository institution. These types of drafts only apply to unposted debits and unposted credits which have not been extracted from SC710 (due to the institution’s system control Summaries).
Pass-through reserve balances: Reserve balances passed through to the Federal Reserve by the reporting institution that are also reflected as deposit liabilities of the reporting institution. This exclusion is not applicable to an institution that does not act as a correspondent bank in any pass-through reserve balance relationship. A state nonmember bank generally cannot act as a pass-through correspondent unless it maintains an account for its own reserve balances directly with the Federal Reserve.
Depository institution investment contracts: Liabilities arising from depository institution investment contracts that are not treated as insured deposits under section 11(a)(5) of the Federal Deposit Insurance Act (12 U.S.C. 1821(a)(5)). A Depository Institution Investment Contract is a separately negotiated depository agreement between an employee benefit plan and an insured depository institution that guarantees a specified rate for all deposits made over a prescribed period and expressly permits benefit-responsive withdrawals or transfers.
Accumulated deposits: Deposits accumulated for the payment of personal loans that are assigned or pledged to assure payment of the loans at maturity. Deposits that simply serve as collateral for loans are not an allowable exclusion.

DI530: TOTAL FOREIGN DEPOSITS (INCLUDED IN TOTAL ALLOWABLE EXCLUSIONS)

Report on an unconsolidated single FDIC certificate number basis the total amount of foreign deposits (including International Banking Facility deposits) as of the calendar quarter-end report date included in line DI520.

DI540: TOTAL DAILY AVERAGE OF DEPOSIT LIABILITIES BEFORE

EXCLUSIONS (GROSS) AS DEFINED IN SECTION 3(L) OF THE

FEDERAL DEPOSIT INSURANCE ACT AND FDIC

REGULATIONS

Report on an unconsolidated single FDIC certificate number basis the total daily average for the quarter of gross total deposit liabilities that meet the statutory definition of deposits in Section 3(l) of the Federal Deposit Insurance Act before deducting exclusions from total deposits that are allowed in the determination of the assessment base upon which deposit insurance assessments (and FICO premiums) are calculated. For further information on deposit amounts to be calculated, see the instructions for line DI510. For information on calculating the total daily average for the quarter, see the General Instructions for reporting Deposit Data for Deposit Insurance Assessment Purposes above.

DI550: TOTAL DAILY AVERAGE OF ALLOWABLE EXCLUSIONS (INCLUDING FOREIGN DEPOSITS)

Report on an unconsolidated single FDIC certificate number basis the total daily average for the quarter of the total amount of allowable exclusions from deposits (as defined in line DI520) if the institution maintains such records as will readily permit verification of the correctness of its reporting of exclusions.

DI560: TOTAL DAILY AVERAGE OF FOREIGN DEPOSITS

Report on an unconsolidated single FDIC certificate number basis the total daily average for the quarter of the total amount of foreign deposits (including International Banking Facility deposits) included in line DI550.

DEPOSIT DATA FOR THRIFTS PARTICIPATING IN THE TRANSACTION ACCOUNT GUARANTEE PROGRAM COMPONENT OF THE FDIC'S TEMPORARY LIQUIDITY GUARANTEE PROGRAM

The following items are to be reported by insured institutions that are participating in (i.e., have not opted out of) the Transaction Account Guarantee Program component of the FDIC's Temporary Liquidity Guarantee Program (TLGP). Thrifts would report noninterest-bearing transaction accounts (as defined in the FDIC’s Temporary Liquidity Guarantee Program regulations) of more than $250,000. (Do not include custodial or escrow accounts on which "pass-through" coverage applies).

DI570: AMOUNT OF NONINTEREST-BEARING TRANSACTION ACCOUNTS OF MORE THAN $250,000 (INCLUDING BALANCES SWEPT FROM NONINTEREST-BEARING TRANSACTION ACCOUNTS TO NONINTEREST-BEARING SAVINGS ACCOUNTS

DI575: NUMBER OF NONINTEREST-BEARING TRANSACTION ACCOUNTS OF MORE THAN $250,000

THIS PAGE INTENTIONALLY LEFT BLANK

SCHEDULE SI —SUPPLEMENTAL INFORMATION

Throughout these instructions, you and your refers to the savings association and its consolidated subsidiaries; we and our refers to the Office of Thrift Supervision.

MISCELLANEOUS:

SI370: NUMBER OF FULL-TIME EQUIVALENT EMPLOYEES

Report the actual number of full-time equivalent employees employed by you and your consolidated subsidiaries. Report the actual whole number; do not round to thousands.

SI375: FINANCIAL ASSETS HELD FOR TRADING PURPOSES

Financial assets held for trading purposes are defined as securities and other financial assets that are bought and held for the purpose of short term resale or with the intent of benefiting from actual or expected price movements, and carried at fair value with the change in fair value reflected in current earnings. Trading generally reflects active and frequent buying and selling to generate profits in the short-term.

Report financial assets held for trading purposes on this line and also on SI376. Financial assets held for trading purposes reported on this line should include any trading securities accounted for under FASB Statement No. 115 where it is management’s intent to actively buy and sell such securities to generate profits in the short term.

SI376: FINANCIAL ASSETS CARRIED AT FAIR VALUE THROUGH EARNINGS

Report the balance of financial assets carried at fair value where the changes in fair value are reflected in current earnings under FASB Statement No. 115 (for trading securities), No. 133 (for derivatives), No. 155 (for hybrid instruments), and No. 159 (for all other financial assets where the fair value option is elected). Such assets are reported on various lines on Schedule SC and, therefore, the total of all assets reported at fair value is included on SC60. For example, derivative assets are included in SC689.

Include financial assets held for trading purposes on this line. Such assets are also reported on SI375.

Available-for-sale securities are financial assets carried at fair value. However for available-for-sale securities, the changes in fair value are not reflected in current earnings, but rather in other comprehensive income net of any deferred tax impact. Accordingly, do not include the balance of available-for-sale securities on this line. Rather, report such amount on SI385.

Under a “fair value option,” servicing assets may be carried at fair value with the changes in fair value reflected in current earnings. However, servicing assets are not financial assets. Accordingly, do not include the balance of any servicing assets on this line.

SI377: FINANCIAL LIABILITIES CARRIED AT FAIR VALUE THROUGH EARNINGS

Report the balance of financial liabilities carried at fair value where the changes in fair value are reflected in current earnings under FASB Statement No. 133 (for derivatives), No. 155 (for hybrid instruments), and No. 159 (for all other financial liabilities where the fair value option is elected). Such liabilities are reported on various lines on Schedule SC, and therefore the total of all net liabilities reported at fair value is included on SC70. For example, derivative liabilities are included in SC796.

SI385: AVAILABLE-FOR-SALE SECURITIES

Report all investments in debt securities including mortgage securities not classified as held-to-maturity or as trading, and all investments in equity securities that have readily determinable fair values that are accounted for pursuant to FASB Statement No. 115 and are not classified as trading. Do not include equity securities whose sale is restricted by governmental or contractual requirement – for example, FHLB stock. Include amounts reported on SC665, Interest-Only Strip Receivables and Certain Other Instruments, that are not classified as trading pursuant to FASB Statement No. 115.

Report available-for-sale securities at fair value. Exclude unrealized gains and losses from current earnings and report, net of taxes, as a separate component of equity on SC860, Unrealized Gains (Losses) on Available-for-Sale Securities, until realized. In addition, report certain nonsecurity financial instruments, CNFIs, classified as available-for-sale pursuant to FASB Statement No. 115.

Transfer securities from the available-for-sale category to held-to-maturity at fair value as of the date of transfer.

SI387: ASSETS HELD FOR SALE

Report all assets held for sale except securities and repossessed assets. Report assets held for sale at the lower of cost or market, LOCOM. Recognize unrealized losses in current earnings on SO465, Net Income (Loss) from LOCOM Adjustments Made to Assets Held for Sale.

Transfer assets from the ”for sale” category to an investment account at the lower-of-cost-or-market as of the date of transfer.

Include:

Loans and participations originated or purchased by you with the intent to sell.
Assets originally held for investment but now held for sale.
Assets held for sale, including real estate and branch offices, whether or not there is an outstanding commitment to sell.

Do not include:

Securities, report on SI385.
Repossessed assets.

SI390: LOANS SERVICED FOR OTHERS

Report the principal balance of mortgage and nonmortgage whole loans and participating interests in loans serviced by you, but owned by others.

Include:

Loans and securities that you sold to others but for which you perform the servicing.
Loans serviced by you for others, where the loans have been securitized, whether or not you own the securities and whether or not you have reported any servicing assets.
Loans serviced by you for others, where you have transferred the loans to others, but have not reported the transaction as a sale.
Loans and securities serviced by you under a contract to a third party who owns the servicing rights.

Do not include:

Loans and securities where you own the servicing rights and where the servicing has been subcontracted to a third party.
Loans and securities serviced for you by a consolidated subsidiary or a subsidiary depository institution.

RESIDUAL INTERESTS

Residual interests are defined in 12 CFR Part 567.1 as any balance sheet asset that represents an interest, including a beneficial interest, created by a transfer of financial assets that qualifies as a sale under GAAP and that exposes the institution to a credit risk that exceeds a pro rata share of the institution’s claim on the transferred assets. The transfer of assets may be through securitization or otherwise; the credit risk may be directly or indirectly associated with the transferred assets; and the exposure to credit risk may be through either subordination provisions or other credit enhancement techniques.

This definition of residual interests is for regulatory reporting purposes, and, therefore, is not the same as purchased or retained beneficial interests in securitized financial assets, as that term is used in authoritative accounting literature.

Examples of residual interests include, but are not limited to, credit-enhancing interest-only strips defined below, spread accounts, cash collateral accounts, and retained subordinated interests.

You report all residual interests somewhere on Schedule SC, typically on SC182, SC185, SC217 through 222,SC665, or SC689. The total of lines SI402 and SI404 should equal all residual interests, as defined above, that you have included on Schedule SC.

In addition, you should report the appropriate amounts in Schedule CC, on CC455 and CC465 or CC468, related to direct credit substitutes and recourse obligations. Also, as residual interests are subject to specialized regulatory capital treatment pursuant to 12 CFR Parts 567.6 and 567.12, you should report the appropriate amounts in Schedule CCR, on CCR133, CCR270, CCR375, and CCR605.

SI402: RESIDUAL INTERESTS IN THE FORM OF INTEREST-ONLY STRIPS

Report residual interests as defined above in the form of credit-enhancing interest-only strips.

Credit-enhancing interest-only strips are defined in 12 CFR Part 567.1 as any on-balance-sheet asset that, in form or in substance, represents the contractual right to receive some or all of the interest due on transferred assets, and that through subordination provisions or other credit enhancement techniques exposes the institution to credit risks that exceed its pro rata claim on the transferred assets.

Report both retained and purchased credit-enhancing interest-only strips. However, do not include interest-only strips issued by government-sponsored entities or other interest-only strips that do not function in a credit enhancing or otherwise subordinate capacity.

SI404: OTHER RESIDUAL INTERESTS

Report any other residual interests and on-balance-sheet recourse assets that you have not reported on SI402. Include purchased subordinated interests, purchased subordinated securities, and any other type of residual or recourse position that you have purchased from others. Do not include interest-only strips issued by the government or government sponsored enterprises, unless they meet the definition of residual interest in 12 CFR 567.1.

QUALIFIED THRIFT LENDER TEST

SI581, SI582, AND SI583: ACTUAL THRIFT INVESTMENT PERCENTAGE AT MONTH-END

To be a Qualified Thrift Lender, QTL, you must either meet the Home Owners’ Loan Act, HOLA, QTL test or the Internal Revenue Service tax code Domestic Building and Loan Association, DBLA, test.

If you use the HOLA QTL test, report the ATIP from the OTS QTL worksheets, OTS Form 1427, for the three months. If you use the IRS DBLA test, leave lines SI581, 582, and 583 blank, and complete SI585 and SI586.

IRS DOMESTIC BUILDING AND LOAN TEST:

Complete these lines only if you do not use the Home Owners’ Loan Act (HOLA) Qualified Thrift Lender (QTL) test, but instead use the IRS Domestic Building and Loan Association (DBLA) test (IRS regulation 26 CFR § 301.7701-13A) to determine if you are a Qualified Thrift Lender. Refer to Appendix A of the OTS Examination Handbook, Section 270.

SI585: PERCENT OF ASSETS TEST

SI586: DO YOU MEET THE DBLA BUSINESS OPERATIONS TEST?

SI588: AGGREGATE INVESTMENT IN SERVICE CORPORATIONS

Report your aggregate investment in the capital stock, loans and obligations, and other securities of all service corporations, determined in a manner consistent with 12 CFR Part 559.

Loans and obligations include all loans and other debt instruments, and all guarantees or take-out commitments of such loans or debt instruments.

For purposes of this reporting only, the measurement of the investment in capital stock should be based on the cost method, and not the equity method. Under the cost method, your investment in capital stock will include amounts paid to acquire the stock, but will not include accumulated undistributed earnings and losses of the service corporations. As a result, your aggregate investment reported on this line will likely differ from the related amount obtained from your accounting records and from the amount reported on SC540.

EXTENSIONS OF CREDIT BY THE REPORTING ASSOCIATION (AND ITS CONTROLLED SUBSIDIARIES) TO ITS EXECUTIVE OFFICERS, PRINCIPAL SHAREHOLDERS, DIRECTORS, AND THEIR RELATED INTERESTS AS OF THE REPORT DATE

Federal Reserve Regulation O defines the terms used in this item.

An extension of credit is a making or renewal of any loan, a granting of a line of credit, or an extension of credit in any manner whatsoever. Extensions of credit include, among others, loans, prearranged overdrafts, cash items, standby letters of credit, and securities purchased under agreements to resell. For lines of credit, the amount reported as an extension of credit is normally the total amount of the line of credit extended to the insider, not just the current balance of the funds that have been advanced to the insider under the line of credit. See 12 CFR § 215.3, Regulation O.

An executive officer of the reporting savings association is person who participates or has authority to participate, other than as a director, in major policy-making functions of the reporting savings association, an executive officer of the savings association’s holding company, and, unless excluded by the savings association’s board of directors or bylaws, any other subsidiary of that holding company. See 12 CFR § 215.2(e), Regulation O.

A director of the reporting savings association is person who is a director of the savings association, whether or not receiving compensation, a director of the holding company of which the savings association is a subsidiary, and, unless excluded by the savings association’s board of directors or bylaws, a director of any other subsidiary of that holding company. See 12 CFR § 215.2(d), Regulation

A principal shareholder of the reporting savings association is an individual or a company other than an insured depository institution that directly or indirectly, or acting through or in concert with one or more persons, owns controls, or has the power to vote more than 10% of any class of voting stock of the reporting savings association. Regulation O considers shares owned or controlled by a member of an individual’s immediate family to be held by the individual. A principal shareholder includes a principal shareholder of a holding company of which the reporting savings association is a subsidiary and a principal shareholder of any other subsidiary of that holding company. See 12 CFR § 215.11(a)(1), Regulation O.

A related interest is either:

A company, other than an insured depository institution or a foreign bank that is controlled by an executive officer, director, or principal shareholder.
A political or campaign committee that is controlled by or the funds or services of which will benefit an executive officer, director, or principal shareholder. See 12 CFR § 215.11(a)(2), Regulation O.

SI590: AGGREGATE AMOUNT OF ALL EXTENSIONS OF CREDIT

Report the aggregate amount outstanding as of the report date of all extensions of credit by you and your controlled subsidiaries to all of your executive officers, principal shareholders, directors, and their related interests.

Include each extension of credit in the aggregate amount only one time, regardless of the number of borrowers.

SI595: NUMBER OF EXECUTIVE OFFICERS, PRINCIPAL

SHAREHOLDERS, AND DIRECTORS TO WHOM THE AMOUNT

OF ALL EXTENSIONS OF CREDIT (INCLUDING EXTENSIONS

OF CREDIT TO RELATED INTERESTS) EQUALS OR EXCEEDS

THE LESSER OF $500,000 OR FIVE PERCENT OF

UNIMPAIRED CAPITAL AND UNIMPAIRED SURPLUS (CCR30

+ CCR35 + CCR530 + CCR105)

Report the number of your executive officers, principal shareholders, and directors to whom the amount of all extensions of credit outstanding by you and your controlled subsidiaries as of the report date equals or exceeds the lesser of $500,000 or five percent of unimpaired capital and unimpaired surplus. That is, five percent x (CCR30 + CCR35 + CCR530 + CCR105). Report the actual number; do not round to thousands.

For purposes of this item, the amount of all extensions of credit by you and your controlled subsidiaries to an executive officer, principal shareholder, or director includes all extensions of credit by you to the related interests of the executive officer, principal shareholder, or director. A single extension of credit to more than one borrower must be included in full for all extensions of credit for each executive officer, principal shareholder, and director included in the credit. That is, one loan may be included more than once in the calculation of the $500 thousand or 5% of unimpaired capital and unimpaired surplus limit, because it will be included for each executive officer, principal shareholder, and director listed on the loan.

SUMMARY OF CHANGES IN SAVINGS ASSOCIATION EQUITY CAPITAL

SI600: SAVINGS ASSOCIATION EQUITY CAPITAL, BEGINNING BALANCE

The EFS software automatically generates this amount from your prior quarter’s SC80.

Special instructions for mergers and reorganizations:

Purchase Mergers – Report SI680 for the previous quarter for the surviving savings association only.
Change of Control involving pushdown accounting including receiverships – Report SI680 for the previous quarter. Adjustments should be reported on SI660.

SI610: NET INCOME (LOSS) ATTRIBUTABLE TO SAVINGS ASSOCIATION (SO91)

The EFS software automatically generates this amount from SO91.

DIVIDENDS DECLARED:

SI620: Preferred Stock

Report the dollar amount of cash dividends declared during the period on preferred stock. These dividends are not charged to interest expense, but directly reduce retained earnings.

Include:

Dividends declared on preferred stock reported on SC812 and SC814.

SI630: Common Stock

Report the dollar amount of cash dividends declared during the period for common stock reported on SC820. These dividends are not charged to interest expense, but directly reduce retained earnings. Include cash dividends made to holding companies as well as to individual shareholders.

Do not include:

Stock dividends.
Stock splits.
Property dividends. Report on SI670.

SI640: STOCK ISSUED

Report the amount of cumulative and noncumulative perpetual preferred stock and common stock issued during the quarter.

Include:

Perpetual preferred stock, including discounts and premiums, issued by you during the quarter that qualifies as equity under GAAP.
The par value and paid-in-capital received in connection with the stock issue.

Do not include:

The conversion of preferred stock into common stock.
Gains on treasury stock sold. Report on SI670.
Capital contributed not connected with a stock issue. Report on SI670.

When applying push-down accounting, report the amount paid in a change of control for your stock. Report the previously recorded par value and capital in excess of par value on SI650.

SI650: STOCK RETIRED

Report the amount paid for common and perpetual preferred stock retired during the quarter. Report the amount as a positive number.

When applying push-down accounting, report the previously recorded par value and capital paid in excess of par value of the stock acquired by the new owners. The amount paid for this stock is reported on SI640.

SI655: CAPITAL CONTRIBUTIONS (WHERE NO STOCK IS ISSUED)

Report increases during the quarter in SC830, Common Stock: Paid in Excess of Par, that came from stockholders but that did not result from the issuing of stock.

Include the fair value of employee stock options granted as compensation.

Also include as a negative amount property distributions to stockholders. Record the transfer of dividends other than cash at the fair value of the asset on the declaration date of the dividend. Recognize a gain or loss on the transferred asset in the same manner as if you disposed of the property in an outright sale at or near the declaration date.

SI660: NEW BASIS ACCOUNTING ADJUSTMENTS

Include:

Adjustments made during the period in applying push-down accounting in the change-of-control.
Adjustments made in accounting for a savings association taken into receivership during the period.

SI662: OTHER COMPREHENSIVE INCOME

The EFS software automatically generates this amount as the change during the quarter in SC86, Accumulated Other Comprehensive Income: Total.

Other comprehensive income includes the change in:

Accumulated unrealized fair value gains and losses on available-for-sale securities, net of taxes.
Accumulated fair value gains and losses on cash flow hedges, net of taxes.
Any minimum pension liability adjustment recognized in accordance with FASB Statement No. 87, Employers’ Accounting for Pensions, net of taxes and FAS Statement No. 158, Employers’ Accounting for Defined Benefit Pension and Other Postretirement Plans.
Cumulative foreign currency translation adjustments and qualifying foreign currency transaction

gains and losses, net of taxes. .

SI668: PRIOR PERIOD ADJUSTMENTS

Prior period adjustments for purposes of the TFR include:

Changes to a beginning balance of equity capital pursuant to transition requirements under newly adopted FASB Statements such as SFAS No. 154 and SFAS No. 159.
Corrections to an income statement for a quarter from a prior calendar year where the TFR for that quarter can no longer be amended.
Cumulative effects of an accounting change under FAS159 and FIN48.

Also refer to item number 6 in the General Instructions for the TFR.

Do not include:

Audit adjustments and prior period adjustments within the current calendar year. Correct these through an amended report within 140 days of the report date or report them currently in Schedule SO.
Corrections of accruals. Report these in the current period in the same data field in Schedule SO that they would have been reported had the accruals been made when incurred.

SI671: OTHER ADJUSTMENTS

Report other adjustments to equity capital that cannot be included elsewhere in SI610 through SI668.

Include:

Issuance costs of common stock offerings.
The change in SC891, Other Components of Equity Capital.

Do not include:

Property distributions to stockholders; report as a negative amount on SI655.
Prior period adjustments to prior calendar years; report on SI668.
Additional contributions of paid-in capital; report on SI655.
Adjustments within the current calendar year. Correct these through an amended report within 135 days of the report date, or report them currently in Schedule SO.
Corrections of accruals. Report these in the current period in the same data field in Schedule SO that they would have been reported had the accruals been made when incurred.

SI680: TOTAL SAVINGS ASSOCIATION EQUITY CAPITAL, ENDING BALANCE (SC80)

The EFS software automatically calculates this as the sum of SI600, SI610, SI640, SI655, SI660, SI662, SI668, and SI671 less SI620, SI630, and SI650. SI680 must equal SC80, Total Savings Association Equity Capital, on the current TFR.

TRANSACTIONS WITH AFFILIATES:

The following two line items parallel 12 CFR 563.41, Transactions with Affiliates. Section 563.41(c)(3) requires each association to maintain records that reflect all transactions between a savings association and its affiliates.

Section 563.41 implements the affiliate transactions regulation found in Sections 23A and 23B of the Federal Reserve Act, as codified in 12 CFR Part 223 (Regulation W). Sections 23A and 23B of the Federal Reserve Act are made applicable to savings associations by Section 11(a)(1) of the Home Owners’ Loan Act. You should include transactions subject to the quantitative limits of Section 23A in SI750. Include all other covered affiliate transactions in SI760, including transactions subject only to Section 23B.

Affiliate and covered transaction are defined in Regulation W, as modified as appropriate for savings associations in Section 563.41. Generally, an affiliate is defined as:

Your parent company.
Any company controlled by your parent company that is not a subsidiary of yours (except a bank or thrift subsidiary of yours).
Any company that you or another affiliate sponsors or advises.
Any company which shares a majority of the same directors with you or your parent company.

Information in this section is not made public on an individual institution basis, but is available in the OTS aggregates.

SI750: ACTIVITY DURING THE QUARTER OF COVERED

TRANSACTIONS WITH AFFILIATES SUBJECT TO

QUANTITATIVE LIMITS

Report all covered affiliate transactions subject to quantitative limits. Generally, these include:

All purchases of assets by you from affiliates. This includes all commitments outstanding at the end of the quarter to purchase assets entered into with affiliates that will close in your name. Report such commitments on a gross basis. Do not net commitments to sell against commitments to purchase, even if the commitments are for the same or similar items and even if you will disburse or receive no cash.
All extensions of credit to affiliates. This includes, but is not limited to, loans and receivables whether or not supported by a loan document or contract; purchasing a note or other obligation of an affiliate, as well as loan guarantees or letters of credit on behalf of an affiliate. Acceptance of a security issued by an affiliate as collateral for an extension of credit to any third party.

Include all transactions that occurred during the quarter, regardless of whether you have paid affiliates during the quarter or owe the amount as of the end of the quarter.

SI760: ACTIVITY DURING THE QUARTER OF OTHER COVERED

TRANSACTIONS WITH AFFILIATES NOT SUBJECT TO

QUANTITATIVE LIMITS

Report all other affiliate transactions that are not included in SI750. Generally, these include:

The sale of securities or other assets from you to an affiliate, including assets subject to a repurchase agreement.
Your payment of funds to, or furnishing of services to, an affiliate, including such tasks as
collection of debt payments, data processing, maintenance, office supplies or payroll.
Any transaction in which an affiliate receives an agency or broker’s fee from you for its services on behalf of you or a third party.

Include all transactions that occurred during the quarter, regardless of whether you have paid affiliates during the quarter or owe the amount as of the end of the quarter.

MUTUAL FUND AND ANNUITY SALES:

SI805: DO YOU SELL PRIVATE-LABEL OR THIRD-PARTY MUTUAL FUNDS AND ANNUITIES?

Respond Yes if you, your subsidiaries, affiliates, or an unaffiliated entity sells private label or third party mutual funds or annuities:

On your premises;
From which you receive income at the time of the sale or over the duration of the account (for example, annual fees, trailer fees, or redemption fees); or
Through your trust department in transactions that are not executed in a fiduciary capacity (for

example, trustee, executor, administrator, or conservator). Mutual fund is the common name for an open-end investment company whose shares are sold to the investing public.

An annuity is an investment product, typically underwritten by an insurance company, that pays either a fixed or variable payment stream over a specified period of time.

Both proprietary and private label mutual funds and annuities are established for the purpose of marketing primarily to your customers or customers of your affiliates. A proprietary product is a product for which the reporting institution or its subsidiary or other affiliate acts as investment adviser and may perform additional support services. In a private label product, an unaffiliated entity acts as the investment adviser. The identity of the investment adviser is normally disclosed in the prospectus for a mutual fund or annuity. Mutual funds and annuities that are not proprietary or private label products are considered third party products. For example, third party mutual funds and annuities include products that are widely marketed by numerous parties to the investing public and have investment advisers that are not affiliated with the reporting institution.

SI815: TOTAL ASSETS YOU MANAGE OF PROPRIETARY MUTUAL FUNDS AND ANNUITIES

Report the amount of assets held by mutual funds and annuities as of the report date for which you or your subsidiaries act as investment adviser.

SI860: FEE INCOME FROM THE SALE AND SERVICING OF MUTUAL FUNDS AND ANNUITIES

Report the amount of income that you earned during the quarter from the sale and servicing of mutual funds and annuities.

In general, this income is included in the amount reported on SO420, Other Fees and Charges. Report the income included in this item gross rather than net of expenses incurred by you or your consolidated subsidiary.

Include:

Income earned in connection with mutual funds and annuities that are sold on your premises or sold by you, through a subsidiary, or by affiliated or unaffiliated entities from which you receive income. This income may be in the form of fees or sales commissions at the time of the sale or fees, including a share of another entity’s fees, that are earned over the duration of the account – for example, annual fees, Rule 12b-1 fees or trailer fees, and redemption fees. Report commissions as income when earned on an accrual basis at the time of the sale. However, you may report income when payment is received if the results would not differ materially from those obtained using an accrual basis.
Income from leasing arrangements with affiliated and unaffiliated entities who lease space in your offices for use in selling mutual funds and annuities. Income from leasing arrangements should be reported on an accrual basis, when earned, but may be reported as income when payment is received if the results would not differ materially from those obtained using an accrual basis.
Fees for providing investment advisory services for mutual funds and annuities that are sold on your premises or sold, through a subsidiary, or by affiliated or unaffiliated entities from which you receive income.
Fees for providing securities custody, transfer agent, and other operational and ancillary services to mutual funds and annuities that are sold on bank premises or sold by you, through a subsidiary, or by affiliated or unaffiliated entities from which you receive income.

Do Not Include:

Fees earned for services provided to mutual funds that are not sold by you, through a subsidiary, or by affiliated or unaffiliated entities with whom the savings association has sales relationships.
Do not include mutual fund and annuity fee income reported in Schedule FS.

AVERAGE BALANCE SHEET DATA (BASED ON MONTH-END DATA)

Report average balance sheet data for the quarter. At a minimum, compute these data based on balances at month-end. However, you may compute these data based on other than month-end balances, such as daily or weekly balances. All balances should be as reported in Schedule SC. For example, the balance of loans should reflect premiums, discounts, deferred loan fees, allowances for credit losses, etc. Each month's average should be computed using the prior month's ending balance plus the current month's ending balance divided by two. For example, the balance at December 31 is considered to be the beginning balance at January 1. The average for the three months in the quarter should then be summed and divided by three.

In the case of a business combination accounted for using the purchase method of accounting or acquisition by a holding company where you used pushdown accounting, you should include amounts for the acquired entity from the date of its acquisition through the end of the quarter.

Example of Averaging:

Balances

Month Beginning Ending Average

December N/A 1,500 N/A

January 1,500 1,575 1,538

February 1,575 1,550 1,563

March 1,550 1,695 1,623

Sum 4,724

Quarter Average Balance = $4,724 / 3 = $ 1,575

If you consummated a merger on February 20, the calculation would be as follows:

December January February pre-merger February post-merger	Beginning N/A 1,500 1,575 3,200	Ending 1,500 1,575 1,550 3,280	Average N/A 1,538 1,563 3,240	x x	Adjustment 19 days = 29,698 9 days = 29,160	Adjusted Average N/A 1,538
					(29,698+ 29,160)/28	2,102
March	3,280	3,965	3,623			3,623
Sum						7,263

Quarter Average Balance = $7,263 / 3 = $2,421

SI870: TOTAL ASSETS

Report your average assets for the quarter based on the calculation explained above using total assets reported on SC60.

SI875: DEPOSITS AND INVESTMENTS EXCLUDING NON-INTERESTEARNING ITEMS

Report your average deposits and investments for the quarter based on the calculation explained above using interest-earning deposits and investments reported on SC112 through SC185. Do not include mortgage loans and mortgage-backed securities included in SI880.

If you invest in adjustable rate products on which the interest rate has been reduced to zero as a result of market conditions, you should continue to report such investments in these averages.

SI880: MORTGAGE LOANS AND MORTGAGE-BACKED SECURITIES

Report your average mortgage loans and mortgage-backed securities for the quarter based on the calculation explained above using mortgage loans and mortgage-backed securities reported on SC210 through SC222 and SC230 through SC265.

SI885: NONMORTGAGE LOANS

Report your average nonmortgage loans for the quarter based on the calculation explained above using nonmortgage loans reported on SC300 through SC330.

SI890: DEPOSITS AND ESCROWS

Report your average interest-earning deposits and escrows for the quarter based on the calculation explained above using interest-earning deposits included in SC710 and SC712. If you offer deposit products on which you periodically adjust the interest rate, and the interest rate has been reduced to zero as a result of market conditions, you should continue to report such deposits as interest-bearing accounts in these averages.

SI895: TOTAL BORROWINGS

Report your average interest-bearing borrowings for the quarter based on the calculation explained above using interest-bearing borrowings reported on SC720 through SC760.

THIS PAGE INTENTIONALLY LEFT BLANK

SCHEDULE SQ — CONSOLIDATED SUPPLEMENTAL QUESTIONS

Throughout these instructions, you and your refers to the reporting savings association and its consolidated subsidiaries; we and our refers to the Office of Thrift Supervision. However, in this schedule, you should answer all questions except SQ310 based on your data alone, and not on your consolidated subsidiaries’ data. SQ310 applies to both you and your consolidated subsidiaries.

Indicate whether an activity occurred during the period by placing an X in either the Yes or No column of each question. No question that can be answered with a yes or no should be left blank. Check Yes if there is any doubt as to whether an activity occurred during the quarter.

SQ270: Your fiscal year-end (MM)

Enter the month of your current fiscal year-end for audited financial statement purposes. In some cases this may not correspond to the tax year-end.

SQ280: Code representing nature of work to be performed by independent public accountants for the current fiscal year

Enter the code for the statement below that best describes the level of audit or other attestation work – such as review, compilation, or agreed-upon procedures – that an independent public accountant will have performed by the end of your current fiscal year. The current fiscal year is the 12-month period that includes the quarter that you are reporting.

07 You do not plan to have an audit or other attestation work by an independent public accountant. 08 You do not plan to have an audit. However, you do plan to have other attestation work performed and reported on by an independent public accountant. 09 You plan to have an audit of, and receive a report on, only the holding company’s consolidated financial statements by an independent public accountant.

Use this code where plans are for an audit and report on:

a.Only your holding company’s consolidated financial statements.

b.Not your separate financial statements.

1. Your holding company’s consolidated financial statements include, by consolidation, your financial statements. Use code 10 for an audit and report on, your separate financial statements.

10 You plan to have an audit of, and receive a report on, your financial statements by an
independent public accountant.

1. Use this code where plans are for an audit and report on:

a.: Only your separate financial statements, or
b.: Both your separate financial statements and your holding company’s consolidated financial statements.

2. Use code 09 for an audit of, and report on, only the holding company’s consolidated financial statements.

SQ300: Did you change your independent public accountant during the quarter?

Check yes if you did one or both of the following:

Gave notice to your prior independent public accountant terminating his engagement.
Engaged a successor accountant.

SQ310: Did you and your consolidated subsidiaries have any outstanding futures or options positions at quarter end?

SQ320: Do you have a Subchapter S election in effect for federal income tax purpose for the current year?

SQ410: Have you been consolidated with your parent in another TFR? If so, enter the OTS docket number of your parent savings association.

SQ420: Have you been consolidated with your parent in a Commercial Bank Call Report? If so, enter the FDIC certificate number of your parent commercial bank.

SQ530: If you have a web page on the Internet, indicate your main Internet home page address (for transactional or nontransactional web sites).

Report your main Internet home page address, even if you do not have a transactional web site. This field has a maximum of 78 characters.

SQ540: Do you provide transactional Internet banking to your customers, as defined in 12 CFR 555.300(b)?

Respond Yes if you have a transactional Internet banking web site. Transactional Internet banking web sites are defined in 12 CFR 555.300(b).

SCHEDULE SB — CONSOLIDATED SMALL BUSINESS LOANS

Complete this schedule annually using data as of June 30.

SB010: DO YOU HAVE ANY SMALL BUSINESS LOANS TO REPORT IN THIS SCHEDULE?

Respond No if you have no loans meeting the definitions of small business loans as defined in this schedule for agricultural and nonagricultural purposes. Respond Yes if you have loans to report in Schedule SB. If you respond No, you should not complete any other lines in this schedule.

You should respond No and leave the remaining of Schedule SB blank if the following are true: (1) you and your consolidated subsidiaries have no loans reported on SC260, 300, 303, and 306; (2) your business loans and those of your consolidated subsidiaries only have original amounts, as defined below, exceeding $1 million; (3) your farm loans only have original amounts exceeding $500 thousand.

LOANS TO SMALL BUSINESSES AND SMALL FARMS:

Complete the following data annually on June 30 for yourself and your consolidated subsidiaries to comply with Section 122 of the FDIC Improvement Act.

When you report the number and amount of business loans currently outstanding with original amounts of $1 million or less and farm loans with original amounts of $500 thousand or less, use the following guidelines:

For loans drawn down under lines of credit or loan commitments, the original amount of the loan is the amount existing when the line of credit or loan commitment was most recently approved, extended, or renewed prior to the report date. However, if the amount currently outstanding as of the report date exceeds this size, the original amount is the amount currently outstanding.
For loan participations and syndications, the original amount of the loan participation or
syndication is the entire amount of the credit originated by the lead lender.
For all other loans, the original amount is the total amount of the loan at origination or the

amount currently outstanding as of the report date, whichever is larger. The amount outstanding is the amount reported on Schedule SC as of the report date and should be reported net of loans in process, specific valuation allowances, and yield adjustments to the extent possible.

Report the actual number of loans. Do not round to the nearest thousand.

Do not include loans to subsidiaries eliminated in consolidation.

Except as noted below for corporate or business credit card programs, when you determine original amounts and report the number and amount currently outstanding for a category of loans in this schedule, you should compute the amounts as follows: combine multiple loans to one borrower and report them on an aggregate basis rather than as separate individual loans, to the extent that you do not incur undue cost to obtain such aggregate individual borrower data. If the burden of such aggregation would be excessive, you may report multiple loans to one borrower as separate individual loans.

If you offer corporate or business credit card programs where credit cards are issued to one or more of a company’s employees for business-related use, you should treat each company’s entire credit card program as a single extension of credit. You should total the credit limits for all of the individual credit cards issued to the company’s employees, and treat this total as the original amount of the corporate or business credit card program established for this company. The company’s program should be reported as one loan and the amount currently outstanding would be the sum of the credit card balances as of the June 30 report date on each of the individual credit cards issued to the company’s employees. However, when aggregated data for each individual company in a corporate or business credit card program are not readily determinable from your credit card records, you should develop reasonable estimates of the number of corporate or business credit card programs that exist as of the report date, the original amounts of these programs, and the amounts currently outstanding of these programs and should then report information about these programs on the basis of your reasonable estimates. In no case should individual credit cards issued to a company’s employees under a corporate or business credit card program be reported as separate individual loans to small businesses.

SB100: Do you have any loans secured primarily by farms reported

on SC260 or any loans to finance agricultural production or

other loans to farmers reported on SC300, 303, or 306?

Answer Yes to this question only if the agricultural and farm loans had original amounts, as defined above, of $500 thousand or less.

If yes, complete lines 300 through 650; do not complete 110 through 210. If no, complete the following item, 110.

SB110: Are all or substantially all of your commercial loans (Schedule

SC lines 260, 300, 303, and 306) loans with original amounts

of $100,000 or less?

Indicate yes and complete only the following lines, 200 and 210, if:

The average amount outstanding of your commercial, nonfarm loans that you reported on
Schedule SC lines 260, 300, 303, and 306 is $100 thousand or less and
Based on your loans and other relevant information, your lending officer believes that all or substantially all of your commercial loans have original amounts, as defined above, of $100 thousand or less.

Otherwise, indicate no and complete lines 300 through 450.

SB200: Number of loans reported on line SC260

Report the actual number – do not round to thousands – of loans reported on SC260, Permanent Mortgages on Nonresidential Property. Complete this line only if line 100 is no and 110 is yes – that is, all of the loans reported on SC260, 300, 303, and 306 are nonfarm loans and substantially all of the original amounts of the loans are $100 thousand or less.

SB210: Number of loans reported on SC300, 303, and 306

Report the actual number – do not round to thousands – of loans reported on SC300, 303, and 306, Nonmortgage Commercial Loans. Complete this line only if line 100 is no and 110 is yes; that is, all of the loans reported on SC260, 300, 303, and 306 are nonfarm loans and substantially all of the original amounts of the loans are $100 thousand or less.

NUMBER AND AMOUNT OUTSTANDING OF PERMANENT MORTGAGE LOANS SECURED BY NONFARM, NONRESIDENTIAL PROPERTIES REPORTED ON SC260:

Number of Loans with Original Amounts of: SB300: $100,000 or less SB320: Greater than $100,000 thru $250,000 SB340: Greater than $250,000 thru $1 million Outstanding Balance with Original Amounts of: SB310: $100,000 or less SB330: Greater than $100,000 thru $250,000 SB350: Greater than $250,000 thru $1 million

NUMBER AND AMOUNT OUTSTANDING OF NONMORTGAGE, NONAGRICULTURAL COMMERCIAL LOANS REPORTED ON SC300, 303, AND 306:

Number of Loans with Original Amounts of: SB400: $100,000 or less SB420: Greater than $100,000 thru $250,000 SB440: Greater than $250,000 thru $1 million Outstanding Balance with Original Amounts of: SB410: $100,000 or less SB430: Greater than $100,000 thru $250,000 SB450: Greater than $250,000 thru $1 million

NUMBER AND AMOUNT OUTSTANDING OF LOANS SECURED PRIMARILY BY FARMS REPORTED ON SC260: Number of Loans with Original Amounts of: SB500: $100,000 or less SB520: Greater than $100,000 thru $250,000 SB540: Greater than $250,000 thru $500,000 Outstanding Balance with Original Amounts of: SB510: $100,000 or less SB530: Greater than $100,000 thru $250,000 SB550: Greater than $250,000 thru $500,000

NUMBER AND AMOUNT OUTSTANDING OF NONMORTGAGE, COMMERCIAL LOANS TO FINANCE AGRICULTURAL PRODUCTION AND OTHER NONMORTGAGE COMMERCIAL LOANS TO FARMERS REPORTED ON SC300, 303, AND 306:

Number of Loans with Original Amounts of: SB600: $100,000 or less SB620: Greater than $100,000 thru $250,000 SB640: Greater than $250,000 thru $500,000 Outstanding Balance with Original Amounts of: SB610: $100,000 or less SB630: Greater than $100,000 thru $250,000 SB650: Greater than $250,000 thru $500,000

THIS PAGE INTENTIONALLY LEFT BLANK

SCHEDULE FS — FIDUCIARY AND RELATED SERVICES

Complete Schedule FS on a consolidated basis, including the fiduciary or related services of any significant, majority-owned operating subsidiaries or service corporations.

The information reported on FS310 through FS35, on fiduciary and related services income and FS710 through FS72 on fiduciary settlements, surcharges and other losses will not be made available to the public on an individual association basis. All other information on this schedule will be made available to the public.

The income and expense data reported on FS310 through FS35 and the fiduciary settlements, surcharges, and other losses reported on FS710 through FS72 must be reported for the calendar year-to-date.

FS110: DOES YOUR INSTITUTION HAVE FIDUCIARY POWERS?

Check Yes if OTS, a state, or another banking authority has granted you trust powers to administer accounts in a fiduciary capacity. You should check Yes if your significant, majority-owned subsidiaries have been granted trust powers by OTS, a state, or another banking authority. If you check No, you should not complete the remainder of this schedule. Fiduciary capacity generally includes acting as a trustee, executor, administrator, registrar of stocks and bonds, transfer agent, assignee, receiver, guardian or conservator of the estate of a minor or incompetent, investment adviser (if you receive a fee for your investment advice), any capacity in which you possess investment discretion on behalf of another, or any other similar capacity.

FS120: DOES YOUR INSTITUTION EXERCISE THE FIDUCIARY POWERS IT HAS BEEN GRANTED?

Check Yes if you exercise your fiduciary powers. Exercising fiduciary powers means that you serve in a fiduciary capacity as described in the instructions for FS110.

FS130: DOES YOUR INSTITUTION HAVE ANY FIDUCIARY OR

RELATED ACTIVITY (IN THE FORM OF ASSETS OR

ACCOUNTS) TO REPORT IN THIS SCHEDULE?

Check Yes if you have assets, accounts, or income from fiduciary or related services. You should check No if you have trust powers and only use those powers to provide services in connection with land trusts or if you act as a document custodian for mortgage-backed securities, such as those offered by Fannie Mae (FNMA), Freddie Mac (FHLMC), or Ginnie Mae (GNMA). If you have trust powers and provide land trust or document custodian services, along with other fiduciary or related services reportable on this schedule, you should not include your land trust or document custodian activities on this schedule. If you check No, do not complete the remainder of this schedule.

Reportable related services are those services that do not require trust powers but are related to fiduciary services. Specifically, this includes custodial services for assets held by you in a fiduciary capacity. You should report on this schedule fiduciary related services that are offered through your trust department, fiduciary business unit, or other distinct department or business unit that is devoted to the provision of fiduciary or related services. You should not include custodial services provided to retail bank accounts. Retail bank accounts may include brokerage accounts, escrow accounts that benefit third parties, safety deposit boxes, and other similar arrangements.

FILING REQUIREMENTS

If your answer to FS130 is Yes, complete the applicable items of Schedule FS as follows:

If your total fiduciary assets (items FS20 and FS21) are greater than $250 million or for the preceding calendar year your gross fiduciary and related services income was greater than 10 percent of revenue (net interest income plus noninterest income), you must complete:

Items FS210 through FS30 each quarter;
Items FS391 through FS35 annually with the December report; and

3. Memorandum items FS410 through FS72 annually with the December report. If your total fiduciary assets (items FS20 and FS21) are greater than $100 million but less than or equal to

$250 million and for the preceding calendar year your gross fiduciary and related services income was not greater than 10 percent of revenue (net interest income plus noninterest income), you must complete:

Items FS210 through FS291 each quarter; and
FS310 through FS35 and all memorandum items, FS410 through FS72, annually with the

December report. If your total fiduciary assets (items FS20 and FS21) are $100 million or less or for the preceding calendar year your gross fiduciary and related services income was not greater than 10 percent of revenue (net interest income plus noninterest income), you must complete:

Items FS210 through FS291 each quarter; and
Memorandum items FS410 through FS65 annually with the December report.

FIDUCIARY AND RELATED ASSETS

Report fiduciary and related assets using market value as of the report date. While market value quotations are readily available for marketable securities, many financial and physical assets held in fiduciary accounts are not widely traded or easily valued. If the methodology for determining market values is not set or governed by applicable law (including state or federal law governing the fiduciary relationship, the terms of an instrument governing the fiduciary relationship, or any court order pertaining to the relationship), you may use any reasonable method to establish values for purposes of reporting on this schedule. Reasonable methods may include appraisals, book value, or reliable estimates. Valuation methods should be consistent from reporting period to reporting period. This “reasonable method” approach to reporting market values applies both to financial assets that are not marketable and to physical assets. Physical assets held in fiduciary accounts may include equipment, art, collectibles, and household goods.

If two institutions are named cofiduciary in the governing instrument, both institutions should report the account. In addition, where one institution provides fiduciary or related services to another institution’s accounts (for example: Bank A provides custody services to the trust accounts of Bank B; or Bank A provides investment management services to the trust accounts of Bank B) both institutions should report the accounts, according to the services provided.

Exclude unfunded trusts, anticipated testamentary executor appointments, and any other arrangements that represent potential future fiduciary accounts.

Report asset values net of any outstanding liabilities. For example, report: (1) an employee benefit account with participant loans net of the outstanding loan balances; (2) an account with a real estate asset and corresponding mortgage loan net of the mortgage liability; (3) gross fiduciary assets net of any associated overdrafts; and (4) gross assets net of the fair value of derivative instruments, as defined in FASB Statement No. 133, even if the fair value is negative.

Reflect securities borrowing/lending transactions as sales or as secured borrowings according to GAAP, as principally prescribed in FASB Statement No. 140. A transferee (borrower) of securities generally is required to provide collateral to the transferor (lender) of securities. When such transactions do not qualify as sales, securities lenders and borrowers should account for the transactions as secured borrowings in which cash (or securities that the holder is permitted by contract or custom to sell or repledge) received as collateral by the securities lender is considered the amount borrowed and the securities loaned are considered pledged against the amount borrowed. For purposes of this schedule, securities held in fiduciary accounts that are loaned in securities lending transactions and are accounted for as secured borrowings should be reported as an asset of the respective fiduciary account that loaned the securities, but the collateral received should not be reported as an asset of the fiduciary account.

In the Fiduciary and Related Assets section (FS210 through FS291), you should include for each account in whatever line item is pertinent, the market value of common trust fund units, collective investment fund (CIF) units, and shares of proprietary mutual funds held by the account. Proprietary mutual funds are those funds where the savings association, its affiliates, or its subsidiaries act as investment adviser to the fund. You should not report a common trust fund or a collective investment fund operated by you as a separate account in FS262. You should report each proprietary mutual fund as a separate account in FS262 and include its assets in FS260. When reporting a proprietary mutual fund in FS260, subtract from the value of the mutual fund as a whole, those shares held by fiduciary or custodial accounts that are already reported in the fiduciary and related section on FS210 through FS291. This will prevent duplicate reporting.

MANAGED ASSETS

Report the total market value of assets held in managed fiduciary accounts. An account should be categorized as managed if you have investment discretion or offer investment advice for a fee. Investment discretion is defined as the sole or shared authority to determine what securities or other assets to purchase or sell on behalf of the fiduciary account, even if that authority is not exercised. If you have delegated your investment authority to another institution, then you both have investment discretion for reporting purposes. You should report an account as either managed or nonmanaged based on your predominant responsibility.

NONMANAGED ASSETS

Report the total market value of assets held in nonmanaged fiduciary accounts. An account should be categorized as nonmanaged if you do not have investment discretion but otherwise provide services in a fiduciary capacity as that term is defined for FS110. Accounts should be categorized as nonmanaged where you are a fiduciary and provide a menu of investment options but the ultimate selection authority remains with the account holder or an external manager. For example, if you provide a choice of sweep vehicles or an array of mutual funds, you are not necessarily exercising investment discretion. Another example of a fiduciary nonmanaged account is where you serve as trustee for a 401(k) employee benefit plan and the plan participants make their own investment selections. This section also includes IRA accounts where you are a trustee (not a custodian) and the account holders direct their own investments.

NUMBER OF MANAGED ACCOUNTS

Report the total number of managed fiduciary accounts.

NUMBER OF NONMANAGED ACCOUNTS

Report the total number of nonmanaged fiduciary accounts.

FS210 Through 213: Personal Trust and Agency Accounts

Report the market value and number of accounts for all testamentary trusts, revocable and irrevocable living trusts, and any other personal trusts and estates. Include accounts in which you serve as trustee, executor, administrator, guardian, or conservator. Do not include individual investment management agency accounts that should be included in FS260 and FS262. Also, do not include Keogh Act plans, Individual Retirement Accounts (IRAs), and other pension or profit sharing plans for self-employed individuals that should be included in FS240 through FS243. Include accounts that only receive custody or safekeeping services in FS280 and FS281.

Retirement-related Trust and Agency Accounts:

FS220 Through FS223: Employee Benefit - Defined Contribution

Report the market value and number of accounts for all employee benefit, defined contribution accounts for which you serve as trustee or in another fiduciary capacity. Include 401(k) plans, 403(b) plans, profit-sharing plans, money purchase plans, target benefit plans, stock bonus plans, employee stock ownership plans, and thrift-savings plans. The number of accounts reported should reflect the total number of plans administered rather than the number of plan participants. Report employee benefit accounts for which you are a custodian in FS280 and FS281.

FS230 Through FS233: Employee Benefit - Defined Benefit

Report the market value and number of accounts for all employee benefit, defined benefit plans for which you serve as trustee or in another fiduciary capacity. The number of accounts reported should reflect the total number of plans administered rather than the number of plan participants. Report employee benefit accounts for which you are a custodian in FS280 and FS281.

FS240 Through FS243: Other Retirement Accounts

Report the market value and number of accounts for all other retirement related accounts in which you serve as trustee or in another fiduciary capacity. Include self-directed Individual Retirement Accounts (Education IRAs and Roth IRAs) for which you are a trustee. Report employee benefit accounts for which you are a custodian in FS280 and FS281.

FS250 Through FS253: Corporate Trust and Agency Accounts

Report the market value and number of all your corporate trust accounts. Report assets for which you have the responsibility to manage or administer in accordance with the corporate trust agreement. Include assets of unpresented bonds or coupons relating to issues that have been called or matured. Do not include the entire market value of the associated securities or the outstanding principal of associated debt issues. Include accounts where you are the trustee for corporate securities, tax-exempt and other municipal securities, and other debt securities including unit investment trusts. Also, include accounts for which you are the dividend or interest paying agent or any other type of corporate trustee or agent.

FS260 and FS262: Investment Management Agency Accounts

Report the market value and number of accounts for all investment management accounts that are administered by you. Investment management accounts are those for which you have investment discretion or provide investment advice for a fee although title to the assets remains with the client. Include accounts for which you serve as a sub-advisor. For each account include the market value of common trust fund units, collective investment fund (CIF) units, and shares of proprietary mutual funds (those funds where you, your subsidiaries, or your affiliates act as investment adviser to the fund) held by the account. Do not include common trust funds or collective investment funds operated by you as a separate account in FS262. When reporting a proprietary mutual fund in FS260 you must subtract from the value of the mutual fund as a whole, those shares held by fiduciary or custodial accounts that are already reported in this or other sections of Schedule FS. This will avoid duplicate reporting. Each mutual fund should be reported as a separate account in FS262. The different investment classes of a single mutual fund should be combined and reported as a single account.

FS270 Through FS273: Other Fiduciary Accounts

Report the market value and number of accounts for all other fiduciary accounts not reported in FS210 through FS262. Report custody and safekeeping accounts in FS280 and FS281.

FS20 THROUGH FS23: TOTAL FIDUCIARY ACCOUNTS

The EFS software will compute these lines as the sums of their respective columns, from FS210, FS211, FS212, and FS213 through FS270, FS271, FS272, and FS273.

FS280 and FS281: Custody and Safekeeping Accounts

Report the market value and the number of accounts for all individual and institutional custody and safekeeping accounts administered by you. Safekeeping and custody accounts are a type of account for which you perform custody or safekeeping services. In these accounts, you do not act in a fiduciary capacity, such as trustee, and you do not provide investment management or investment advice for a fee or have investment discretion. Safekeeping and custodial services may include holding assets, processing income and redemptions, recordkeeping, or customer reporting. For employee benefit custody or safekeeping accounts, the number of accounts you report should reflect the total number of plans administered rather than the number of plan participants. Include accounts in which you serve as a sub-custodian for another institution. For example, where you contract with another institution for custody services, both of you should report the accounts. Do not include accounts for which you provide document custodial services for Ginnie Mae, Fannie Mae, or other mortgage-backed securities. Also, do not include accounts for which you provide services to land trusts.

Include custody and safekeeping accounts that are administered by your trust department or other identifiable business unit area that focuses on offering custodial services to individual or institutional fiduciary clients. Do not include those custodial and safekeeping activities that are related to retail bank services such as safety deposit box assets or any other similar retail arrangement.

FS290 and FS291: Assets Included Above, Excluded for Purposes of the OTS Assessment Complexity Component

OTS imposes semiannual assessments on savings associations based on three components: the thrift’s size, its condition, and the complexity of its portfolio. For savings associations that have trust powers, a complexity component is assessed for those associations that administer over $1 billion in trust assets. This complexity component, broken into three different categories, is calculated by utilizing different line items of this schedule. There are situations where OTS requires savings associations to report certain assets on a line item in Schedule FS that will not be included for assessment purposes. Therefore, the purpose of FS290 and FS291 is to exclude certain assets for OTS assessment purposes.

Report on FS290 those assets of proprietary mutual funds that are reported as a separate account in FS260 and FS262. Do not include in FS290 those shares of the proprietary mutual fund held by fiduciary or custodial accounts that are reported in other sections of Schedule FS. At this time, FS291 should remain blank.

FIDUCIARY AND RELATED SERVICES INCOME (CALENDAR YEAR-TO-DATE)

Report fiduciary and related services income and expense for the calendar year-to-date. The following income categories correspond to the asset categories described in FS210 through FS281. Report income and expense on an accrual basis. You may report both income and expense on a cash basis only if the results would not materially differ from those obtained using an accrual basis. The information reported on FS310 through FS35 will not be made available to the public on an individual association basis.

FS310: PERSONAL TRUST AND AGENCY ACCOUNTS

Report gross income generated from the services provided to personal trust and agency accounts reported on FS212 and FS213.

RETIREMENT RELATED TRUST AND AGENCY ACCOUNTS:

FS320: Employee Benefit – Defined Contribution

Report gross income generated from the services provided to defined contribution, employee benefit trust and agency accounts reported on FS222 and FS223.

FS330: Employee Benefit – Defined Benefit

Report gross income generated from the services provided to defined benefit, employee benefit trust and agency accounts reported on FS232 and FS233.

FS340: Other Retirement Accounts

Report gross income generated from the services provided to other retirement accounts reported on FS242 and FS243.

FS350: CORPORATE TRUST AND AGENCY ACCOUNTS

Report gross income generated from the services provided to corporate trust and agency accounts reported on FS252 and FS253.

FS360: INVESTMENT MANAGEMENT AGENCY ACCOUNTS

Report gross income generated from the services provided to investment management accounts reported on FS262.

FS370: OTHER FIDUCIARY ACCOUNTS

Report gross income generated from services provided to other fiduciary accounts reported on FS272 and FS273.

FS380: CUSTODY AND SAFEKEEPING ACCOUNTS

Report gross income generated from services provided to custody and safekeeping accounts reported on FS281.

FS390: OTHER FIDUCIARY AND RELATED SERVICES INCOME

Report all other gross fiduciary and related services income that cannot properly be reported on FS310 through FS380. Include income received from others, including affiliates, for fiduciary and related services provided by you. Also, include net income generated from securities lending activities, after deduction of broker rebates and income paid to lending accounts. Do not include allocations of income to the trust department from other areas of your savings association, such as credits for fiduciary cash held as a deposit on your commercial side.

FS30: TOTAL GROSS FIDUCIARY AND RELATED SERVICES INCOME

The EFS software will compute this line as the sum of FS310 through FS390.

FS391: LESS: EXPENSES

Report total direct and indirect expenses attributable to the fiduciary and related services reported in this schedule.

Direct expenses are immediately identifiable as costs directly chargeable to, for and under the control of the fiduciary and related services function. These expenses include: salaries, bonuses, hourly wages, overtime pay and incentive pay associated with officers and employees; expenses associated with employee benefits, such as contributions to employee benefit plans, health and life insurance costs, social security and unemployment taxes, relocation expenses and other fringe benefits; expenses associated with occupancy, such as maintenance, service and repairs, telephones and utilities, insurance coverage, real estate or property taxes, depreciation/amortization, lease/rental payments for premises and equipment, and any leasehold improvements charged directly to expense; fees paid directly for external or internal audits of the fiduciary and related services; trust examination fees, employee training, fees directly paid for outside legal counsel and/or consultants; and, expenses paid directly for advertising and business development activities.

Indirect expenses are those expenses charged to the fiduciary and related services activity from other departments of the institution. The expenses are generally reflected in the your retail accounting system and include any allocation for the proportionate share of corporate expenses that you do not directly charge to a particular department or function. If your internal accounting system is unable to provide the information, you may use a reasonable alternate method to estimate indirect costs. Indirect expenses include: the proportionate share of data processing expenses, building rent or depreciation, utilities, real estate taxes, and insurance, internal and external audits of trust activities, inhouse and/or outside legal expenses, non-trust employee incentives, business development activities, charitable contributions, and corporate overhead, such as allocated expenses for corporate planning and/or financial staff, board of director/committee fees, training, temporary personnel and professionals, travel, entertainment, stationary and postage, and automobile expenses. You must keep your reporting methods for indirect expenses consistent from period to period.

Do not include settlements, surcharges, and other losses in FS391.

FS392 LESS: NET LOSSES FROM FIDUCIARY AND RELATED SERVICES

Report net losses resulting from fiduciary and related services. Net losses are gross losses less recoveries. Gross losses may result from settlements, surcharges, errors from trade processing, miscalculation of fees or taxes, pricing discrepancies and other losses that are realized in the reporting period attributable to the fiduciary and related services. Recoveries should include those that are attributable to prior and current period losses. FS392 must equal the sum of gross managed and nonmanaged account losses minus recoveries (FS 70 + FS 71 - FS 72) reported in the Memoranda section of the FS Schedule.

FS393 PLUS: INTRACOMPANY INCOME CREDITS FOR FIDUCIARY AND RELATED SERVICES

If applicable, report credits from other areas of your association for activities reportable in this schedule. Include any intracompany income credit made available to the fiduciary area for fiduciary account holdings of own-bank deposits. Also, include credits for other intracompany services and transactions.

FS35 NET FIDUCIARY AND RELATED SERVICES INCOME

The EFS software will compute this line as the sum of FS30 less FS391 and FS392 plus FS393.

MEMORANDA

MANAGED ASSETS HELD IN PERSONAL TRUST AND AGENCY ACCOUNTS:

Report on FS410 through FS460 the market value of managed assets held in personal trust and agency accounts, in accordance with how the account is invested. FS40 must equal FS210. Include on the appropriate line the value of the units of common trust funds, collective investment funds, and shares of proprietary mutual funds held by each account.

Report securities held in fiduciary accounts that are loaned in securities lending transactions, accounted for as secured borrowings, as an asset of the fiduciary account that loaned the securities. Do not report the collateral received as an asset of this fiduciary account.

FS410: Non-interest-bearing Deposits

Report all non-interest-bearing deposits, including deposits of both principal and income cash.

FS415: Interest-bearing Deposits

Report interest-bearing savings and time deposits. Include NOW accounts, MMDA accounts, BICs that are insured by the FDIC, and certificates of deposit. Report interest-bearing deposits of both principal and income cash.

FS420: U.S. Treasury and U.S. Government Agency Obligations

Report all securities issued by and loans to the U.S. Government and agencies and sponsored enterprises of the U.S. Include certificates or other obligations that represent pass-through participations in pools of real estate loans when the participation instruments: (1) are issued by FHA-approved mortgagees and guaranteed by Ginnie Mae, or (2) are issued, insured, or guaranteed by a U.S. Government agency or sponsored enterprise, such as Freddie Mac. Also include CMOs and REMICs issued by Fannie Mae and Freddie Mac.

FS425: State, County and Municipal Obligations

Report all short and long-term obligations of state and local governments and political subdivisions of the United States. Include obligations of U.S. territories and their political subdivisions and all Federal income tax exempt obligations of authorities such as local housing and industrial development authorities that derive their tax-exempt status from relationships with state or local governments. Tax-exempt money market mutual funds should be reported with money market mutual funds on FS430.

FS430: Money Market Mutual Funds

Report all holdings of open-end registered investment companies – mutual funds – that attempt to maintain net asset values at $1.00 per share. Include both taxable and tax-exempt money market mutual funds. Do not include any common or collective investment fund holdings.

FS435: Other Short-Term Obligations

Report all short-term obligations. Short-term obligations are defined as obligations with original maturities of less than 1 year, or 13 months in the case of the time portion of master notes. In addition to short-term notes, this would include such money market instruments as master note arrangements, commercial paper, bankers’ acceptances, securities repurchase agreements, and other short-term liquidity investments. Do not include any state, county or municipal obligations.

FS440: Other Notes and Bonds

Report all other bonds, notes other than personal notes, and debentures.

Include:

Corporate debt, insurance annuity contracts, GICs and BICs that are not insured by the FDIC, and obligations of foreign governments.
Certificates or other obligations, however named, representing pass-through participation in pools of real estate loans when the participation instruments are issued by financial institutions and guaranteed in whole or in part by private guarantors.
CMOs and REMICs that are not issued by Fannie Mae or Freddie Mac, even if the collateral consists of Ginnie Mae or Fannie Mae pass-throughs or Freddie Mac PCs.

Do not include:

Short-term obligations that should be reported on FS435.
Personal notes.

FS445: Common and Preferred Stocks

Report all holdings of domestic and foreign common and preferred equities, including warrants and options.

Include:

Holdings of all mutual funds (open-end and closed-end) except money market funds that are reported in FS430.
Unit investment trusts, regardless of the securities they are invested in, such as stocks, corporate bonds, and municipal bonds.
Ownership interests in private equity investments, limited liability companies, and any other pooled investment vehicle, except those that are primarily invested in real estate that should be included in FS455.

FS450: Real Estate Mortgages

Report real estate mortgages, real estate contracts, land trust certificates, and ground rents. These assets may be reported at unpaid balance if that figure is a fair approximation of market value.

FS455: Real Estate

Report real estate and other similar assets.

Include:

Mineral interests.
Royalty interests.
Leaseholds.
Land and buildings associated with farm management accounts.
Investments in limited partnerships that are solely or primarily invested in real estate.

FS460: Miscellaneous Assets

Report personal notes, tangible personal property, and other miscellaneous assets that cannot be properly reported on FS410 through FS455. Include crops, equipment, and livestock associated with farm management accounts.

FS40: TOTAL MANAGED ASSETS HELD IN PERSONAL TRUST AND AGENCY ACCOUNTS.

The EFS software will compute this line as the sum of FS410 through FS460. FS40 must equal FS210.

CORPORATE TRUST AND AGENCY ACCOUNTS:

FS510 and FS515: Corporate and Municipal Trusteeships

Report in FS510 the total number of corporate and municipal issues, as well as other debt issues such as unit investment trusts, for which you serve as trustee. If more than one institution is trustee for an issue, both institutions should report the issue. Consider securities with different CUSIP numbers as separate issues; however, consider serial bond issues as a single issue. When you serve as trustee of a bond issue and you also perform agency functions for the issue such as transfer agent or paying agent, you should report the issue only in FS510, as the trustee appointment is considered the primary function. Do not include issues that have been called in their entirety or have matured even if funds are being held for unpresented bonds or coupons.

Report on FS515 the total par value of outstanding debt securities for the issues reported on FS510. For zero-coupon bonds, report the final maturity amount. Do not include assets, such as cash, deposits, and investments, that are being held for corporate trust purposes; report these on FS250 and FS251.

FS520: Transfer Agent, Registrar, Paying Agent, and Other Corporate Agency

Report the total number of issues for which you act in a corporate agency capacity. Include the total number of equity, debt, and mutual fund issues for which you act as transfer agent, registrar, or paying agent. Separate classes of a mutual fund should be consolidated and reflected as a single issue. Include the total number of stock or bond issues for which you disburse dividend or interest payments. Do not include any issues reported on FS510.

COLLECTIVE INVESTMENT FUNDS AND COMMON TRUST FUNDS:

Report the number and market value of assets held in Collective Investment Funds (CIFs) and Common Trust Funds operated by you. If you manage a common or collective fund that is used more than one institution, you should report the entire common or collective fund in this section. Do not include proprietary mutual funds in this section. Each common or collective investment fund should be categorized in the one item that best fits the fund type.

FS610 and FS615: Domestic Equity

Report funds investing primarily in U.S. equities.

Include:

Funds seeking growth, income, or both growth and income.
U.S. index funds and those concentrating on small, mid, or large cap domestic stocks.

Do not include funds specializing in a particular sector, such as technology, health care, financial institutions, or real estate. Sector funds should be reported on FS670 and FS675.

FS620 and FS625: International/Global Equity

Report funds investing exclusively in equities of issuers located outside the U.S. and those funds representing a combination of U.S. and foreign issuers. Include funds that specialize in a particular country, region, or emerging market.

FS630 and FS635: Stock/Bond Blend

Report funds investing in a combination of equity and bond investments. Include funds with a fixed allocation along with those having the flexibility to shift assets between stocks, bonds, and cash.

FS640 and FS645: Taxable Bond

Report funds investing in taxable debt securities.

Include funds that specialize in:

U.S. Treasury and U.S. Government agency debt.
Investment grade corporate bonds.
High-yield debt securities.
Mortgage-related securities.
Global, international, and emerging market debt funds.

Do not include funds that invest in:

Municipal bonds; report these on FS650 and FS655.
Funds that qualify as short-term investments that should be reported on FS660 and FS665.

FS650 and FS655: Municipal Bond

Report funds investing in debt securities issued by states and political subdivisions in the U.S. Such securities may be taxable or tax-exempt. Include funds that invest in municipal debt issues from a single state. Do not include funds that qualify as short-term investments that should be reported on FS660 and FS665.

FS660 and FS665: Short Term Investments/Money Market

Report funds that invest in short-term, money market instruments with an average portfolio maturity that is limited to 90 days with individual securities limited to maturities of 13 months or less. Money market instruments may include U.S. Treasury bills, commercial paper, bankers’ acceptances, and repurchase agreements. Include taxable and nontaxable funds.

FS670 and FS675: Specialty/Other

Report funds that specialize in equity securities of particular sectors, such as technology, health care, financial, or real estate. Also report funds that do not fit into any of the above categories.

FS60 AND FS65: TOTAL COLLECTIVE INVESTMENT FUNDS

The EFS software will compute these lines as the sum of FS610 through FS670 and the sum of FS615 through FS675.

FIDUCIARY SETTLEMENTS, SURCHARGES, AND OTHER LOSSES (CALENDAR YEAR-TO-DATE)

Report for the calendar year-to-date all aggregate gross settlements, surcharges, and other losses arising from errors, misfeasance, or malfeasance on managed accounts on FS710, FS720, FS730, and FS740 and on nonmanaged accounts, including custody and safekeeping accounts on FS711, FS721, FS731, and FS741. Gross losses should reflect losses recognized on an accrual basis before recoveries or insurance payments. Do not include fiduciary related contingent losses, including those for pending or threatened litigation.

Report recoveries on FS712, FS722, FS732, and FS742. Recoveries may be for current or prior years’ losses and should be reported when payment is actually realized, not upon the filing of an insurance claim.

The information reported on FS710 through FS72 on fiduciary settlements, surcharges, and other losses will not be made available to the public on an individual association basis.

FS710 through FS712: Personal Trust and Agency Accounts

Report gross losses and recoveries for managed and nonmanaged personal trust and agency accounts.

FS720 through FS722: Retirement Related Trust and Agency Accounts

Report gross losses and recoveries for managed and nonmanaged retirement related trust or agency accounts. Include gross losses and recoveries for all defined contribution, defined benefit, and other retirement accounts.

FS730 through FS732: Investment Management Agency Accounts

Report gross losses and recoveries for investment management agency accounts.

FS740 through FS742: Other Fiduciary Accounts and Related Services

Report gross losses and recoveries for all other fiduciary accounts and related services that are not included in FS710 through FS732. Include losses and recoveries from corporate trust and agency accounts, other fiduciary accounts, custody and safekeeping accounts, and other fiduciary related service accounts.

FS70 THROUGH FS72: TOTAL FIDUCIARY SETTLEMENTS, SURCHARGES, AND OTHER LOSSES

The EFS software will compute these lines as the sum of FS710 through FS740, FS711 through FS741, and FS712 through FS742. The sum of FS70 and FS71 minus FS72 must equal FS392.

THIS PAGE INTENTIONALLY LEFT BLANK

SCHEDULE HC — THRIFT HOLDING COMPANY

GENERAL INSTRUCTIONS

Complete this schedule if you are owned by a thrift holding company, except if your holding company is a registered Bank Holding Company supervised by the Federal Reserve. If your holding company owns more than one thrift institution, we will advise you which institution should file this report. We will also advise you which holding company(ies) to report if you are owned by more than one. You should continue to report for each holding company designated until advised otherwise.

Unless otherwise instructed, report all dollar amounts in accordance with GAAP for each designated holding company filing Schedule HC. (See the note below for insurance companies preparing financial statements under statutory accounting principles.) Where it is appropriate under GAAP to consolidate one or more of the holding company’s subsidiaries (which may or may not include your thrift), the amounts in the “Consolidated” column should reflect consolidation of those subsidiaries. The amounts in the “Parent Only” column must reflect the holding company’s investment in subsidiaries and the operations of those subsidiaries, under the equity method of accounting. Subsidiary operations, as a component of the investment account, would include dividends, earnings, and other activity updated on a quarterly basis. In the infrequent circumstance where it is not appropriate under GAAP to consolidate any of the holding company’s subsidiaries – such as a designated holding company filing Schedule HC that is a noncontrolling shareholder of the thrift and controls no other subsidiaries – the amounts in the “Consolidated” column should be left blank.

If the holding company has a quarter end other than a calendar quarter end, you may use data from the fiscal quarter ending within the reporting calendar quarter. For example, if the holding company’s fiscal year end is October, its fiscal quarter ends are January, April, July, and October. You should use its fiscal quarter ending January 31 for the March 31 TFR, April 30 for June 30, July 31 for September 30, and October 31 for December 31.

If your holding company is an insurance company, and does not prepare financial statements for external use in conformity with GAAP, you may file data from financial statements prepared in conformity with statutory accounting principles in the “Parent Only” column. If periodic consolidated financial statements are prepared under GAAP – such as for annual reports to policyholders – data from these statements should be used in filing Schedule HC in the appropriate “Consolidated” and “Parent Only” columns.

You must file Schedule HC no later than the 45^th day following the end of the calendar quarter. We do not make public Schedule HC data for individual holding companies. We do make public aggregate data for Schedule HC.

HC100: HOLDING COMPANY NUMBER

Report the OTS docket number of the holding company for which you are reporting. All holding company docket numbers begin with an H.

HC110: FISCAL YEAR END

Enter the month of your current fiscal year-end for audited financial statement purposes. In some cases this may not correspond to the tax year-end.

HC125: STOCK EXCHANGE TICKER SYMBOL

List the symbol if the stock of the holding company is traded on a public exchange.

HC130: SEC FILE NUMBER

If the holding company must file periodic securities disclosure documents with the SEC pursuant to the Securities Exchange Act of 1934, report the SEC file number. Examples of disclosure documents are Form 10-K and Form 10-Q.

If the reporting holding company does not file periodic securities disclosure documents with the SEC but its parent or top tier holding company does file, you should report the SEC file number of that parent or top tier holding company.

HC140: WEBSITE ADDRESS

If one exists, report the Internet address of the reporting holding company or of the appropriate entity within the corporate structure where publicly available financial information is available.

PARENT ONLY

The parent holding company is an entity within the corporate structure. Parent-only reporting reflects the activities of the holding company. The parent activities are often limited to ownership of subsidiaries, financing activities and administrative activities. The parent records investments in subsidiaries as an investment or under the equity method as prescribed by GAAP. On a parent only basis, intragroup transactions are not eliminated.

HC210: TOTAL ASSETS

Report total assets on a parent only basis. Report details for components included in Total Assets on HC310 through HC370.

HC220: TOTAL LIABILITIES

Report total liabilities on a parent only basis. Report details for components included in Total Liabilities on HC410 through HC460.

HC240: TOTAL EQUITY

Report total equity on a parent only basis. Include the holding company’s portion of current subsidiary earnings (including the thrift) and other comprehensive income in equity of the parent. Generally, parent only Total Equity should be equal to Total Consolidated Equity (HC630). If HC240 and HC630 are not equal, explain the difference in a user note.

HC250 NET INCOME FOR THE QUARTER

Report net income for the quarter. Include the parent holding company’s proportionate share of any thrift institution subsidiary’s income for that quarter. Income should not be left blank.

INCLUDED IN TOTAL ASSETS:

RECEIVABLE FROM SUBSIDIARIES:

HC310: Thrift

Report the holding company’s receivable from thrift subsidiaries, which is sometimes referred to as “advances to” or “due from.” Include certain ESOP borrowings reflected on the thrift’s books that are reported as receivables on a parent only basis.

HC320: Other Subsidiaries

Report the holding company’s receivable from subsidiaries other than thrift subsidiaries, which is sometimes referred to as “advances to” or “due from”.

INVESTMENT IN SUBSIDIARIES:

HC330: Thrift

Report the holding company’s direct investment in thrift subsidiaries in a manner that reflects the equity method of accounting. If you are wholly owned, this line should equal your equity (SC80).

Report zero if this holding company is not the direct owner of the thrift.

HC340: Other Subsidiaries

Report the holding company’s investment in subsidiaries other than thrift subsidiaries in a manner that reflects the equity method of accounting. If this holding company is not the direct owner of the thrift, report the holding company’s investment in the mid-tier holding company.

INTANGIBLE ASSETS

HC350: MORTGAGE SERVICING ASSETS

Report the carrying amount of mortgage servicing assets.

HC360: NONMORTGAGE SERVICING ASSETS AND OTHER

Report the balance of the parent’s nonmortgage servicing assets and other intangible assets.

Include on this line the following intangible assets taken from examples provided in FASB Statement No.

141:

Goodwill.
Customer relationships and customer lists, including core deposit premiums.
Employment agreements.
Noncompete agreements.
Lease agreements.
Computer software costs.

HC370: DEFERRED POLICY ACQUISITION COSTS

Report deferred policy acquisition costs (DPAC) incurred by insurance companies. DPAC includes variable acquisition costs such as commissions and underwriting and policy issuance expenses related to both new and renewal insurance policies and annuities.

INCLUDED IN TOTAL LIABILITIES (EXCLUDING DEPOSITS):

Borrowings, as the term is used here, means short-term or long-term debt, negotiated with specified terms, usually including interest rates and repayment dates. Borrowings exclude deposits and transactional liabilities, such as accounts payable, income taxes payable, and accrued liabilities.

PAYABLE TO SUBSIDIARIES:

Thrift Subsidiaries:

HC410: Transactional

Report the holding company’s payable to thrift subsidiaries, which is sometimes referred to as “advances from” or “due to”. Do not include amounts reported on HC420.

HC420: Debt

Report the amount of borrowings the holding company owes to the reporting thrift. Do not include amounts reported on HC410.

Other Subsidiaries:

HC430: Transactional

Report the holding company’s payable to subsidiaries other than thrift subsidiaries, which is sometimes referred to as “advances from” or “due to”. Do not include amounts reported on HC440.

HC440: Debt

Report the balance of the holding company's borrowings from its subsidiaries other than thrift subsidiaries. Do not include amounts reported on HC430 and HC445.

HC445: TRUST PREFERRED INSTRUMENTS

Trust preferred securities are typically issued to third party investors by a wholly owned trust of the holding company. The holding company typically borrows from the trust substantially all the net proceeds from issuance of the trust preferred securities. For parent only reporting, report the balance of the holding company's borrowings from the trust that issued the trust preferred securities.

Where the holding company's financial statements do not reflect consolidation of the financial statements of the trust that issued the trust preferred securities, the amounts in HC445 and HC 670 should be equal. If the trust is consolidated, report on HC 670 the balance of the trust preferred instruments.

HC450: OTHER DEBT MATURING IN 12 MONTHS OR LESS

Report all borrowings excluding deposits, payable to subsidiaries, and trust preferred securities that you would classify as current liabilities if the holding company were to present a classified balance sheet. Include such borrowings that, within the next 12 months, either (1) contractually mature; (2) are callable at the option of the lender; or (3) otherwise become due and payable.

Callable, as the term is used here, refers to an option by the lender to require repayment of the borrowing before its contractual maturity.

A classified balance sheet is one that includes subtotals for current assets and current liabilities. Most thrift holding companies do not present a classified balance sheet. However, for purposes of HC450/HC680 and HC460/HC690, classify all borrowings as either current or noncurrent. The parameters of current liabilities are detailed in Accounting Research Bulletin No. 43, Restatement and Revision of Accounting Research Bulletins, Chapter 3A, as revised by SFAS No. 78, Classification of Obligations That Are Callable by the Creditor.

Example: A holding company’s borrowings, on a consolidated basis, include a FHLBank advance where the contractual maturity date is beyond the next 12 months. However, beginning on a date within the next 12 months, the FHLBank may exercise its option to require immediate repayment of the advance. You should include that advance in line HC450/HC680.

HC460: OTHER DEBT MATURING IN MORE THAN 12 MONTHS

Report all borrowings (other than payables to subsidiaries and trust preferred securities) except:

Debt maturing in 12 months or less reported on HC450/HC680.
Deposit and escrow liabilities held by you or any other subsidiary depository institution.

REFLECTED IN NET INCOME FOR THE QUARTER:

DIVIDENDS

As stated in the General Instructions to Schedule HC, the amounts in the “Parent Only” column should reflect the holding company’s investment in subsidiaries, and the operations of those subsidiaries, under the equity method of accounting. Consistent with those instructions, the holding company’s net income on a “Parent Only” basis, as reported on HC250, should reflect the holding company’s equity in net income or loss of its subsidiaries. Typically, such income or loss is presented as two separate components:

Dividends from subsidiaries – that is, the distributed component, and
Equity in undistributed income or loss of subsidiaries.

Accordingly, report on HC525 and HC535 the dividends-from-subsidiaries component of the holding company’s equity in income or loss of its directly owned subsidiaries. For example, assume that the holding company’s equity in the net income of its thrift subsidiary is $10

million; and that dividends declared by, and received from, the subsidiary are $3 million. The holding company’s net income on a parent only basis reported on HC250, “Net Income for the Quarter”, would include the $10 million. The holding company would report the $3 million on HC525. Note that the holding company’s $7 million ($10 million - $3 million) undistributed income component of its equity in income of the thrift subsidiary would not be reported separately on Schedule HC.

HC525: From Thrift Subsidiaries

Report dividends from thrift subsidiaries in which you have direct ownership. Such dividends should be recognized by the holding company under the equity method of accounting.

HC535: From Other Subsidiaries

Report dividends from non-thrift subsidiaries recognized by the holding company under the equity method of accounting.

INTEREST EXPENSE

HC545: TRUST PREFERRED INSTRUMENTS

Report interest expense from borrowings from the trust that issues the trust preferred instruments.

HC555: ALL OTHER DEBT

Report interest expense, excluding interest expense on trust-preferred instruments and on deposit and escrow liabilities held by a subsidiary depository institution.

HC565: NET CASH FLOW FROM OPERATIONS FOR THE QUARTER

Report the net increase or decrease in cash and cash equivalents from operating activities for the quarter, as it would appear in a statement of cash flows prepared in accordance with FASB No. 95. Do not include any change in cash and cash equivalents from investing and financing activities.

CONSOLIDATED

Prepare the consolidated amounts on Schedule HC in accordance with GAAP unless specifically stated otherwise. All data is reported as of the end of the quarter, or in the case of income, expense, and other activity data, for the period of one calendar quarter. Report subsidiaries that are not GAAP-consolidated subsidiaries using the equity method of accounting.

HC600: Total Assets

Report total consolidated assets. Report details for components included in Total Assets on HC650 through HC660.

HC610: Total Liabilities

Report total consolidated liabilities. Report details for components included in Total Liabilities on HC670 through HC690.

HC620: NONCONTROLLING INTERESTS IN CONSOLIDATED SUBSIDIARIES

Include:

1. Common and perpetual preferred stock issued by the holding company’s consolidated
subsidiaries to third parties constituting a noncontrolling interest.

For any net income or loss attributable to a noncontrolling interest in a consolidated subsidiary, see the instructions for HC640, Net Income (Loss) Attributable to Holding Company.

Do not include:

Mandatorily redeemable preferred stock that should be classified as a liability. Report on HC610, Liabilities.
Redeemable and perpetual preferred stock that was issued by consolidated subsidiaries and is owned by the holding company or its other subsidiaries as an investment asset. When making consolidating entries, eliminate the preferred stock of the consolidated subsidiary.

HC630: TOTAL EQUITY

Report total equity on a consolidated basis. Include perpetual preferred stock, common stock, accumulated other comprehensive income, retained earnings, other components of equity capital, and noncontrolling interests in consolidated subsidiaries. Generally, Total Equity on this line should be equal to Total Equity on HC240 plus Noncontrolling Interests in Consolidated Subsidiaries on HC620. If this is not the case, explain the difference in a user note.

HC635: NET INCOME (LOSS) ATTRIBUTABLE TO HOLDING COMPANY AND NONCONTROLLING INTERESTS

Report net income or loss on a consolidated basis, including the net income or loss attributable to noncontrolling interests in consolidated subsidiaries.

HC640: NET INCOME (LOSS) ATTRIBUTABLE TO HOLDING COMPANY

Report net income or loss on a consolidated basis attributable to the holding company only; that is, without regard to the net income or loss attributable to noncontrolling interests in consolidated subsidiaries.

HC650: Mortgage Servicing Assets

Report servicing assets on mortgage loans only.

HC655: Nonmortgage Servicing Assets and Other

Report servicing assets of loans other than mortgages, such as automobile and credit card loans.

HC660: Deferred Policy Acquisition Costs

HC670: Trust Preferred Instruments

Where the holding company's financial statements reflect consolidation of the financial statements of the trust that issued the trust preferred securities, report the balance of the trust preferred securities - not the balance of the holding company's borrowings from the trust. Where the trust's financial statements are consolidated with those of the holding company, the holding company's borrowings from the trust are eliminated in consolidation. Refer to HC445 for additional information on reporting of Trust Preferred Instruments. Where the holding company’s financial statements do not reflect consolidation of the financial statements, report the balance of the holding company borrowings from the trust.

HC680: Other Debt Maturing in 12 Months or Less

Report other debt (on a consolidated basis) that will mature in less than 12 months. If a direct thrift ownership by the parent exists, then this line should include the proportionate ownership of FHLB advances, repurchase agreements, and most of the items that would meet the definition of borrowings as reported on SC72 at the thrift level. Inter-company accounts should be eliminated through consolidation. See HC450 for further explanation.

HC690: OTHER DEBT MATURING IN MORE THAN 12 MONTHS

Report other debt (on a consolidated basis), that will mature in more than 12 months. If a direct thrift ownership by the parent exists, then this line should include the proportionate ownership of FHLB advances, repurchase agreements, and most of the items that would meet the definition of borrowings as reported on SC72 at the thrift level. Inter-company accounts should be eliminated through consolidation. See HC460 for further explanation.

INTEREST EXPENSE:

HC710: Trust Preferred Instruments

Where the holding company's financial statements do not reflect consolidation of the financial statements of the trust that issued the trust preferred instruments, report interest expense on the trust preferred instruments (this means that HC445 and HC670 will be equal). If the trust is consolidated, report on HC710 the dividends paid on the trust preferred instruments – not the interest expense on the holding company’s borrowings from the trust. Report Interest Expense on Trust Preferred Instruments. When the financial statements are consolidated with those of the holding company, the interest expense on the holding company's borrowings from the is eliminated in consolidation.

Where the holding company's financial statements reflect consolidation of the financial statements entity that issued the trust preferred securities, report on HC710 the dividends paid on the trust preferred securities - not the interest expense on the holding company's borrowings from the trust.

HC720: All Other Debt

Report Interest Expense on All Other Debt.

CASH FLOW:

HC730: Net Cash Flow from Operations for the Quarter

Report the net increase or decrease in cash and cash equivalents from operating activities for the quarter, as it would appear in a statement of cash flows prepared in accordance with FASB No. 95. Do not include any change in cash and cash equivalents from investing and financing activities.

SUPPLEMENTAL QUESTIONS

Answer Supplemental Questions (HC810 through HC880) for each designated holding company and its subsidiaries for activities that occurred during the quarter. HC810 through HC875 require either a Yes or No answer. HC876 through HC880 may be left blank if not applicable.

For purposes of the Supplemental Questions only (HC810 through HC880):

A subsidiary means any company which is owned or controlled directly or indirectly by a person, and includes any service corporation owned in whole or in part by a savings association, or a subsidiary of such service corporation. As the term is used here, a “subsidiary” may be a company whose assets and liabilities are not consolidated with those of the holding company.

A significant subsidiary is a subsidiary that meets any of the following criteria:

Accounts for five percent or more of the consolidated assets of the company
Accounts for five percent or more of the consolidated gross revenue of the company
Engages in transactions with the thrift.

HC810: Have any significant subsidiaries of the holding company been formed, sold, or dissolved during the quarter?

Check Yes only if this activity occurred during this quarter. Do not include any organizational structure changes that occurred during a prior period. A significant subsidiary accounts for five percent or more of the consolidated assets of the structure or five percent or more of the consolidated gross revenue of the structure, or engages in covered transactions with the thrift as described in §563.41. If you are an insurance company, do not include a response for activity in Separate Accounts.

Is the holding company or any of its subsidiaries:

Check Yes for each that may apply to any organization within the holding company structure, including the holding company itself. More than one may be checked if appropriate. Answer No if not applicable.

HC815: A broker or dealer registered under the Securities Exchange Act of 1934?

HC820: An investment adviser regulated by the Securities Exchange Commission or any State?

HC825: An investment company registered under the Investment Company Act of 1940?

HC830: An insurance company subject to supervision by a State insurance regulator?

HC835: Subject to regulation by the Commodity Futures Trading Commission?

HC840: Regulated by a foreign financial services regulator?

HC845: Has the holding company appointed any new senior executive officers or directors during the quarter?

Check Yes if there has been a change during the quarter.

HC850: Has the holding company or any of its subsidiaries entered into a new pledge, or changed the terms and conditions of any existing pledge, of capital stock of any subsidiary savings association that secures short-term or long-term debt or other borrowings of the holding company?

Check Yes if there has been a change during the quarter.

HC855: Has the holding company or any of its subsidiaries implemented changes to any class of securities that would negatively impact investors?

Check Yes if there has been a change during the quarter. Examples of a change that could negatively impact investors could include, but is not limited to: default, collateral substitution, changes in repayment dates, interest dates, voting rights, or conversion options.

HC860: Has there been any default in the payment of principal, interest, a sinking or purchase fund installment, or any other default of the holding company or any of its subsidiaries during the quarter?

Check Yes if there has been a default during the quarter.

HC865: Has there been a change in the holding company’s independent auditors during the quarter?

Check Yes if there has been a change during the quarter.

HC870: Has there been a change in the holding company’s fiscal year-end during the quarter?

Check Yes if there has been a change during the quarter.

HC875: Does the holding company or any of its GAAP consolidated subsidiaries (other than the reporting thrift) control other U. S. depository institutions?

Check Yes if the holding company controls a U. S. depository institution (federal or state chartered) and it is included in its consolidated financial statements.

HC876 Through HC880: If located in the U.S. or its territories, provide the FDIC certificate number:

If the answer to HC875 is Yes, list the five digit FDIC certificate number for each institution. If the answer to HC875 is No, the lines should be left blank.

THIS PAGE INTENTIONALLY LEFT BLANK

SCHEDULE CSS — SUBORDINATE ORGANIZATION SCHEDULE

Complete this schedule annually using data as of December 31.

Report data for those subordinate organizations that you own directly or indirectly that meet one or more of the following criteria:

The gross revenue of the consolidated subordinate organization is 5% or more of the gross revenue of the consolidated thrift (gross revenue is defined as the total of Interest Income and Noninterest Income); or
The total assets of the consolidated subordinate organization are 5% or more of the consolidated thrift assets; or
The consolidated subordinate organization is regulated by a state insurance department, the Securities and Exchange Commission, or the Commodity Futures Trading Commission; or
The Regional Director deems there is a supervisory reason for requiring the reporting of a subordinate organization.

You may, but are not required to, include subordinate organizations that do not meet the above criteria. Include subsidiary depository institutions. Do not include ownership interest in entities designated as pass-through investments as described in 12 CFR § 560.32.

CSS010: ENTITY TAX ID #

Report the taxpayer identification number, EIN, of the entity.

CSS020: ENTITY NAME

Report the legal name of the entity and all active “doing business as” (DBA) names used for the entity. The TFR filing software has been modified with an entry feature to report CBA names. Do not preface the DBA name with “d/b/a” or other introductions.

CSS025: STREET ADDRESS

Report the street address of the entity’s headquarters, if located within the United States or its possessions. If the entity’s headquarters is located in a foreign country, report the street address and city

– abbreviate if necessary.

CSS030: CITY

Report the city where the entity has its headquarters, if located within the U.S. or its possessions. The city must correspond to the street address reported on CSS025. If the entity’s headquarters is located within a foreign country, report only the name of that country.

CSS040: STATE

Report the abbreviation for the state in which the headquarters of the entity is located. The state must correspond to the city reported on CSS030. Report 99 if located in a foreign country.

CSS045: ZIP CODE

Report the zip code for the entity’s headquarters. The zip code must correspond to the address reported on CSS025 through CSS040. Report 99999 if the headquarters is located within a foreign country that does not have a five-digit zip code.

CSS050: OTS DOCKET NUMBER OR TAX ID # OF IMMEDIATE PARENT

For first-tier subordinate organizations or a depository institution that you own directly or indirectly, report the docket number of the parent savings association. For lower-tier entities, as defined in 12 CFR § 559.2, report the taxpayer identification number, EIN, of the immediate parent of the entity within your organizational structure. For lower-tier entities, the taxpayer ID number entered here will also appear as a taxpayer ID number on CSS010.

If two or more entities in your tier structure own a subordinate organization, report the taxpayer ID number of the parent with the largest percent ownership. If two or more parents in your tier structure have the same percent ownership, choose one and report the taxpayer ID number for the parent chosen.

CSS060: NAME OF IMMEDIATE PARENT

Report the legal name of the immediate parent reported on CSS050.

CSS070: % OWNERSHIP BY IMMEDIATE PARENT

Report the percent ownership by the immediate parent reported in CSS050 and CSS060. Report the number as a whole-number percentage – report 2/3’s as 67 not as 0.67 or 66.7.

CSS080: TYPE OF ENTITY

Report the code for the type of entity described below.

Code 11 Operating Subsidiary, Including entities formerly defined as finance subsidiaries

Operating subsidiary as defined in 12 CFR § 559.2 as any entity that satisfies all of the requirements for an operating subsidiary under 12 CFR § 559.3 and that is designated as an operating subsidiary by the parent savings association. A federal savings association must own, directly or indirectly, more than 50 percent of the voting shares of an operating subsidiary, and no other person or entity may exercise effective operating control. An operating subsidiary may only engage in activities permissible for a federal savings association.

Do not include entities that meet the criteria for a lower-tier operating subsidiary. Report these entities as Code 12.

Code 12 Lower-tier Operating Subsidiary

An operating subsidiary as defined under Code 11 that you own indirectly.

Code 13 Service Corporation

A service corporation is any entity that satisfies all of the requirements for service corporations in 12

U.S.C. § 1464(c)(4)(B) of the Home Owners’ Loan Act and 12 CFR § 559.3 and that is designated as a service corporation by the investing savings association.

Code 14 Lower-tier Entity Qualifying as a Subsidiary

As defined in 12 CFR § 559.2, a lower-tier entity includes any company in which an operating subsidiary or a service corporation has a direct or indirect ownership interest. A lower-tier entity qualifies as a subsidiary if you directly or indirectly control the entity. Control is defined in 12 CFR § 574.

Do not include entities that do not meet the criteria for subsidiary. Report such entities as Code 15, Lower-tier Entity Not Qualifying as a Subsidiary.

Code 15 Lower-tier Entity not Qualifying as a Subsidiary

A lower-tier entity, defined in 12 CFR § 559.2, does not qualify as a subsidiary if you do not control it directly or indirectly. Control is defined in 12 CFR § 574.

CSS100 THROUGH CSS103: TYPE OF BUSINESS

Report the code that describes the type of activity(ies) in which the entity engages up to a maximum of four. If the entity engages in more than one activity, report the functionally regulated activities first. List other activities in descending order, beginning with the entity that generates the largest revenue.

Code 01 – 29 Not Used

Securities Brokerage and Investment Advisory Operations

Code 30 Registered Broker or Dealer (Functionally Regulated)

Subordinate organizations that are registered securities brokers and dealers with the Securities and Exchange Commission (SEC) to effect securities transactions or buy and sell securities. Note: Do not use this code to report a subordinate organization that has an arrangement, contractual or otherwise, with a registered securities broker/dealer. See Code 34.

Code 31 Registered Investment Advisor (Functionally Regulated)

Subordinate organizations that are registered as investment advisors with the SEC or a state. Do not use this code if the thrift itself is registered as an investment advisor. Note: Do not use this code to report arrangements, contractual or otherwise, that the thrift or the subordinate organization may have with an affiliated or unaffiliated investment adviser to sell nondeposit investment products to your retail customers.

Code 32 Registered Investment Company (Functionally Regulated)

Subordinate organizations that are registered as investment companies with the SEC under the Investment Company Act of 1940. Registered investment companies are primarily referred to as mutual funds.

Code 33 Commodities Firms/Brokers (Functionally Regulated)

Subordinate organizations that engage in commodities transactions and are regulated by the Commodities Futures Trading Commission (CFTC).

Code 34 Third Party Nondeposit Investment Product Sales or Referral Program

Subordinate organizations that contract with a affiliated or unaffiliated investment adviser, broker-dealer, or other entity to market and sell nondeposit investment products or investment advisory or related services to retail customers. Do not use this code if the subordinate organization has trust powers issued by OTS or another entity.

Note: Do not include subordinate organizations that are broker-dealers, mutual funds, or registered investment advisers (see Codes 30-32) or insurance sales operations (see Codes 35-37).

Insurance Operations

Code 35 Insurance Agency (Functionally Regulated)

Subordinate organizations that are insurance agencies licensed and regulated by individual states.

Note: Do not use this code to report organizations that do either of the following:

Offer insurance products or services indirectly through an arrangement with an insurance
company. See Code 37.
Underwrite insurance. See Code 36.

Code 36 Insurance Underwriting (Functionally Regulated)

Subordinate organizations that engage directly, not through a third party, in the business of insurance underwriting, including reinsurance.

Note: Do not include organizations that only engage in insurance agency operations – see Code 35 – or third party insurance sales arrangements. See Code 37.

Code 37 Third Party Insurance Sales or Referral Programs or Other Non-functionally Regulated Insurance Operations

Subordinate organizations that contract with an affiliated or unaffiliated investment adviser, broker-dealer, or an entity to market or sell insurance products and related services to retail customers. Do not use this code if the subordinate organization has trust powers issued by OTS or another entity.

Other Business Operations

Code 38 Subsidiary Depository Institution

Subordinate organizations that are also a depository institution - such as a federal savings association, state savings association, state savings bank, national bank, state chartered trust company that has FDIC insurance, or credit card bank.

Code 39 Lending

Subordinate organizations that engage in mortgage lending, commercial lending, consumer lending or mortgage banking activities. Include finance or capital leasing activities.

Code 40 General Leasing

Subordinate organizations that engage in general leasing activities. With general, operating, leases, the lessor is often responsible for the maintenance of the property.

Note: Include finance or capital leasing activities in lending, Code 39.

Code 41 Trust and Other Fiduciary-related Services

Subordinate organization that has been granted trust powers by OTS, OCC, or by a state and that engages in trust and asset management activities. Do not use this code if the thrift has been granted trust powers by OTS and engages in trust and asset management activities.

Note: If subordinate organization (not the thrift) is registered with the SEC or with a state as an investment advisor, report code 31.

Code 42 Unused

This code is no longer a valid type-of-business code.

Code 43 Real Estate Development and Related Activities (Except Community Development-Related Investments)

Subordinate organizations that: (1) develop land or other real estate for sale or lease or property management or (2) acquire improved real estate or manufactured homes to be held for rental or resale, remodeling, renovating, or demolishing and rebuilding for sale or rental, or to be used for offices and related facilities of a stockholder of the subordinate organization.

Note: Do not include community development-related real estate investments and development activity. See Code 55.

Code 44 Management of Real Estate Owned and Other Repossessed Assets

Subordinate organizations that perform asset management and disposition services for real estate owned (REO) or other repossessed assets.

REO includes:

Real estate in judgment.
Real estate acquired through foreclosure.
In-substance foreclosures.
Real estate acquired through deed in lieu of foreclosure.
Real property exchanged for foreclosed real estate.

Code 45 Appraisal, Inspection Services

Subordinate organizations offering appraisal or inspection services.

Code 46 Real Estate Investment Trust

Subordinate organizations organized as a real estate investment trust (REIT).

Code 47 Agency Operations

Subordinate organizations that conduct activities in a custodial capacity, not as principal. An example would be real estate brokerage activities.

Note: Do not use this code if the subordinate organization is a broker-dealer, a registered investment adviser, or a mutual fund. Do not use this code if the thrift or subordinate organization has trust powers.

Code 48 Electronic Banking

Subordinate organizations that engage in e-commerce business, such as Internet access, on-line lending, web site bill payment or funds transfer, web site maintenance, account aggregation, finder services, online brokerage or maintenance of financial portals.

Code 49 Digital Certificate Authority

Subordinate organizations that engage in digital certificate authority services.

Code 50 Data Processing Service Provider

Subordinate organizations that provide data processing, data mining, or data warehousing services.

Code 51 Application (Software) Development

Subordinate organizations that engage in software development activities, such as new technologies or modeling techniques.

Code 52 Issuing Notes, Bonds, Debentures or Other Securities

Subordinate organizations that issue – directly or through a third party intermediary – notes, bonds, debentures, or other instruments/securities. Do not include organizations that only issue preferred securities. See Code 53.

Code 53 Issuing Preferred Securities

Subordinate organizations that issue preferred securities, such as trust-preferred or REIT-preferred securities.

Community Development-related Operations

Code 54 Investments in a Small Business Investment Company

Subordinate organizations that invest in Small Business Investment Companies or New Market Venture Capital Companies licensed by the Small Business Administration.

Code 55 Investments in Community Development Related Real Estate

Subordinate organizations that invest in community development related real estate as authorized under HOLA 5(c)(3)(A), such as investments in low-income housing tax credit projects.

Code 56 Charitable Foundation

Subordinate organizations that establish a nonprofit organization recognized by the Internal Revenue Service as organized for charitable purposes.

Note: Do not utilize this code if the thrift or subordinate organization provides services to charitable foundations and receives a fee or when it has trust powers.

Code 57 Investments in Entities Authorized by Statute to Promote Community Development

Subordinate organizations that make investments in entities authorized by statute to promote community, inner city, and community development purposes, such as investments in Community Development Financial Institutions.

Code 58 Other Community Development Investments

Subordinate organizations that make investments in either of the following:

Governmentally insured, guaranteed, subsidized or otherwise sponsored programs for housing, small farms, or businesses that are local in character.
Entities that meet the community development needs of, and primarily benefit, low-and moderate- income communities.

Other

Code 99 Other

Any activity not listed above.

CSS110: IDENTIFICATION NUMBER OF SUBSIDIARY DEPOSITORY INSTITUTION

If Code 38 is entered on CSS100 through CSS103, report the subsidiary depository institution’s OTS docket number. If there is no OTS docket number, report the FDIC certificate number.

CSS115: OTHER BUSINESS TYPE

If Code 99 is entered on CSS100 through CSS103, describe the type of activity in which the entity engages. This narrative is limited to twenty spaces.

CSS120: TOTAL ASSETS

Report the total assets of the entity as of the reporting date. Do not consolidate lower-tier entities. If total assets round to less than one thousand, enter a 1 in CSS120 and a corresponding entry in CSS130 or CSS140.

CSS130: TOTAL LIABILITIES

Report the total liabilities of the entity as of the reporting date. Do not consolidate lower-tier entities.

CSS140: TOTAL CAPITAL

Report the capital of the entity as of the reporting date. Do not consolidate lower-tier entities.

CSS150: NET INCOME (LOSS) FOR THE CALENDAR YEAR

Report the net income or loss of the entity on a stand-alone, unconsolidated, basis for the year ending December 31.

CSS160: GROSS COMMITMENTS AND CONTINGENT LIABILITIES

Report the outstanding gross commitments and contingent liabilities, including all transactions with affiliates.

Include:

Gross commitments to originate, sell or purchase loans and securities.
Gross commitments to purchase or sell real estate.
Loans-in-Process, loans closed, but not yet disbursed.
Unused lines of credit.
Total contingent liabilities.

Examples of contingent liabilities include:

Guarantees of indebtedness to others.
Standby letters of credit.
Loans sold with recourse.
Litigation claims or assessments.

CSS200: TRANSACTIONAL INTERNET BANKING WEB SITE, AS DEFINED IN 12 CFR 555.300(B)

If you have a transactional Internet banking web site, report that web site address. Transactional Internet banking web sites are defined in 12 CFR 555.300(b).

CSS210: IS THIS ENTITY A GAAP-CONSOLIDATED SUBSIDIARY OF THE PARENT SAVINGS ASSOCIATION?

Respond Yes if this entity is a GAAP-consolidated subsidiary of the parent savings association and is consolidated with the parent savings association in Schedule SC.

SCHEDULE CCR — CONSOLIDATED CAPITAL REQUIREMENT

GENERAL INSTRUCTIONS

OTS-regulated savings associations must comply with two overlapping sets of regulatory capital standards listed below:

12 CFR § 567, Capital (FIRREA)

Tangible capital: The minimum ratio, as a percent of tangible assets, is 1.5 percent.
Core or leverage capital: The minimum ratio, as a percent of adjusted total assets, is 3 percent for savings associations assigned a composite CAMELS rating of ”1”, and 4 percent for all other savings associations.
Risk-based capital: The minimum ratio, as a percent of risk-weighted assets, is 8 percent.

12 CFR § 565, Prompt Corrective Action (FDICIA)

Tangible equity: Savings associations with tangible equity equal to or less than 2 percent of tangible assets are critically undercapitalized.

Tier 1 or leverage capital: Savings associations are adequately capitalized or well capitalized if
the minimum ratios, as a percent of adjusted total assets, are 4 percent or 5 percent, respectively. Note: § 567 contains an exception to these standards.

Tier 1 risk-based capital: Savings associations are adequately capitalized or well capitalized if the minimum ratios, as a percent of risk-weighted assets, are 4 percent or 6 percent, respectively.
Total risk-based capital: Savings associations are adequately capitalized or well capitalized if the minimum ratios, as a percent of risk-weighted assets, are 8 percent or 10 percent, respectively.

Note: The following paragraph refers to numbers 1 through 7 above.

Schedule CCR - Consolidated Capital Requirement uses the following conventions:

Tangible capital (FIRREA) [See 1 above.]
Schedule CCR does not include this measure because the minimum ratio is no longer considered a meaningful limitation for most savings associations.

Tangible equity (FDICIA) [See 4 above.]
CCR840 reports the calculated tangible equity ratio.

Core or leverage capital (FIRREA) [See 2 above.] and Tier 1 or leverage capital (FDICIA) [See 5
above.]
Schedule CCR treats these two measurements as one and refers to them as Tier 1 (core) capital.
CCR810 reports the actual ratio. An adequately capitalized savings association must have a
minimum Tier 1(core) capital ratio of 4 percent. CCR20 reports the calculated amount.

Tier 1 risk-based capital (FDCIA) [See 6 above.]
CR830 reports the calculated ratio.
Risk-based capital (FIRREA) [See 3 above.] and total risk-based capital (FDICIA) [See 7 above.] Schedule CCR treats these two measurements as one and refers to them as total risk-based

capital. CCR820 reports the calculated ratio. An adequately capitalized savings association must have a minimum total risk-based capital ratio of 8 percent. CCR39 reports the calculated amount.

Generally, report all data on a consolidated basis with all subsidiaries that you would consolidate under GAAP, except as noted in these instructions.

Subsidiary: The term subsidiary means any corporation, partnership, business trust, joint venture, association, or similar organization where you, directly or indirectly, hold an ownership interest and consolidate the assets with yours for purposes of reporting under GAAP. Generally these are majority-owned subsidiaries.

This definition does not include ownership interests taken in satisfaction of debts previously contracted, provided you have not held the interest for more than five years, or a longer period if approved by OTS.

Generally, treat investments in entities not constituting subsidiaries under this definition as equity investments for capital purposes.

The following shows the regulatory capital treatment of debt and equity investments in subsidiaries and other subordinated organizations:

Consolidate includable subsidiaries in accordance with GAAP.
Deduct debt and equity investments in nonincludable subsidiaries in full (100 percent) from assets and capital. All previously applicable transition provisions have expired.
Deduct nonincludable equity investments in subordinate organizations constituting subsidiaries in

full (100 percent) in computing total capital for the total risk-based capital standard. Nonincludable subsidiaries: Generally include subsidiaries engaged as principal in activities not permissible for a national bank. The instructions for CCR105 define nonincludable subsidiaries.

Note: Do not consolidate subsidiaries with investments fully covered by the FDIC. Include all FDIC-covered assets in the zero percent risk-weight category, and report them on CCR409, Notes and Obligations of FDIC, Including Covered Assets.

These instructions deal with investments in mutual funds and certain asset pools based on the characteristics of the assets in the fund. Where the mutual fund holds various assets that have different risk weights under the capital requirement, risk weight the entire ownership interest in the mutual fund based on the category of the asset with the highest capital requirement – highest risk weight or subject to deduction. On a case-by-case basis, OTS may allow you to assign the portfolio proportionately to the various risk-weight categories based on the proportion of the risk-weight categories represented in the mutual fund. See 12 CFR § 567.6(a)(1)(vi)(C).

Lower-tier subsidiary: Subsidiaries where you do not directly hold an ownership interest. Rather, your service corporation or operating subsidiary directly or indirectly holds the ownership interest.

TIER 1 (CORE) CAPITAL REQUIREMENT

CALCULATION OF CORE (TIER 1) CAPITAL

CCR100: Total Equity Capital (SC84)

The EFS software generates this line from SC84, Total Equity Capital.

Explanatory Note:

Schedule CCR adjusts Equity Capital, CCR100 in calculating Tier 1 (core) capital according to the OTS capital rule. For example, the OTS capital rule does not include cumulative perpetual preferred stock in Tier 1 (core) capital. Furthermore, the OTS capital rule requires you to deduct debt and equity investments in nonincludable subsidiaries and certain other assets from total assets and equity capital in computing Tier 1 (core) capital. In addition, OTS’s capital rule reverses the adjustment to GAAP equity for unrealized gains and losses on available-for-sale (AFS) debt securities included in SC860 in computing Tier 1 (core) capital. However, you report marketable equity securities at the lower of cost or market for Tier 1 (core) capital purposes.

Deduct:

CCR105: Investments in, Advances to, and Noncontrolling Interests in Nonincludable Subsidiaries

Reduce Tier 1 (core) capital by your investment in, advances to, guaranteed obligations of, and noncontrolling interests in certain nonincludable subsidiaries. The general instructions to Schedule CCR define subsidiary.

In consolidation, you eliminate the investment and intercompany loan accounts of subsidiaries, and you establish the noncontrolling interests in subsidiaries on Schedule SC. Therefore, you must obtain the amount of the investment and advances from your books before consolidation (as well as the noncontrolling interests after consolidation). Calculate the investment using the equity method as prescribed by GAAP plus any loans, advances, guaranteed obligations, or other extensions of credit, whether secured or unsecured. Use negative investments to offset loans, guaranteed obligations, or advances to the same subsidiary, but do not reduce this line below zero. If you have a nonincludable subsidiary and the result on this line rounds to zero or is a negative amount, report a one to indicate that you have reported your nonincludable subsidiary.

Note: Report investments in subsidiaries and equity investments where the FDIC fully covers the investments on CCR409, zero percent risk weight: FDIC Covered Assets. This rule applies to your investment regardless of the business activity of such entity.

Nonincludable Subsidiaries

Section 5(f) of HOLA [12 USC 1464(t)(5)(A)] defines nonincludable subsidiaries as subsidiaries of a savings association that engage in activities impermissible for a national bank with the following exceptions:

Subsidiaries only engaged in impermissible activities as an agent for its customers where the subsidiary has no risk of loss.
Subsidiaries engaged solely in mortgage banking activities.
Insured depository institutions acquired as subsidiaries before May 1, 1989.
Subsidiaries of federal savings associations that existed on August 8, 1989, and were chartered before October 15, 1982, as a savings bank or cooperative bank under state law.
Subsidiaries of federal savings associations that existed on August 8, 1989, that acquired their principal assets from a savings association chartered before October 15, 1982, as a savings bank or cooperative bank under state law.

Generally, a subsidiary of a savings association is nonincludable if any of its unconsolidated assets are impermissible for a national bank. If any lower-tier subsidiary engages in impermissible activities or invests in an entity that engages in impermissible activities, but the first-tier subsidiary owned by the parent savings association does not directly engage in impermissible activities, the first-tier subsidiary is an includable subsidiary. Deduct only subsidiary’s investment in the nonincludable lower-tier subsidiary in computing the capital of the upper-tier subsidiary on an unconsolidated basis and in computing your consolidated capital. Deduct from total capital, equity investments of subsidiaries in lower-tier subordinate organizations that are not considered subsidiaries, if those equity investments are not permissible for national banks.

Fully deduct all nonincludable subsidiaries from capital.

You should report investments in and advances to nonincludable subsidiaries net of all general valuation allowances, specific valuation allowances, and charge-offs, as they have already reduced equity capital.

CCR115: Goodwill and Certain Other Intangible Assets

For some savings associations, this line may equal SC660. However, you may manually override this amount in certain cases. For purposes of regulatory capital only, you may elect to:

Reduce the amount Goodwill by any associated deferred tax liability.
Reduce Core Deposit Intangible Assets (CDIs) and Certain Other Intangible Assets acquired in a nontaxable business combination by any associated deferred tax liabilities.
You do not reduce the amount of Purchase Credit Card Relationships (PCCRs) by any

associated deferred tax liability. Report this as a positive amount. The EFS software will deduct this line from equity capital in calculating Tier 1 (core) capital.

Include:

Goodwill.
Core deposit intangible assets (CDIs).
Purchased credit card relationships (PCCRs).

Do not include:

Servicing assets.
Certain nonsecurity financial instruments accounted for under FASB Statement No. 125.
Net deferred tax assets.
Computer software (purchased and internally-developed).
Intangible pension assets.

CCR133: Disallowed Servicing Assets, Disallowed Deferred Tax Assets, Disallowed Residual Interests, and Other Disallowed Assets

Report this as a positive amount. The EFS software will deduct this line from equity capital in calculating Tier 1 (core) capital.

Disallowed Servicing Assets

You may include servicing assets reported on SC642 and SC644 in regulatory capital, subject to both of the following limitations:

1. For mortgage and nonmortgage servicing assets, and PCCRs, combined — include in capital the lesser of:

a.: 100 percent of Tier 1 (core) capital.
b.: 90 percent of fair value.
c.: 100 percent of reported amount.

2. For nonmortgage servicing assets and PCCRs, as a separate sub-limit — include in capital the lesser of the following:

a.: 25 percent of Tier 1 (core) capital.
b.: 90 percent of fair value.
c.: 100 percent of reported amount.

Accordingly, on CCR133, include the amount of servicing assets reported on SC642 and SC644 (that are not in a nonincludable subsidiary) and PCCRs included on SC660 that exceed the above limitations.

For purposes of the 25 percent and 100 percent of Tier 1 (core) capital limitations above, base the deduction on a Tier 1 (core) capital subtotal before the deduction. In addition, in computing the deduction for the 25 percent and 100 percent limitations, you may reduce the amount of servicing assets by any corresponding deferred tax liability.

Disallowed Deferred Tax Assets

If regulatory capital includes disallowed deferred tax assets, include the amount of the disallowed deferred tax assets on this line. To the extent that realizing deferred tax assets depends on your future taxable income (exclusive of reversing temporary differences and carryforwards), or your tax planning strategies, such deferred tax assets are limited for regulatory capital purposes to the lesser of the following:

1. The amount that you can realize within one year.

2. 10 percent of Tier 1 (core) capital. Accordingly, disallowed deferred tax assets is that amount includable in assets under GAAP, but not includable in regulatory capital pursuant to OTS policy. The deferred tax asset subject to the limitation is

the net deferred tax asset or liability included on Schedule SC, adjusted for the deferred tax asset or liability added to or subtracted from total assets related to the following:

Accumulated gains and losses on certain AFS securities and cash flow hedges on CCR280.
Goodwill and other intangible assets on CCR265 and CCR285.

3. Servicing assets on CCR270. Note: You can generally realize deferred tax assets without limitation from the following sources:

Taxes paid in prior carry-back years.
Future reversals of existing taxable temporary differences.

For purposes of the 10 percent of Tier 1 (core) capital limitation above, base the deduction on a Tier 1 (Core) capital subtotal before the deduction.

Disallowed Residual Interests

Include on this line that portion of credit-enhancing interest-only strips (as defined) reported on SI402 that must be deducted in computing Tier 1 capital, pursuant to 12 CFR Part 567. With certain exceptions provided for in the regulation, you must deduct from equity capital the amount of any credit-enhancing interest-only strips that exceeds 25% of Tier 1 capital before the deduction. In computing the deduction, you may reduce the amount by any corresponding deferred tax liability.

CCR134: Other

Report other items required to be deducted from Tier 1 Capital not included in CCR105 through CCR133.

Include the accumulated net increase in retained earnings (equity capital) resulting from certain net gains reported on SO485; specifically, those gains, net of losses, on liabilities carried at fair value, net of income taxes, that are attributable to changes in the savings association’s own creditworthiness.

Add:

CCR180: Accumulated Losses (Gains) on Certain Available-For-Sale

Securities and Cash Flow Hedges, Net of Taxes Report on this line:

1. Accumulated Unrealized Gains and Losses on Certain Available-for-Sale Securities

Equity capital on SC80 includes a separate component for accumulated, unrealized gains and losses, net of income taxes, on AFS securities. See SC860, Unrealized Gains (Losses) on Available-for-sale Securities. However, you cannot include most of that separate component of equity capital in regulatory capital, as specified below.

For regulatory capital purposes on Schedule CCR, but not for reporting purposes on Schedule SC:

Report aggregate AFS debt securities at amortized cost, not at fair value.
Report aggregate AFS equity securities at the lower of cost or fair value, not at fair value.

Report on CCR180 the amount on SC860, Unrealized Gains (Losses) on Available-for-Sale Securities, adjusted for losses on certain equity securities, as follows:

SC860, Unrealized Gains (Losses) on Available-for-Sale Securities
Plus: As a positive number, any portion of the amount on SC860 that represents unrealized losses on equity securities (but not debt securities), net of gains and net of income taxes.

2. Accumulated Gains and Losses Related to Qualifying Cash Flow Hedges

Equity capital on SC80 includes a separate component for accumulated gains and losses on qualifying cash flow hedges. See SC865, Gains (Losses) on Cash Flow Hedges. However, you cannot include that separate component of equity capital in regulatory capital.

Report the result on CCR180 as follows:

When the amount on this line represents gains, net of losses, report a negative number
reducing capital.
When the amount on this line represents losses, net of gains, report a positive number

increasing capital. Report the corresponding adjustment to assets on CCR280. See the instructions for CCR280 for additional information.

CCR185: Intangible Assets

Report PCCRs included on SC660.

CCR195: Other

Report other items permitted to be added to Tier 1 Capital that are not included in CCR180 through CCR190.

Include the accumulated net decrease in retained earnings (equity capital) resulting from certain net losses reported on SO485; specifically, those losses, net of gains, on liabilities carried at fair value, net of income taxes, that are attributable to changes in the savings association’s own creditworthiness.

CCR20: Tier 1 (Core) Capital

The EFS software will compute this line as follows: CCR100 less CCR105, CCR115, CCR133, and CCR134, plus CCR180, CCR185, and CCR195.

CALCULATION OF ADJUSTED TOTAL ASSETS

CCR205: Total Assets

Report total assets of the consolidated entity as reported on SC60, Total Assets. The EFS software will compute this line from SC60, Total Assets.

Deduct:

CCR260: Assets of "Nonincludable" Subsidiaries

Report the entire amount of the assets of nonincludable subsidiaries included in Schedule SC. For consolidated subsidiaries, this amount should equal total assets of the subsidiary less any assets eliminated in consolidation. For subsidiaries accounted for under the equity method, this amount should equal your investment account plus all advances to the subsidiary.

Report this as a positive amount. The EFS software will deduct this line from total assets in calculating Tier 1 (core) capital.

CCR265: Goodwill and Certain Other Intangible Assets

Generally, this line will equal SC660, Goodwill and Other Intangible Assets, with the exception of certain intangible assets such as intangible pension assets and computer software. Accordingly, the EFS software will automatically generate this line from SC660. However, if you have an intangible asset that is not required to be deducted from Tier 1 capital, such as intangible pension assets or capitalized computer software costs, you may change the generated amount.

• Goodwill

If you elect to reduce the amount of Goodwill by any associated deferred tax liability on CCR 115, then you must also reduce the amount of Goodwill on CCR 265 by the same amount.

• Certain Other Intangible Assets

Similarly, if you elect to reduce the amount of Certain Other Intangible Assets arising from nontaxable transactions by any associated deferred tax liability on CCR 115, then you must also reduce the amount of Certain Other Intangible Assets on CCR 265 by the same amount.

Report this as a positive amount. The EFS software will deduct this line from total assets in calculating Tier 1 (core) capital.

CCR270: Disallowed Servicing Assets, Disallowed Deferred Tax Assets, Disallowed Residual Interests, and Other Disallowed Assets

For most savings associations this line will equal CCR133. Accordingly, the EFS software will automatically generate this line from CCR133. However, this amount may change in certain cases. For example, deferred tax liabilities are deductible from servicing assets on CCR133, but are not deductible from servicing assets on CCR270. In which case you may override the generated amount.

Report this as a positive amount. The EFS software will deduct this line from total assets in calculating Tier 1 (core) capital.

CCR275: Other

Report other items required to be deducted from Adjusted Total Assets not included in CCR260 through CCR270.

Add:

CCR280: Accumulated Losses (Gains) on Certain Available-For-Sale

Securities and Cash Flow Hedges Report on this line:

1. Accumulated Unrealized Gains and Losses on Certain Available-for-Sale (AFS) Securities

Report amounts included in total assets for accumulated unrealized gains and losses on certain AFS securities, including any related component of income tax assets. Calculate the amount included on this line for unrealized gains and losses on certain AFS securities as follows:

The amount included in SC60, Total Assets, that corresponds to the separate component of equity capital on SC860.
Add to this amount: As a positive number, any amount included in SC60 that represents net unrealized losses on equity securities. That is, you include all unrealized gains and losses on available-for-sale securities included in assets except for those losses on equity securities.

2. Derivative Instruments Reported as Assets Related to Qualifying Cash Flow Hedges

Report amounts included in total assets for derivative instruments related to qualifying cash flow hedges, including any related component of income tax assets. Do not include derivative instruments reported as liabilities.

Report the result on CCR280 as follows:

When the amount on this line represents a net amount that increased assets reported on Schedule SC, report a negative number that will deduct this amount from total assets for regulatory capital purposes.
When the amount on this line represents a net amount that decreased assets reported on Schedule SC, report a positive number that will add this amount back to total assets for regulatory capital purposes.

Report the corresponding adjustment to equity capital on CCR180. See the instructions for CCR180 for additional information.

CCR285: Intangible Assets

For most savings associations, this line will equal CCR185; therefore, the EFS software will generate the amount from CCR185.

CCR290: Other

Report other items permitted to be added to Adjusted Total assets that are not included in CCR280 or CCR285.

CCR25: Adjusted Total Assets

The EFS software will compute this line as follows: CCR205 less CCR260, CCR265, CCR270, and CCR275 plus CCR280, CCR285 and CCR290.

CCR27: Tier 1 (Core) Capital Requirement

This represents the Tier 1 capital necessary for adequate capitalization pursuant to 12 CFR § 565.

The EFS software will compute this line as CCR25, Adjusted Total Assets, multiplied by four percent. If we have assigned you a composite CAMELS rating of one, you should override the calculated amount and report CCR25 multiplied by three percent.

If you have an individual minimum capital requirement (IMCR) set by OTS that requires the maintenance of a capital level in excess of the minimum requirement, you should override the calculated amount and report your IMCR.

This amount should never be less than three percent of CCR25.Total Risk-Based Capital Requirement:

CCR30: TIER 1 (CORE) CAPITAL

The EFS software will bring forward Tier 1 (core) capital from CCR20.

TIER 2 (SUPPLEMENTARY) CAPITAL

Under the OTS risk-based capital regulations, there are two types of capital: Tier 1 (core) capital and Tier 2 (supplementary) capital. Tier 2 (supplementary) capital includes certain specified instruments with characteristics of capital that do not qualify as Tier 1 (core) capital. You may include Tier 2 (supplementary) capital in your total risk-based capital, up to a maximum of 100 percent of your Tier 1 (core) capital.

Tier 2 (supplementary) capital consists of the following:

Permanent instruments not qualifying as Tier 1 (core) capital. Report on CCR310, Qualifying Subordinated Debt and Redeemable Preferred Stock; CCR340, Other Equity Instruments; and CCR355, Other.
Maturing instruments. After adjustments for the limitations described below, report on CCR310, Qualifying Subordinated Debt and Redeemable Preferred Stock; CCR340, Other Equity Instruments; and CCR355, Other.
Allowances for Loan and Lease Losses. Report on CCR350, Allowances for Loan and Lease Losses.
Up to 45 percent of your pretax unrealized gains, net of unrealized losses, on AFS equity
securities. Report on CCR302.
Noncontrolling interests in includable subsidiaries consolidated under GAAP that are not eligible for inclusion in Tier 1 (core) Capital on CCR190, provided the noncontrolling interest meets the other requirements for Tier 2 (supplementary) capital and neither you nor any of your subsidiaries or other subordinate organizations that you own, directly or indirectly, hold the noncontrolling interest. Report such noncontrolling interest on CCR340, Other Equity Instruments.

Maturing Capital Instruments Issued on or Before November 7, 1989

Maturing capital instruments approved or grandfathered by the FHLBB before December 5, 1984, continue grandfathered status under the prior and current OTS capital regulation. You may include them in full in Tier 2 (supplementary) capital until the last year before maturity.

With our prior approval, you may include maturing capital instruments issued on or before November 7, 1989, in Tier 2 (supplementary) capital, following the procedures below that are applicable to instruments issued after that date.

Maturing Capital Instruments Issued After November 7, 1989

You may elect to include maturing capital instruments issued after November 7, 1989, by choosing one of the following options. Once you elect either option, you must continue to apply that option for all subsequent issuances of maturing capital instruments as long as there is a balance outstanding of such issuances. Once such issuances have all been repaid, you may elect the other option for future issuances.

Option 1 Tier 2 (supplementary) capital is equal to the outstanding capital instrument multiplied by the applicable percentage from the following amortization schedule:

Years to Maturity Percentage Counted as Tier 2 (Supplementary) Capital

Greater than 5 100%

Greater than 4, but less than or equal to 5 80%

Greater than 3, but less than or equal to 4 60%

Greater than 2, but less than or equal to 3 40%

Greater than 1, but less than or equal to 2 20%

Less than or equal to 1 0%

Option 2 Tier 2 (supplementary) capital will include only the aggregate amount of maturing capital instruments that mature in any one year during the seven years immediately before an instrument’s maturity that does not exceed 20 percent of your capital. Capital is Tier 1 (core) capital plus, without limitation, items included in Tier 2 (supplementary) capital. There is no percentage of assets limitation for general loan and lease valuation allowances. There are no limitations on maturing capital instruments based on maturity dates. There is no limitation on Tier 2 (supplementary) based on the amount of Tier 1 (core) capital.

CCR302: Unrealized Gains on Available-for-Sale Equity Securities

You may include in Tier 2 (supplementary) capital up to 45 percent of the amount of any pretax unrealized gains. This is net of any unrealized losses, on AFS equity securities included in SC140, Equity Securities Subject to FASB Statement No. 115. If losses exceed gains, do not report an amount on this line. When you report unrealized gains, net of unrealized losses, here and include them in supplementary capital, you must include the entire (100 percent) unrealized gains, net of unrealized losses, in assets to risk weight. In other words, you must risk weight the fair value, not the historical cost of these AFS equity securities.

Do not include unrealized gains on AFS debt securities or on equity securities in a trading portfolio.

CCR310: Qualifying Subordinated Debt and Redeemable Preferred Stock

Include:

Perpetual subordinated debentures and mandatory convertible securities.
Maturing subordinated debentures, mandatory convertible securities, and redeemable preferred stock calculated according to the above instructions.

CCR340: Other Equity Instruments

Report equity instruments you issued that we permit as supplemental capital but not as Tier 1 (core) capital and that you deducted on CCR134.

Include:

Cumulative preferred stock reported on SC812.
Preferred stock reported on SC812 or SC814 where the dividend adjusts based on current market conditions or indexes and the issuer’s current credit rating;
Any other equity instruments reported on CCR134 except preferred stock that is, in effect, collateralized by assets of the reporting savings association; and
Noncontrolling interest reported on SC800, Noncontrolling Interest, in excess of the amount included in Tier 1 (core) capital on CCR190.

CCR350: Allowances for Loan and Lease Losses

Report ALLL established by you and your consolidated includable subsidiaries as defined in the instructions for CCR105. You cannot grandfather ALLL for nonincludable subsidiaries for this calculation. Note that Tier 2 (supplementary) capital limits the inclusion of ALLL reported on CCR 350 to 1.25 percent of risk-weighted assets. Apply the percentage limitation to Subtotal Risk-Weighted Assets on CCR75.

For regulatory capital purposes, the ALLL potentially reportable on CCR350 consists of:

First − allowances established to cover probable, but not specifically identifiable, credit losses
associated with on-balance-sheet loans and leases, reported as ALLL on mortgage loans (SC283)
and on nonmortgage loans (SC357).
Second, if the capital limit mentioned above permits − liabilities for credit losses associated with off-balance-sheet credit exposures (such as commitments, letters of credit, and guarantees) included in Other Liabilities and Deferred Income (SC796), with the following exception: Any portion of this liability related to transfers of loans or other assets reported as sales with recourse is separate and distinct from the ALLL, and therefore is not includable in CCR350.

Include purchased ALLL where the balance and nature of the purchased ALLL is consistent with OTS policy in the Examination Handbook, Sections 260 and 261.

Do not include:

ALLL of unconsolidated subordinate organizations.
ALLL of nonincludable subsidiaries.
Recourse liability accounts that arise from recourse obligations for any transfers of loans or other assets that are reported as sales. Such accounts are separate and distinct from the ALLL.

CCR355: Other

Report other items permitted in Tier 2 Capital that you do not include in CCR302 through CCR350.

CCR33: Tier 2 (Supplementary) Capital

The EFS software computes this line as the sum of CCR302, CCR310, CCR340, CCR350 and CCR355.

CCR35: ALLOWABLE TIER 2 (SUPPLEMENTARY) CAPITAL

The EFS software computes this line as follows.

If Tier 1 (core) capital is a positive amount, the software reports the lesser of the following:

Tier 2 (supplementary) Capital reported on CCR33.
Tier 1 (core) Capital reported on CCR30.
If you have negative Tier 1 (core) capital, the software reports zero on CCR35.

The amount of Tier 2 (supplementary) capital included in total capital cannot exceed the amount of Tier 1 capital.

CCR370: Equity Investments and Other Assets Required to be Deducted

Report the assets that 12 CFR § 567.5(c) requires to be deducted from total capital unless deducted elsewhere.

Include:

Investments in other depository institutions (reciprocal holdings) that other depository institutions may count in their regulatory capital such as capital stock, qualifying subordinated debt, etc.

The entire amount of all the following items:

Your nonincludable debt and equity investments including debt and equity investments in subordinate organizations not constituting subsidiaries under 12 CFR § 567.1 (investments in entities not consolidated under GAAP) that engage as principal in activities impermissible for national banks and not otherwise includable under § 5(t) of HOLA.
Investments in real property except real property primarily used or intended to be used by you, your subsidiaries, subordinate organizations, or affiliates as offices.
Real property acquired in satisfaction of a debt, where you intend to hold the property for real estate investment purposes or do not expect to dispose of it within five years.

The term equity securities means any:

Stock.
Certificate of interest of participation in any profit sharing agreement.
Collateral trust certificate or subscription.
Preorganization certificate or subscription.
Investment Contract.
Voting trust certificate.
Securities immediately convertible into equity securities at the option of the holder without payment of substantial additional consideration such as convertible subordinated debt.
Securities carrying any warrant or right to subscribe to or purchase an equity security.
Investments, loans, advances, and guarantees issued on behalf of unconsolidated subordinate organizations.
Investments in real property not classified as fixed assets or repossessed property.

Do not include:

Interests in real property that are primarily used by you, your subsidiaries, subordinate organizations, or affiliates as offices or related facilities to conduct business. Report on CCR506, 100 percent Risk weight: All Other Assets.
Interests in real property that you acquire in satisfaction of a debt previously contracted in good faith or acquired in sales under judgments or decrees (REO). Report on CCR506, 100 percent Risk weight: All Other Assets.
FHLBank Stock.

Equity investments permissible for both savings associations and national banks. Risk weight them at 100 percent on CCR506. These include:

Freddie Mac Stock.
Fannie Mae Stock.

Equity investments in subordinate organizations not constituting subsidiaries under 12 CFR §
567.1 – investments in subordinate organizations not consolidated under GAAP, that engage solely in activities as agent for customers or engage as principal in activities permissible for national banks or otherwise includable under § 5(t) of the HOLA.

Real estate loans that are equity investments under GAAP and are permissible investments for national banks.
Mutual funds and pass-through investments, defined in 12 CFR § 560.32 that invest in any of the above categories of permissible equity investments.

Investments in subsidiaries and/or equity investments that FSLIC or any successor agency fully covers. Report the entire amount of such investment on CCR409, 0% Risk weight: Notes and Obligations of FDIC, Including Covered Assets. There is no requirement for you to deduct such investments from capital.

Computation of CCR370 When General Valuation Allowances have been established:

Calculate the amount of equity investments reported on CCR370 net of charge-offs and general valuation allowances. For example, if you established a $10 specific valuation allowance against a $100 equity investment, you only deduct $90 from total capital and enter $90 on CCR370.

In computing CCR370, you should reduce the amount you calculated using the above instructions by the amount of general valuation allowances established against equity investments and required deductions in real property investments. To receive this credit, you must establish the general valuation allowance at the savings association level as a contra-asset to the equity investments and investments in real property. You must have and maintain adequate records to enable examiners to verify your claim that you established the general valuation allowances against these specific assets.

For example, if you have a $100 equity investment, net of charge-offs and specific valuation allowances, against which you established no general valuation allowance after July 1, 1994, you should enter the full asset amount, $100, on CCR370. If you established a $10 general valuation allowance against that same asset, you should deduct the $10 general valuation allowance from the $100 investment, resulting in deduction of $90.

Do not include general valuation allowances established on other assets in the credit computation outlined above.

CCR375: Deduction for Low-Level Recourse and Residual Interests

If you elect the “direct deduction” approach for low-level recourse and residual interests, report on this line the amount of 1) low-level recourse and 2) residual interests reported on SI402 and SI404. However, you should reduce the amount of residual interests reported here by any amount reported on CCR133. In addition, you may reduce the amount of low-level recourse and residual interests reported here by the amount of any corresponding deferred tax liability.

Include:

The amount of recourse liability you retain when it is less than the capital requirement for credit-risk exposure and therefore not converted to an on-balance-sheet equivalent. For example, in the sale of most assets with one percent recourse, the amount of liability retained usually is less than the capital requirements, and therefore you would report one percent of the assets sold on CCR375 or CCR605. See the instructions for the 100 percent credit conversion factor in the Conversion of Off-balance-sheet Items to On-balance-sheet Equivalents section above.
The amount of on-balance-sheet financial instruments pursuant to FASB Statement No. 140 representing subordinated credit risk interests, including interests in spread accounts and asset pools. However, your low-level recourse requirement may exceed the amount of this instrument if you are subject to credit losses exceeding the amount of the instrument.

CCR39: TOTAL RISK-BASED CAPITAL

The EFS software will compute this line as the total of CCR30 plus CCR35 minus CCR370, and CCR375.

RISK-WEIGHT CATEGORIES

General Instructions

To calculate the total risk-based capital standard you must classify your assets in one of four risk-weight categories described below. Do not risk weight the assets that you have deducted from Tier 1 (core) capital – for example, nonincludable subsidiaries, nonqualifying intangibles, and disallowed assets.

Consolidate the assets of includable, GAAP-consolidated subsidiaries in determining the appropriate risk-weight categories. However, exclude the assets of nonincludable subsidiaries and nonincludable equity investments when computing risk-weighted assets.

Tier 2 (supplementary) capital includes ALLL but does not include other general valuation allowances. Consequently, to calculate the amount to be risk weighted, you may deduct allocated general valuation allowances from assets other than loans and leases but you may not deduct ALLL from loans and leases. In other words, you should risk weight loans at their recorded investment less only their specific valuation allowances, and risk weight all other assets at their recorded investment less their specific valuation allowances and allocated general valuation allowances.

You should risk weight assets after you make regulatory capital adjustments to those assets. For example, if we required you to deduct gains or add back losses on AFS securities in Tier 1 (core) capital, you should risk weight those securities at historical cost, not at fair value. The same is true for adjustments for disallowed servicing assets, disallowed net deferred tax assets, and other adjustments to Tier 1(core) capital. If you exclude assets, portions of assets, or adjustments to assets from Tier 1 (core) capital, you should exclude them from risk-weighted assets. Additionally, where you have included up to 45 percent of the pretax unrealized gains, net of unrealized losses, on AFS equity securities in Tier 2 capital (CCR302), you should include 100 percent of those unrealized gains in risk-weighted assets. In other words, you should risk weight the fair value, not the historical cost, of these AFS equity securities.

In determining the appropriate risk-weight category for secured loans, you must look at the type of collateral. In determining the appropriate risk-weight category for investments in mutual funds, you must look to the characteristics of the assets in the fund. Where the portfolio of a mutual fund consists of various assets that require different treatment under the capital requirement, you have two alternatives:

You may deal with the entire ownership interest in the mutual fund based on the asset with the highest capital requirement in the portfolio, or exclude the mutual fund from assets and thus deduct it from calculations of total capital, as appropriate.
You may assign different risk-weight categories to the mutual fund on a pro-rata basis, according

to the investment limits for different categories in the fund’s prospectus. Regardless of the risk-weighting method used, the total risk weight of a mutual fund must be no less than 20 percent.

Accrued interest receivable that is not delinquent is part of the recorded investment in that loan or investment and should be risk-weighted with the underlying asset. Generally, delinquent accrued interest receivable is risk weighted at 100%

Multiply the sum of each risk-weight category by the appropriate risk-weight percentage for that category. For instance, you would multiply the sum of the zero percent risk-weight category by zero percent. After adding each risk-weight category and multiplying by its appropriate risk weight, add the product of each risk-weight category. This results in the on-balance-sheet portion of the total risk-based capital standard.

Include off-balance-sheet items in the total risk-based capital standard after converting them into on-balance-sheet equivalents. Convert off-balance-sheet items by taking the dollar amount of the off-balance-sheet item or the grossed up amount of off-balance-sheet recourse obligations under 12 CFR § 567.1, as appropriate. Multiply that amount by the appropriate credit conversion factor from the table that follows the discussion of risk-weight categories. Additionally, you should risk weight interest-rate and exchange-rate contracts by calculating a credit equivalent amount. See explanation following the discussion of off-balance-sheet items.

Report in the appropriate category all on-balance-sheet assets together with all on-balance-sheet equivalents (off-balance-sheet items after converting them according to the discussion above). From the sum of on-balance-sheet and off-balance-sheet risk-weighted assets, deduct ALLL that exceeds the amount you may include as capital on CCR350.

Note: Report all loans and investments that are more than 90 days past due on CCR506, 100 percent Risk weight. Report all of these loans on CCR506 regardless of the type of investment or collateral, except for FDIC covered assets. Report FDIC covered assets on CCR409, 0% Risk weight: Notes and Obligations of FDIC Including Covered Assets.

0% Risk weight

CCR400: Cash

Report all cash-on-hand, including the amount of domestic and foreign currency owned and held or in transit in all your offices. Convert any foreign currency into U.S. dollar equivalents as of the date of the report.

Do not include:

Cash deposited in another financial institution, whether interest-bearing or non-interest-bearing. Report on CCR445.
Cash equivalents such as travelers’ checks. Report on CCR445.

CCR405: Securities Backed by Full Faith and Credit of U.S. Government

Report securities, not loans, on this line. Report the amount of securities issued by and other direct claims on the following:

The U.S. Government or its agencies to the extent such securities or claims are unconditionally backed by the full faith and credit of the U.S. Government.
The central government of an Organization of Economic Cooperation and Development (OECD) country.

Include:

Most Ginnie Mae securities. (Note that an interest only strip or Ginnie Mae security that exhibits similar interest rate risk would not be eligible for 0% risk weight. Report as 100% risk weight on CCR 505.)
U.S. Treasury securities.
SBA pools or certificates, or portions thereof, that have an unconditional guarantee by the full faith and credit of the U.S. Government.

Do not include:

Notes and obligations of the FDIC. Report on CCR409.
Assets collateralized by U.S. Government securities. Report on CCR450, 20% Risk weight: Other.
Mortgage-backed securities (MBS) where you have recourse for the underlying loans. The capital requirement on such obligations should follow the standard treatment of recourse obligations.
Delinquent mortgage loans previously securitized with Ginnie Mae, where either (a) you have an unconditional repurchase option, or (b) you have repurchased the loans under such an option. Report on CCR450, 20% Risk weight: Other.

CCR409: Notes and Obligations of FDIC, Including Covered Assets

Report notes and obligations of the FDIC that have the unconditional backing by the full faith and credit of the U.S. Government. Include the portion of assets fully covered against capital loss and/or yield maintenance agreements by the FDIC. Place that portion of assets without FDIC coverage (for example, those included in a deductible) in a risk-weight category according to the characteristics of the asset. If you cannot assign a deductible under a coverage agreement to a specific type of asset, then you should place the deductible in the 100 percent risk-weight category.

Include investments in subsidiaries and equity investments with full FDIC coverage, regardless of the percentage of ownership or business activity of the entity in which you have invested.

CCR415: Other

Report all zero percent risk-weight assets not included above as defined in 12 CFR § 567.6(a)(1)(i).

Include:

Deposit reserves at, claims on, and balances due from Federal Reserve Banks, excluding interest rate contracts. Report interest rate contracts on CCR450, 20% Risk weight: Other.
The book value of paid-in Federal Reserve Bank stock.
That portion of assets not included elsewhere in the zero percent risk-weight category directly and unconditionally guaranteed by the U.S. Government or its agencies, or the central government of an OECD country.

CCR420: Total

The EFS software will compute this line as the sum of CCR400 through CCR415.

CCR40: 0% Risk-Weight Total

The EFS software will automatically compute this line as zero percent times CCR455, the risk-weighted product of all zero percent risk-weighted assets.

20% Risk weight

CCR430: Mortgage and Asset-Backed Securities Eligible for 20% Risk Weight

Report mortgage-related securities and other asset-backed securities that meet the criteria for 20% risk weight. Note that if you have a subordinate class of an otherwise 20% risk weight, high-quality MBS, you must gross up and risk weight your security plus the balance of all classes senior to it. However, if you are able to utilize the ratings based approach (12 CFR 567.6), it is not necessary to gross up the more senior positions. See also CC455, CC465, and CC468.

Include:

Most Fannie Mae and Freddie Mac mortgage-related securities. (Note: Report Fannie and Freddie principal-only stripped securities (POs) and interest-only stripped securities (IOs) that are not credit enhancing on CCR 506.)
Asset-backed securities with an AAA or AA rating that meet the criteria of the ratings based approach - 12 CFR § 567.6.

Do not include:

Stripped MBS. Report IO and PO strips that are not credit enhancing of otherwise high quality MBS on CCR506, 100% risk weight.
Ginnie Mae mortgage pool securities. Refer to instructions for CCR405.
MBSs where you have recourse for the underlying loans. The capital requirement on such obligations should follow the treatment of recourse obligations.

CCR435: Claims on FHLBs

Report all investments in, claims on, and balances due from Federal Home Loan Banks.

Include:

Book value of Federal Home Loan Bank stock.
Demand, savings, and time deposits with a FHLBank.
Securities, bonds, and notes issued by the Federal Home Loan Bank System
The credit equivalent amount of interest rate contracts, interest-rate swaps and caps, where the counterparty is a Federal Home Loan Bank.

CCR440: General Obligations of State and Local Governments

Report the amount of securities and other general obligations issued by state and local governments.

CCR445: Claims on Domestic Depository Institutions

Include the following obligations of domestic depository institutions:

Demand deposits and other transaction accounts.
Savings deposits.
Time certificates.
Travelers’ checks and other cash equivalents.
Cash items in the process of collection.
Federal funds sold.
Loans and overdrafts.
Debt securities.
The credit equivalent amount of interest and exchange rate contracts (interest-rate swaps and caps) where the counterparty is a domestic depository institution.

Do not include:

Investments in other depository institutions where those institutions may count the investments in their regulatory capital, such as capital stock, qualifying subordinated debt, etc. Report on CCR370, Assets Required to be Deducted.
Interest rate contracts with a FHLBank or a Federal Reserve Bank. Report on CCR435 and CCR450, respectively.

CCR450: Other

Report all twenty percent risk-weight assets, not included above, as defined in 12 CFR § 567.6(a)(1)(ii).

Include:

Assets conditionally guaranteed by the U.S. Government, such as VA and FHA insured mortgage loans, the guaranteed portion of SBA, FhmA, and AID loans, and FICO and REFCO bonds, etc.
Delinquent mortgage loans previously securitized with Ginnie Mae, where either (a) you have an unconditional repurchase option, or (b) you have repurchased the loans under such an option.
Loans and other assets fully collateralized by deposits.
The credit equivalent amount of interest rate contracts (interest-rate swaps and caps) where the counterparty is a Federal Reserve Bank.
Assets collateralized by U.S. Government securities other than mortgage related securities on CCR430.
Securities issued by, or other direct claims on, U. S. Government-sponsored agencies, including notes issued by Fannie Mae and Freddie Mac. Do not include equity securities or MBSs.

CCR455: Total

The EFS software will compute this line as the sum of CCR430 through CCR450.

CCR45: 20% Risk-Weight Total

The EFS software will compute this line as twenty percent times CCR455, the risk-weighted product of all 20 percent risk-weighted assets.

50% Risk weight

CCR460: Qualifying Single-family Residential Mortgage Loans

Report the carrying value, outstanding balance less all specific valuation allowances, of all qualifying single-family residential mortgage loans secured by a first lien when you have no other extensions of credit secured by a second lien on the same property to the same consumer, if such loans meet all of the following criteria:

You have prudently underwritten the loan.
The loan is performing and not more than 90 days past due.
The current LTV ratio is 90% or less, calculated using the value at origination, including loans individually insured by private mortgage insurance or other appropriate credit enhancement that brings the effective LTV down to 90% or less.

Notes:

See 12 CFR 567.1 for the definition of Qualifying Mortgage Loan.
A loan with an LTV higher than 90%, without PMI or other readily marketable collateral enhancement, would not typically qualify for the 50% risk weight. The Real Estate Lending Guidelines urge savings associations as well as other types of banking organizations, to require PMI or other appropriate credit enhancement if a mortgage exceeds 90% LTV. See 12 CFR 560.101, and the footnote in the section on supervisory loan-to-value limits. These guidelines constitute a supervisory presumption of safety and soundness. To overcome that presumption for a loan that exceeds 90% LTV, a bank or thrift must demonstrate to the examiners' satisfaction that the loan is both prudently underwritten, and that it qualifies for the 50% risk weight in spite of the absence of private mortgage insurance or other appropriate credit enhancement.

Also, report the combined carrying value of all mortgage and consumer loans secured by liens on the same one- to four-family residential property, with no intervening liens. For example, you hold extensions of credit secured by first lien and second lien positions. Include in 50 percent risk weighting, if the loan meets all the following criteria:

You have prudently underwritten each loan.
Each loan is performing and not more than 90 days past due.

One of the following is true:

The combined loan-to-value ratio (CLTV) does not exceed 90 percent at origination.
The combined extension of credit is insured to at least a 90 percent LTV ratio by private mortgage insurance, or there is other appropriate credit enhancement to bring the effective LTV down to 90 percent or less.
The current LTV ratio is 90% or less, calculated using the value at origination, including loans individually insured by private mortgage insurance or other appropriate credit enhancement that brings the effective LTV down to 90% or less.

When you hold the first lien and junior liens on a 1-to-4-family residential property and no other party holds an intervening lien, view the loans as a single extension of credit secured by a first lien on the underlying property. Use this treatment to determine the LTV ratio, as well as for risk weighting. Assign the combined loan amount to either the 50 percent or 100 percent risk category, depending on whether the credit satisfies the criteria for 50 percent risk weighting. In determining the LTV ratio, you need not include loans classified in Schedule SC as commercial loans made to businesses and secured by residential property when you calculate the CLTV ratio for that property. If such loans are not included in the CLTV ratio for that property, you should risk weight such commercial loans at 100 percent.

If there is an intervening lien, do not combine the loans because another entity holds the second lien (the intervening lien). For example, you hold a first mortgage and third lien as a home equity line. In this case, you risk weight the carrying value of the loan secured by the first lien at 50 percent if the LTV is less than 90 percent and it otherwise meets the 50 percent risk-weight criteria. You risk weight the carrying value of the loan secured by the third lien at 100 percent, regardless of the CLTV.

In addition, include the following types of loans in the definition of single-family mortgage loans. These loans must meet the criteria above to be risk weighted at 50 percent:

Loans on interests in cooperative buildings.
Loans to individuals to fund the construction of their own home that meet the definition of a qualifying mortgage loan in 12 CFR § 567.1. You may include any accrued interest receivable in the loan balance.
Mortgage loans on mixed-use properties that are primarily single-family residential properties.

Do not include:

The combined carrying value of mortgage and consumer loans secured by first or second liens on the same property when the CLTV ratio exceeds 90 percent. Report the combined carrying value of these loans on CCR506, 100% Risk weight: All Other Assets.
The combined carrying value of mortgage and consumer loans secured by first and second liens on the same property if any of the extensions of credit are nonperforming (nonaccrual) or more than 90 days past due. Report on CCR506, 100% Risk weight: All Other Assets.
A loan to a consumer collateralized by a junior lien when another lender holds an intervening lien. For example, you hold the second lien and another lender holds the first lien, or you hold the first lien and the third lien, but do not hold the second lien (intervening lien). Report the junior lien on CCR506, 100% Risk weight: All Other Assets.
Foreclosed real estate. Report on CCR506, 100% Risk weight: All Other Assets.
Loans to individuals to construct their own home that are not qualifying mortgage loans as defined in 12 CFR § 567.1. Report on CCR506, 100% Risk weight: All Other Assets.
The portion of loans guaranteed by FHA that may be risk weighted at 20 percent. Report on CCR450.
Loans to commercial entities collateralized by mortgages of third-party borrowers (warehouse loans), or small business loans collateralized by a lien on a residential property. Report on CCR506, 100% Risk weight: All Other Assets.

CCR465: Qualifying Multifamily Residential Mortgage Loans

Qualifying Multifamily Mortgage Loans (12 CFR § 567.1) Under Current Rule

Report the carrying value plus accrued interest receivable, of permanent, first mortgages secured by first liens on multifamily residential properties consisting of five or more dwelling units that meet all the following criteria:

Amortization of principal and interest occurs over a period of not more than 30 years.
Original minimum maturity for repayment of principal on the loan is not less than seven years.
At the time you placed the loan in the 50 percent risk-weight category, the owner had made all principal and interest payments on the loan for the preceding year on a timely basis according to the loan terms (not 30 days or more past due).
The loan is performing and not 90 days or more past due.
You made the loan according to prudent underwriting standards.
The current outstanding loan balance does not exceed 80 percent (75 percent for variable rate loans) of the value of the property securing the loan. “Value of the property” (when you originate a loan to purchase a multifamily property) means the lower of either the purchase price or the amount of the initial appraisal, or if appropriate, the initial evaluation. Where a purchaser is not purchasing a multifamily property, but taking a new loan on his currently owned property, determine the value of the property by the most current appraisal, or if appropriate, the most current evaluation.
For the property’s most recent fiscal year, the ratio of annual net operating income generated by the property, before payment of any debt service on the loan, to annual debt service on the loan is not less than 120 percent, (115 percent for variable-rate loans). In the case of cooperative or other not-for-profit housing projects, the property generates sufficient cash flows to provide you

comparable protection. The debt service coverage ratio should be based on a fully indexed payment that will amortize the loan over its contractual term. It has long been industry practice to offer multifamily property loans with relatively short terms compared to the amortizing payment schedule. For example, the loan may have a 10-year term and a payment based on a 30-year amortization schedule with a balloon payment at the end of the term. In such cases, the DSCR should be based on the fully amortizing, fully indexed payment over the scheduled amortization period, but no longer than 30 years.

In cases where a borrower refinances a loan on an existing property, the borrower must comply with the above criteria.

12 CFR § 567.1 defines residential property as houses, condominiums, cooperative units, and manufactured homes. This definition does not include hospitals and nursing homes. Manufactured homes are those subject to HUD regulations under Title VI of the U.S. Code.

Include mortgage loans on mixed-use properties that are primarily multifamily residential properties if they satisfy the criteria for qualifying multifamily mortgage loans.

Grandfathered Qualifying Multifamily Mortgage Loans

Qualifying multifamily mortgage loans include multifamily mortgage loans that on March 18, 1994, met the criteria of qualifying multifamily mortgage loans under our capital rule on March 17, 1994, and continue to meet those criteria, namely:

An existing property consisting of 5 to 36 dwelling units secures the mortgage.
The initial LTV ratio is not more than 80 percent.
For the past full year, the property’s average annual occupancy rate is 80 percent or more of total units.

CCR470: Mortgage and Asset-Backed Securities Eligible for 50% Risk Weight

Mortgage-Backed Securities:

Report MBS, other than high quality MBS reported on CCR430, secured by qualifying single-family residential mortgage loans eligible to be reported on CCR460 or qualifying multifamily residential mortgage loans eligible to be reported on CCR465. Include POs secured by qualifying single-family or multifamily residential mortgage loans unless you can report them on CCR430.

If qualifying multifamily residential mortgage loans back the securities, you must receive timely payments of principal and interest according to the terms of the security. Generally, consider payments timely if they are not 30 days or more past due.

Note that if you have a subordinate class of an otherwise 50% risk-weight, high-quality MBS, you must gross up and risk weight your security plus the balance of all classes senior to it. However, if you are able to utilize the ratings based approach (12 CFR 567.6), it is not necessary to gross up the more senior positions. See also CC455, CC465, and CC468.

Asset-Backed Securities:

Also include asset-backed securities eligible for 50% risk weight under the ratings-based approach (“A” rated that meet all the criteria of the ratings based approach).

Do not include:

Interest Only Strips. Report credit-enhancing interest-only strips as residuals. Refer to the definitions in 12 CFR 567.1 and to the capital treatment in 12 CFR 567.6(b). See instructions for lines CCR133, CCR270, CCR375, CCR605, and SI402. Report IO and PO strips that are not credit enhancing of otherwise high quality MBS on CCR506, 100% risk weight.

CCR475: State and Local Revenue Bonds

Report securities issued by state and local governments where the revenues from a stated project such as a toll road repay the security.

CCR480: Other

Report all fifty-percent risk-weight assets not included above as defined in 12 CFR § 567.6(a)(1)(iii).

Include:

The credit equivalent amount of interest and exchange rate contracts (interest-rate swaps and caps) where the counterparty is an entity other than a domestic depository institution, a FHLBank, or a Federal Reserve Bank.
Revenue bonds issued by any public-sector entity in an OECD country that are payable solely from the revenues generated from the project financed through the issuance of the obligations.

Qualifying residential construction loans, also called residential bridge loans, meeting the criteria of 12 CFR § 567.1. Such loans must satisfy the following criteria:

You must make the loan according to sound lending principles to a builder with at least 15 percent equity in the project (or higher, depending upon the risk of the project) who will construct a one- to four-family residence that, when sold, will be owner-occupied.

You must obtain sufficient documentation from a permanent lender (that may be the construction lender) demonstrating all the following:
i. The homebuyer intends to purchase the residence.
ii. The homebuyer has the ability to obtain a permanent qualifying mortgage loan sufficient to purchase the residence.
iii. The homebuyer has made a substantial earnest money deposit.

The construction loan must meet all the following requirements:
i. Not exceed 80 percent of the sales price of the residence.
ii. Be secured by a first lien on the lot, residence under construction, and other improvements.
iii. Be performing and not more than 90 days past due.

The home purchaser(s) must intend that the home will be owner-occupied and must not be a business entity or any entity that is purchasing the home(s) for speculative purposes.
You must retain sufficient undisbursed loan funds throughout the construction period to ensure project completion. The builder must incur a significant percentage of direct costs; for example, the actual costs of land, labor, and material, before he draws on the loan.

CCR485: Total

The EFS software will compute this line as the sum of CCR460 through CCR480.

CCR50: 50% Risk-Weight Total

The EFS software will compute this line as 50 percent times CCR485, the risk-weighted product of all 50 percent risk-weight assets.

100% Risk weight

CCR501: Securities Risk Weighted at 100% (or More) Under Ratings-Based Approach

Include on this line:

Asset-backed securities or exposures eligible for 100% risk weight under the ratings-based approach. Example: “BBB” rated.
Also include asset-backed securities or exposures that receive a 200% risk weight under the ratings-based approach. Example: “BB” rated. For these 200% risk weight items, you must first multiply the balance by 2 (two).

Note: Only a limited set of asset-backed securities and other exposures arising from securitization activities qualify for this risk weighting, and these must meet all of the requirements of the ratings-based approach. Refer to 12 CFR 567.6(b)(3).

CCR506: All Other Assets

Report all other assets except those included above or in any other risk-weight category.

Include:

Consumer loans.
Commercial loans.
All assets that are nonperforming or more than 90 days past due, except FDIC covered assets. Report FDIC covered assets on CCR409, 0% Risk weight.
All repossessed assets including repossessed real estate (REO), other repossessed assets, and equity investments that have the same characteristics as REO, for example stock from an REO workout firm that has been approved for inclusion in the 100% risk-weight category.
First and junior mortgages on one- to four-family dwelling unit properties that do not qualify for inclusion on CCR460 (50% Risk weight: Qualifying Single family Residential Mortgage Loans).
Multifamily mortgage loans that do not meet the qualifying criteria for inclusion on CCR465, 50% Risk weight: Qualifying Multifamily Residential Mortgage Loans.
Residential construction loans, except those to individuals to build their own homes that you report on CCR460, and except qualifying residential construction loans (bridge loans) as defined in CCR480.
Nonresidential construction loans as defined in the instructions for SC260, Nonresidential Property.
Obligations issued by a state or political subdivision for the benefit of a private party or enterprise where that party or enterprise, rather than the issuing state or political subdivision, is responsible to pay principal and interest on the obligation (industrial development bonds).
Private-issue debt securities, including commercial paper, except those that you report in the 20 percent or 50 percent risk-weight categories.
Investments in fixed assets and premises.
Qualifying intangible assets reported on CCR185.
Servicing assets, less the amount included on CCR133.
The gross amount of wrap-around loans where you are liable on the first mortgage or must assume the first mortgage to perfect your position. Report the wrap-around loan net of the first mortgage if you have no liability on the first mortgage loan or obligation to assume it.

Equity investments that are permissible for both savings associations and national banks and including the following:

Fannie Mae Stock.
Freddie Mac Stock.
Equity investments in unconsolidated subordinate organizations (those that do not qualify as subsidiaries under 12 CFR § 567.1) that engage solely in activities as agent for customers or engage as principal in activities permissible for national banks or otherwise are includable under § 5(t) of the HOLA.
Real estate loans that are equity investments under GAAP and are includable under the Office of the Comptroller of the Currency’s (OCC’s) capital rule.
Mutual funds and pass-through investments, defined in 12 CFR § 560.32, that invest in any of the above categories of permissible equity investments.

Loans to commercial entities collateralized by mortgages of third party borrowers (warehouse loans).
Interest-only (IO) and principal only (PO) stripped securities that are not credit enhancing. This category includes most IOs and POs issued by Fannie Mae and Freddie Mac.
Any other remaining assets that you do not deduct from capital on CCR133 or CCR375, or that you do not “super risk-weight” using CCR605 and CCR62.

CCR510: Total

The EFS software will compute this line as the sum of CCR501 and CCR506.

CCR55: 100% Risk-Weight Total

The EFS software will compute this line as 100 percent times CCR510, the risk-weighted product of all 100 percent risk-weight assets.

CONVERSION OF OFF-BALANCE-SHEET ITEMS TO ON-BALANCESHEET EQUIVALENTS

Include off-balance-sheet items in the total risk-based capital standard after converting them into on-balance-sheet equivalents. Convert off-balance-sheet items to on-balance-sheet equivalents by taking the dollar amount of the off-balance-sheet item and multiplying it by the appropriate credit conversion factor from the table below.

SC689, Other Assets, and SC796, Other Liabilities and Deferred Income, include the fair value of derivative instruments accounted for under FASB Statement No. 133. We treat on-balance-sheet derivative instruments used for risk management purposes, rather than for trading, as off-balance-sheet items for risk-based capital purposes. Accordingly, you should risk weight only the converted on-balancesheet equivalent amounts, not the amounts reported on SC689 and SC796.

Place the on-balance-sheet equivalents (converted off-balance-sheet items) in the appropriate risk-weight category just as any other on-balance-sheet assets. For example, place an off-balance-sheet letter of credit in the same risk-weight category as the loan would be upon execution of the letter of credit.

Loans in Process (Undisbursed Loan Balances)

You may convert all LIP that meets the following criteria at a zero percent conversion factor. In other words, you do not risk weight it.

LIP that contractually must be fully disbursed or expire in one year or less under the original terms of the contract.

LIP that you may disburse over a period of time exceeding one year and that meets both of the following criteria:

You may unconditionally cancel the agreement.
You make a separate credit decision before each draw.

Convert all LIP that does not meet the criteria in #1 or #2 above at a 50 percent conversion factor and place in the risk-weight category appropriate for the related loan, except as follows:

When the borrower pays interest on the full amount of the loan, including both the disbursed and undisbursed portions, you must convert the LIP to an on-balance-sheet equivalent at a 100 percent credit conversion factor.
When the LIP is a direct credit substitute, you must convert it to an on-balance-sheet equivalent at a 100 percent credit conversion factor.

Table of Conversion Factors for Off-Balance-Sheet Items

This calculation translates the face amount of an off-balance-sheet exposure into an on-balance-sheet credit equivalent amount.

Zero Percent Credit Conversion Factor (not risk weighted)

Include:

Unused commitments with an original maturity of one year or less.

Unused commitments with an original maturity of greater than one year:

That you may unconditionally cancel at any time, and
You have the contractual right to make, and you do make, either:

i. A separate credit decision based upon the borrower’s current financial condition before each draw, or,
ii. An annual, or more frequent credit review, based upon the borrower’s current financial condition to determine whether or not to continue the lending arrangement.

Unused portions of retail credit card lines of credit that you may unconditionally cancel to the extent allowed by applicable law.

Unused portion of home equity lines of credit:

That you may unconditionally cancel at any time to the extent allowed by federal law, and
You have the contractual right to make, and you do make, either:

i. A separate credit decision based upon the borrower’s current financial condition before each draw, or,
ii. An annual, or more frequent credit review, based upon the borrower’s current financial condition to determine whether to continue the lending arrangement.

A commitment to make a permanent loan, where either the balance sheet or off-balance-sheet includes the construction loan. If the commitment to make the permanent loan exceeds the construction loan, treat the excess as a separate commitment and convert it to an on-balancesheet equivalent.

Twenty Percent Credit Conversion Factor

Trade-related contingencies are short term, self-liquidating instruments used to finance the movement of goods and collateralized by the underlying shipment. For example, a commercial letter of credit.

Fifty Percent Credit Conversion Factor

Include:

Transaction-related contingencies, including performance bonds and performance-based standby letters of credit.
Unused commitments with an original maturity greater than one year, including home equity lines of credit that are not in the zero percent credit conversion factor category because they are not unconditionally cancelable.

Revolving underwriting facilities, note issuance facilities, and similar arrangements where the customer can issue short-term debt in its own name, but where you have a legally binding commitment to either:

Purchase the obligations the customer is unable to sell by a certain date.
Advance funds to its customer if the customer is unable to sell the obligations.

Example:

You have a $1 million off-balance-sheet letter of credit guaranteeing the completion of a road in a residential construction project. Letters of credit that guarantee performance have a conversion factor of 50 percent. You convert the $1 million off-balance-sheet item into a $500,000 on-balance-sheet equivalent ($1 million times 50 percent), and place this in the 100 percent risk-weight category on CCR506, which is the same risk-weight category as on-balance-sheet residential construction loans.

One Hundred Percent Credit Conversion Factor

Include:

Financial guarantee-type standby letters of credit. Convert the face amount to a credit-equivalent amount.

Assets sold with recourse:

If you sell a $100 loan with ten percent recourse, you must convert the full $100 – the grossed up amount – at 100 percent, except where the amount of recourse liability that you retain is less than the capital requirement for credit-risk exposure. In that situation, the low-level recourse provision limits your capital charge to a dollar-for-dollar requirement against the amount of credit-risk exposure retained. For example, in the sale of most assets with one percent recourse, the amount of liability retained is less than the capital requirement. Therefore, one percent of the assets sold would be the capital requirement. Report this low-level recourse amount on CCR375 or CCR605. No off-balance-sheet conversion is necessary.
Loans serviced for others where you or your subsidiaries are liable for credit losses on the loans serviced. In general, do not consider servicing of VA loans in GNMA pools as recourse servicing; however, we reserve the right on a case-by-case basis to treat such servicing as recourse. Note: You should not risk weight the on-balance-sheet asset. You should convert the full outstanding balance of the loans serviced at 100 percent.
Treat the subordinated portions of senior/subordinated securities, both retained and purchased subordinated pieces, identically to assets sold with partial, first-loss recourse under 2(a) above. You generally should not risk weight the on-balance-sheetsubordinated security. You should convert the full amount of both the senior and subordinate portions of the mortgage pool security at 100 percent.
You may elect to apply the 100 percent credit conversion factor to only the retained recourse amount related to transfers of small business loans and leases of personal property, according to § 208 of the Riegle Community Development and Regulatory Improvement Act of 1994. Qualifying savings associations may apply the treatment under

§ 208, as implemented, to transfers on or after March 22, 1995. See § 208 of the Riegle Act and 12 CFR § 567.6(a)(2)(i)(C).

Forward agreements and other contingent obligations with a specified draw down are legally binding agreements to purchase assets at a specified future date. You should convert the principal amount of the assets you will purchase on the date you enter into the agreement.
Securities of customers where you lend such securities to others as agent and you indemnify the customer against loss.

Example:

You have a $1 million off-balance-sheet, legally binding commitment to purchase and the institution has the intent to take delivery of (e.g., a regular-way trade, which is not accounted for as a derivative under SFAS Statement No. 133) FannieMae or FreddieMac MBS. Forward agreements to purchase assets at a specified date have a conversion factor of 100 percent. You convert the $1 million off-balance-sheet item into a $1 million on-balance-sheet equivalent, and you place it in the 20 percent risk-weight category on CCR450.

Interest-rate and Exchange-rate Contracts, and Certain Derivative Contracts

Credit Equivalent Amount

This calculation translates interest-rate and exchange-rate contracts into an on-balance-sheet credit equivalent amount. The credit equivalent amount of interest-rate and exchange-rate contracts is the sum of: (1) current credit exposure, and (2) potential credit exposure.

The credit equivalent amount, consisting of the current exposure plus the potential credit exposure, is assigned to the appropriate risk-weight category and reported on one of the following lines:

20% Risk weight

CCR435 Claims on FHLBs CCR445 Claims on Domestic Depository Institutions CCR450 Other (where the counter party is a Federal Reserve Bank)

50% Risk weight

CCR480 Other – where the counter party is other than a domestic depository institution, a FHLBank, or a Federal Reserve Bank

1. Current Credit Exposure

Current credit exposure is the replacement cost of the contract, measured in U.S. dollars, regardless of the currency specified in the contract.

Replacement cost is the loss that you would incur if a counterparty defaults. You measure replacement cost as the net cost of replacing the contract at the current market value. If default would result in a theoretical profit, the replacement value is zero. The replacement cost calculation incorporates changes in both interest rates and counterparty credit quality.

2. Potential Credit Exposure

Potential credit exposure means the estimated potential increase in credit exposure over the remaining life of the contract. You calculate it as follows:

Interest-rate Contracts

Multiply the notional principal amount of the contract by either:

Zero percent, if the contract has a remaining maturity of one year or less.
One-half of one percent if the contract has a remaining maturity greater than one year.

Exchange-rate Contracts

Multiply the notional principal amount of the contract by either:

One percent if the contract has a remaining maturity of one year or less.
Five percent if the contract has a remaining maturity greater than one year.

Interest Rate Contract Example:

You have a $10 million notional amount interest rate swap agreement. You report the positive fair value of this derivative instrument of $80 thousand as an asset under FASB Statement No. 133, and include it in line SC689, Other Assets. However, you do not include this $80 thousand on-balance-sheet amount in assets to risk weight. Instead, you include in assets to risk weight the credit equivalent amount of this interest rate exchange agreement, which you have calculated to be $130 thousand. You computed the $130 thousand by adding the current credit exposure of $80 thousand (equal to the replacement cost of the contract) to the potential credit exposure of $50 thousand (equal to the $10 million notional amount times 0.5%, for this contract with a remaining maturity of 2 years). You include the $130 thousand in assets to risk weight, in the 20 percent risk-weight category on CCR435, because the counterparty is a Federal Home Loan Bank.

Foreign Exchange Rate Example:

Your thrift has a foreign currency exchange rate contract where the thrift will deliver €1 million (Euros) and receive $1.8 million (US Dollars) in 90 days. The exchange rate was 0.90 (US Dollars/Euros) and it is now 0.95. No matter which side of the contract your thrift has taken, it should always be measured in dollars for capital purposes. The market loss of $100,000 is reported on SC796. As there is a market loss, the current credit portion is $0. The potential credit portion is $18,000 because the term is less than one year. You would report $18 on CCR480 as the counterparty is a broker (non-bank).

Do not include in risk-based assets:

(1): A foreign exchange rate contract with an original maturity of 14 calendar days or less; and
(2): Any interest rate or foreign exchange rate contract that is traded on an exchange requiring the daily payment of any variations in the market value of the contract.

See 12 CFR 567.6 for more information.

Netting of Current Replacement Value under Qualifying Bilateral Netting Agreements

You may net the current replacement values of multiple rate contracts with a single counterparty under a qualifying bilateral netting agreement in accordance with the OTS’ bilateral netting rule according to 12 CFR § 567.6(a)(2)(v)(B). A bilateral netting agreement is a master contract under which two parties agree to net the amounts they owe each other under rate contracts covered by the agreement to reduce their credit exposure. You may only net contracts for capital purposes under this rule if all of the following are true:

The rate contracts are between the same two parties.
You net only interest rate contracts and foreign exchange rate contracts for capital purposes.
The bilateral netting contract covering the rate contracts results in a single netted amount being payable or receivable in case of the default, insolvency, bankruptcy, or similar circumstance of either party.
If you are party to the bilateral netting agreement, you have legal opinions concluding that the courts and other legal authorities of relevant jurisdictions would uphold the contract.

CCR605: Amount of Low-Level Recourse and Residual Interests Before Risk weighting

If you elect the “super risk weighting” approach for low-level recourse and residual interests, report on this line the amount of 1) low-level recourse and 2) residual interests reported on SI402 and SI404. However, you should reduce the amount of residual interests reported here by any amount reported on CCR133.

Include:

The amount of recourse liability (low-level recourse amount) that you retain when it is less than the capital requirement for credit-risk exposure. Therefore, you do not convert it to an on-balance-sheet equivalent. In the sale of most assets with one percent recourse, the amount of liability retained usually is less than the capital requirement. You would report one percent of the assets sold on CCR375 or CCR605. See the instructions for the 100 percent credit conversion factor in the Conversion of Off-balance-sheet Items to On-balance-sheet Equivalents section.
The amount of on-balance-sheet financial instruments reported pursuant to FASB Statement No. 125 representing subordinated credit risk interests, including interests in spread accounts and asset pools. However, your low-level recourse requirement may exceed the amount of this instrument if you are subject to credit losses exceeding the amount of the instrument.

Do not Include:

Credit-enhancing interest-only strips reported on SI402 that exceed 25% of your Tier 1 Capital. You must deduct the amount that exceeds 25% of Tier 1 capital on CCR 133.

CCR62: RISK-WEIGHTED ASSETS FOR LOW-LEVEL RECOURSE AND RESIDUAL INTERESTS (CCR605 X 12.5)

This notional risk-weighted amount is your low-level recourse and residual interests amount on CCR605 multiplied by 12.5. Note: This computation results in a risk-weighted asset amount that when multiplied by 8 percent results in your low-level recourse amount. By converting your low-level recourse and residual interests amount into risk-weighted assets, this method increases your total risk-based capital requirement instead of reducing your total risk-based capital like the deduction method.

The EFS software will compute this line as CCR605 multiplied by 12.5, the reciprocal of the 8 percent risk-based capital requirement.

CCR64: ASSETS TO RISK WEIGHT

The EFS software will automatically compute this line as the sum of CCR420, CCR455, CCR485, CCR510, and CCR605.

Total assets subject to risk weighting are as follows:

Adjusted Total Assets, CCR25.
ALLL, CCR350 plus CCR530.
Assets you are required to deduct, reported on CCR370.
Off-balance-sheet items you are required to convert to assets to risk weight.
Unrealized gains on AFS equity securities reported on CCR302.
Less any on-balance-sheet assets reported on CCR375.

CCR75: Subtotal Risk-Weighted Assets

The EFS software will compute this line as the sum of CCR40, CCR45, CCR50, CCR55, and CCR62.

CCR530: Excess Allowances for Loan and Lease Losses (ALLL)

Report an amount on CCR530 only when the ALLL reported on CCR350 is less than the ALLL reported on SC283 and SC357. This could occur when the total ALLL reported on Schedule SC exceeds the regulatory capital limit of 1.25 percent of risk-weighted assets. Report on CCR530 the ALLL reported on SC283 and SC357 that is not included on CCR350. Excess ALLL may not include amounts for liabilities for credit losses on off-balance-sheet credit exposures.

CCR78: TOTAL RISK-WEIGHTED ASSETS

The EFS software will compute this line as CCR75 minus CCR530.

CCR80: Total Risk-Based Capital Requirement

The EFS software will compute this line as CCR78, Total Risk-Weighted Assets multiplied by eight percent. This represents the Total Risk-based Capital necessary to be deemed adequately capitalized pursuant to 12 CFR Part 565.

This amount should never be less than eight percent of CCR78.

CAPITAL AND PROMPT CORRECTIVE ACTION RATIOS

The EFS software will compute the following ratios. These ratios provide you and the data user with instantaneous calculation of important capital ratios.

CCR810: Tier 1 (Core) Capital Ratio

The EFS software will compute this ratio as Tier 1 (core) capital divided by adjusted total assets (CCR20/CCR25), expressed as a percentage.

CCR820: Total Risk-Based Capital Ratio

The EFS software will compute this ratio as total risk-based capital divided by risk-weighted assets (CCR39/CCR78), expressed as a percentage.

CCR830: Tier 1 Risk-Based Capital Ratio

The EFS software will compute this ratio as Tier 1 (core) capital, less the deduction for low-level recourse and residual interests, divided by risk-weighted assets ((CCR20-CCR375)/CCR78), expressed as a percentage.

CCR840: Tangible Equity Capital

If you do not report purchased credit card relationships (PCCRS) or servicing assets on nonmortgage loans or if you do not have non-qualifying PCCRs or non-qualifying servicing assets on nonmortgage loans, the EFS software will compute this ratio as Tier 1 (core) capital plus cumulative perpetual preferred stock less PCCRS and servicing assets on nonmortgage loans divided by tangible assets less PCCRS and servicing assets on nonmortgage loans ([CCR20-CCR185+SC812-SC644]/[CCR25-CCR285SC644]), expressed as a percentage.

If you have non-qualifying PCCRs or non-qualifying servicing assets on nonmortgage loans, as determined under CCR133, you should manually override the software calculation for CCR840. You should take into consideration adjustments made on CCR 133 so that PCCRs and servicing assets on nonmortgage loans in Tier 1 (core) capital are fully deducted for purposes of the tangible equity ratio.

THIS PAGE INTENTIONALLY LEFT BLANK

SCHEDULE CMR — CONSOLIDATED MATURITY AND RATE

Throughout these instructions, you and your refers to the reporting savings association and its consolidated subsidiaries; we and our refers to the Office of Thrift Supervision.

GENERAL INSTRUCTIONS

INTRODUCTION

Schedule CMR provides information about the interest rate, repricing, and maturity characteristics of all financial instruments that you hold. We use the information on Schedule CMR as input to the OTS Net Portfolio Value Model (OTS Model). The OTS Model measures your exposure to interest rate risk by estimating how a change in interest rates affects the market value of your assets, liabilities, and off-balance-sheet (OBS) contracts. OTS sends the output reports of the OTS Model to you after the information you submit on Schedule CMR has passed the data edits.

To estimate the market value of a financial instrument, it is necessary to project its future cash flows. To project the future cash flows of a financial instrument, you need the following information:

The outstanding balance of the instrument or, in the case of an OBS contract, the notional principal amount of the position.
The contract interest rate of the instrument and, if the instrument is adjustable-rate, details concerning how and when the coupon will adjust in the future.

3. The instrument’s amortization schedule and maturity. Because it is not possible to collect this information on Schedule CMR for individual financial instruments, we group together information on instruments that display similar characteristics. For example, you report the total outstanding balance of all your 30-year, conventional, fixed-rate mortgages with coupons

between 7.00 percent and 7.99 percent on CMR002. On CMR007 and CMR012, you report the average maturity and the average coupon of those balances.

Collecting information about financial instruments stratified by coupon range is an important feature of Schedule CMR. When you prepare software to handle preparation of this report, please note that if there are major changes in interest rates, OTS may modify the coupon ranges.

REPORTING OF INFORMATION

Use the same consolidation instructions that apply to the other schedules of the Thrift Financial Report.

Generally, dollar amounts reported on Schedule CMR are outstanding balances. We define outstanding balance as the principal balance, net of LIP and before any yield adjustments or deductions for valuation allowances. In most cases, outstanding balance is face value less charge-offs. We note exceptions to reporting outstanding balances where appropriate. For purposes of reporting in Schedule CMR, exclude nonperforming loans, which we define as nonaccrual loans or loans that are at least 90 days past due but still accruing interest. Report construction LIP in the Off-Balance-Sheet Positions section of Schedule CMR and report nonperforming loans on CMR501 and CMR511 in the Assets section.

You may estimate items requested on Schedule CMR if the necessary information is not available. For example, you may not have ready access to all required information for your holdings of mortgage loans and mortgage securities serviced by others.

FORMAT OF SCHEDULE CMR

We have divided Schedule CMR into six sections. The first three sections collect information on assets, liabilities, and financial derivatives and OBS positions, respectively. You must fill out these three sections of the report. The other three sections, Supplemental Reporting for Assets and Liabilities, Supplemental Reporting of Market Value Estimates and Supplemental Reporting for Financial Derivatives and Off-balance-sheet Positions, are required for most savings associations. We have noted exceptions to the required reporting in the instructions for these sections. We provide these three sections so that you can report additional information that results in more accurate interest rate risk exposure estimates.

Supplemental Reporting for Assets and Liabilities

This section gives you the ability of reporting more detailed information on certain assets and liabilities than you report in the assets and liabilities sections of Schedule CMR. Use of this data by the OTS Model results in more accurate interest rate risk exposure estimates. Supplemental reporting is available for the following areas:

Certain types of loans.
Investments in mortgage-related mutual funds.
Investments in other investment securities.

4. Variable-rate, fixed-maturity (VRFM) liabilities. See the instructions for Supplemental Reporting for Assets and Liabilities for more information.

Supplemental Reporting of Market Value Estimates

In this section, you estimate the market value of several types of complex financial instruments for seven different interest rate scenarios. If the OTS Model valued these instruments, we would need a significant amount of additional data. The valuation estimates you provide will supplement or replace OTS estimates for those instruments. The instruments are:

OBS contracts.
Mortgage-derivative securities.
Liabilities with embedded options. For example, callable debt.
Mortgage-derivative securities you issue.
Complex securities, such as structured securities.

Some savings associations are required to report market value estimates of these instruments. See detailed instructions in the section Supplemental Reporting of Market Value Estimates.

Supplemental Reporting for Financial Derivatives and Off-Balance-Sheet Positions

This section permits you to report any additional OBS positions you hold beyond the 16 that the Off-Balance-Sheet section of Schedule CMR can accommodate. See the section Financial Derivatives and Off-Balance-Sheet Positions and the section Supplemental Reporting for Derivatives and Off-Balance-Sheet Positions for more information.

CALCULATING WEIGHTED AVERAGES

Certain items that you report on Schedule CMR require that you calculate weighted averages. We describe how to calculate the weighted-average coupon (WAC) and other measures below.

Weighted-Average Coupon (WAC)

The WAC is the average coupon of a group of assets, liabilities, or OBS contracts. You weight the coupon of each individual instrument in the group by its outstanding dollar balance, as a proportion of the total dollar balances of the group. Unless otherwise stated in the reporting instructions for a specific instrument, use the following general guidelines:

Express the interest rates for all assets as annual simple interest rates (coupon rates for
securities and contract rates for loans).
Express the interest rates for all liabilities as annual percentage yields (APYs).
For mortgage loans that others service, report the contract rate of the loan. Do not subtract the servicing fee.
Express all WACs as a percent, to two decimal places. For instance, 10.54.

The following example illustrates how to calculate the WAC of a portfolio of 30-year, single-family fixed-rate mortgages. The coupons are between 9.00 percent and 9.99 percent.

Example: You have three mortgages with outstanding balances totaling $350,000. The mortgages have outstanding balances and coupons of $100,000 and 9.75 percent, $110,000 and 9.5 percent, and $140,000 and 9.0 percent. Calculate the WAC for this portfolio as follows:

WAC = $100,000 (9.75%) + $110,000 (9.5%) + $140,000 (9.0%)
$350,000
= 9.37%

Details of the computation of the WAC may vary for certain instruments. For further guidance, see the relevant sections of the instructions.

Weighted-Average Pass-Through Rate

The pass-through rate is the net interest rate passed through to the holder of a mortgage pass-through security. This is the rate after deducting servicing, management, and guarantee fees from the gross coupon of the mortgages underlying the security. The weighted-average pass-through rate is the average coupon of a group of mortgage pass-through securities. Weight the coupon of each security in the group by its outstanding dollar balance, as a proportion of the total dollar balances of the group. Express the interest rates for all assets as annual simple interest rates. Express all weighted-average pass-through rates as a percent, to two decimal places, for instance, 10.54.

The following example illustrates how to calculate the weighted-average pass-through rate of a portfolio of 30-year, single-family, fixed-rate mortgage securities. The coupons are between 9.00 percent and 9.99 percent.

Example: You have three mortgage pass-through securities with outstanding balances totaling $350,000. The securities have outstanding balances and pass-through rates of $100,000 and 9.5 percent, $110,000 and 9.5 percent, and $140,000 and 9.0 percent. Calculate the weighted-average pass-through rate for this portfolio as follows:

Weighted-Average Pass-Through Rate = $100,000 (9.5%) + $110,000 (9.5%) + $140,000 (9.0%) $350,000

= 9.30%

Weighted-Average Remaining Maturity (WARM)

The WARM is the average remaining maturity, in months, for a group of assets or liabilities. You weight the maturity of each individual asset or liability by taking its outstanding dollar balance, as a proportion of the total dollar balances of the group. Round values to the nearest month. Perform rounding after you complete the calculation. The following example illustrates how to calculate the WARM for fixed-rate consumer loans.

Example: You have three fixed-rate consumer loans with total outstanding balances of $40,000. Two are auto loans with respective outstanding balances and remaining maturities of $10,000 and 48 months, and $1,000 and 12 months. The third is a mobile home loan with an outstanding balance of $29,000 and a remaining term of 120 months. Calculate the WARM for your fixed-rate consumer loans as follows:

WARM = $10,000 (48) + $1,000 (12) + $29,000 (120)
$40,000

= 99.3 months

= 99 months (rounded to the nearest month)

For balloon mortgages, use the number of months until payment of the balloon. The following example illustrates how to calculate the WARM for balloon mortgages.

Example: You have two balloon mortgages, each with an outstanding balance of $100. The first mortgage amortizes over 240 months, but the entire remaining principal is due as a balloon in 60 months. The second mortgage amortizes over 360 months, but has a balloon payment in 84 months. The WARM for your balloon mortgages would be 72 months. [72 = ($100/$200) x 60 + ($100/$200) x 84].

An exception to this treatment exists for single-family adjustable-rate mortgages (ARMs) reported on CMR096 through CMR120, Balloon Mortgages and Mortgage-Backed Securities (MBS). See that section for details.

Loans that have matured but still have a principal balance outstanding should be included in calculating the WARM if they are less than 90 days past due. Assign such loans a remaining maturity of one month. Do not include such loans if more than 90 days past due.

For loans made under open-end lines of credit, calculate maturity as if the borrower will repay the existing loan balance by making the minimum payments required by the repayment schedule.

For demand loans, either adjustable- or fixed-rate, that pay interest only and have no definite maturity, use one month when calculating the WARM.

Weighted-Average Margin

The margin of an adjustable-rate loan or deposit is the amount added to the index rate to derive the fully indexed coupon rate. If you have adjustable-rate loans or deposits where you determine the coupon by multiplying an index by some factor, you should calculate an additive margin each quarter. Do this by subtracting the value of the index from the fully indexed coupon rate. Report all weighted-average margins in basis points. When you calculate weighted-average margins for mortgage securities and asset-backed securities, use the net margin for securities. Do not include servicing and guarantee fees. For loans serviced by others, use the gross margin. Do not subtract the servicing fee. For details on specific types of loans, see the relevant section of the instructions.

The following example illustrates how to calculate the weighted-average margin of ARM loans and securities.

Example: You have a portfolio containing an adjustable-rate, single-family, first mortgage loan and a mortgage security backed by adjustable-rate, single-family, first mortgage loans. Both use the one-year Treasury rate as an index. The loan and the security each have an outstanding balance of $100,000. The loan has a gross margin of 225 basis points. The loans backing the security have a gross margin of 225 basis points. You receive a pass-through rate of the one-year Treasury plus 175. The guarantee and servicing fees amount to 50 basis points. Use the security’s net margin of 175 basis points to calculate the weighted-average margin.

Weighted-Average Margin = $100,000 (225) + $100,000 (175) $200,000 = 200 basis points

RELATIONSHIP OF ITEMS ON SCHEDULES CMR AND SC

Information you report on Schedule CMR relates to the information you report on Schedule SC as follows:

Assets

The EFS software computes CMR550 as the sum of the following items:

CMR125	CMR185	CMR261	CMR262	CMR281
CMR282	CMR291	CMR292	CMR311	CMR312
CMR325	CMR326	CMR335	CMR336	CMR377
CMR378	CMR490	CMR501	CMR502	CMR503
CMR508	CMR511	CMR512	CMR517	CMR520
CMR525	CMR530	CMR535	CMR538	CMR541
CMR543	CMR544
	Less the sum of the followin		g items:
CMR504	CMR507	CMR513	CMR516	CMR539
CMR540

CMR550 plus the balance for Complex Securities reported as code 121 on the section for Supplemental Reporting of Market Value Estimates should equal SC60, Total Assets. For all editing and output data uses, our data systems will add the balance for complex securities reported as code 121 in the section for Supplemental Reporting of Market Value Estimates to CMR550.

SC11, Cash, Deposits, and Investment Securities, less SC182, Securities Backed by Nonmortgage Loans, equals the sum of the following items:

CMR490 CMR538

Plus Complex Securities reported as code 121 on the section for Supplemental Reporting of Market Value Estimates

Less the sum of the following items:

CMR539 CMR540

SC22, Mortgage-Backed Securities, plus SC26, Mortgage Loans, equals the sum of the following items:

CMR125 CMR185 CMR261 CMR262 CMR281 CMR282 CMR291 CMR292 CMR311 CMR312 CMR501 CMR502 CMR503 CMR508 CMR578 CMR377 CMR378

– Less the sum of the following items: –

CMR504 CMR507 CMR580 SC31, Nonmortgage Loans, plus SC182, Securities Backed by Nonmortgage Loans, equals the sum of the following items:

CMR325 CMR326 CMR335 CMR336 CMR511 CMR512 CMR517 CMR580

– Less the sum of the following items:

CMR513 CMR516 CMR578

SC40, Repossessed Assets, equals CMR525

SC45, Real Estate Held for Investment, equals CMR520

SC55, Office Premises and Equipment, equals CMR535

SC59, Other Assets, plus SC510, FHLB Stock, equals the sum of the following items:

CMR541 CMR543 CMR544

Liabilities and Equity Capital

The sum of SC710, Deposits, SC72, Borrowings, and SC715, Unamortized Yield Adjustments on Deposits, equals the sum of the following line items:

CMR645 CMR715 CMR762 CMR765 CMR768 CMR771 CMR782 CMR784 CMR785

Plus:

(1) Variable-rate, fixed-maturity liabilities reported as codes 200, 220, and 299 in the section Supplemental Reporting for Assets and Liabilities and (2) Structured borrowings reported as codes 280 through 290 in the section Supplemental Reporting of Market Value Estimates.

Less the following item: CMR755

The sum of SC75, Other Liabilities, and SC712, Escrows, equals the sum of the following items:

CMR775 CMR777 CMR779 CMR786 CMR787

SC800, Redeemable Preferred Stock and Noncontrolling Interest in Consolidated Subsidiaries, equals
the sum of CMR755 and CMR793.
SC80, Total Equity Capital, equals CMR796.

ASSETS

TERMS USED IN THE ASSETS SECTION

Dwelling Unit: A dwelling unit is a unified combination of rooms, whether existing or under construction, designed for residence by one family. This classification does not change because of incidental use for business purposes.

Single Family Mortgages: Single-family mortgages include all permanent loans and combination construction-permanent loans where the permanent financing interest rate has already been set. They may be secured by any of the following types of properties:

One-family dwellings in detached or semi-detached structures.
Individual permanently financed units in a condominium, cooperative, or timesharing arrangement where the owner of each unit has an undivided proportional interest in the underlying real estate and common elements of the structure.

3. Structures consisting of two- to four-dwelling units. Multifamily Mortgages: Multifamily mortgages include all permanent loans and combination construction-permanent loans where the permanent financing interest rate has already been set. They

are secured by residential property containing five or more dwelling units and include the following types of properties:

Mortgages on fraternity or sorority houses offering sleeping accommodations.
Living accommodations for students or staff of a college or hospital.
Retirement homes with sleeping and eating accommodations that are not condominiums or

cooperatives. In these cases, the number of bedrooms determines the number of dwelling units.

Nonresidential Mortgages: Nonresidential mortgages include all permanent loans and combination construction-permanent loans where the permanent financing interest rate has already been set. They are secured by properties not covered by the definition of single-family dwelling units, multifamily dwelling units, or land loans. This category includes the following types of properties regardless of the incidental use of the property as a dwelling unit:

Mobile home parks.
Hospitals.
Nursing homes.
Churches.
Stores.
Other commercial property.

7. Properties used for farming. Construction and Land Loans: Construction and land loans include land loans and the funded portion

of construction loans as a single balance. This category includes most loans classified as construction or land loans in Schedule SC including the following types of properties:

Loans to acquire and develop land.
Loans for developed building lots.
Loans for unimproved land.
Construction loans secured by single-family, multifamily, or nonresidential properties.

5. Loans to developers secured by land where the developer is constructing any of these properties. Construction and land loans do not include combination construction-permanent mortgages on any type

of property where the permanent financial interest rate has already been set; include such loans with permanent mortgages in the relevant category.

Nonperforming Loans: Nonperforming loans are nonaccrual loans and loans that are still accruing interest and are at least 90 days past due, or an equivalent number of cycles – see the instructions for Schedule PD.

Teaser ARMs: Teaser ARMs are adjustable rate mortgages originated at introductory rates below the fully indexed rate, teaser rates, and that remain at their introductory rates – that is, they have not reset.

Balloon Mortgages: Fixed-rate balloon mortgages are fixed-rate mortgages with a remaining maturity at least ten years shorter than the remaining time to full amortization. For example, a fixed-rate mortgage that matures in four years and that would require 14 years to amortize fully is a balloon mortgage.

Call Loans: Call loans are extensions of credit where the lender may require repayment of outstanding principal on one or more contractually specified call dates, irrespective of any contractual maturity date. Lenders often refinance, or roll over, such loans under new terms, upon mutual agreement of lender and borrower.

Pass-through securities: Pass-through securities are securities that convey ownership of a fractional part of each asset in a pool of assets backing the security. The issuer collects principal and interest payments generated by the underlying pool of assets and passes the payments through to each security owner based on their share of ownership.

Pay-through securities: Pay-through securities represent secured debt of the issuer. They give an investor a security interest in, but not ownership of, the underlying assets. You should consider any asset-backed security that does not meet the definition of pass-through securities above, to be a pay-through security.

FIXED-RATE, SINGLE-FAMILY, FIRST MORTGAGE LOANS AND MORTGAGE-BACKED SECURITIES

Report requested information about performing, fixed-rate, first mortgage, single-family loans, participations in such loans, and pass-through securities backed by such loans.

Include:

Fixed-rate fully amortizing mortgages.
Fixed-rate balloon payment mortgages.
Mortgages with a single rate adjustment. For instance, those that would qualify for the FNMA Two-Step Mortgage program.
Mortgages with interest rates that adjust less often than every five years.
Mortgages with coupons that were adjustable in the past, but where the coupon will remain fixed for the remaining maturity.
Mortgages with rates that change over time by prespecified steps. For instance, a 2/1 buydown with rates scheduled to be seven percent in year one, eight percent in year two, and 9 percent thereafter.
Some call mortgages, as described below.
Combination construction-permanent mortgages for single-family dwellings where the permanent financing interest rate has already been set.

Do not include:

Nonperforming mortgages. Report on CMR501.
Mortgage warehouse loans, loans collateralized by mortgage loans rather than liens directly on real estate. Report as commercial loans on CMR326.
Mortgages you service for others. Report in the section dealing with mortgage servicing rights, CMR401 through CMR450.
Second mortgages, secured home improvement loans, or home equity loans, regardless of whether you also hold the first lien or whether there is a first lien. Report as second mortgages on CMR312.

We collect all information described below according to coupon range and type of loan or security.

Coupon Range: Divide mortgages into the following coupon categories:

Less than 5 percent.
5 to 5.99 percent.
6 to 6.99 percent.
7 to 7.99 percent.

5. 8 percent and greater. Report each mortgage loan and participation in the coupon range that corresponds to its contract rate.

For loans serviced by others, be careful to report according to the contract rate of the loans. Do not subtract the servicing fee.

Report each mortgage security in the coupon range that corresponds to the pass-through rate of the security. For example, you should report a FNMA security with a pass-through rate of 6.5 percent and where the collateral has a WAC of 7.25 percent in the 6 to 6.99 percent coupon column.

Within each coupon range, divide mortgages into the following broad groups:

Thirty-year mortgage loans.
Securities backed by 30-year conventional mortgages.
Securities backed by 30-year FHA or VA mortgages.
Fifteen-year mortgages and mortgage securities.
Balloon mortgages and mortgage securities.

Information requested for the five groups differs somewhat; however, the following general information applies, unless the instructions state differently.

1. Wherever there is a request for a balance use the following guidelines:

a.: Report the outstanding principal balance, not the carrying value, of mortgage loans.
b.: Report the pro rata share of the outstanding principal balance of participations in mortgages.
c.: Report the outstanding principal balance of mortgage securities.

Wherever we request a WARM, refer to the calculation of the WARM in the general instructions to Schedule CMR.
Wherever we request a weighted average WAC, refer to the calculation of the WAC in the general instructions to Schedule CMR.
Wherever we request a weighted-average pass-through rate, refer to the calculation of the

weighted-average pass-through rate in the general instructions to Schedule CMR. A detailed description of the information to report for each group follows.

Thirty-year Mortgages and MBS

CMR001 Through CMR020: Mortgage Loans

Include all fully amortizing mortgage loans and participations in fully amortizing mortgage loans with an original maturity of at least 25 years. Include combination construction-permanent mortgages that have fixed rates for the entire term of the loan. Do not report mortgage loans with a biweekly payment feature.

Report outstanding balances, by coupon range, on CMR001 through CMR005. For each balance, report the WARM and the WAC on the corresponding column of CMR006 through CMR010 and CMR011 through CMR015, respectively. Of the loan balances on CMR001 through CMR005, report the amount of each that is FHA or VA guaranteed on CMR016 through CMR020, as appropriate.

CMR026 Through CMR040: Securities Backed by Conventional Mortgages

Include FHLMC, FNMA, and privately issued mortgage securities backed by fully amortizing mortgage loans with original maturity of at least 25 years. Do not report mortgage loans with a biweekly payment feature.

Report the outstanding balances of securities on CMR026 through CMR030 according to the coupon rates of the securities. For each balance, report the WARM on CMR031 through CMR035, and report the weighted-average pass-through rate corresponding to each balance on CMR036 through CMR040.

CMR046 Through CMR060: Securities Backed by FHA or VA Mortgages

Include all GNMA and other mortgage securities backed by fully amortizing FHA and VA mortgage loans with an original maturity of at least 25 years. Do not report mortgage loans with a biweekly payment feature.

On CMR046 through CMR050 report, by coupon range, outstanding balances of these mortgage securities. For each balance entered CMR046 through CMR050, report the WARM on CMR051 through CMR055 and the weighted-average pass-through rate on CMR056 through CMR060.

CMR066 Through CMR090: Fifteen-year Mortgages and MBS

Include all fully amortizing mortgage loans with an original maturity of less than 25 years. Include participations in such loans, and mortgage securities backed by such loans. Include biweekly payment mortgages having an original maturity of 25 years or more. Include combination construction-permanent mortgages that have fixed rates for the entire term of the loan.

On CMR066 through CMR070 report, by coupon range, the outstanding principal balances of such mortgage loans and participations. On CMR071 through CMR075, report the WAC of each balance reported on CMR066 through CMR070. Report the outstanding principal balance of mortgage securities backed by loans of this type, by coupon range, on CMR076 through CMR080.

Place security balances into the coupon range corresponding to the pass-through rate of the security. Report the weighted-average pass-through rate of the securities on CMR081 through CMR085. Report on CMR086 through CMR090, by coupon range, the WARM of the loans and securities reported in each coupon range.

CMR096 through CMR120: Balloon Mortgages and MBS

Report requested information about the following types of single-family first mortgage loans. Include participations in such loans and securities backed by such loans.

Include:

Balloon payment mortgages. Fixed-rate balloon mortgages are fixed-rate mortgages with a remaining maturity at least ten years shorter than the remaining time to full amortization. For example, a fixed-rate mortgage that matures in four years and that would require 14 years to amortize fully is a balloon mortgage.
Mortgages scheduled for a single rate adjustment, such as those that would qualify for the FNMA Two-Step mortgage program.
ARMs whose coupons reset less frequently than every five years.
Some call loans, which we describe in the examples below. Call loans are those where you have the option, on a particular date, to require repayment of the loan, or may roll it over into a loan with potentially different terms. In particular, the interest rate of a call loan is subject to change on the call date.

On CMR096 through CMR100 report, by coupon range, the outstanding principal balances of the above listed types of mortgage loans and participations. On CMR101 through CMR105, report the WAC of each balance on CMR096 through CMR100. Report the outstanding principal balance of mortgage securities backed by loans of this type, by coupon range, on CMR106 through CMR110.

Place security balances into the coupon range corresponding to the pass-through rate on CMR101 through CMR105. Report the WAC of each balance on CMR096 through CMR100. Report the outstanding principal balance of mortgage securities backed by loans of this type, by coupon range, on CMR106 through CMR110. Place security balances into the coupon range corresponding to the pass-through rate of the security. Report the weighted-average pass-through rate of the securities on CMR111 through CMR115. Report on CMR116 through CMR120, by coupon range, the WARM of the loans and securities reported in each coupon range. Calculate the remaining maturity based on the number of months remaining until the one of the following dates:

Date the balloon payment is due – for balloon mortgages.
Next scheduled payment reset date for mortgages with a single rate adjustment and mortgages with interest rates that adjust less often than every 5 years.
Next call date for call mortgages.

If the terms of the mortgage change:

If the terms change following a scheduled rate reset or because you roll over the loan on its balloon due date or call date, you should reclassify the mortgage as follows:

If the interest rate will remain fixed for the remaining term of the mortgage, report it as a single-family, 30-year, fixed-rate mortgage (CMR001 through CMR060) or a single-family, 15-year, fixed-rate mortgage (CMR066 through CMR090). The term depends on the time between the date of final principal repayment and the date the original mortgage was originated. If that period is at least 25 years, report the mortgage with the 30-year fixed-rate mortgages; if less, report it with the 15-year fixed-rate mortgages.

Report the mortgage as an ARM on CMR141 through CMR245, as appropriate, if it falls into either of the following categories:

The interest rate resets at least every 5 five years during the remaining maturity of the mortgage.
If the mortgage is subject to a series of calls no more than five years apart.

Otherwise, continue to report the loan as a balloon mortgage.

Examples:

1. A seven-year balloon mortgage amortizes according to a 30-year schedule.

a.: During the seven years before the balloon payment date, you should report the mortgage as a balloon mortgage. Its remaining maturity is equal to the number of months until the balloon payment is due.
b.: If, after seven years, you roll the mortgage over into a fully amortizing, fixed-rate mortgage with 23 years remaining until maturity, you would report it as a 30-year fixed-rate mortgage (CMR001 through CMR060). The time between origination and final maturity of the mortgage in this example is 30 years [seven 7 years + 23 years]. This exceeds the 25-year criterion for reporting in the 30-year fixed-rate category.

2. Assume instead of 30 years, the balloon mortgage in Example 1 had been amortizing according to a 20-year schedule. Then, after seven years, you rolled the mortgage over into a fully amortizing fixed-rate loan with 13 years remaining maturity.

a. After you rolled the loan over, you would report the loan as a 15-year fixed-rate mortgage. This is because its 20-year total maturity is less than the 25-year cutoff for inclusion in the 30year mortgage category.

3. A 30-year, two-step mortgage has a single interest rate reset after five years.

a.: During the first five years of its life, you would report the mortgage as a balloon mortgage, with its remaining maturity equal to the number of months until the rate reset date.
b.: Following the rate reset, you would report the mortgage as a 30-year fixed-rate mortgage. The remaining maturity would be equal to the number of months until the maturity date.

4. A 30-year fixed-rate mortgage that you may call after six years. The note does not stipulate any further calls or rate resets.

a.: Report the mortgage as a balloon for the first six 6 years of its life. Its remaining maturity is equal to the number of months until the call date.
b.: If you roll the mortgage over after six years, reporting would depend on the provisions written into the new or amended note.

5. A 30-year mortgage has a fixed rate of interest for six years, but the contract stipulates that the rate will adjust annually thereafter.

a.: For the first year of its life, report the mortgage as a balloon mortgage. Its remaining maturity is equal to the number of months until the rate reset date.
b.: After the first year, report it in the single family, ARM section, CMR141 through CMR245. This is because, in the future, its interest rate will be subject to reset at least every five years, as required for reporting in that section. The remaining maturity of the mortgage is equal to the number of months until the final maturity date.

6. A 30-year fixed-rate mortgage that you may call after six years and is subject to annual calls thereafter.

a. The reporting would be the same as in Example 5. We treat scheduled resets and calls the same.

7. A 30-year mortgage is subject to rate resets, or calls, every five years.

a. Report it as an ARM, because the interest rate may potentially reset at least every five years as required for reporting in the ARMs section.

CMR125: Total Fixed-Rate, Single-Family, First Mortgage Loans and Mortgage-Backed Securities

The EFS software computes this line as the sum of: CMR001 through CMR005, CMR026 through CMR030, CMR046 through CMR050, CMR066 through CMR070, CMR076 through CMR080, CMR096 through CMR100, and CMR106 through CMR110.

ADJUSTABLE-RATE, SINGLE-FAMILY, FIRST MORTGAGE LOANS AND MORTGAGE-BACKED SECURITIES

Report requested information about performing adjustable-rate, single-family, first mortgage loans – ARMs, participations in such loans, and pass-through securities backed by such loans.

Include:

Adjustable-rate fully amortizing mortgages.
Adjustable-rate balloon payment mortgages.
Fixed-rate mortgages subject to call at contractually set intervals of at most every five years.
ARMs that you own, but do not service.
Combination construction-permanent mortgages for single-family dwellings with interest rates

meeting any of the above criteria, even if construction is not complete. Do not include the following types of mortgages. Report instead with fixed-rate mortgages on CMR001 through CMR125:

Mortgages with a single rate adjustment. For instance, those that would qualify for the FNMA Two-Step Mortgage program.
Mortgages with interest rates that adjust less often than every five years.
Mortgages with coupons that were adjustable in the past, but that do not have any further rate adjustments scheduled during their remaining term.
Mortgages with rates that change over time by prespecified steps. For example, a 2/1 Buydown

with rates scheduled to be 7 percent in year one, 8 percent in year two, and 9 percent thereafter. Also, do not include:

Nonperforming mortgages. Report on CMR501.
Mortgage warehouse loans (loans collateralized by mortgage loans rather than liens directly on real estate). Report as commercial loans on CMR325.
Mortgages you service for others. Report in the section dealing with mortgage servicing rights, CMR401 through CMR450.
Second mortgages, even when you hold both the first and second liens. Report as second

mortgages on CMR311. Group mortgages according to type of index – current market or lagging market – and frequency of coupon reset, as described below. Report ARMs originated at introductory rates below the fully indexed rate, teaser rates, and that remain at their introductory rates – have not yet reset – separately on CMR141 through CMR150, and are not reported with other ARMs on CMR156 through CMR215. Do not distinguish between convertible and nonconvertible ARMs.

Current Market Index ARMs

ARMs with indices that adjust quickly to changes in market interest rates are current market index ARMs. Examples of current market indices include the following:

Rates on Treasury securities.
Prime rate.
London Interbank Offered Rate (LIBOR).
FHLB advance rate.
FHLMC sixty-day rate.

Indices that adjust to changes in market interest rates less quickly are lagging market indices. We group ARMs using such indices separately. See Lagging Market Index ARMs below.

Divide current market index ARMs into three groups based on the frequency that their coupons reset. Group ARM securities according to the frequency that their underlying loans reset, not on the coupon reset frequency of the security. Report current market index ARMs with coupons that reset as follows:

Every six months or less — report in the Current Market Index column 6 Mo. or Less.
Less frequently than semiannually, but at least every two years —– report in the Current Market Index column 7 Mo. to 2 Yrs.
Less often than every two years, but at least every five years — report in the 2+ Yrs. to 5 Yrs.

column. Report ARMs with a reset frequency greater than five years with Fixed-Rate Balloon Mortgages. See instructions above.

Group ARMs that have irregular adjustment periods according to the remaining time until the loan will begin accruing at a new rate. For example, you would report an ARM with a rate that will reset for the first time after 36 months and then annually thereafter in the 2+ Yrs. to 5 Yrs. column during the first 12 months of its life, and in the 7 Mo. to 2 Yrs. column thereafter.

Lagging Market Index ARMs

ARMs with indices that adjust to changes in market interest rates less quickly than current market indices are lagging market index ARMs. Examples of lagging indices include the following:

Cost of funds (COF) indices. For instance, FHLB 11th District COF Index, Federal COF Index.
National Average Contract Rate for the Purchase of Previously Occupied Homes.
Indices that are more than three months old. For instance, a rate adjustment based on the one-year Constant Maturity Treasury (CMT) yield six months before the adjustment date.
Indices based on portfolio rates, rather than current offered rates.

5. Rolling averages of indices using an index within the average that is more than three months old. Divide information about lagging index ARMs into two groups based on the frequency that their accrual rates reset. Group ARM securities based on the frequency that their underlying loans reset not the

coupon-reset frequency of the security. Report lagging market index ARMs with accrual rates that reset as follows:

Monthly or less — report in the Lagging Market Index column – 1 Month.
Less often than monthly, but at least every five years — report in the Lagging Market Index column – 2 Mo. to 5 Yrs.
Lagging index ARMs that reset less often than every five years — report with Fixed-Rate Balloon Mortgages. See instructions above. Report fixed-rate call mortgages that qualify for reporting as ARMs in the Lagging Market Index column that best approximates the number of months between call dates.

ARMs Not Indexed To Treasury, LIBOR, or COF

The OTS Model assumes you determine the coupons of ARMs by adding the reported margin to a Treasury rate index for current market index ARMs or a COF index for lagging index ARMs. This treatment may result in inaccurate interest rate exposure estimates for ARMs that do not have coupons tied to a Treasury, LIBOR, or COF index. That means they do not have coupons tied to the interest rates represented by codes 303 through 412, 811, 812, or 820 in Appendix A. Examples of ARMs not tied to those indices include the following:

ARMs indexed to the prime rate or the National Average Contract Rate.
ARMs with no contractual index where you have discretion to set rates at each reset interval.

If you have ARMs whose coupons use something other than a Treasury, LIBOR, or COF index, you should use the following reporting treatment:

After categorizing all ARM balances into the appropriate columns as described in the previous two sections, calculate what percent of each column’s total balance consists of ARMs indexed to Treasury or LIBOR for current marked indices or a COF index for lagging market indices. Include both teaser and nonteaser ARMS. After categorizing all ARM balances into the appropriate columns as described in the previous two sections, calculate what percent of each column’s total balance, both teaser and non-teaser, consists of ARMs indexed to Treasury or LIBOR for current marked indices or a COF index for lagging market indices.

If the ARM balances, both teaser and nonteaser, tied to a Treasury, LIBOR, or COF index are less than fifty percent of the total balance in a given column, report an entry of 9999 in the margin cell for that column – CMR161 through CMR165.

If the ARM balances, both teaser and nonteaser, tied to a Treasury, LIBOR, or COF index are fifty percent or more of the total balance, calculate the margin for that column based on only the margins of the nonteaser ARM balances that use a Treasury, LIBOR, or COF index.

Base all other ARM characteristics reported in the column – for instance, WAC, WARM, time until next payment reset, rate caps and floors – on all ARM balances in the column.

Teaser ARMs

Teaser ARMs are adjustable-rate mortgages that you originated with a temporary, introductory interest rate (teaser rate). Report an ARM as a Teaser ARM if it meets the following criteria:

The loan originated with an accrual rate that was below the fully indexed rate.
The loan had an introductory rate scheduled to reset 12 months or less after the first scheduled payment.
The ARM’s first reset date has not yet passed.

Mortgages with interest rates fixed for a specified number of years and that subsequently adjust annually (such as 3/1 or 5/1 ARMs) will rarely meet the above criteria for Teaser ARMs.

CMR141 through CMR145: Balances Currently Subject to Introductory Rates

Report the outstanding balance of teaser ARM loans, participations, and securities currently subject to teaser rates by type of index and reset frequency on CMR141 through CMR145.

CMR146 through CMR150: Weighted-Average Coupon (WAC)

Report the WAC for each index and reset frequency category, in percentage points, on CMR146 through CMR150. Calculate the WAC as described in the general instructions to Schedule CMR, using coupon rates for mortgage loans and pass-through rates for mortgage securities. For loans serviced by others, use the contract rate of the loans. Do not subtract the servicing fee.

Example: You have $100,000 in ARM loans currently paying 8 percent interest and $200,000 of ARM securities with a pass-through rate of 7.40 percent. You would report a WAC of 7.60 percent for the combined $300,000 balance.

WAC = $100,000 (8.00%) + $200,000 (7.40%)
$300,000

= 7.60%

Note that for one-month Cost of Funds Index (COFI) ARMs you should calculate the WAC using the interest rate that the current payment uses, not the accrual rate.

Nonteaser ARMs

Report the following items by type of index and reset frequency for ARMs that are not subject to an introductory teaser rate:

CMR156 Through CMR160: Balances of All Nonteaser ARMs

Report the outstanding balance of loans, participations, and securities in each index and reset frequency category on CMR156 through CMR160.

CMR161 through CMR165: Weighted-Average Margin

Report the weighted-average margin of each ARM category, in basis points, on CMR161 through CMR165. Calculate the weighted-average margin as described in the general instructions to Schedule CMR.

In calculating the weighted-average margin, use the contractual margin, not the difference between the current coupon and the index. The contractual margin is the amount added to the index to calculate the fully indexed rate. The fully indexed rate may differ from the contractual margin when rate caps or floors are binding. For ARM securities, use the net margin. Net margin is the gross margin of the underlying loans less servicing and guarantee fees. For loans serviced by others, use the gross margin in the calculation; do not subtract the servicing fee. For mortgages that have a fixed interest rate for a specified number of years and that subsequently adjust annually (such as 3/1 or 5/1 ARMs), report the margin that the mortgage will use when the annual adjustments begin.

If ARMs tied to a Treasury, LIBOR, or COF index are less than 50 percent of the balances in a given column of the ARMs section, report an entry of 9999 in the margin cell.

CMR166 through CMR170: Weighted-Average Coupon (WAC)

Report the WAC for each category, in percentage points, on CMR166 through CMR170. Calculate the WAC as described in the general instructions to Schedule. Use coupon rates for mortgage loans and pass-through rates for mortgage securities. For loans serviced by others, use the contract rate of the loans. Do not subtract the servicing fee.

Example: Suppose you have $100,000 of ARM loans currently paying 8 percent interest and $200,000 of ARM securities with a pass-through rate of 7.40 percent. You would report a WAC of 7.60 percent for the combined $300,000 balance.

WAC = $100,000 (8.00%) + $200,000 (7.40%)
$300,000

= 7.60%

Note: For one-month COFI ARMs, calculate the WAC using the interest rate that the current payment uses, not the accrual rate.

CMR171 through CMR175: Weighted-Average Remaining Maturity (WARM)

Report the WARM for each category on CMR171 through CMR175. Calculate the WARM as described in the general instructions to Schedule CMR. For adjustable-rate balloon mortgages use the number of months until the balloon payment is due. For combination construction-permanent mortgages use the number of months until the permanent mortgage matures.

CMR176 through CMR180: Weighted-Average Time until Next Payment Reset

Report the weighted-average number of months until the next payment reset for each category, in months, on CMR176 through CMR180. The date of the next payment reset of an ARM is the date that the new payment is due to you. Do not use the date the loan begins to accrue at the new interest rate. Calculate this item in the same manner as the WARM described in the general instructions to Schedule. Use the number of months until next payment reset for each loan or mortgage security instead of the remaining maturity.

Example: You have two ARMs indexed to the one-year Constant Maturity Treasury (CMT) yield. One has a balance of $50,000 and two months until next payment reset. The other has a balance of $150,000 with ten months until next payment reset. You would report eight months as the weighted-average time until next payment reset on CMR177, in the 1-Year Reset column.

Weighted-Average Time Until Next Payment Reset = $50,000 (2 mo.) + $150,000 (10 mo.) $200,000

= 8 months

For ARMs with accrual rates and payments that reset at different frequencies (for example, one-month COFI ARMs), be careful to use the months to next payment reset, not months to the next reset of the accrual rate.

CMR185: Total Adjustable-Rate, Single-Family, First Mortgage Loans and Mortgage-Backed Securities

Report on CMR185, the outstanding balance of all ARM loans, participations, and securities reported on CMR141 through CMR145 and CMR156 through CMR160.

Memo Items for all ARMS (Reported at CMR185):

ARM Balances by Distance to Lifetime Cap

CMR186 through CMR215 collects information about the proximity of ARM coupons to their lifetime interest rate caps. Group all ARM loans, participations, and securities reported on CMR185 by the distance between the current coupon of each and its lifetime cap, as described below. For securities, use the distance between the pass-through rate and its lifetime cap – the net lifetime cap. For one-month COFI ARMs, calculate the distance between the cap and the interest rate that the current payment uses, not the accrual rate.

CMR186 through CMR190: Balances with Coupon within 200 Basis Points of Lifetime Cap

Report the outstanding balances of ARM loans, participations, and securities where the current coupon is 200 basis points or less below the lifetime cap.

CMR191 through CMR195: Weighted-Average Distance from Lifetime Cap

Report, in basis points, the weighted-average distance between the coupons and lifetime caps of the balances reported on CMR186 through CMR190. Calculate this item in the same manner as described for the WAC in the general instructions to Schedule CMR. However, instead of the coupon rate of each loan or security, use the number of basis points between the loan’s, or security’s, current coupon and lifetime cap. For one-month COFI ARMs, calculate the distance between the cap and the interest rate that the current payment uses, not the accrual rate.

CMR196 through CMR200: Balances with Coupon 201 - 400 Basis Points from Lifetime Cap

Report the outstanding balances of ARM loans, participations, and securities where the current coupon is at least 201 basis points, but no more than 400 basis points below the lifetime cap.

CMR201 through CMR205: Weighted-Average Distance from Lifetime Cap

Report, in basis points, the weighted-average distance between the coupons and lifetime caps of the balances reported on CMR196 through CMR200. Calculate this item in the same manner as described for CMR191 through CMR195.

CMR206 through CMR210: Balances with Coupon Over 400 Basis Points from Lifetime Cap

Report the outstanding balances of ARM loans, participations, and securities where the current coupon is more than 400 basis points below the lifetime cap.

CMR216 through CMR220: Weighted-Average Distance from Lifetime Cap

Report, in basis points, the weighted-average distance between the coupons and lifetime caps of the balances reported on CMR206 through CMR210. Calculate this item in the same manner as described for CMR191 through CMR195.

CMR211 through CMR215: Balances without Lifetime Cap

Report the outstanding balances of ARM loans, participations, and securities that have no lifetime cap.

The EFS software computes CMR185 as the sum of CMR186 through CMR190, CMR196 through CMR200, CMR206 through CMR210, and CMR211 through CMR215.

ARM Cap and Floor Detail

CMR221 through CMR240 collects information about ARM periodic interest rate caps, periodic floors, and lifetime floors. Report the following items for all ARMs whose balances you report on CMR185:

CMR221 through CMR225: Balances Subject to Periodic Rate Caps

For ARM loans, participations, and securities that have periodic interest rate caps, report the outstanding balances by index and reset frequency category on CMR221 through CMR225. Do not include on these lines ARMs that have periodic payment caps, but that do not have rate caps.

CMR226 Through CMR230: Weighted-Average Periodic Rate Cap (in basis points)

For ARMs that have periodic interest-rate caps, report on CMR226 through CMR230 the weighted-average of those caps for each category, in basis points. Except as noted below, express the periodic rate cap as the maximum amount that the coupon may increase at each rate reset, in basis points; for example, as 100 basis points. Calculate this item in the same manner as described for the WAC in the general instructions to Schedule CMR. For each loan or security in a given cell of CMR221 through CMR225, weight its periodic cap by the outstanding dollar balance of the loan or security as a proportion of the total dollar balance in the cell.

Special Instructions for CMR230:

For ARMs whose coupons reset more than once a year, use the number of basis points that the coupon may increase in one year, rather than at each reset, to calculate the weighted-average periodic rate cap for CMR230. For example, for a lagging index ARM whose coupon resets every six months and that can change by no more than 100 basis points at each reset, use 200 basis points in calculating the weighted-average periodic rate cap.

CMR231 through CMR235: Balances Subject to Periodic Rate Floors

Report the outstanding balance of ARM loans, participations, and securities that have periodic interest rate floors, by index and reset frequency category, on CMR231 through CMR235.

CMR241 through CMR245: MBS Included in ARM Balances

Report on CMR241 through CMR245 the balance of mortgage securities included in the total ARM balances, both teaser and non-teaser, of each column. For example, use CMR241 to report the amount of ARM securities included on CMR141, balances of six-month current index ARMs carrying teaser rates. Also, use CMR241 to report the amount of ARM securities included on CMR156, balances of nonteaser six-month current index ARMs.

MULTIFAMILY AND NONRESIDENTIAL MORTGAGE LOANS AND SECURITIES

Report information on all performing first and second mortgage loans secured by multifamily, five or more dwelling units, and nonresidential property, and all pass-through securities backed by multifamily and nonresidential mortgages. Also, include fixed-rate combination construction-permanent mortgages for such properties, if the loan has a fixed coupon for the entire term of the loan. We divided the reporting of this information into two categories: balloon mortgages and fully amortizing mortgages. A balloon loan is any loan with a term to maturity at least 120 months less than the number of months remaining until the loan would fully amortize if not for the balloon payment.

MULTIFAMILY AND NONRESIDENTIAL MORTGAGE LOANS AND SECURITIES:

Adjustable-Rate

Report loans that were at one time adjustable-rate but are now fixed-rate for their remaining term as fixed-rate loans. Report the following items for adjustable-rate multifamily and nonresidential mortgages:

CMR261 and CMR262: Balances

Report the following items:

Outstanding balance of loans.
Pro rata share of the outstanding balances of participations in multifamily and nonresidential mortgage loans.
Outstanding balances of mortgage pool securities backed by adjustable-rate multifamily and

nonresidential mortgages. Report outstanding balances of balloon mortgages on CMR261 and outstanding balances of fully amortizing mortgages on CMR262.

CMR263 and CMR264: Weighted-Average Remaining Maturity (WARM)

Calculate the WARM for fully amortizing, adjustable-rate multifamily and nonresidential mortgages as described in the general instructions to Schedule CMR; report on CMR264. For balloon mortgages, use the number of months until payment of the balloon, and report the result on CMR263.

Example: You have two balloon mortgages, each with an outstanding balance of $100. The first amortizes over 240 months but the entire remaining principal is due as a balloon in 60 months. The second amortizes over 360 months, but has a balloon payment in 84 months. The WARM for your balloon mortgages would be 72 months. [72 = ($100/$200) x 60 + ($100/$200) x 84].

CMR265: Remaining Term to Full Amortization

For adjustable-rate balloon mortgages only, report the weighted-average number of months remaining until the mortgage would fully amortize if not for the scheduled balloon payment, on CMR265. For example, for the two loans in the example above that amortize over 240 months and 360 months, respectively, you would report 300 months [300 = ($100/$200) X 240 + ($100/$200) X 360]. For interest-only loans – loans that do not amortize – use 360 months. Do not report this item for fully amortizing loans.

CMR267 and CMR268: Rate Index Code

From the List of Interest Rate Index Codes in Appendix A, determine the rate index code that represents the largest percentage of your adjustable-rate multifamily and nonresidential balances. For example, if 60 percent of your balances use the prime rate as an index and the remaining 40 percent use the one-year Treasury rate as an index, you would report the code for the prime rate, 830. Report the index representing the largest percentage of balloon mortgage balances on CMR267, and the index representing the largest percentage of fully amortizing mortgage balances on CMR268.

CMR269 and CMR270: Margin

For all balloon loans tied to the index reported on CMR267, calculate the weighted-average margin, in basis points, as described in the general instructions to Schedule CMR. Report the result on CMR269. For all fully amortizing loans tied to the index reported on CMR268, calculate the weighted-average margin and report the result on CMR270. In calculating the weighted-average margin on CMR269 and CMR270, only include loans that use indices reported on CMR267 and CMR268. For mortgage pool securities, use the net margin. Do not include guarantee and servicing fees.

CMR271 and CMR272: Reset Frequency

For all balloon loans tied to the index reported on CMR267, report the coupon reset frequency, in months, on CMR271. For all fully amortizing loans tied to the index on CMR268, report the reset frequency on CMR272. For loans with accrual rates and payments that reset at different frequencies, report the reset frequency of the accrual rate. If the loans that use the index reported on CMR267 or CMR268 reset with varying frequencies, calculate a weighted-average reset frequency in the same manner as the WARM described in the general instructions to Schedule CMR. Report on CMR271 and CMR272, respectively.

Memo: ARMs within 300 Basis Points of Lifetime Cap

CMR273 and CMR274: Balances

Report the outstanding balances of all adjustable-rate multifamily and nonresidential mortgages with lifetime interest rate caps and where the coupon is currently 300 basis points or less from the lifetime cap. For mortgage pass-through securities, use the pass-through rate on the security and the net lifetime cap in this determination. Report balances for balloon mortgages on CMR273, and balances for fully amortizing mortgages on CMR274.

CMR275 and CMR276: Weighted-Average Distance to Lifetime Cap (basis points)

For balances on CMR273 and CMR274 only, calculate the weighted-average difference between the current coupon and the lifetime cap, in basis points, in the same manner as described for the WAC in the general instructions to Schedule CMR. The weighted-average distance to the cap must be between 0 and 300. Report the results for balloon mortgages on CMR275 and the results for fully amortizing mortgages on CMR276.

Fixed-Rate

CMR281 through CMR282: Balances

Report the following items:

The outstanding balance of fixed-rate multifamily and nonresidential mortgages.
The pro rata share of the outstanding balances of participations in fixed-rate multifamily and nonresidential mortgages.
The outstanding balances of mortgage securities backed by fixed-rate multifamily or

nonresidential mortgages. Report outstanding balances of balloon mortgages on CMR281, and outstanding balances of fully amortizing mortgages on CMR282.

CMR283 and CMR284: Weighted-Average Remaining Maturity (WARM)

Calculate the WARM for fixed-rate multifamily and nonresidential loans as described in the general instructions to Schedule CMR. Report on CMR283 and CMR284. For combination construction-permanent mortgages, use the number of months until maturity for the permanent mortgage. For balloon mortgages, use the number of months until payment of the balloon. Report the result on CMR283. For fully amortizing mortgages, use the number of months until final maturity. Report the result on CMR284.

CMR285: Remaining Term to Full Amortization

For balloon mortgages only, on CMR285 report the weighted-average number of months until the mortgage would fully amortize if not for the scheduled balloon payment. For interest-only loans – loans that do not amortize – use 360 months. Do not report this item for fully amortizing loans.

CMR287 and CMR288: Weighted-Average Coupon (WAC)

Calculate the WAC as described in the general instructions to Schedule CMR. Report the WAC for balloon mortgages on CMR287 and the WAC for fully amortizing mortgages on CMR288. For securities backed by multifamily or nonresidential mortgages, use the coupon rate of the security, the pass-through rate.

Supplemental Reporting

If you hold adjustable-rate multifamily and nonresidential mortgages tied to a variety of different indices, you may wish to report those balances disaggregated by index type in the Supplemental Reporting Section. In addition, you may report loans and securities separately for both fixed- and adjustable-rate balances. The additional detail provided by such reporting improves the estimates produced by the OTS Model. For more information, see the instructions for Supplemental Reporting for Assets and Liabilities.

CONSTRUCTION AND LAND LOANS

Report information on land loans and on the disbursed amount of construction loans secured by single-family dwelling units, multifamily dwelling units, or nonresidential property on CMR291 through CMR298. Include combination construction-permanent mortgages where you have not set the interest rate on the permanent financing. Report only the construction period in the WARM for these combination loans. Do not include combination construction-permanent mortgages that have a fixed rate for the entire term of the mortgage. Report instead with permanent mortgages in the relevant section of Schedule CMR. Report construction LIP in the Off-Balance-Sheet section of Schedule CMR.

Adjustable-Rate

Report the following items for performing adjustable-rate construction and land loans:

CMR291: Balances

Report the outstanding balance of adjustable-rate construction and land loans.

CMR293: Weighted-Average Remaining Maturity (WARM)

Report the WARM calculated as described in the general instructions to Schedule CMR for all adjustable-rate construction and land loans. Calculate the WARM using the lesser of the remaining maturity or the time to rate reset. For combination construction-permanent loans, use the number of months remaining in the construction phase of the loan.

CMR295: Rate Index Code

Report the rate index code which you can obtain from the List of Interest Rate Index Codes in Appendix

A. From the list of codes, determine the rate index code that represents the largest percentage of your adjustable-rate construction and land loan balances. For example, if 60 percent of your balances use the prime rate as an index and the remaining 40 percent use the one-year Treasury rate as an index, you would report the code for the prime rate, code 830.

CMR297: Margin

For the adjustable-rate balances tied to the index on CMR295, calculate the weighted-average margin as described in the general instructions to Schedule CMR. Report the result, in basis points. Do not include adjustable-rate construction loans tied to indices other than the one on CMR295.

CMR299: Reset Frequency

For the adjustable-rate construction and land loans tied to the index on CMR295, report the coupon reset frequency, in months. For loans with payments and accrual rates that reset with different frequencies, report the accrual rate reset frequency. If loans tied to the index on CMR295 reset with varying frequencies, calculate the weighted-average reset frequency in the same manner as described for the WARM in the general instructions to Schedule CMR.

Fixed-Rate

Report the following items for performing fixed-rate construction and land loans:

CMR292: Balances

Report the outstanding balance of fixed-rate construction and land loans.

CMR294: Weighted-Average Remaining Maturity (WARM)

Report the WARM, calculated as described in the general instructions to Schedule CMR, for all fixed-rate construction and land loans. For combination construction-permanent loans, use the number of months remaining in the construction phase of the loan.

CMR298: Weighted-Average Coupon (WAC)

For the fixed-rate balances on CMR292, calculate the WAC as described in the general instructions to Schedule CMR. Report the result, in percent.

Supplemental Reporting

If you hold adjustable-rate construction and land loans tied to a variety of different indices you may wish to report those balances disaggregated by index type in the Supplemental Reporting Section. The additional detail provided by such reporting improves the estimates produced by the OTS Model. For more information, see the instructions for Supplemental Reporting for Assets and Liabilities.

SECOND MORTGAGE LOANS AND SECURITIES

Report information about performing second mortgage loans on single-family dwellings and pass-through securities backed by such loans. Report all mortgages where you hold a junior lien, even if you also hold the first lien. Include the outstanding balance of all secured, open-end revolving home equity loans and lines of credit even if secured by a first lien.

Report loans that were once adjustable-rate but are now fixed-rate for their remaining term and ARMs with coupons that are currently at their lifetime caps, as fixed-rate mortgages.

Adjustable-Rate

Report the following items for performing adjustable-rate second mortgage loans and pass-through securities backed by such loans. Report pay-through securities in Cash, Deposits, and Securities on CMR461 through CMR481 or as code 121 in Supplemental Reporting of Market Value Estimates, as appropriate.

CMR311: Balances

Report the outstanding balance of the following items:

Adjustable-rate second mortgage loans.
The pro rata share of the outstanding balances of participations in adjustable-rate second
mortgage loans.
The outstanding balances of securities backed by adjustable-rate second mortgage loans.

CMR313: Weighted-Average Remaining Maturity (WARM)

Calculate the WARM for adjustable-rate, second mortgage loans as described in the general instructions to Schedule CMR.

For balloon mortgages, use the remaining time until payment of the balloon. For loans made under open-end lines of credit, calculate maturity as if the borrower will repay the existing loan balance by making the minimum payments required by the repayment schedule.

CMR315: Rate Index Code

From the List of Interest Rate Index Codes in Appendix A, determine the rate index code that represents the largest percentage of your adjustable-rate second mortgage balances. For example, if 60 percent of your balances use the prime rate as an index and the remaining 40 percent use the one-year Treasury rate as an index, you would report the code for the prime rate, code 830.

CMR317: Margin

For the ARMs tied to the index on CMR315, calculate the weighted-average margin as described in the general instructions to Schedule CMR. Report the result, in basis points. Do not include adjustable-rate second mortgage loans tied to indices other than the one on CMR315. For second mortgage securities included in the calculation, use the net margin in the calculation. Do not include guarantee or servicing fees.

The following example illustrates how to calculate the weighted-average margin on a portfolio containing an adjustable-rate second mortgage loan and an adjustable-rate second mortgage security.

Example: You have one adjustable-rate second mortgage loan indexed to the prime rate with a margin of 150 basis points, and an outstanding balance of $100,000. You also have a mortgage security backed by adjustable-rate second mortgage loans with an outstanding balance of $200,000. The loans underlying the security also use the prime rate as an index and have a margin of 150. The servicer receives 50 basis points. You receive a pass-through rate of prime plus 100 basis points. Calculate the weighted-average margin as follows:

Weighted-Average Margin = $100,000 (150) + $200,000 (100)
$300,000

= 116.6

= 117 – rounded to nearest basis point

CMR319: Reset Frequency

For the adjustable-rate second mortgages tied to the index on CMR315, report the coupon reset frequency, in months. For loans with payments and accrual rates that reset with different frequencies, report the accrual rate reset frequency. If loans tied to the index on CMR315 reset with varying frequencies, calculate a weighted-average reset frequency in the same manner as described for the WARM in the general instructions to Schedule CMR.

Fixed-Rate

Report the following items for performing fixed-rate second mortgage loans and pass-through securities backed by such loans. Report pay-through securities in Cash, Deposits, and Securities on CMR461 through CMR481 or as code 121 in Supplemental Reporting of Market Value Estimates, as appropriate.

CMR312: Balances

Report the outstanding balance of the following items:

Fixed-rate, second mortgage loans.
The pro rata share of participations in fixed-rate, second mortgage loans.
Securities backed by fixed-rate, second mortgages.

CMR314: Weighted-Average Remaining Maturity (WARM)

Calculate the WARM for fixed-rate, second mortgage loans as described in the general instructions to Schedule CMR. For balloon mortgages, use the remaining time until payment of the balloon, not the amortization period.

CMR318: Weighted-Average Coupon (WAC)

Report the WAC calculated as described in the general instructions to Schedule CMR. For securities backed by second mortgage loans, use the coupon rate of the security (the pass-through rate), not the WAC of the collateral.

Supplemental Reporting

If you hold second mortgages tied to a variety of different indices you may wish to report those balances disaggregated by index type in the Supplemental Reporting Section. The additional detail provided by such reporting improves the estimates produced by the OTS Model. See the instructions for Supplemental Reporting for information.

COMMERCIAL LOANS

Report on CMR325 through CMR330 information on all performing commercial loans and commercial financing leases, of the types on SC32.

In addition, include:

Mortgage warehouse loans, loans collateralized by mortgage loans rather than liens directly on the real estate, including those reported as Mortgage Loans on SC26. Also include mortgage warehouse loans on CMR578.
Pass-through securities backed by commercial nonmortgage loans and leases, even though you report these as securities in Schedule SC, rather than as loans.

Do not include:

SBA securities. Report on CMR473 through CMR475.

Adjustable-Rate

Report the following items for performing, adjustable-rate, commercial loans and pass-through securities backed by such loans. Report pay-through securities in Cash, Deposits, and Securities on CMR461 through CMR481 or as code 121 in Supplemental Reporting of Market Value Estimates, as appropriate.

CMR325: Balances

Report the outstanding balance of adjustable-rate commercial loans.

CMR327: Weighted-Average Remaining Maturity (WARM)

Report the WARM for all adjustable-rate commercial loans calculated as described in the general instructions to Schedule CMR. For demand loans that pay interest only and have no definite maturity, use one month when you calculate WARM.

CMR329: Margin

For the balances tied to the index on CMR333, calculate the weighted-average margin as described in the general instructions to Schedule CMR. Report the result, in basis points.

CMR331: Reset Frequency

For the adjustable-rate commercial loans tied to the index on CMR333 below, report the coupon reset frequency, in months. For loans with payments and accrual rates that reset with different frequencies, report the accrual rate reset frequency. If loans tied to the index on CMR333 reset with varying frequencies, calculate the weighted-average reset frequency in the same manner as described for the WARM in the general instructions to Schedule CMR.

CMR333: Rate Index Code

Report the rate index code that represents the largest percentage of your adjustable-rate commercial loan balances from the List of Interest Rate Index Codes in Appendix A, determine. For example, if 60 percent of your commercial loan balances use the prime rate as an index and the remaining 40 percent use the one-year Treasury rate as an index, you would report the code for the prime rate, Code 830.

Fixed-Rate

CMR326: Balances

Report the outstanding balance of fixed-rate commercial loans.

CMR328: Weighted-Average Remaining Maturity (WARM)

Calculate the WARM for all fixed-rate commercial loans as described in the general instructions to Schedule CMR. For demand loans that pay interest only and have no definite maturity, use one month when you calculate the WARM.

CMR330: Weighted-Average Coupon (WAC)

Report the WAC calculated as described in the general instructions to Schedule CMR.

Supplemental Reporting

The OTS Model assumes that all adjustable-rate commercial loans use the index on CMR333. If you hold adjustable-rate commercial loans tied to different indices you may wish to report those balances disaggregated by index type in the Supplemental Reporting Section. The additional detail provided by such reporting improves the estimates produced by the OTS Model. For information, see the instructions for Supplemental Reporting for Assets and Liabilities.

CONSUMER LOANS

Report on CMR335 through CMR343 information on performing consumer loans and consumer financing leases of the types on SC35. Also, include pass-through securities backed by consumer loans and leases, even though you report these as securities in Schedule SC, rather than as loans.

Do not include:

1. Open-end revolving loans secured by single-family homes, such as home equity loans.

2. Home improvement loans secured by single-family homes. You should report all such loans as Second Mortgages on CMR311 and CMR312.

When calculating the following items, do not include credit card balances expected to pay off within the interest free grace period, reported on CMR590:

WARM.
WAC.
Margin (for adjustable-rate balances).

Adjustable-Rate

Report the following items for performing, adjustable-rate, consumer loans and pass-through securities backed by such loans. Report pay-through securities in Cash, Deposits, and Securities on CMR461 through CMR481 or as code 121 in Supplemental Reporting of Market Value Estimates, as appropriate.

CMR335: Balances

Report the outstanding balance of adjustable-rate consumer loans and the outstanding balances of asset-backed securities backed by adjustable-rate consumer loans.

CMR337: Weighted-Average Remaining Maturity (WARM)

Calculate the WARM for adjustable-rate consumer loans as described in the general instructions to Schedule CMR.

For loans made under open-end lines of credit, including credit cards, calculate maturity as if the borrower will repay the existing loan balance by making the minimum payments required by the repayment schedule. Do not include credit card balances expected to pay off within the interest free grace period. See the section on calculating the WARM for fixed-rate consumer loans for an example.

CMR339: Rate Index Code

From the List of Interest Rate Index Codes in Appendix A, determine the rate index code that represents the largest percentage of your adjustable-rate consumer loans. For example, if you had a consumer loan portfolio of 75 percent auto loans that use the prime rate as an index, and 25 percent mobile home loans that use the six-month Treasury bill rate as an index, you would report the code for the prime rate, Code

830.

CMR341: Margin

For the adjustable-rate consumer loans tied to the index on CMR339, calculate the weighted-average margin as described in the general instructions to Schedule CMR. Report the result, in basis points. Do not include adjustable-rate consumer loans tied to indices other than the one reported on CMR339. If the balances used by the margin are asset-backed securities, use the net margin (subtract the servicing spread). If they are credit card balances, do not include balances expected to pay off within the interest free grace period. See the calculation of the WAC for fixed-rate consumer loans for an example.

CMR343: Reset Frequency

For the adjustable-rate consumer loans tied to the index on CMR339, report the coupon reset frequency, in months. If the loans tied to the index on CMR339 reset with varying frequencies, calculate the weighted-average reset frequency in the same manner as the WARM described in the general instructions to Schedule CMR.

Fixed-rate

Report the following items for performing fixed-rate consumer loans and pass-through securities backed by such loans. Report pay-through securities in Cash, Deposits, and Securities on CMR461 through CMR481 or as code 121 in Supplemental Reporting of Market Value Estimates, as appropriate.

CMR336: Balances

Report the outstanding balance of fixed-rate consumer loans and the outstanding balances of asset-backed securities backed by fixed-rate consumer loans.

CMR338: Weighted-Average Remaining Maturity (WARM)

Calculate the WARM for all fixed-rate consumer loans and asset-backed securities as described in the general instructions to Schedule CMR. Do not include credit card balances expected to pay off in the interest-free grace period.

WARM = $100,000 (48) + $70,000 (60)
$170,000

= 52.94 = 53 months – rounded to the nearest month

CMR342: Weighted-Average Coupon (WAC)

Calculate the WAC for all fixed-rate consumer loans as described in the general instructions to Schedule CMR. For asset-backed securities, use the coupon of the security, the pass-through rate, not the coupon of the collateral. Do not include credit card balances expected to pay off within the interest-free grace period.

Example: You have $100,000 of fixed-rate credit card balances with a stated rate of 18 percent, and $100,000 of auto loans with a coupon of 10 percent. You estimate that 30 percent of the credit card balances typically pay off within the interest free grace period. Calculate the WAC for consumer loans as follows.

WAC = $70,000 (18.0%) + $100,000 (10.0%)
$170,000
= 13.29%

Supplemental Reporting

If you hold a variety of types of consumer loans – auto loans, credit cards, education loans – or adjustable-rate consumer loans tied to a variety of different indices you may wish to report those balances disaggregated by loan type or index type in the Supplemental Reporting Section. The additional detail improves the estimates produced by the OTS Model. For information, see the instructions for Supplemental Reporting for Assets and Liabilities.

MORTGAGE-DERIVATIVE SECURITIES — BOOK VALUE

Mortgage-derivative securities include the following items:

Collateralized mortgage obligation (CMO) tranches.
Stripped mortgage-backed securities (SMBS).
CMO residuals.

All mortgage derivatives must be self-valued and reported in the Supplemental Reporting of Market Value Estimates Section. See the instructions for Supplemental Reporting of Market Value Estimates.

In the lines described below, report mortgage-derivative securities at the same amount that you reported in Schedule SC. See general instructions for reporting Cash, Deposits, and Securities located immediately before the instructions for SC11. Enter securities in the high risk or low risk columns based on whether the following high-risk test would classify them as high risk or low risk:

A mortgage-derivative security is high risk if it meets any of the following criteria:

The expected remaining weighted-average life¹ of the security exceeds ten years.
The expected remaining weighted-average life of the security extends by more than four years for an immediate and sustained parallel shift in the yield curve of plus 300 basis points.
The expected remaining weighted-average life of the security shortens by more than six years for an immediate and sustained parallel shift in the yield curve of minus 300 basis points; or
The estimated change in the price of the security is more than 17 percent, due to an immediate

and sustained parallel shift in the yield curve of plus or minus 300 basis points. Report all high-risk, mortgage-derivative securities in the appropriate cells in the column High Risk. Report all mortgage-derivative securities that the test does not classify as high risk in the appropriate cells of the column Low Risk.

Floating-rate tranches that use a conventional widely used index are only subject to item 4 above if the current interest rate on the tranche is below the maximum contractual interest rate on the tranche, the cap rate. Floating rate tranches tied to other indices, superfloaters, and inverse floaters are subject to the entire test.

Once you have determined the appropriate risk class of your mortgage derivative, you will break down balance and rate by the derivative security’s characteristics. These characteristics are set forth in the following three sections: CMOs, CMO residuals, and stripped MBS.

¹Weighted Average Life (WAL) is a measure of the expected time until repayment of principal on a mortgage-backed security. WAL, in years, is calculated as:

Where M = remaining number of months to maturity, P1, P2, etc. = expected principal payments in each future month.

Collateralized Mortgage Obligations (CMOs)

Report CMO tranches, excluding residuals, on CMR351 through CMR364 according to the characteristics of the tranche as defined below. Do not include CMO swaps. Include the value of CMO swaps, based on your estimates, on Supplemental Reporting of Market Value Estimates.

CMR351 and CMR352: Floating Rate

Report the amount of all CMO tranches that pay an interest rate tied to a floating-rate index on CMR351 and CMR352, as appropriate.

CMR353 and CMR354: Fixed Rate: Remaining Weighted-Average Life Not Exceeding Five Years

Report the amount of fixed-rate CMO tranches with remaining weighted-average lives of less than or equal to five years on CMR353 and CMR354, as appropriate. In general, report most support tranches, also called companion bonds, for short-term Planned Amortization Class (PAC) and Targeted Amortization Class (TAC) bonds on CMR353. Typically, report short-term PAC and TAC bonds and the first tranche of a sequential CMO on CMR354.

CMR355 and CMR356: Fixed Rate: Remaining Weighted-Average Life

Greater Than Five Years, But Not Exceeding Ten

Years

Report the amount of all fixed-rate CMO tranches with remaining weighted-average lives greater than five years but less than or equal to ten years on CMR355 and CMR356, as appropriate. Report support tranches for long-term PAC and TAC bonds and intermediate and long term sequential bonds on CMR355. Report long-term PAC and TAC bonds with a weighted-average life up to 10 ten years and second or third sequential bonds in a sequence on CMR356.

CMR357: Fixed Rate: Remaining Weighted-Average Life Greater Than Ten Years

Report the amount of all fixed-rate CMO tranches with remaining weighted-average lives in excess of ten years on CMR357. Also report most Z-tranches (also called accrual bonds, or accretion bonds).

CMR359: Superfloaters

Superfloaters are CMO tranches whose coupon adjusts in the same direction as, and by a multiple of a specified index, such as LIBOR. For example, 2 x LIBOR - 3 percent. The high-risk test classifies most superfloaters as high risk. Report the amount of high-risk superfloater tranches on CMR359. Report low-risk superfloater tranches on CMR352.

CMR361: Inverse Floaters and Super POs

An inverse floater has a coupon that adjusts in the opposite direction of an interest-rate index, such as LIBOR. A super PO is a zero-coupon support tranche for PAC or TAC tranches in a CMO. The high risk test will classify nearly all inverse floaters and super POs as high risk. Report the amount of high risk inverse floaters and super POs on CMR361. However, if you can demonstrate that an inverse floater or super PO tranche is low risk, report that tranche on CMR374.

CMR363 and CMR364: Other CMO Tranches

Report the amount of all other high-risk tranches on CMR363. This cell includes all other CMO products that you cannot classify into one of the above cells, and that you have not determined to be low risk. Report the amount of other low risk tranches on CMR364. This cell includes all other CMO products that

SCHEDULE CMR 1729

you cannot classify into one of the above cells, and that you have not determined to be high risk according to the high risk test.

CMO Residuals

Report CMO residuals on CMR365 through CMR368 as described below. Residuals – also called excess cash flow or CMO equity – are instruments that represent a claim on excess cash flows remaining after the holders of the other classes have been paid. Certain CMO and REMIC tranches that do not represent claims on excess cash flows have been called residuals to satisfy the requirements in the Tax Reform Act of 1986. Report such residuals on CMR351 through CMR364 above, as appropriate.

CMR365 and CMR366: Fixed-Rate Residuals

Fixed-rate residuals are residuals from CMOs that contain only fixed-rate tranches. Report the amount of fixed-rate residuals on CMR365 and CMR366, as appropriate.

CMR367 and CMR368: Floating-Rate Residuals

Floating-rate residuals are residuals from CMOs that contain one or more floating-rate tranches. Report the amount of floating-rate residuals on CMR367 and CMR368, as appropriate.

STRIPPED MORTGAGE-BACKED SECURITIES

Report stripped MBS on CMR369 through CMR376 as described below. Interest Only (IO) strips are securities that receive only the interest payments from a pool of mortgages. Principal Only (PO) strips are securities that receive only the payments of principal from a pool of mortgages. IO and PO tranches of CMOs receive only interest payments and only principal payments, respectively, from part or all the collateral in a CMO.

CMR369 and CMR370: Interest-Only MBS

Report the amount of IO strips and IO tranches of CMOs on CMR369 and CMR370, as appropriate. The high risk test will classify most tranches as high risk and you should report them on CMR369. However, if you can demonstrate that an IO is low risk, report that tranche on CMR370.

CMR371 and CMR372: Weighted-Average Coupon (WAC)

Report the WAC of the underlying collateral of the IO strips or IO CMO tranches on CMR371 and CMR372, as appropriate.

CMR373 and CMR374: Principal-Only MBS

Report on CMR373 and CMR374 the amount of PO strips and PO tranches of CMOs that are not super POs. The high-risk test will classify most POs as high risk. Report them in CMR373. However, if you can demonstrate that a PO is low risk, you should report that tranche on CMR374.

CMR375 and CMR376: Weighted-Average Coupon (WAC)

Report on CMR375 and CMR376 the WAC of the underlying collateral of the PO strips or PO tranches that are not super POs.

CMR377 and CMR378: Total Mortgage-Derivative Securities

The EFS software computes CMR377 as the sum of CMR351, CMR353, CMR355, CMR357, CMR359, CMR361, CMR363, CMR365, CMR367, CMR369, and CMR373. The EFS software computes CMR378 as the sum of CMR352, CMR354, CMR356, CMR364, CMR366, CMR368, CMR370, and CMR374.

Reporting Estimated Market Values

Besides reporting book values as described above, all savings associations must also report the estimated market values of their high- and low-risk mortgage-derivatives on Supplemental Reporting of Market Value Estimates using asset code 123 in Appendix D. Specific instructions are described in the section, Reporting of Estimated Market Values.

MORTGAGE LOANS SERVICED FOR OTHERS

Report information on all performing, single-family, adjustable- and fixed-rate first mortgage loans that you service for others.

Include:

Mortgage loans you have sold to others but where you perform the servicing, even if you do not receive an ongoing servicing fee.
The mortgage balances of mortgage servicing rights you purchased.
Securitized mortgages – for example, a FHLMC swap – if you continue to perform the servicing. In this case, you own a mortgage security and the servicing rights on the mortgages underlying the security. Report the outstanding balance of the mortgages underlying the mortgage security both here and as a mortgage security, in the relevant lines of the fixed-rate or ARMs section.
Mortgage balances where you own the servicing right but someone else performs the servicing, if you receive a net fee after you pay the subservicer.

Mortgage balances where you perform servicing on a contractual basis – you act as subservicer
– for another entity that owns the servicing rights and this arrangement will continue for the life of those mortgages.

In cases where you own a share of a pool but service the entire pool, report only the share you do not own.

Do not include:

Mortgage loans that a consolidated subsidiary services for you.
Loans being serviced other than single-family first mortgage loans.
Mortgage loans where you will perform servicing on a contractual basis – you act as subservicer

– for another entity for less than the life of the mortgages.

Use code 500 in Supplemental Reporting of Market Value Estimates to report your estimates of the economic value of servicing rights described in items 2 and 3 under Do not include.

Fixed-Rate Mortgage Loan Servicing

CMR401 through CMR405: Balances Serviced

Report the outstanding balances of fixed-rate mortgages that you service for others according to the five following coupon ranges:

Less than 5 percent.
5 percent to 5.99 percent.
6 percent to 6.99 percent.
7 percent to 7.99 percent.
8 percent and above.

CMR406 through CMR410: Weighted-Average Remaining Maturity (WARM)

For each coupon range, report the WARM of the mortgages on CMR401 through CMR405. Calculate the WARM as described in the general instructions to Schedule CMR.

CMR411 through CMR415: Weighted-Average Servicing Fee

For each coupon range, report the weighted-average net servicing fee you retain, in basis points. See the example below for a description of the calculation. The mortgage servicing fee is the spread you retain. This is the difference between the weighted-average note rate on the mortgages being serviced and the rate of interest passed on to the owner of the mortgages, less any payments to third parties such guarantors, master servicers, and subservicers.

The following example illustrates how to calculate the weighted-average servicing fee:

Example: You have a servicing portfolio consisting of the following three fixed-rate loans, each with a current outstanding balance of $100,000.

You purchased the rights to service a GNMA security with a pass-through rate of 6 percent, and a WAC on the underlying mortgages of 6.5 percent. Although the difference between the pass-through rate and the WAC is 50 basis points, GNMA receives six basis points for its guarantee fee and you retain 44 basis points. You should use 44 basis points when you calculate the weighted-average servicing fee.
You originated a mortgage with a coupon of 6.5 percent and sold it on the secondary market to yield 5.5. You should include the full one hundred 100-basis point fee when you calculate the weighted-average servicing spread.
You own the servicing rights on an 6.6 percent mortgage with a servicing fee of 45 basis points; however, you contracted with a subservicer to service the loan for 30 basis points. You should use the remaining 15-basis point fee you retain in calculating the weighted-average servicing spread. Because another savings association subservices this loan, you should include it in the number of loans on CMR423.

Calculate the weighted-average servicing fee for these three loans as follows:

Weighted-Average Servicing Fee = 44($100,000) + 100($100,000) + 15($100,000) $300,000

= 53 basis points

You would report this as 53 on CMR413.

CMR421: Total Number of Fixed-Rate Loans Serviced That Are Conventional Loans

Report on CMR421 the number of conventional loans in the balances on CMR401 through CMR405.

CMR422: Total Number of Fixed-Rate Loans Serviced That Are FHA/VA Loans

Report on CMR422 the number of FHA and VA loans in the balances on CMR401 through CMR405.

CMR423: Total Number of Fixed-Rate Loans Serviced That Are Subserviced by Others

Report the total number of fixed-rate mortgage loans included on CMR421 through CMR422 where you own the right to service for others but have contracted the servicing out to a subservicer.

Adjustable-Rate Mortgage Loan Servicing

CMR431 through CMR432: Balances Serviced

Report the outstanding balances of ARMs serviced for others that reset based on current market indices on CMR431 and those that reset based on lagging market indices on CMR432. See the instructions for adjustable-rate single-family mortgages for a definition of current market versus lagging indices.

CMR433 through CMR434: Weighted-Average Remaining Maturity (WARM)

Report the WARM of ARMs of each index type on CMR433 and CMR434. Calculate the WARM as described in the general instructions to Schedule CMR.

CMR435 and CMR436: Weighted-Average Servicing Fee

Report the weighted-average net servicing fee that you retain in basis points for current market index ARMs on CMR435 and for lagging market index ARMs on CMR436. See example above for description of its calculation. The mortgage servicing fee is the spread you retain. This is the difference between the weighted-average note rate on the mortgages being serviced and the rate of interest passed on to the owner of the mortgages, less any payments to third parties such as guarantors, master servicers, and subservicers.

CMR441: Total Number of Adjustable-Rate Loans Serviced

On CMR441 report the total number of adjustable-rate loans in the balances on CMR431 and CMR432.

CMR442: Of Which, Number Subserviced by Others

On CMR442 report the total number of ARM loans in CMR441 where you own the right to service for others but have contracted the servicing out to a subservicer.

CMR450: Total Balances of Mortgage Loans Serviced for Others

The EFS software automatically computes this line as the sum of the balances on CMR401 through CMR405, CMR431, and CMR432.

CASH, DEPOSITS, AND SECURITIES

We collect information about most of the financial instruments on SC11, Cash, Deposits, and Investment Securities, in this section. We do not include mortgage-derivative securities. General instructions to Schedule CMR that apply to this section are:

Report outstanding principal balances, not carrying values, unless explicitly instructed otherwise. Do not deduct or add discounts and premiums or valuation allowances.
Report coupon rates, not effective rates, unless explicitly instructed otherwise.

In calculating the WARM, observe the following:

For a security that will repay principal periodically over its life, such as through scheduled sinking fund repayments, you should treat each repayment as a separate instrument when calculating the WARM.
For variable-rate instruments, calculate the WARM using the months to the next repricing as the remaining months to maturity.

CMR461: Cash, Non-Interest-Earning Demand Deposits, Overnight Fed Funds, Overnight Repurchase Agreements

Report on CMR461 the outstanding balance of cash, cash items, non-interest-earning demand deposits, overnight Federal funds sold, securities purchased under overnight repurchase agreements, and investments in money market mutual funds. Also, include accrued interest or dividends receivable on deposits and investment securities that you report on CMR461 through CMR481 or as code 121 in Supplemental Reporting of Market Value Estimates, as appropriate.

CMR464: Equity Securities (Including Mutual Funds) Subject to SFAS No. 115

Report the fair market value of investments in equity securities subject to FASB Statement No. 115 and the fair value of investments in mutual funds. Include limited partnership investment funds subject to FASB Statement No. 115. Include investments in perpetual preferred stock or preferred stock convertible to common stock where such preferred stock has a readily determinable fair value.

Do not include:

Investments in money market mutual funds. Report on CMR461.
Preferred and common stock where there is no readily determinable fair value. Report on
CMR530.

CMR470 through CMR472: Zero-Coupon Securities

On CMR 470 report the recorded investment of zero-coupon securities, including Treasury bills. Do not include Z-tranches or accrual bonds of CMOs or REMICs. You should report those on CMR357. On CMR471, instead of a WAC, report the internal rate of return of these securities regardless of whether you report them at historic cost or fair value. Report the WARM on CMR472. Do not include securities that you could consider complex securities such as callable zero-coupon securities. Thrifts with complex securities, including structured securities, are required to self-value these instruments on the section, Supplemental Reporting of Market Value Estimates using asset code 121 in Appendix D. We define both complex securities and structured securities in Thrift Bulletin 13a, Appendix D.

CMR473 through CMR475: Government and Agency Securities

Report debt instruments issued by the US government and nonmortgage debt issued by federal agencies.

Include:

US Treasury securities, except Treasury bills on CMR470.
Nonmortgage debt issued by FNMA, FHLMC, GNMA, the FHLB System, and other government sponsored agencies.
FICO bonds.
SBA securities.

Do not include:

Mortgage-backed instruments or derivatives issued or guaranteed by FNMA, FHLMC, or GNMA. Report with Mortgage-Backed or Mortgage-Derivative Securities as appropriate.

Complex securities, including structured securities, as described in Thrift Bulletin 13a, Appendix
D.

Stripped securities. Report on CMR470.
Stock of Federal agencies.
Securities issued by state or local governments.

6. Securities purchased under overnight repurchase agreements. On CMR473 report the outstanding principal balance of the relevant instruments. Report the WAC of

those balances on CMR474 and their WARM on CMR475. The general instructions to Schedule CMR describe how to calculate both of these items.

Supplemental Reporting

If the balance reported on CMR473 includes adjustable-rate or inverse floating-rate securities, report that balance at a greater level of detail in the Supplemental Reporting Section. The additional detail provided by such reporting improves the estimates produced by the OTS Model. For information, see the instructions for Supplemental Reporting for Assets and Liabilities.

CMR476 through CMR478: Term Fed Funds, Term Repurchase

Agreements, and Interest-Earning

Deposits

Include any Fed funds sold and securities purchased under repurchase agreements that you did not report on CMR461. Also, include interest-earning nonmaturity deposits and all time deposits held with banks and other depository institutions, including FHLBs. Report the outstanding principal balance on CMR476, the WAC of those balances on CMR477, and their WARM on CMR478. For deposits that have no contractual maturity, use one month when you calculate the WARM.

CMR479 through CMR481: Other (Munis, Mortgage-Backed Bonds,

Corporate Securities, Commercial Paper,

Etc.)

This section includes a broad range of securities:

Debt securities issued by state and local governments.
Commercial paper and other corporate debt securities, except for structured securities as
described in Appendix D of Thrift Bulletin 13a.
Mortgage-backed bonds.
Promissory notes.
Limited life preferred stock.

Do not include:

Callable and other structured securities of these types. Report the market value estimates of these

on Supplemental Reporting of Market Value Estimates using asset code 121 found in Appendix D. Report the outstanding principal balance of these securities on CMR479, their WAC on CMR480, and their WARM on CMR481. In calculating the WAC use the tax-equivalent yield for state, county, and municipal securities. Use the dividend yield for preferred stock.

Supplemental Reporting

If the balance reported on CMR479 includes adjustable-rate or inverse floating-rate securities, you may report that balance at a greater level of detail in the Supplemental Reporting Section. The additional detail provided by such reporting improves the estimates produced by the OTS Model. For information, see the instructions for Supplemental Reporting for Assets and Liabilities.

Outstanding Balance of Complex Securities (Not including Mortgage Derivative Securities)

Thrifts with complex securities, including structured securities, are required to self-value these instruments in the section Supplemental Reporting of Market Value Estimates using asset code 121 in Appendix D. We define both complex securities and structured securities in Thrift Bulletin 13a, Appendix

D. Do not include mortgage derivative securities.

CMR490: Total Cash, Deposits, and Securities

The EFS software automatically computes this line as the sum of the balances on CMR461, CMR464, CMR470, CMR473, CMR476, and CMR479. For all editing and output data uses, our data systems will add the balance for complex securities reported as code 121 in the section for Supplemental Reporting of Market Value Estimates to this line.

ADDITIONAL ITEMS

You report in this section certain additional items needed for the OTS Model. The definitions and instructions for these items are the same as on Schedule SC.

Items Related to Mortgage Loans and Securities

The following items pertain to asset balances on CMR125, CMR185, CMR261, CMR262, CMR281, CMR282, CMR291, CMR292, CMR311, and CMR312.

CMR501: Nonperforming Loans

Report the outstanding balance of nonperforming mortgage loans and securities. Nonperforming loans are nonaccrual loans plus loans that are at least 90 days past due but still accruing interest. Outstanding balance is defined in the general instructions to Schedule CMR.

Include:

Nonperforming mortgage warehouse loans that you reported as mortgage loans on Schedule SC.
Delinquent mortgage loans previously securitized with Ginnie Mae, where either (a) you have an unconditional repurchase option, or (b) you have repurchased the loans under such an option. Also, with respect to (a) report the related liability on CMR786, Other Liabilities I.

CMR502: Accrued Interest Receivable

Report amounts for the types on SC228, Accrued Interest Receivable on Mortgage-Backed Securities, and SC272, Accrued Interest Receivable on Mortgage Loans.

Include:

Interest receivables on mortgage warehouse loans that you reported as mortgage loans on Schedule

SC.

CMR503: Advances for Taxes and Insurance

Report amounts paid on behalf of borrowers for taxes and insurance of the types reported on SC275, Advances for Taxes and Insurance.

Include:

Advances related to mortgage warehouse loans that you reported as mortgage loans on Schedule SC.

CMR504: Less: Unamortized Yield Adjustments

Report the net amount of unamortized premiums and discounts related to balances on CMR125, CMR185, CMR261, CMR262, CMR281, CMR282, CMR291, CMR292, CMR311, CMR312, and CMR501.

Include:

Premiums or discounts related to mortgage warehouse loans that you reported as mortgage loans on Schedule SC.

CMR507: Less: Valuation Allowances

Report general and specific valuation allowances established to recognize credit losses.

Include:

Allowances related to mortgage warehouse loans that you reported as mortgage loans on Schedule SC.

CMR508: Unrealized Gains (Losses)

Report, on a consolidated basis, gross unrealized gains (losses) on loans held for sale, available-for-sale securities, and trading securities. Also report the unamortized deferred gains and losses on hedging transactions closed prior to adoption of FASB Statement No. 133, and the accumulated gain or loss (change in fair value) on the asset attributable to the designated risk being hedged on a qualifying fair value hedge under FASB statement No. 133.

Include:

Unrealized gains or losses related to mortgage warehouse loans that you reported as mortgage loans on Schedule SC.

Items Related to Nonmortgage Loans and Securities

The following items pertain to asset balances on CMR325, CMR326, CMR335, and CMR336.

CMR511: Nonperforming Loans

Report the outstanding balance of nonperforming nonmortgage loans. Nonperforming loans are nonaccrual loans plus loans that are at least 90 days past due but still accruing interest. Outstanding balance is defined in the general instructions to Schedule CMR.

Do not include:

Nonperforming mortgage warehouse loans that you reported as mortgage loans on Schedule SC.

CMR512: Accrued Interest Receivable

Report amounts of the types on SC348, Accrued Interest Receivable on Nonmortgage Loans.

Do not include:

Interest receivables on mortgage warehouse loans that you reported as mortgage loans on Schedule SC.

CMR513: Less: Unamortized Yield Adjustments

Report the net amount of unamortized premiums and discounts related to balances on CMR325, CMR326, CMR335, CMR336, and CMR511.

Do not include:

Premiums or discounts related to mortgage warehouse loans that you reported as mortgage loans on Schedule SC.

CMR516: Less: Valuation Allowances

Report general and specific valuation allowances established to recognize credit losses.

Do not include:

Allowances related to mortgage warehouse loans that you reported as mortgage loans on Schedule SC.
Valuation allowances established to recognize decreases in the value of real estate held for investment or repossessed assets. See instructions for CMR520 and CMR525 for proper treatment of such valuation allowances.

CMR517: Unrealized Gains (Losses)

Report unrealized gains (losses) on loans held for sale, available-for-sale securities, and trading securities. Also report the unamortized deferred gains and losses on hedging transactions closed prior to adoption of FASB Statement No. 133, and the accumulated gain or loss, change in fair value, on the asset attributable to the designated risk being hedged on a qualifying fair value hedge under FASB Statement No. 133.

Do not include:

Unrealized gains or losses related to mortgage warehouse loans that you reported as mortgage loans on Schedule SC.

CMR520: Real Estate Held for Investment

Report assets of the types on SC45. Report those amounts net of any appropriate valuation allowances. CMR520 should equal SC45.

CMR525: Repossessed Assets

Report repossessed assets of the types on SC405 through SC430. Report those amounts net of any appropriate valuation allowances. CMR525 should equal SC40.

CMR530: Equity Investments Not Subject to FASB Statement No. 115 (Excluding FHLB Stock)

Report equity investments of the type on SC540, net of any appropriate valuation allowances. Do not include Federal Home Loan Bank stock reported on SC510; report FHLB stock on CMR543, Other Assets, Miscellaneous I. Also do not include any loans made to subordinate organizations; report such loans with commercial loans on CMR325 or CMR326. Reclassify any investments accounted for by the equity method with a negative balance to CMR786, Miscellaneous Liabilities I.

CMR535: Office Premises and Equipment

Report assets of the types on SC55. CMR535 should equal SC55.

Items Related to Certain Investment Securities

CMR538: Unrealized Gains (Losses)

Report gross unrealized gains (losses) on any available-for-sale securities and trading securities on CMR461, CMR473, CMR476, and CMR479 or as code 121 in Supplemental Reporting of Market Value Estimates. Also report the unamortized deferred gains and losses on hedging transactions closed prior to adoption of FASB Statement No. 133, and the accumulated gain or loss, change in fair value, on the asset attributable to the designated risk being hedged on a qualifying fair value hedge under FASB Statement No. 133.

Do not include:

Unrealized gains (losses) related to equity securities reported on CMR464.
Unrealized gains (losses) related to zero-coupon securities reported on CMR470.

Both CMR464 and CMR470 are reported at recorded investment and, thus, already include unrealized gains or losses.

CMR539: Less: Unamortized Yield Adjustments

Report the net amount of unamortized premiums and discounts on securities whose balances you report on CMR461, CMR473, CMR476, and CMR479 or as code 121 in Supplemental Reporting of Market Value Estimates.

Do not include:

Unamortized yield adjustments related to equity securities reported on CMR464.
Unamortized yield adjustments related to zero-coupon securities reported on CMR470.

Both CMR464 and CMR470 are reported at recorded investment and, thus, already include premiums and discounts.

CMR540: Less: Valuation Allowances

Report all valuation allowances related to securities whose balances you report on CMR377, CMR378, CMR461, CMR464, CMR470, CMR473, CMR476, and CMR479 or as code 121 in Supplemental Reporting of Market Value Estimates.

Other Assets

CMR541: Servicing Assets, Interest-Only Strip Receivables, and Certain Other Instruments

Report assets of the types reported on SC642, Servicing Assets on Mortgage Loans, SC644, Servicing Assets on Nonmortgage Loans, and SC665, Interest-Only Strip Receivables and Certain Other Instruments. CMR541 should equal the sum of SC642, SC644, and SC665.

CMR543: Miscellaneous I

Report assets of the types included on line SC689, Other Assets, except for the following items:

Unamortized options fees, Other Assets Code 16.
Deferred net losses (gains) on asset hedges, Other Assets Code 17.
Derivative instruments in a gain position at fair value, Other Assets Code 20.

Include:

1. Assets of the types included on SC615 and SC625, Bank-Owned Life Insurance.

2. Federal Home Loan Bank Stock reported on SC510. Report amounts on CMR543 net of specific valuation allowances. Deduct all general valuation allowances

on SC699 from this line. The sum of CMR543 and CMR544 should equal SC510, SC615, SC625, SC660 plus SC689, minus SC699.

CMR544: Miscellaneous II

Report assets of the types included on line SC660, Goodwill and Other Intangibles.

Include the following items included on SC689, Other Assets:

Unamortized options fees .
Fair value of all derivative instruments reportable as assets under FASB Statement No. 133

(Code 20). The sum of CMR543 and CMR544 should equal SC510, SC615, SC625, SC660 plus SC689, minus SC699.

CMR550: Total Assets

The EFS software automatically computes this line as the sum of the following line items:

CMR125 CMR185 CMR261 CMR262 CMR281
CMR282 CMR291 CMR292 CMR311 CMR312
CMR325 CMR326 CMR335 CMR336 CMR377
CMR378 CMR490 CMR501 CMR502 CMR503
CMR508 CMR511 CMR512 CMR517 CMR520
CMR525 CMR530 CMR535 CMR538 CMR541
CMR543 CMR544

Less the following items:

CMR504 CMR507 CMR513 CMR516 CMR539 CMR540

CMR550 plus the balance for Complex Securities reported as code 121 on the section for Supplemental Reporting of Market Value Estimates should equal SC60, Total Assets. For all editing and output data uses, our data systems will add the balance for complex securities reported as code 121 in the section for Supplemental Reporting of Market Value Estimates to this line.

Memoranda Items

CMR578: Mortgage Warehouse Loans Reported as Mortgage Loans at SC26

Report the outstanding balance of performing loans included on SC26, Mortgage Loans, collateralized by mortgage loans rather than liens directly on real estate.

CMR580: Loans Secured by Real Estate Reported as Nonmortgage Loans at SC31

Report the outstanding balance for the following types of performing loans on SC31 (Nonmortgage Loans):

Any timeshare loans on CMR125 or CMR185.
Loans to finance small businesses that are primarily secured by single-family residences, where you have classified the loans as commercial nonmortgage loans.

Market Value of Equity Securities and Mutual Funds Reported at CMR464:

Report on CMR582 and CMR584 the current market value of the assets whose recorded investment you report on CMR464. The sum of CMR582 and CMR584 should equal CMR464.

CMR582: Equity Securities and Nonmortgage--Related Mutual Funds

Report on CMR582 the current market value of all investments in common stock, except FHLB stock, and in mutual funds that invest entirely in nonmortgage-related instruments.

CMR584: Mortgage-Related Mutual Funds

Report on CMR584 the current market value of all investments in mutual funds, including limited partnership investment funds, that have any investments in mortgages, mortgage securities, mortgage-derivative securities, mortgage servicing rights, or other mortgage-related instruments.

At your option, you may use code 129 to report your estimate of mortgage-related mutual funds in each of the seven interest rate scenarios listed on the Supplemental Reporting of Market Value Estimates.

Mortgage Loans Serviced by Others

CMR586: Fixed-Rate Mortgage Loans Serviced by Others

Report on CMR586 the outstanding balance of all performing fixed-rate mortgages that you hold but others service.

CMR587: Weighted-Average Servicing Fee

Report on CMR587, in basis points, the weighted-average servicing fee paid to others to service the fixed-rate mortgage balances on CMR586. Calculate the weighted-average servicing fee in the same manner as described for the WAC in the general instructions to Schedule CMR.

CMR588: Adjustable-Rate Mortgage Loans Serviced by Others

Report on CMR588 the outstanding balance of all performing ARM balances that you hold but others service.

CMR589: Weighted-Average Servicing Fee:

Report on CMR589, in basis points, the weighted-average servicing fee paid to others to service the ARM balances on CMR588. Calculate the weighted-average servicing fee in the same manner as described for the WAC in the general instructions to Schedule CMR.

CMR590: Credit Card Balances Expected to Pay Off in Grace Period

Report on CMR590 the amount of the outstanding credit card balances expected to pay off within an interest-free grace period and, thus, not incur interest charges.

Example: You have $100,000 in outstanding fixed- and adjustable-rate credit card balances scheduled to pay off over 60 months. You estimate that customers will repay 30 percent of those balances within the grace period. You would report $30,000 on CMR590.

LIABILITIES

Annual Percentage Yields

Unless otherwise stated in the reporting instructions, report the interest rates for all liabilities as annual percentage yields (APYs). The rates and balances used in calculating the APY should be those as of the reporting date, unless otherwise stated in the reporting instructions. If the APY is equal to zero, report .01, one basis point.

In general, APY reflects the relationship between a given principal balance and the amount of interest that it would earn for a three hundred sixty-five day year. Calculate the APY using the following general formula:

APY = 100 [(1 + Interest/Principal)^{(365/Days in Term)} - 1]

Where:	Principal	=	The amount of funds on deposit as of the reporting date.
	Interest	=	The total dollar amount of interest that you will pay on the Principal over
			the remaining term of the account.
	Days in Term	=	The actual number of days remaining to maturity. You can use the above
			formula to compute the APY for instruments of any maturity.

We base the following examples on balances and rates as of the reporting date:

Example:

You will pay $30.37 in interest on a $1,000 certificate of deposit with six months remaining to maturity, where the six month period contains 182 days. Calculate the APY as follows:

APY = 100 [(1 + 30.37/1,000)^(365/182) - 1] = 6.18%

Suppose now that you will pay $133.13 in interest on a $1,000 certificate of deposit with two years remaining to maturity, where the two-year period contains 730 days. Calculate the APY as follows:

APY = 100 [(1 + 133.13/1,000)^(365/730) - 1] = 6.45%

Use Days in Term equal to 365 for accounts without a stated maturity. For example, you pay $61.68 in interest for $1,000 deposited in a NOW account for 365 days, assuming the depositor makes no further withdrawals or deposits during that time. Calculate the APY as follows:

APY = 100 (61.68/1,000) = 6.17%

Reporting of Deposit Information

Schedule CMR collects information on early withdrawals during the quarter for CDs and the balances deposited in new accounts during the quarter for CDs and nonmaturity deposits. We use this information to develop core deposit attrition rate estimates. The OTS Net Portfolio Value Model uses attrition rate estimates to estimate the interest rate sensitivity of your core deposits. Refer to the instructions for the specific line items for definitions of early withdrawals and new accounts.

Reporting the information on early withdrawals and balances deposited in new accounts is optional for only those institutions with total assets (SC60) of less than $300 million.

FIXED-RATE, FIXED-MATURITY DEPOSITS

CMR601-CMR603, CMR615-CMR617, CMR631-CMR632, and CMR641: Balances

Report each outstanding CD balance in the cell corresponding to its remaining maturity and original maturity.

Include:

CDs.
Notice accounts.
Consecutive monthly payment accounts – for example, Christmas Club accounts.

Do not include:

Variable-rate, fixed-maturity deposits. Use code 200 to report these deposits in Supplemental

Reporting for Assets and Liabilities. Note: We include notice accounts in the maturity/repricing column that corresponds to the remaining term of the notice period. We include consecutive monthly payment accounts in the maturity/repricing column that corresponds to the remaining term required to qualify for the bonus rate.

CMR605-CMR607, CMR619-CMR621,
CMR634-CMR635, and CMR643: Weighted-Average Coupon (WAC)

Report the weighted-average APY of the CD balances reported in each of the nine cells listed above. Calculate the weighted-average APY in the same way as described for the WAC in the general instructions to Schedule CMR.

CMR608-CMR610, CMR622-CMR624,
CMR636-CMR637, and CMR644: Weighted-Average Remaining

Maturity (WARM)

Report the WARM, in months, of the CD balances reported in each of the nine cells listed above. We describe how to calculate the WARM in the general instructions to Schedule CMR.

CMR604, CMR618, CMR633, and CMR642: Early Withdrawals during Quarter

Report CDs (or portions of CDs) that meet both of the following criteria:

Were subject to early withdrawal penalties.
Were withdrawn during the quarter before their contractual maturity.

Report balances withdrawn before maturity in the maturity bucket corresponding to what the remaining maturity of those balances would have been at the quarter’s end had they not been withdrawn.

CMR645: Total Fixed-Rate, Fixed-Maturity Deposits (CDs)

The EFS software automatically computes this line as the sum of CMR601 through CMR603, CMR615 through CMR617, CMR631, CMR632, and CMR641.

MEMO: FIXED-RATE, FIXED-MATURITY DEPOSIT DETAIL:

CMR650 through CMR652: Balances in Brokered Deposits

For the total CD balances reported in each original maturity column, determine the portion that are brokered deposits. Report these balances for each original maturity. The term brokered deposit, defined in 12 CFR § 337.6, refers to funds obtained, directly or indirectly, by or through any deposit broker.

Example: You report $125,000 on CMR602, $225,000 on CMR616, and $250,000 on CMR631. Of the three balances, $50,000, $25,000, and $35,000, respectively, are in brokered accounts. You would report $110,000 (= $50,000 + $25,000 + $35,000) on CMR651.

Deposits with Early-withdrawal Penalties Stated in Terms of Months of Forgone Interest:

CMR653 through CMR655: Balances Subject to Penalty

For the balances reported in each original maturity column, determine the portion subject to early withdrawal penalties (EWPs) stated in months of forgone interest. Report these balances for each original maturity column. Do not include CDs having EWPs stated differently (flat penalty, market-related penalty).

Example: You report $125,000 on CMR602, $225,000 on CMR616, and $250,000 on CMR631. Of the $125,000 balance, $100,000 are CDs with an EWP of 1.12 month’s interest. Of the $225,000 and $250,000 balances, a total of $450,000 are CDs with an EWP requiring forfeiture of 1.98 months’ interest. You would report $550,000 (= $100,000+$450,000) on CMR654.

CMR656 through CMR658: Penalty in Months of Forgone Interest

For the balances reported in each original maturity column, and totaled on CMR653 through CMR655, report the weighted-average EWP in months of foregone interest for each year (or fraction of a year) of contractual maturity. Report to two decimal places. Report these for each original maturity column.

Example: You report $125,000 on CMR602, $225,000 on CMR616, and $250,000 on CMR631. Of the $125,000 balance, $100,000 are CDs with an EWP of 1.12 month’s interest.²Both the $225,000 and $250,000 aggregate balances are CDs with an EWP requiring forfeiture of 1.98 months’ interest. You would calculate the weighted-average EWP on CMR657 as follows:

EWP = (100,000 x 1.12) + (475,000 x 1.98)
(100,000 + 475,000)
= 1.83 months

CMR659 through CMR661: Balances in New Accounts

New accounts are those where a customer, who did not previously have a fixed-rate, fixed-maturity deposit, acquires one, or where the contract terms have changed on an existing account. For purposes of CMR, a new account where the contract terms have changed is one in which:

There has been a change in the name of the account (including additional or dropped owners), or
The maturity of the new CD is for a different term than the matured CD (that is, it would fall into a different maturity bucket).

² The early withdrawal penalties are in months of forgone interest for each year (or fraction of a year) of remaining maturity.

EWP= ^{(Penalty in $)}* 12 months per year
($ Interest paid over remaining maturity)

For rollovers, if there has been no change in the ownership of the account and the maturity of the new CD is within the same maturity bucket, the new CD is not considered a new account even if new funds are added to the CD.

For example, a three-month CD issued during the quarter would not be a new account if the account holder had a CD with original maturity of 12 months or less that matured during the quarter. A CD would be a new account if it were a 3-month CD rolled over from a CD with an original maturity of more than 12 months or if a three-month CD were rolled over to a 24-month CD. In both of these cases the maturity bucket has changed.

Also include as new accounts:

Accounts where there has been a name added or deleted.
Deposits acquired from an acquisition of a depository institution or its branches or from other bulk purchase of deposits.

On CMR659, report the portion of balances on CMR601 and CMR615 that are new CD balances with original maturities of 12 months or less.
On CMR660, report the portion of balances on CMR616 and CMR631 that are new CD balances with original maturities of 13 to 36 months.
On CMR661, report the portion of balances on CMR632 and CMR641 that are new CD balances with original maturities of 37 or more months.

FIXED-RATE, FIXED-MATURITY FHLB ADVANCES, OTHER BORROWINGS, REDEEMABLE PREFERRED STOCK, AND SUBORDINATED DEBT

CMR675-CMR677, CMR679-CMR681, CMR683-CMR685, CMR687CMR689, CMR691-CMR693, CMR695-CMR697, CMR699-CMR701, CMR703-CMR705: Balances

Report each outstanding balance of fixed-rate, fixed-maturity borrowings in the cell corresponding to its coupon class and remaining maturity. The coupon classes are: under 3.00%; 3.00% to 3.99%; 4.00% to 4.99%; 5.00% to 5.99%; 6.00% to 6.99%; 7.00% to 7.99%; 8.00% to 8.99%; and 9.00% and above.

Include:

FHLB advances.
Commercial bank loans.
Repurchase agreements.
Retail repurchase agreements.
Commercial paper issued.
Subordinated debt.
Redeemable preferred stock.
All other borrowings.

Do not include:

Notice accounts. Report on CMR601 to CMR661.
Consecutive monthly payments accounts. Report on CMR601 to CMR661.
Collateralized mortgage securities issued. Report on CMR785.
Structured borrowings. Report on Supplemental Reporting of Market Value Estimates, see below.
Variable-rate, fixed maturity borrowings. Report on Supplemental Reporting for Assets and

Liabilities. Distribute amortizing instruments across remaining maturity columns, in the appropriate coupon class, according to their contractual principal repayment schedules. For example, a $120,000 note, with an APY of 9.5 percent and remaining maturity of ten years, amortizes as follows:

$3,000 in the next three months.
$33,000 in months four through 36.
$84,000 in the last 84 months.

You would report the note on CMR695, CMR696, and CMR697 as $3,000, $33,000, and $84,000, respectively.

Structured Borrowings

For the purpose of these instructions, structured borrowings include borrowings or FHLB advances with embedded options or derivative-like features where the borrowings’ coupon, average life, or redemption value is dependent on a reference rate, and index, or a formula. The term structured borrowings includes, but is not limited to, putable or callable borrowings, variable-rate borrowings with embedded caps, floors or collars, step-up variable rate borrowings, or amortizing borrowings.

OTS requires all institutions to report the market value of each structured borrowing in Supplemental Reporting of Market Value Estimates. Refer to the Supplemental Reporting of Market Value Estimates sections of these instructions for guidance on reporting market value estimates.

CMR678, CMR682, CMR686, CMR690, CMR694, CMR698, CMR702, CMR706: WAC

Report the weighted-average coupon (WAC) of the balances reported in each coupon class. To calculate the WAC, first determine the APYs of borrowings that you report in each coupon class. For instance, for the 5.00 to 5.99 percent class, determine the APYs of borrowings reported on CMR679 through CMR681. Second, for each coupon class, use these yields to calculate the WAC, as described in the general instructions to Schedule CMR.

CMR711 through CMR713: WARM

Report the weighted average remaining maturity (WARM) for each remaining maturity column. To calculate the WARM, first determine the remaining maturity of each of the borrowings that you report in each remaining maturity class. For example, for the 0 to 3 months column, determine the remaining maturity of borrowings on CMR675, CMR679, CMR683, CMR687, CMR691, CMR695, CMR699, and CMR703. Second, for each remaining maturity class, use these remaining maturities to calculate the WARM, as described in the general instructions to Schedule CMR.

CMR715: Total Fixed-Rate, Fixed-Maturity Borrowings

The EFS software automatically computes this line as the sum of CMR675 through CMR677, CMR679 through CMR681, CMR683 through CMR685, CMR687 through CMR689, CMR691 through CMR693, CMR695 through CMR697, CMR699 through CMR701, and CMR703 through CMR705.

Memo:

CMR755: Book Value of Redeemable Preferred Stock

Report the book value of redeemable preferred stock of the type reported on SC800.

NONMATURITY DEPOSITS

CMR762 through CMR763: Transaction Accounts

12 CFR § 561.29 defines transaction accounts and they include NOW, Super NOW, and other interest-bearing transaction accounts. Report total balances of all interest-bearing transaction accounts on CMR762.

Report the WAC for total interest-bearing transaction account balances on CMR763. Determine the APYs of balances on CMR762. Use these to calculate the weighted-average APY in the same manner as the WAC computation described in the general instructions to Schedule CMR, and report it on CMR763.

CMR764: Balances in New Accounts

Balances in New Accounts are end-of-quarter balances in accounts where holders had no transaction accounts with you at the end of the prior quarter.

Also include as new accounts:

Accounts where there has been a name added or deleted.
Deposits acquired from an acquisition of a depository institution or its branches or from other bulk purchase of deposits.

CMR765 through CMR766: Money Market Deposit Accounts

12 CFR § 561.28 or applicable state law defines money market deposit accounts (MMDAs). Report total balances of MMDAs on CMR765.

Report the WAC for MMDA balances on CMR766. Determine the APYs of balances on CMR765. Use these to calculate the weighted-average APY, in the same manner as the WAC computation described in the general instructions to Schedule CMR. Report the result on CMR766.

CMR767: Balances in New Accounts

Balances in New Accounts are end-of-quarter balances in accounts whose holders had no MMDA with you at the end of the prior quarter.

Also include as new accounts:

Accounts where there has been a name added or deleted.
Deposits acquired from an acquisition of a depository institution or its branches or from other bulk purchase of deposits.

CMR768 through CMR769: Passbook Accounts

Passbook accounts consist of all nonmaturity deposits not on CMR762, CMR765, and CMR771. Report total balances of Passbook Accounts on CMR768.

Report the WAC for passbook accounts balances on CMR769. Determine the APYs of balances on CMR768. Use these to calculate the weighted-average APY, in the same manner as the WAC computation described in the general instructions to Schedule CMR. Report the result on CMR769.

CMR770: Balances in New Accounts

Balances in New Accounts are end-of-quarter balances in accounts where holders had no passbook accounts with you at the end of the prior quarter.

Also include as new accounts:

Accounts where there has been a name added or deleted.
Deposits acquired from an acquisition of a depository institution or its branches or from other bulk purchase of deposits.

CMR771: Noninterest-Bearing Nonmaturity Deposits

Report balances of all nonmaturity deposit accounts that are permanently non-interest-bearing on CMR771. Do not include balances in nonmaturity deposits, transaction accounts or MMDAs, that do not currently earn interest because they are below the contracted minimum balance required to earn interest.

CMR773: Balances in New Accounts

Balances in new accounts are end-of-quarter balances in accounts where holders had no noninterestbearing nonmaturity deposits with you at the end of the prior quarter.

Also include as new accounts:

Accounts where there has been a name added or deleted.
Deposits acquired from an acquisition of a depository institution or its branches or from other bulk purchase of deposits.

ESCROW ACCOUNTS

Escrow accounts include the types of accounts on SC712 that you report in Schedule CMR as follows:

Report balances of escrow accounts associated with single-family first mortgages that you own on CMR775.
Report balances of tax and insurance escrows associated with single-family first mortgages serviced for others on CMR777.
Report balances of principal and interest escrows established pursuant to loan servicing agreements, including those in custodial accounts, on CMR786, Miscellaneous Liabilities I.
On CMR779, report balances of all escrow accounts not on CMR775, CMR777, and CMR786.
Report escrow accounts associated with mortgages that you partially own according to the percentage of ownership.

Example: You sell an 80 percent participating interest in a pool of mortgages and retain the servicing. You have $60,000 in tax and insurance escrow accounts and $40,000 in principal and interest escrow accounts associated with the pool of mortgages. You would report the following amounts: on CMR775, $12,000 (= $60,000 x .20); on CMR777, $48,000 (= $60,000 x .80); and on CMR786, $40,000.

Report the WAC of escrows on CMR775, CMR777, and CMR779 on CMR776, CMR778, and CMR780, respectively. Calculate the WAC as described in the general instructions to Schedule CMR. If the WAC is zero, report 0.01, one basis point.

CMR781: Total Nonmaturity Deposits and Escrow Accounts

The EFS software automatically computes this line as the sum of CMR762, CMR765, CMR768, CMR771, CMR775, CMR777, and CMR779.

CMR782: UNAMORTIZED YIELD ADJUSTMENTS ON DEPOSITS

Report on CMR782 unamortized yield adjustments of the type on SC715. Also include the component of the carrying value of deposit liabilities that consists of accumulated gains and losses, the change in fair value on the deposits, attributable to the designated risk being hedged on a qualifying fair value hedge under FASB Statement No. 133.

CMR784: UNAMORTIZED YIELD ADJUSTMENTS ON BORROWINGS

Report on CMR784 unamortized yield adjustments applicable to liabilities of the types on the following line items:

SC720 (Advances from FHLBank).
SC730 (Federal Funds Purchased and Securities Sold Under Agreements to Repurchase).
SC736(Subordinated Debentures, Including Mandatory Convertible Securities and Limited-Life Preferred Stock).
SC740 (CMOs, Including REMICs).
SC745 (Other Mortgage Collateralized Securities Issued).

6. SC760 (Other Borrowings). Add to this amount any unamortized yield adjustments related to redeemable preferred stock of the type on SC800. Also include the component of the carrying value of borrowings that consists of accumulated

gains and losses (the change in fair value on the borrowings) attributable to the designated risk being hedged on a qualifying fair value hedge under FASB Statement No. 133.

OTHER LIABILITIES

CMR785: Collateralized Mortgage Securities Issued

Report the carrying value of collateralized mortgage securities issued that you do not record as sales in accordance with GAAP. See FASB Statement No. 77, Reporting by Transferors of Receivables with Recourse and FASB Technical Bulletin 85-2, Accounting for Collateralized Mortgage Obligations. Include CMOs and other collateralized mortgage securities issued.

CMR786: Miscellaneous Liabilities I

Report amounts of the types included on SC763, Accrued Interest Payable on Deposits, SC766, Accrued Interest Payable on Other Liabilities, SC776, Accrued Taxes, and SC780, Accounts Payable.

Include amounts of the types on line SC796, Other Liabilities and Deferred Income, except for the following:

Financial option fees received.
Deferred net gains (losses) on liability hedges.
Negative goodwill.
Derivative instruments in a loss position at fair value.

For definitions of these items, see the instructions for line SC796, code numbers 02, 03, 12, and 20, respectively.

Also include:

Balances in principal and interest escrow accounts established pursuant to loan servicing agreements.
The liability associated with delinquent mortgage loans previously securitized with Ginnie Mae, where you have an unconditional repurchase option. The related loans are reported on CMR501, Nonperforming Loans.

CMR787: Miscellaneous Liabilities II

Report amounts of the types included on line SC790, Deferred Income Taxes. Also include financial option fees received, negative goodwill, and derivative instruments in a loss position at fair value. For definitions of these items, see the instructions for line SC796, code numbers 02, 03, 12, and 20, respectively.

CMR790: Total Liabilities (Incl. Redeemable Preferred Stock)

The EFS software automatically computes this line as the sum of CMR645, CMR715, CMR781, and CMR782 through CMR787. For all editing and output data uses, our data systems will add the following balances to this line:

Variable-rate, fixed-maturity liabilities reported as codes 200, 220, and 299 in Supplemental Reporting for Assets and Liabilities.
Structured borrowings reported as codes 280 through 290 in Supplemental Reporting of Market Value Estimates.

CMR793: NONCONTROLLING INTEREST IN CONSOLIDATED SUBSIDIARIES

Report amounts accounted for as noncontrolling interest in consolidated subsidiaries and included in SC800, with the following exceptions:

Also include on CMR793, REIT preferred stock even if it is not included in SC800, but rather you have elected to report it as a liability on SC760, Other Borrowings.
Do not include redeemable preferred stock even though you reported it in SC800. Report all redeemable preferred stock on CMR755, Book Value of Redeemable Preferred Stock.

CMR796: EQUITY CAPITAL

Report on CMR796 the amount on SC80, Total Equity Capital.

CMR800: Total Liabilities, Noncontrolling Interest, and Capital

The EFS software automatically computes this line as the sum of CMR790, CMR793, and CMR796. For all editing and output data uses, our data systems will add the following balances to this line:

Variable-Rate, Fixed-Maturity Liabilities reported as codes 200, 220, and 299 in the section for Supplemental Reporting for Assets/Liabilities.
Structured Borrowings reported as codes 280 through 290 in the section for Supplemental Reporting of Market Value Estimates.

FINANCIAL DERIVATIVES AND OFF-BALANCE-SHEET POSITIONS

INTRODUCTION

Divide financial derivatives and off-balance-sheet (OBS) contracts into the following ten general types of contracts for reporting on Schedule CMR:

Optional commitments to originate mortgages.
Firm commitments to purchase, sell, or originate mortgages.
Optional commitments to purchase or sell mortgages.
Commitments to purchase, originate, or sell nonmortgage financial assets and liabilities.
Interest-rate swaps.
Interest-rate caps.
Interest-rate floors.
Futures.
Options on futures.

10. Construction LIP. Note: Report information about financial derivatives and OBS contracts on Schedule CMR even though

under FASB Statement No. 133 you report derivative instruments in Schedule SC on SC689, Other Assets, or SC796, Other Liabilities.

Report OBS contract positions on CMR801 through CMR880. To report an OBS contract position, report the contract code described below that corresponds to the position in the column Contract Code. Enter the notional principal amount of the position in the column Notional Amount. Report information in the other columns according to the instructions for each type of contract. We provide examples of how to report various positions for each type of contract in the individual sections.

Reporting More Than 16 Financial Derivatives and OBS Positions

CMR801 through CMR880 accommodate the reporting of 16 financial derivatives and OBS positions. If you have more than 16 positions, you must report the remaining positions by one of the following two methods:

Report the remaining positions on the continuation sheet Supplemental Reporting for Financial Derivatives and Off-Balance-Sheet Positions in the same manner as the initial 16 positions. Number each position sequentially in the column Entry #, beginning with the number 1 for the first position reported. Use as many continuation sheets as necessary to report the remaining positions. On CMR902, report the number lines that you report in this manner.
You may provide your own estimate of the market values of the remaining positions in each of the seven interest-rate scenarios on Supplemental Reporting of Market Value Estimates. To report under this method, see Supplemental Reporting for Derivatives and OBS Contracts in the section Supplemental Reporting of Market Value Estimates. On CMR903, report the number of lines that you report by this method.

If you choose this method, you must report all positions of Optional Commitments to Originate Mortgages, discussed below, as part of the 16 positions on CMR801 through CMR880.

Contract Code

Identify all OBS contract positions by a contract code. We provide a list of codes for each type of contract in Appendices B and D. The first two digits of the four-digit contract codes designate the general type of contract. For example, all codes for optional commitments to originate mortgages begin with the digits 10. The last two digits of the code designate the specific type of OBS contract within the general type. For example, we designate optional commitments to originate 30-year fixed-rate mortgages by the code 1014.

Reporting Instructions

We provide instructions below for each of the ten general types of financial derivatives and OBS contracts. Each section begins by defining the contracts covered in that section. We also provide guidance on how to combine or aggregate contracts for reporting purposes. We specify what to report in each of the five columns, CMR801 through CMR880, and provide examples.

Report all rates as a percent to two decimal places. For example, to report a coupon rate of 7.5 percent, report 7.50. Report all prices as a percentage of par to two decimal places. For example, to report a price of 102 percent of par, report 102.00. Report a price of par as 100.00.

Optional Commitments to Originate Mortgages

An optional commitment to originate a mortgage is an obligation to originate a mortgage loan at a specified interest rate, fixed or adjustable, where the potential borrower faces no substantial penalty for failing to take the loan. Report only those optional commitments to originate where you have in effect or have offered a specified interest rate, a rate lock, that is currently subject to the borrower’s acceptance.

Commitments to originate are firm when both the borrower and the lender are obligated to close the loan at the interest rate specified. We provide instructions for reporting firm commitments below.

Aggregation

Report all commitments having the same contract code as a single position. See Appendix B for codes. For example, report all commitments on one-month COFI ARMs (code 1002) as a single position, report all commitments on six-month and one-year COFI ARMs (code 1004) as a single position, and so forth.

Column 1: Contract Code

Report the contract code for the position in Column 1. Refer to Appendix B for the list of codes.

Column 2: Notional Amount

Report the dollar amount of commitments outstanding in Column 2. For rate locked loans that have yet to receive credit approval, deduct an amount representing expected credit denials. Do not adjust the reported amount for fallout of approved loans.

Column 3: Maturity or Fees

Report in Column 3 the dollar amount in thousands of loan origination and loan discount fees that you would collect if each loan closed. These fees should include compensation for buy-ups or buy-downs. Do not include any other fees collected in the loan origination process, such as application, appraisal, credit, and title fees.

Column 4: Price/Rate #1

Report in Column 4 the WAC of outstanding commitments. Refer to the calculation of the WAC in the general instructions to Schedule CMR.

Column 5: Price/Rate #2 (Optional)

Reporting this information is optional. Report in Column 5 the percentage of optional commitments, by dollar balances, outstanding as of the end of the previous quarter that closed during the quarter.

Example: You report $120 million of optional commitments on 30-year, fixed-rate mortgages as of June

30. Of the $100 million of optional commitments that you reported in the previous quarter’s report, the report for the quarter ending March 31, $75 million closed during the quarter. You would report 75.00 [equal to ($75 million/$100 million) x 100] in Column 5 for the quarter ending June 30.

We intend to use this information to develop fallout rate estimates for savings associations that report this data. The OTS Model uses these estimates to estimate the interest rate sensitivity of your mortgage pipelines.

If you choose not to report this information, you should leave this cell blank. The OTS Model will use national fallout rate estimates to estimate the market value of your mortgage pipelines.

Examples:

Position 1: You have $25 million of optional commitments to originate 30-year fixed-rate mortgages. The WAC for these commitments is 8.67 percent. You would collect loan origination and loan discount fees of $560,000 if all the loans in this position closed. Sixty-five percent of the optional commitments outstanding at the end of the prior quarter closed.

Position 2: You have $5 million and $10 million of optional commitments to originate six-month and one-year COFI ARMs, respectively. Combine these positions for reporting purposes because you report them under the same contract code. The respective WACs on these commitments are 7.10 percent and 7.40 percent, and loan origination and loan discount fees you will collect total $420,000. You choose not to report in column 5.

You would report these positions as follows:

[1] [2] [3] [4] [5]

Contract Notional Maturity or Price/Rate Price/Rate Code Amount Fees #1 #2

Position 1 1014 25 000 560 8.67 65.00

Position 2 1004 15 000 420 7.30

Firm Commitments to Purchase, Sell, or Originate Mortgages

Firm commitments to purchase or sell mortgages are agreements to purchase or sell mortgage loans, MBS, or mortgage derivative products at a specified price on a specified date. Firm commitments to originate mortgages are binding obligations to provide a specified amount of a mortgage loan at a specified interest rate, fixed or adjustable. You should consider commitments to originate mortgages firm only if the borrower is obligated to pay you a substantial penalty if the borrower fails to take the loan. The penalty should approximate the difference between the value of the loan at the commitment rate and the value of the same loan at the subsequent lower mortgage rate.

Aggregation

Report all commitments having the same contract code as a single position. See Appendix B for codes. For example, report all firm commitments to purchase one-month COFI ARM loans on a servicing retained basis as a single position (code 2002), report all firm commitments to sell six-month or one-year Treasury ARM MBS as a single position (code 2066), and so forth.

Report commitments to purchase or sell mortgage loans and commitments to purchase or sell MBS separately because the contract codes are different.

Column 1: Contract Code

Report the contract code for the position in Column 1. Refer to Appendix B for the list of codes.

Column 2: Notional Amount

Report the dollar amount of commitments outstanding in Column 2.

Column 3: Maturity or Fees

Report in Column 3 the dollar amount (in thousands) of fees, if any, associated with the position. Report fees you will pay as a negative value.

For commitments to originate mortgages include loan origination and loan discount fees that you would collect if each loan closed. These fees should include compensation for buy-ups or buy-downs, but not other fees collected in the loan origination process, such as application, appraisal, credit, and title fees.

For commitments to purchase or sell mortgages, report any additional fees, net of costs.

Column 4: Price/Rate #1

Report in Column 4 the weighted-average interest rate specified in the commitments. Refer to the calculation of the WAC in the general instructions to Schedule CMR. Leave this column blank for commitments to purchase or sell mortgage derivative products.

Column 5: Price/Rate #2

Report in Column 5 the weighted-average price as a percentage of par, to two decimal places, that you will pay or receive on the commitments. For commitments to originate mortgages, report a price of par – for instance, 100.00. Leave this column blank for commitments to purchase or sell mortgage derivative products.

Examples:

Position 1: You have a mandatory delivery commitment with FNMA to sell, on a servicing retained basis, $25 million of one-year Treasury ARM loans with a required net yield of 7.5 percent at par. The required net yields for mandatory forward sales quoted by FNMA and FHLMC are net of the servicing fee. The contract code assigned to these commitments is 2026. You would use the code 2126 if the commitment to sell included the servicing of the loan.

Position 2: You have a commitment to purchase $15 million three-year Treasury ARM MBS with a pass-through rate of 7.70 percent at par. You also have a commitment to purchase $5 million five-year Treasury ARM MBS with a pass-through rate of 8.00 percent for 98.00, percent of par. You should combine these positions and report them as a single position because they have the same contract code.

Report the positions as follows:

[1] [2] [3] [4] [5]

Contract Notional Maturity or Price/Rate Price/Rate Code Amount Fees #1 #2

Position 1 2026 25 000 0 7.50 100.00

Position 2 2048 20 000 0 7.78 99.50

Optional Commitments to Purchase or Sell Mortgages or MBS

Optional commitments to purchase mortgages or MBS are contracts that grant the buyer of the option the right, but not the obligation, to buy a specified type and amount of mortgages or MBS, with a specified WAC for mortgages or pass-through rate for MBS, at a specified price, called the strike price, on a specified date, called the expiration date.

You can hold either a long position in an optional commitment to purchase or sell, having bought the option, or hold a short position in an optional commitment to purchase or sell, having sold the option. A savings association can have any of four types of positions listed below in an optional commitment on mortgages or MBS:

Long the option to purchase the mortgages or MBS.
Long the option to sell the mortgages or MBS.
Short the option to purchase the mortgages or MBS.

4. Short the option to sell the mortgages or MBS. If the contract does not specify both a price and a pass-through rate, you should not report it on Schedule

CMR. For example, FNMA issues optional delivery commitments where it does not specify the required net yield. You should not report such commitments on Schedule CMR.

Aggregation

Report each optional commitment to purchase or sell mortgages or MBS as a single position.

Column 1: Contract Code

Report the contract code for the position in Column 1. Refer to Appendix B for the list of codes.

Column 2: Notional Amount

Report the notional principal amount of the commitment in Column 2.

Column 3: Maturity or Fees

Report the number of days until the commitment expires in Column 3.

Column 4: Price/Rate #1

Report the coupon rate or the pass-through rate in Column 4.

Column 5: Price/Rate #2

Report the strike price as a percentage of par in Column 5.

Examples:

Position 1: You have purchased an optional commitment to sell $10 million of five-year balloon mortgages with a coupon of seven percent at a price of 98.00, percent of par. The commitment expires in 45 days.

Position 2: You have sold an optional commitment to purchase $25 million of 8.5 percent coupon 15year fixed-rate mortgages for par in 20 days.

Report the positions as follows:

[1] [2] [3] [4] [5]

Contract Notional Maturity or Price/Rate Price/Rate Code Amount Fees #1 #2

Position 1 3030 10 000 45 7.00 98.00

Position 2 3052 25 000 20 8.50 100.00

Commitments to Purchase, Originate, or Sell Nonmortgage Financial Assets and Liabilities

Commitments to purchase, originate, or sell nonmortgage financial assets and liabilities are agreements to purchase or sell financial assets and liabilities other than mortgages or MBS, for a specified fixed price, on a specified date. You should report commitments to purchase, originate, or sell mortgages or MBS according to the instructions for those commitments above.

You should not report repurchase and resell agreements as OBS contracts. You should report such agreements as the underlying on-balance-sheet asset or liability that they represent. Report on CMR461 or CMR476 through CMR478, and CMR675 through CMR715, respectively.

Aggregation

Report commitments to purchase or sell nonmortgage financial assets and liabilities that you can combine under the same contract code as a single position. See Appendix B for codes. For example, report all commitments to purchase nonmortgage financial assets (code 4002) as a single position, report all commitments to sell core deposits (code 4024) as a single position, and so forth.

Column 1: Contract Code

Report the contract code for the position in Column 1. Refer to Appendix B for the list of codes.

Column 2: Notional Amount

Report the dollar amount of the commitments outstanding in Column 2.

Column 3: Maturity or Fees

If the position consists of commitments on nonmortgage financial assets, report the weighted-average maturity (WAM) of the assets in months in Column 3. If the position consists of commitments on core deposits, leave Column 3 blank. If the position consists of commitments on other liabilities, report the WAM in months in Column 3. Refer to the calculation of the WARM in the general instructions to Schedule CMR.

Column 4: Price/Rate #1

If the position consists of commitments on nonmortgage financial assets, report the WAC of the assets in Column 4. If the position consists of commitments on either core deposits or other liabilities, report the weighted-average interest rate paid on the liabilities in Column 4. Refer to the calculation of the WAC in the general instructions to Schedule CMR.

Column 5: Price/Rate #2

Report in Column 5 the weighted-average price as a percentage of par you will receive on the instruments underlying the commitment. Refer to the calculation of the WAC in the general instructions to Schedule CMR.

Examples:

Position 1: You have agreed to sell $500,000 of ten-year Treasury securities with a WAC of 9.23 percent at a weighted-average price of 95.39, percent of par.

Positions 2 and 3: You have agreed to sell four branches and the liabilities maintained at those branches. The branches contain $16 million in core deposits that pay a weighted-average rate of 6.4 percent, and $44 million in other liabilities that pay a WAC of 7.5 percent and have a WARM of 26 months. The agreed upon premium is 2 percent, net of any assets that will change hands in this transaction. The seller pays $58.8 million, or 98 percent of par, to the buyer for assuming $60 million of liabilities.

Report the positions as follows:

[1] [2] [3] [4] [5]

Contract Notional Maturity or Price/Rate Price/Rate Code Amount Fees #1 #2

Position 1	4022	500	120	9.23	95.39
Position 2	4024	16 000		6.40	98.00
Position 3	4026	44 000	26	7.50	98.00

Interest-Rate Swaps

Interest-rate swaps are agreements to exchange streams of coupon payments based on a notional principal amount. One or both of the coupon payment streams varies with a specified interest rate index.

Aggregation

Report each swap as a separate position.

Column 1: Contract Code

Report the contract code for the position in Column 1. Refer to Appendix B for the list of codes.

Column 2: Notional Amount

Report the notional principal amount of the swap in Column 2.

Column 3: Maturity or Fees

Report maturity information for both current and forward swaps in Column 3 using the same format. First, report the effective date of the swap, the date that interest for the first payment of the swap agreement begins to accrue, in YYMM format. Second, report the maturity date, the date of the last payment of the swap agreement, also in YYMM format.

For example, for a current swap effective February 21, 1991, and maturing February 21, 2002, report 91020202 in Column 3. For a forward swap effective February 21, 2000, and maturing February 21, 2010, report 00021002 in Column 3.

For a mortgage swap, report the maturity date of the underlying pool of mortgages, not the date the agreement terminates.

Column 4: Price/Rate #1

For fixed-for-floating swaps, report in Column 4 the fixed rate that you either receive or pay.

For basis swaps, report in Column 4 the margin added to, or subtracted from, the index being received as a positive or negative number, respectively. If there is no margin, leave Column 4 blank.

For mortgage swaps, report in Column 4 the mortgage coupon rate or the pass-through rate that you either receive or pay.

Column 5: Price/Rate #2

For fixed-for-floating swaps, report in Column 5 the margin added to or subtracted from the index as a positive or negative number, respectively. If there is no margin, leave Column 5 blank.

For basis swaps, report in Column 5 the margin added to or subtracted from the index being paid as a positive or negative number, respectively. If there is no margin, leave Column 5 blank.

For mortgage swaps, in Column 5 report the margin as a positive number if it is added to the index that you receive. Report the margin as a negative number if it is added to the index that you pay.

Examples:

Position 1: You pay a fixed rate of 9.20 percent and receive three-month LIBOR on a $25 million swap that went into effect in March 1990 and expires in March 2002.

Position 2: You will pay a fixed rate of 9.00 percent and receive six-month LIBOR on a $10 million forward swap that begins in December 1994 and ends in December 2003.

Position 3: You purchased a $25 million swaption that would begin, if exercised, in June 1993 and mature in June 2004. The swaption grants the right to pay a fixed rate of 9.5 percent and receive three-month LIBOR.

Position 4: You pay one-month LIBOR and receive COFI on a $15 million swap that went into effect in December 1993 and expires in June 2005.

Position 5: You pay one-month LIBOR plus 0.30 percent and receive a mortgage coupon of 10 percent under a mortgage swap that went into effect September 1990. The notional principal amount of the swap is $8,235,000 as of the report date. The underlying pool of mortgages matures in September 2015.

You would report the positions as follows:

[1] [2] [3] [4] [5]

Contract Notional Maturity or Price/Rate Price/Rate Code Amount Fees #1 #2

Position 1	5004	25 000	90030203	9.20
Position 2	5006	10 000	94120312	9.00
Position 3	5104	25 000	93060406	9.50
Position 4	5062	15 000	93120506
Position 5	5072	8 235	90091509	10.00	0.30

Interest-Rate Caps

An interest-rate cap is an option contract that compensates the holder of the cap when a specified interest-rate index increases above a specified rate (called the cap rate or strike rate). The party that has purchased the cap is long the cap; while the party that has sold the cap is short the cap.

An interest-rate corridor is an agreement that combines a short position in an interest-rate cap and a long position in an interest-rate cap. To report corridors, report the two component cap positions separately.

An interest-rate collar is an agreement that combines an interest-rate cap position and an interest-rate floor position. To report collars, report the component cap and floor positions separately. The instructions for reporting interest-rate floors, as well as an example of reporting a collar, are below.

Aggregation

Report each interest-rate cap as a separate position.

Column 1: Contract Code

Report the contract code for the position in Column 1. Refer to Appendix B for the list of codes.

Column 2: Notional Amount

Report the notional principal amount of the cap in Column 2.

Column 3: Maturity or Fees

Report maturity information for both current and forward caps in Column 3 using the same format. First, report the effective date of the cap (the first exercise date of the cap) in YYMM format. Second, report the maturity date (the month of the last payment date of the cap), also in YYMM format.

For example, for a cap with its first exercise date on February 21, 1991, and with its last payment date on February 21, 2001, report 91020102 in Column 3. For a forward cap with first exercise date on February 21, 2000, and last payment date on February 21, 2010, report 00021002 in Column 3.

Column 4: Price/Rate #1

Report the cap rate, or strike rate, in Column 4.

Column 5: Price/Rate #2

Leave Column 5 blank.

Examples:

Position 1: You are long a $10 million cap based on six-month LIBOR with a cap rate of 8.25 percent. The first exercise date was in November 1993, and it expires in November 1998.

Position 2: You are long a $25 million forward cap based on COFI with a cap rate of 8.5 percent. The cap’s first exercise date will be in February 1995, and it expires in February 1999.

You would report the positions as follows:

[1] [2] [3] [4] [5]

Contract Notional Maturity or Price/Rate Price/Rate Code Amount Fees #1 #2

Position 1 6006 10 000 93119811 8.25

Position 2 6020 25 000 95029902 8.50

Interest-Rate Floors

An interest-rate floor is an option contract that compensates the holder of the floor when a specified interest-rate index decreases below a specified rate – called the floor rate or strike rate. The party that purchased the floor is long the floor, while the party that sold the floor is short the floor.

Interest-rate collars are agreements that combine interest-rate floor and interest-rate cap positions. The instructions for reporting interest-rate caps are above. To report collars, report the component cap and floor positions separately. For an illustration, see the second example below.

Aggregation

Report each interest-rate floor as a separate position.

Column 1: Contract Code

Report the contract code for the position in Column 1. Refer to Appendix B for the list of codes.

Column 2: Notional Amount

Report the notional principal amount of the floor in Column 2.

Column 3: Maturity or Fees

Report maturity information for both current and forward floors in Column 3 using the same format. First, report the effective date of the floor (the first exercise date of the floor) in YYMM format. Second, report the maturity date (the month of the last payment date of the floor), also in YYMM format.

For example, for a floor with its first exercise date on February 21, 1991, and with its last payment date on February 21, 2001, report 91020102 in Column 3. For a forward floor with first exercise date on February 21, 2000, and last payment date on February 21, 2010, report 00021002 in column 3.

Column 4: Price/Rate #1

Report the floor rate, or strike rate, in Column 4.

Column 5: Price/Rate #2

Leave Column 5 blank.

Examples:

Position 1: You are short (sold) a $10 million floor based on the three-month Treasury rate with a floor rate of 6 percent. The first exercise date was in October 1993 and it expires in October 1998.

Positions 2 and 3: You entered into a $25 million interest-rate collar where you are long a three-month LIBOR cap at a strike rate of 8 percent and short a three-month LIBOR floor at a strike rate of five percent. The first exercise date was in September 1989 and it expires in September 1999. Report the cap and floor components of the collar separately in positions 2 and 3 below.

You would report the positions as follows:

[1] [2] [3] [4] [5]

Contract Notional Maturity or Price/Rate Price/Rate Code Amount Fees #1 #2

Position 1	7038	10 000	93109810	6.00
Position 2	6004	25 000	89099909	8.00
Position 3	7034	25 000	89099909	5.00

Futures

A futures contract is an agreement to buy or sell a specified commodity or financial instrument for a specified price on a specified date. The party that agrees to purchase the instrument is long the futures contract and the party that agrees to sell the instrument is short the contract.

Futures are exchange-traded contracts. You should not report forward contracts, traded over-the-counter, as futures. Estimate the market value of the forward contracts in the seven interest rate scenarios described in the section Reporting of Market Value Estimates as code 500 in Supplemental Reporting of Market Value Estimates.

Aggregation

Report futures positions with the same contract code and same delivery date as a single position. See Appendix B for codes. For example, report short positions in Eurodollar futures (code 8046) deliverable in March separately from those with a June delivery date.

Column 1: Contract Code

Report the contract code for the position in Column 1. Refer to Appendix B for the list of codes.

Column 2: Notional Amount

Report the notional principal amount of the futures position in Column 2.

Column 3: Maturity or Fees

Report the delivery date for the futures position in Column 3 in YYMM format.

Column 4: Price/Rate #1

Leave Column 4 blank.

Column 5: Price/Rate #2

Leave Column 5 blank.

Example:

You have the following short futures positions:

Eurodollar futures contracts – $1 million notional principal per contract, expiring in March 1996.
Eurodollar futures contracts expiring in June 1996.
Three-month Treasury bill contracts – $1 million notional principal per contract, expiring in March

1996. You would report the positions as follows:

[1] [2] [3] [4] [5]

Contract Notional Maturity or Price/Rate Price/Rate Code Amount Fees #1 #2

Position 1 8046 10 000 9603

Position 2 8046 15 000 9606

Position 3 8034 12 000 9603

Options on Futures

A call option on a futures contract is a contract that grants the buyer of the option the right, but not the obligation, to acquire a long position in a futures contract at a specified price, the strike price, on a specified date, the expiration date.

A put option on a futures contract is a contract that grants the buyer the right, but not the obligation, to acquire a short position in a futures contract at a specified price on a specified date.

You can hold either a long position in a call option or a put option, having bought the option, or a short position in a call option or a put option, having sold the option. Therefore, you can have any of four positions in an option on a futures contract:

Long a call option.
Long a put option.
Short a call option.
Short a put option.

Aggregation

Report as a single position all options on futures contracts with the same contract code, strike price, and expiration date. You must report options on futures positions separately if they have different expiration dates.

Column 1: Contract Code

Report the contract code for the position in Column 1. Refer to Appendix B for the list of codes.

Column 2: Notional Amount

Report the notional principal amount of the option position in Column 2.

Column 3: Maturity or Fees

Report the expiration date of the option position in Column 3 in YYMM format.

Column 4: Price/Rate #1

Report the strike price of the option position in Column 4.

Column 5: Price/Rate #2

Leave Column 5 blank.

Examples:

Positions 1 and 2: You are long 10 put options on Eurodollar futures, $1 million notional principal value per option contract, at a strike price of 93.00 expiring in March 1995 and 15 put options on Eurodollar futures contracts, also at a strike price of 93.00, expiring in June 1995.

Position 3: You are short 50 call options on Treasury bond futures contracts, $100,000 notional principal value per contract, at a strike price of 102.00 expiring in March 1996.

You would report the positions as follows:

[1] [2] [3] [4] [5]

Contract Notional Maturity or Price/Rate Price/Rate Code Amount Fees #1 #2

Position 1	9040	10 000	9503	93.00
Position 2	9040	15 000	9506	93.00
Position 3	9060	5 000	9603	102.00

Construction Loans-in-Process (LIP)

Construction LIP includes the portion of construction loans that you have closed but have not yet disbursed the proceeds. The funded portion of construction loans is included in the relevant on-balancesheet asset section. Report the undisbursed LIP for both loans reported as construction-only loans and construction-permanent loans reported as single-family, multifamily, or nonresidential loans.

Report construction LIP where you have specified an interest rate. Include fixed-rate loans and all adjustable-rate loans that reprice less often than monthly. You should not report agreements where you determine the rate at the time when you disburse the funds.

If the agreement contains a commitment to provide a mortgage loan upon completion of the construction, report the mortgage commitment as an optional or firm, as appropriate, commitment to originate a mortgage in the corresponding sections above. For construction-permanent loans where the permanent rate has been set, use the construction phase as the WARM for the LIP. Report a firm commitment to originate a fixed-rate mortgage for the permanent portion of the loan.

Aggregation

Report fixed-rate construction LIP separately from adjustable-rate construction LIP.

Column 1: Contract Code

Enter the contract code for the position in column 1. Refer to Appendix B for the list of codes.

Column 2: Notional Amount

Report in Column 2 the amount of undisbursed funds, that portion of the commitments that have not been drawn down.

Column 3: Maturity or Fees

For fixed-rate construction-only LIP, report an estimate of the weighted-average term to maturity, in months. For construction-permanent loans, report an estimate of the term to completion of the construction phase only; do not include the maturity of the mortgage. For adjustable-rate loans, use the number of months until the next reset to calculate the WARM. (Note: loans that reset more often than monthly do not need to be reported on this line).

Column 4: Price/Rate #1

Report the weighted-average interest rate on the loans in Column 4. Refer to the calculation of the WAC in the general instructions to Schedule CMR.

Column 5: Price/Rate #2

Leave Column 5 blank.

Example:

You have two fixed-rate construction loan commitments outstanding. On the first commitment, a $1 million loan with a one-year term that you expect to disburse in approximately four months, for a term to maturity of 16 months, at an interest rate of 10 percent. On the second, a $2 million loan with an 18-month term you expect to disburse in approximately two months, for a term to maturity of 20 months, at an interest rate of 11 percent.

You would report the position as follows:

[1] [2] [3] [4] [5]

Contract Notional Maturity or Price/Rate Price/Rate Code Amount Fees #1 #2

Position 1 9502 3 000 19 10.67

SUPPLEMENTAL REPORTING FOR ASSETS AND LIABILITIES

INTRODUCTION

This section allows you to report selected assets and liabilities at a more disaggregate level than you report in the Assets and Liabilities sections of Schedule CMR. For example, if you have adjustable-rate second mortgage loans tied to different indices, you may report the balances tied to each rate index separately. We will derive the interest rate risk exposure estimates using this detailed information instead of the more aggregated data reported for those assets in the other sections. This results in more accurate market value estimates for the instruments on the supplemental form.

Supplemental reporting is available for the following:

Assets (Optional Reporting)

Certain types of loans.
Other investment securities of the types on CMR473 and CMR479.

Liabilities (Required Reporting)

1. VRFM liabilities. Supplemental reporting is also available for OBS positions, as described below.

Each line on the supplemental reporting form for assets and liabilities consists of a balance with a given asset or liability code, a rate index code, and information describing those balances – margin, coupon, remaining maturity, etc. Number all lines used to report supplemental information sequentially, with the first line on the form receiving the number 1 in the column titled Entry #. We describe all other entries in detail below. If there are insufficient lines on the Supplemental Reporting page to report the different combinations of instrument and index codes, use as many continuation pages as necessary.

SUPPLEMENTAL REPORTING FOR ASSETS (OPTIONAL)

You may report three broad classes of assets on the Supplemental Reporting form:

1. The following types of loans:

a.: Adjustable- and fixed-rate multifamily and nonresidential mortgage loans and securities.
b.: Adjustable-rate construction and land loans.
c.: Adjustable-rate second mortgages.
d.: Adjustable-rate commercial loans.
e.: Adjustable- and fixed-rate consumer loans.

2. Investments in securities of the types on CMR479, Municipal securities, mortgage-backed bonds, corporate securities, commercial paper.

Besides a column for the entry number, there are nine input columns on the Supplemental Reporting form. You will not always use all nine columns, depending on the asset. Below we describe the reporting for each column for each of the three classes of assets.

Loans

Column 1: Asset Code

Loans where OTS permits supplemental reporting are in Appendix C by Schedule CMR cell number. For each CMR cell number, you may use one or more codes to represent types of loans in that cell. For example, CMR335 and CMR336, Adjustable-rate and Fixed-rate Consumer Loans, respectively, may each be disaggregated into seven asset codes that correspond to different types of consumer loans. For example, you can report auto loans by entering asset code 183 in column 1 of the first line; education loans by entering asset code 182 on the next line; etc. Other CMR cell numbers – construction and land loans, second mortgages, and commercial loans – have only one code each. For those assets, balances cannot be disaggregated further by loan type, only by index code. See the description of column 2 below.

Column 2: Rate Index Code

From the list of Interest Rate Index Codes in Appendix A, report the code representing the index the reported loan uses. For example, you could report adjustable-rate auto loans tied to the prime rate with an asset code of 183 in column 1 and an index code of 830 in column 2. You could report auto loans tied to the one-year Treasury rate on a separate line with an asset code of 183 and an index code of 312.

Column 3: Balance

Report the outstanding balance of the loan in column 3.

Balances reported for asset codes within a given CMR cell number must sum to the balance reported in that cell in the Assets sections of Schedule CMR. For example, balances on the Supplemental Reporting form with asset codes 180 through 189, various types of consumer loans, and index codes designating adjustable-rate loans, must sum to the balance reported for total adjustable-rate consumer loans on CMR335. Likewise, the balances with asset codes 180 through 189 and an index code designating fixed-rate loans, must sum to CMR336, total fixed-rate consumer loans.

Column 4: Margin/WAC

If the entry represents an adjustable-rate loan, report the weighted-average margin, in basis points, in column 4. If it is a fixed-rate loan, report the WAC, in basis points, in column 4. Note that this differs from treatment in the Assets section of Schedule CMR, where the WAC is in percentage points. Report the net margin or the pass-through rate for adjustable-rate and fixed-rate securities, respectively. We describe how to calculate the weighted-average margin and the WAC in the general instructions to Schedule CMR.

Column 5: Rate Reset Frequency

If the loan is adjustable-rate, report the weighted-average frequency where the coupon rate resets, in months, in column 5. You should calculate the weighted-average frequency of the coupon reset in the same manner as the WARM, as described in the general instructions to Schedule CMR. However, instead of months to maturity, use months between coupon reset dates. If the loan is fixed-rate, leave column 5 blank.

Column 6: Months to Full Amortization

Leave this column blank for all assets except multifamily and nonresidential balloon mortgage loans and securities – asset codes 100, 105, 106, 107, 108, and 109. For those assets, report the weighted-average number of months remaining until the balloon mortgage would fully amortize. Calculate this item in the same manner as described for WARM, in the general instructions to Schedule CMR. However, instead of months to maturity, use months to full amortization.

Column 7: Remaining Maturity

Report the WARM, in months, in column 7. Calculate the WARM as described in the general instructions to Schedule CMR. For balloon mortgages, use the number of months until payment of the balloon.

Column 8: Distance to Lifetime Cap

Use this column only for adjustable-rate multifamily and nonresidential mortgage loans and securities, asset codes 100 through 119. For all other types of loans, leave it blank.

For each asset code, calculate the difference between the WAC and the weighted-average lifetime cap for the loans or securities in that category. Report the result in column 8, in basis points. For example, for a WAC of 10 percent and a cap of 12 percent, report a value of 200 basis points. Calculate the WAC as described in the general instructions to Schedule CMR. Calculate the weighted-average lifetime cap the same way. For loans and securities that have no lifetime caps, report 9999 in this column.

Column 9: Distance to Lifetime Floor

Use this column only for adjustable-rate multifamily and nonresidential mortgage loans and securities, asset codes 100 through 119. For all other types of loans, leave it blank.

For each asset code, calculate the difference between the current WAC and the weighted-average lifetime floor for the loans in that category. Report the result in column 9, in basis points. For example, for a WAC of 10 percent and a floor of 8 percent, report a value of 200 basis points. For loans and securities that have no lifetime floor, report 9999 in this column.

Other Investment Securities

You can provide additional information about securities on CMR473 and CMR479. You may distinguish three different types of instruments – fixed coupon, floating-rate, and inverse floating-rate securities – using the codes listed in the appropriate sections of Appendix C.

Column 1: Asset Code

Asset codes for reporting supplemental information are in Appendix C. For CMR473, Government and Agency Securities including SBA securities, applicable asset codes are 300 through 304. For CMR479, Other Securities – Munis, Mortgage-Backed Bonds, Corporate Securities, Commercial Paper, Etc. – applicable codes are 120, 122, and 124.

Column 2: Rate Index Code

From the list of Interest Rate Index Codes in Appendix A, report the code representing the index the security uses. Use code 900 if the security has a fixed coupon.

Column 3: Balance

For each type of security, report the outstanding balance of all securities of that type on CMR473 or CMR479. The total outstanding balance on the Supplemental Reporting section with asset codes 300 through 304 must equal the amount on CMR473. In addition, the total balance with asset codes 120, 122, and 124 must equal the amount on CMR479.

Column 4: Margin/WAC

If the entry represents a floating-rate security, report the margin, in basis points, in column 4. If the security is a fixed-coupon security, report the coupon, in basis points, in column 4. Note that this differs from treatment in the Assets section of Schedule CMR, where the coupon is in percentage points.

Column 5: Rate Reset Frequency

If the balance reported in column 3 is floating-rate or inverse floating-rate, report the frequency that the coupon rate resets, in months, in column 5. If the balance reported in column 3 is fixed-coupon, leave column 5 blank.

Column 6:

Leave this column blank.

Column 7: Remaining Maturity

Report the remaining maturity, in months, in column 7.

Column 8:

Use this column only for reporting the benchmark rate (in basis points) of inverse floating-rate securities. For example, if you derive the coupon of such a security using the formula 17.5 minus six-month LIBOR, the benchmark rate is 17.5, and you should report it as 1750 basis points in column 8. For all other types of securities, leave this column blank.

Column 9:

Leave this column blank.

SUPPLEMENTAL REPORTING FOR LIABILITIES (REQUIRED)

Report variable-rate, fixed-maturity liabilities in the section, Supplemental Reporting for Assets and Liabilities.

Include liabilities of the following types that have contractually stated maturities and indexed rates:

Certificates of deposit.
FHLB advances.
Commercial bank loans.
Repurchase agreements.
Retail repurchase agreements.
Commercial paper issued.
Subordinated debt.
Redeemable preferred stock.
All other borrowings.

Do not include:

Mortgage collateralized securities. Report on Supplemental Reporting of Market Value Estimates.
Structured borrowings. Report on Supplemental Reporting of Market Value Estimates.

General Instructions:

Report information about your VRFM liabilities as follows:

Assign liability and index codes to each VRFM liability that you issue, using the lists of codes in Appendix D and Appendix A, respectively. For example, each variable-rate FHLB advance indexed to the Fed Funds rate would have the liability code 220, the code for FHLB advances, and the index code 800 (the code that shows that the interest rate on the advances uses the Fed Funds rate as an

index). Report each VRFM liability you issue using either one of two ways:

A. Individually – This option produces a very accurate valuation, but it might require the reporting of a large amount of data.

B. Aggregated with similar liabilities – This option produces somewhat less accurate valuations, but it requires the reporting of a smaller amount of data.

If you choose the individual option, supply the required information – liability code, index code, balance, margin, rate reset frequency, months to reset, and remaining maturity – for each VRFM liability issued that you report individually. For example, you would report each FHLB advance described in the example above individually.
If you choose the aggregated option, report VRFM liabilities on the Supplemental Reporting Form aggregated by liability and index code. Thus, you would report all VRFM liabilities that have the same liability and index code aggregated as a single position. For example, you would report all FHLB advances described in the preceding example together as a single position regardless of differences in margin, rate reset frequency, months to next reset, or remaining maturity.

Entry Number

Number all lines used to report supplemental information, starting with the number 1.

Column 1: Liability Code

The liability code is a three-digit code that denotes the type of liability reported. The codes are included in Appendix D – List of Codes Used for Supplemental Reporting.

Column 2: Rate Index Code

The index code is a three-digit code that describes the index of the VRFM liability reported. The codes are in Appendix A, List of Interest Rate Index Codes.

Column 3: Balance

If you choose option A, report the outstanding balance of each individual VRFM liability. If you choose option B, report the total outstanding balance of that position. In either case, do not report the carrying values.

Column 4: Margin in Basis Points

The margin of a variable rate liability is the amount added to the index rate to derive the coupon rate. If you choose option A, report the margin, in basis points, of each individual VRFM liability.

If you choose option B, report the weighted-average margin for each position. See the general instructions to Schedule CMR.

Column 5: Rate Reset Frequency

If you choose option A, report the index rate reset frequency, in months, of each individual VRFM liability.

If you choose option B, calculate the weighted-average rate reset frequency for each position by multiplying the reset frequency of each liability expressed in months by the ratio of that liability’s balance to the position’s total balance. Calculate the weighted-average rate reset frequency for each position. See the general instructions to Schedule CMR.

Column 6: Months to Next Reset

If you choose option A, report the number of months until the next index rate reset for each individual VRFM liability.

If you choose option B, calculate the weighted-average months to next reset for each position. To do this, multiply the number of months until next reset for each liability by the ratio of that liability’s balance to the position’s total balance. Calculate the weighted-average months to next reset for each position. See the general instructions to Schedule CMR. Round the weighted-average months to next reset to the nearest month.

Column 7: Remaining Maturity

If you choose option A, report the remaining maturity, in months, of each individual VRFM liability.

If you choose option B, calculate the WARM for each position. To do this, multiply the remaining maturity of each liability expressed in months by the ratio of that liability’s balance to the position’s total balance. Calculate the weighted-average remaining term for each position. See the general instructions to Schedule CMR.

Column 8:

Leave this column blank for all VRFM liabilities.

Column 9:

Leave this column blank for all VRFM liabilities.

SUPPLEMENTAL REPORTING OF MARKET VALUE ESTIMATES

To calculate the market value of some of the assets, liabilities, and financial derivatives and OBS instruments that you hold, we need more information than is feasible to collect on Schedule CMR. This section of Schedule CMR collects your own estimates of the market values of certain instruments in each of the seven interest rate scenarios shown in the Interest Rate Risk Exposure Report that we produce each quarter. We combine the estimates you report with the market value estimates calculated by the OTS Model to evaluate your exposure to interest rate changes.

You must report market value estimates if you have the following types of financial instruments:

Financial derivatives and OBS contracts that you cannot identify by a contract code. For instance, CMO swaps.
Mortgage-derivative securities.
Complex securities. If you have complex securities, you must report market value estimates for those securities. Common types of complex securities include structured securities, such as step-up bonds, index-amortizing notes, dual index notes, de-leveraged bonds, range bonds, and inverse floaters.
Structured Borrowings.

Moreover, you have the option to report market value estimates for collateralized mortgage securities you issue and for mortgage-related mutual funds.

If you report your own estimates for a given type of instrument, you should do so consistently across quarters. If you do not report market value estimates, you should leave the cells blank.

Reporting Guidelines

When estimating the market values for this section, you should use the same methodology you use in your TB 13a analyses. First, calculate the base case market value of each instrument in the current interest rate environment. Then calculate market value estimates in the six shocked interest rate scenarios – the plus and minus 100, 200, and 300 basis point shocks described in TB 13a – by assuming parallel shifts in the term structure of interest rates. In periods of low interest rates, it is possible that the simulation of the - 300 interest rate scenario could result in negative interest rates. To avoid this possibility, you should set a floor of ten basis points for all interest rates when performing your own simulations.

Assumptions used in the calculations must be reasonable and consistent with the analysis you perform to satisfy TB 13a. Your prepayment assumptions should relate reasonably to market consensus in the current interest rate scenario. In the six shocked scenarios, prepayment assumptions should reflect changes likely to occur in prepayment rates under each interest rate shock. If you perform the valuation by estimating the present value of future cash flows, both the discount rates and expected future cash flows should reflect the current yield curve or that or similar instruments in the current rate scenario. In the shocked scenarios, discount rates and expected future cash flows should reflect likely changes that would occur under each shock.

To evaluate an institution’s market value estimates, OTS examiners will, at a minimum, determine whether the institution:

Uses zero-coupon (spot) rates of the appropriate maturities to discount cash flows.
Uses implied forward interest rates to model variable rate cash flows.
Values embedded options using appropriate option valuation methodology, e.g., Black-Scholes

type formulas, Monte-Carlo simulations, lattice methods, etc. Examiners may determine an institution should use more sophisticated measurement techniques to address specific supervisory concerns (e.g., high volume and price sensitivity of a group of structured advances; the institution’s results may materially misstate the level of risk; a combination of low Post-shock NPV Ratio and high Sensitivity Measure; etc.). In any case, the institution should be very familiar with the details of the assumptions, term structure, and logic used in performing the measurements. Measures obtained from either a third party or from an FHLB originating a structured FHLB advance may, therefore, not always be adequate.

Report the following type of instruments on the Supplemental Reporting of Market Value Estimates.

Market Value Estimates of Financial Derivatives and Off-Balance-Sheet Contracts

Report an estimate of the market value of financial derivatives and OBS contracts according to the instructions for either case 1 or case 2 below.

Case 1: You hold financial derivatives and OBS contract(s) that do not have contract codes listed in the instructions. In such instances, report market value estimates for those contracts, in each of the seven interest rate scenarios listed, using contract code 500, from Appendix D, on the Supplemental Reporting of Market Value Estimates.

Case 2: You have more than 16 financial derivatives and OBS contract positions and have chosen to provide your own market value estimates of the additional positions instead of reporting them in the section, Supplemental Reporting for Financial Derivatives and OBS Positions. See Reporting More Than 16 OBS Positions in the section Off-Balance-Sheet Contracts. In such instances, you must report the estimated aggregate market value of the additional positions in each of the seven interest rate scenarios listed on the Supplemental Reporting of Market Value Estimates using contract code 500 from Appendix

You may also include estimates of the market value of loan servicing rights other than single-family first mortgages; for instance, servicing of commercial real estate, second mortgages, home equity loans, auto loans, credit cards, etc.

Market Value Estimates of Mortgage Derivative Securities

Reporting Information: Report the estimated aggregate market value of mortgage-derivative securities in each of the seven interest rate scenarios. This is in addition to the general requirement that you report the recorded investment of these securities on CMR351 through CMR376 as described in Mortgage-Derivative Securities in the Assets section.

You must report the market value of all CMOs, residuals, stripped MBS, and CMO swaps under the seven interest rate scenarios on the Supplemental Reporting of Market Value Estimates using asset code 123 found in Appendix D. In valuing floating-rate CMOs, on CMR351 and CMR352, you should use a methodology that accomplishes the following:

Values the cap and floor of the floater.
Discounts cash flows using the zero-coupon Treasury curve and a spread to the curve.

CEO Memo 55, dated April 30, 1996 contains a detailed description of a methodology that incorporates these two requirements. The memo is available on OTS’s web site, www.ots.treas.gov.

Use of Information: When calculating your Interest Rate Risk Report, the OTS Model will use market value estimates of mortgage derivatives if you report them. If you have such derivatives but do not report market value estimates, the OTS Model will estimate market values using values of similar instruments as proxies.

Market Value Estimates of Complex Securities

Reporting Information: If you report any complex securities you must report the estimated aggregate market value of those securities in each of the seven interest rate scenarios using contract code 121 from Appendix D.

Use of Information: When producing your Interest Rate Risk Exposure Report, the OTS Model will include in NPV the market value estimates of these securities.

Market Value Estimates of Structured Borrowings

For the purpose of these instructions, structured borrowings include borrowings and Federal Home Loan Bank (FHLB) advances with embedded options or derivative-like features where the advance’s coupon, average life, and redemption value are dependent on a reference rate, an index, or a formula. Structured borrowings include, but are not limited to, putable and callable advances, variable rate advances with embedded caps, floors, or collars, step-up variable rate advances and amortizing advances. The amounts you enter in the rate shock scenarios are the estimated market values of the contract after the rate change. See Appendix D, codes 280 through 290, for a detailed description of structured borrowings whose market value estimates you report on Supplemental Reporting of Market Value Estimates.

The important contractual terms used in classifying these positions are 1) who owns (has the right to exercise) the option, and 2) the type of option. The type of option is classified using standard option terminology, i.e., the owner of a call has the right to buy at the exercise price, and the owner of a put has the right to sell at the exercise price. Standard option terminology is not always consistent with the terminology used in marketing these instruments.

For example, with a putable advance, an FBLB effectively purchases a put option from the borrowing member. This put option provides the FHLB with the right to terminate the advance and offer alternative credit on new terms if interest rates increase. An advance with these terms would have position code 280. The terminology on these products may be an issue since some FHLBs call putable advances putable advances, and other FHLBs call them callable advances. From the perspective of standard option terminology callable is not the proper term for this instrument, since the FHLB has the right to sell (put) the advance back to the member when interest rates increase and the value of the debt has fallen.

A callable advance in standard option terminology allows the member to prepay the advance. The position code for this contract is 282. If the advance allowed the FHLB to convert the advance from fixed to floating rate, the advance would be termed a convertible advance and would have position code 281.

A similar, but more complicated advance is the periodic floating rate advance. In this advance the interest rate floats by being periodically reset to LIBOR. However, the member effectively sells a floor to the FHLB, which limits the reduction in interest payments when LIBOR decreases. The position code for this advance is 283.

Market Value Estimates of Mortgage-Related Mutual Funds (Optional)

Reporting Information: If you report mortgage-related mutual funds on CMR584, you may use code 129 from Appendix D to report the estimated aggregate market value estimates of those mutual funds in each of the seven interest rate scenarios.

Use of Information: When producing your Interest Rate Exposure Report, the OTS NPV model will use the market value estimate you provide for these mutual funds.

Market Value Estimates of Collateralized Mortgage Securities Issued (Optional)

Reporting Information: Report only those collateralized mortgage securities issued that you do not record as sales in accordance with FASB Statement No. 140, Accounting for Transfers and Servicing of Financial Assets and Extinguishments of Liabilities. Report information on collateralized mortgage securities issued in two places: one mandatory, the other optional:

Report the book value of CMOs and other collateralized mortgage securities issued on CMR785. Balances on CMR785 should not be on CMR678 through CMR706.
At your option, you may use code 210 to report your estimate of the value of the collateralized mortgage securities issued, in each of seven interest rate scenarios listed on the Supplemental Reporting of Market Value Estimates.

Reporting Guidelines

Report positions in the Supplemental Reporting of Market Value Estimates as follows:

Column 1: Entry Number

Number all lines used to report supplemental market value information, starting with the number 1.

Column 2: Position Code

The position code is a 3-digit code that denotes the type of instrument reported. The codes are included in Appendix D.

Column 3: Balance

Report the outstanding balance for each position whose market value estimates are reported in Column 3 through Column 9. For zero-coupon instruments, report the recorded investment, which is the amortized value of the investment.

Column 4 through Column 10: Estimated Market Value After Specified Rate Shock

Report the estimate of the market value in each of the following interest rates scenarios: -300 basis points, -200bp, -100bp, No Change, +100bp, +200bp, +300bp, respectively.

SUPPLEMENTAL REPORTING FOR DERIVATIVES AND OFFBALANCE-SHEET POSITIONS

In this section, you may report supplemental information about OBS contracts as described in Reporting More Than 16 OBS Positions in the section Off-Balance-Sheet Contracts. If you have more than 16 OBS positions, you may report those positions in the same manner that you reported the initial 16 positions on the continuation page Supplemental Reporting for Financial Derivatives and OBS Positions.

To report positions using supplemental pages, number the positions sequentially in the column Entry #, beginning with number 1 for the first position on the first supplemental page. The same instructions in the section Off-Balance-Sheet Contracts used to report the initial 16 positions apply. Use as many continuation pages as necessary to report the remaining positions.

APPENDIX A

LIST OF INTEREST RATE INDEX CODES

Code Index

303 3-month Treasury security 306 6-month Treasury security 312 1-year Constant Maturity Treasury 324 2-year Constant Maturity Treasury 336 3-year Constant Maturity Treasury 360 5-year Constant Maturity Treasury 370 7-year Constant Maturity Treasury 380 10-year Constant Maturity Treasury

401 1-month London Interbank Offered Rate (LIBOR) 403 3-month London Interbank Offered Rate (LIBOR) 406 6-month London Interbank Offered Rate (LIBOR) 412 1-year London Interbank Offered Rate (LIBOR) 431 FannieMae LAMA Index (to be used for liabilities only)

503 3-month FHLB advance rate 506 6-month FHLB advance rate 512 1-year FHLB advance rate 524 2-year FHLB advance rate 536 3-year FHLB advance rate 548 4-year FHLB advance rate 560 5-year FHLB advance rate

603 3-month fixed-rate CD rate 606 6-month fixed-rate CD rate 612 1-year fixed-rate CD rate 660 5-year fixed-rate CD rate

710 FHLMC/FNMA 30-year, fixed-rate mortgage commitment rate 720 National Average Contract Rate for the Purchase of Previously Occupied Homes

800 Federal funds rate 811 11th District FHLB Cost-of-Funds Index (COFI) 812 Lender’s own Cost-of-Funds 820 Federal Cost-of-Funds Index 830 Prime rate

900 Fixed-rate 910 Rate adjusted at lender’s discretion 911 Any other index

THIS PAGE INTENTIONALLY LEFT BLANK

APPENDIX B

LIST OF CONTRACT CODES FOR OBS CONTRACTS

You should use the following list of codes to report OBS contracts.

Contract Codes for Optional Commitments to Originate Mortgages

1002 1-month COFI ARMs
1004 6-month or 1-year COFI ARMs
1006 6-month or 1-year Treasury or LIBOR ARMs
1008 3-year or 5-year Treasury ARMs
1010 5-year or 7-year Balloon or 2-step mortgages
1012 10-year, 15-year, or 20-year FRMs
1014 25-year or 30-year FRMs
1016 all other mortgages

Contract Codes for Firm Commitments to Purchase, Sell, or Originate Mortgages

Firm Commitments to Purchase or Sell Mortgage Loans, Servicing Retained

If the commitment is transacted on a servicing retained basis – the seller will continue to be responsible for servicing the loans following the sale – use the following contract codes. Note that typically commitments to purchase or sell mortgages, including mandatory forward sales are transacted on a servicing retained basis, not on a servicing released basis.

2002 purchase 1-month COFI ARM loans, servicing retained

2004 purchase 6-month or 1-year COFI ARM loans, servicing retained

2006 purchase 6-month or 1-year Treasury or LIBOR ARM loans, servicing retained

2008 purchase 3-year or 5-year Treasury ARM loans, servicing retained

2010 purchase 5-year or 7-year Balloon or 2-step mortgage loans, servicing retained

2012 purchase 10-year, 15-year, or 20-year FRM loans, servicing retained

2014 purchase 25-year or 30-year FRM loans, servicing retained

2016 purchase all other mortgage loans, servicing retained

2022 sell 1-month COFI ARM loans, servicing retained

2024 sell 6-month or 1-year COFI ARM loans, servicing retained

2026 sell 6-month or 1-year Treasury or LIBOR ARM loans, servicing retained

2028 sell 3-year or 5-year Treasury ARM loans, servicing retained

2030 sell 5-year or 7-year Balloon or 2-step mortgage loans, servicing retained

2032 sell 10-year, 15-year, or 20-year FRM loans, servicing retained

2034 sell 25-year or 30-year FRM loans, servicing retained

2036 sell all other mortgage loans, servicing retained

Firm Commitments to Purchase or Sell Mortgage Loans, Servicing Released

If the commitment is transacted on a servicing released basis – the purchaser will be responsible for servicing the loans – use the following contract codes:

2102 purchase 1-month COFI ARM loans, servicing released

2104 purchase 6-month or 1-year COFI ARM loans, servicing released

2106 purchase 6-month or 1-year Treasury or LIBOR ARM loans, servicing released

2108 purchase 3-year or 5-year Treasury ARM loans, servicing released

2110 purchase 5-year or 7-year Balloon or 2-Step mortgage loans, servicing released 2112 purchase 10-year, 15-year, or 20-year FRM loans, servicing released 2114 purchase 25-year or 30-year FRM loans, servicing released 2116 purchase all other mortgage loans, servicing released 2122 sell 1-month COFI ARM loans, servicing released 2124 sell 6-month or 1-year COFI ARM loans, servicing released 2126 sell 6-month or 1-year Treasury or LIBOR ARM loans, servicing released 2128 sell 3-year or 5-year Treasury ARM loans, servicing released 2130 sell 5-year or 7-year Balloon or 2-Step mortgage loans, servicing released 2132 sell 10-year, 15-year, or 20-year FRM loans, servicing released 2134 sell 25-year or 30-year FRM loans, servicing released 2136 sell all other mortgage loans, servicing released

Firm Commitments to Purchase or Sell MBS

2042 purchase 1-month COFI ARM MBS
2044 purchase 6-month or 1-year COFI ARM MBS
2046 purchase 6-month or 1-year Treasury or LIBOR ARM MBS
2048 purchase 3-year or 5-year Treasury ARM MBS
2050 purchase 5-year or 7-year Balloon or 2-step MBS
2052 purchase 10-year, 15-year, or 20-year FRM MBS
2054 purchase 25-year or 30-year FRM MBS
2056 purchase all other MBS
2062 sell 1-month COFI ARM MBS
2064 sell 6-month or 1-year COFI ARM MBS
2066 sell 6-month or 1-year Treasury or LIBOR ARM MBS
2068 sell 3-year or 5-year Treasury ARM MBS
2070 sell 5-year or 7-year Balloon or 2-step MBS
2072 sell 10-year, 15-year, or 20-year FRM MBS
2074 sell 25-year or 30-year FRM MBS
2076 sell all other MBS

Firm Commitments to Originate Mortgage Loans

2202 originate 1-month COFI ARM loans
2204 originate 6-month or 1-year COFI ARM loans
2206 originate 6-month or 1-year Treasury or LIBOR ARM loans
2208 originate 3-year or 5-year Treasury ARM loans
2210 originate 5-year or 7-year Balloon or 2-Step mortgage loans
2212 originate 10-year, 15-year, or 20-year FRM loans
2214 originate 25-year or 30-year FRM loans
2216 originate all other mortgage loans

Firm Commitments to Purchase or Sell Mortgage Derivative Products (MDPs)

2081 purchase low-risk floating-rate MDPs
2082 purchase low-risk fixed-rate MDPs
2083 sell low-risk floating-rate MDPs
2084 sell low-risk fixed-rate MDPs
2086 purchase high-risk MDPs
2088 sell high-risk MDPs

Contract Codes for Optional Commitments to Purchase or Sell Mortgages and MBS

Long Options to Purchase Mortgages and MBS (Long Calls)

3002 long the option to purchase 1-month COFI ARMs 3004 long the option to purchase 6-month or 1-year COFI ARMs 3006 long the option to purchase 6-month or 1-year Treasury or LIBOR ARMs 3008 long the option to purchase 3-year or 5-year Treasury ARMs 3010 long the option to purchase 5-year or 7-year Balloon or 2-step mortgages 3012 long the option to purchase 10-year, 15-year, or 20-year FRMs 3014 long the option to purchase 25-year or 30-year FRMs 3016 long the option to purchase all other mortgages

Long Options to Sell Mortgages and MBS (Long Puts)

3022 long the option to sell 1-month COFI ARMs 3024 long the option to sell 6-month or 1-year COFI ARMs 3026 long the option to sell 6-month or 1-year Treasury or LIBOR ARMs 3028 long the option to sell 3-year or 5-year Treasury ARMs 3030 long the option to sell 5-year or 7-year Balloon or 2-step mortgages 3032 long the option to sell 10-year, 15-year, or 20-year FRMs 3034 long the option to sell 25-year or 30-year FRMs 3036 long the option to sell all other mortgages

Short Options to Purchase Mortgages and MBS (Short Calls)

3042 short the option to purchase 1-month COFI ARMs 3044 short the option to purchase 6-month or 1-year COFI ARMs 3046 short the option to purchase 6-month or 1-year Treasury or LIBOR ARMs 3048 short the option to purchase 3-year or 5-year Treasury ARMs 3050 short the option to purchase 5-year or 7-year Balloon or 2-step mortgages 3052 short the option to purchase 10-year, 15-year, or 20-year FRMs 3054 short the option to purchase 25-year or 30-year FRMs 3056 short the option to purchase all other mortgages

Short Options to Sell Mortgages and MBS (Short Puts)

3062 short the option to sell 1-month COFI ARMs 3064 short the option to sell 6-month or 1-year COFI ARMs 3066 short the option to sell 6-month or 1-year Treasury or LIBOR ARMs 3068 short the option to sell 3-year or 5-year Treasury ARMs 3070 short the option to sell 5-year or 7-year Balloon or 2-step mortgages 3072 short the option to sell 10-year, 15-year, or 20-year FRMs 3074 short the option to sell 25-year or 30-year FRMs 3076 short the option to sell all other mortgages

Contract Codes for Commitments to Purchase, Originate or Sell Nonmortgage Financial Assets and Liabilities

For purposes of reporting, core deposits are defined as transaction accounts, money market deposit accounts, passbook accounts, and non-interest-bearing demand deposits.

4002 purchase or originate nonmortgage financial assets
4004 purchase core deposits
4006 purchase all other liabilities
4022 sell nonmortgage financial assets
4024 sell core deposits
4026 sell all other liabilities

Contract Codes for Interest-Rate Swaps

We have divided the codes for swaps into three groups: fixed-for-floating swaps, basis swaps, and mortgage swaps. We have not listed codes for LIBOR-for-COFI basis swaps because the value of this type of swap does not change substantially when the yield curve changes in a parallel fashion. Special reporting instructions for swaptions and amortizing swaps appear below the list of codes.

CMO swaps are reported with Mortgage Derivative Securities. See Mortgage Derivative Securities in Section II, Assets.

If the institution holds a type of interest rate swap that is not contained in this list, the contract should be reported on Supplemental Reporting of Market Value Estimates, using code 500 from Appendix D. See Market Value Estimates of OBS Contracts in Section V, Reporting of Market Value Estimates, for reporting instructions.

Fixed-for-Floating Swaps

5002 pay fixed, receive 1-month LIBOR
5004 pay fixed, receive 3-month LIBOR
5006 pay fixed, receive 6-month LIBOR
5008 pay fixed, receive COFI
5010 pay fixed, receive 3-month Treasury
5012 pay fixed, receive 1-Year Treasury
5014 pay fixed, receive 3-year Treasury
5016 pay fixed, receive 5-year Treasury
5018 pay fixed, receive 7-year Treasury
5020 pay fixed, receive 10-year Treasury
5022 pay fixed, receive the prime rate
5024 pay 1-month LIBOR, receive fixed
5026 pay 3-month LIBOR, receive fixed
5028 pay 6-month LIBOR, receive fixed
5030 pay COFI, receive fixed
5032 pay 3-month Treasury, receive fixed
5034 pay 1-Year Treasury, receive fixed
5036 pay 3-year Treasury, receive fixed
5038 pay 5-year Treasury, receive fixed
5040 pay 7-year Treasury, receive fixed
5042 pay 10-year Treasury, receive fixed
5044 pay the prime rate, receive fixed

Basis Swaps

5052 pay COFI, receive 1-month LIBOR
5054 pay COFI, receive 3-month LIBOR
5056 pay COFI, receive 6-month LIBOR
5058 pay COFI, receive 3-month Treasury

5060 pay 1-month LIBOR, receive 1-year Treasury
5062 pay 1-month LIBOR, receive COFI
5064 pay 3-month LIBOR, receive COFI
5066 pay 6-month LIBOR, receive COFI
5068 pay 3-month Treasury, receive COFI
5069 pay 1-year Treasury, receive 1-month LIBOR

Mortgage Swaps

5572 pay 1-month LIBOR, receive MBS coupon
5574 pay 3-month LIBOR, receive MBS coupon
5576 pay 6-month LIBOR, receive MBS coupon
5582 pay MBS coupon, receive 1-month LIBOR
5584 pay MBS coupon, receive 3-month LIBOR
5586 pay MBS coupon, receive 6-month LIBOR

A swaption is an option on a swap. Swaptions are reported in the following manner: replace the first two digits of the contract codes listed above with 51 for a long position in the swaption – the institution has purchased the swaption – or 52 for a short position in the swaption – the institution has sold the swaption. For example, the contract code for a long swaption position where the institution would pay a fixed rate and receive 3-month LIBOR is 5104.

The OTS model only values swaptions on fixed-for-LIBOR, 1-, 3-, and 6-month indices, fixed-for-COFI, and fixed-for-3-month Treasury coupons. These swaptions correspond to codes 5102 through 5110, 5124 through 5132, 5202 through 5210, and 5224 through 5232. If you hold a swaption that is not contained in this list, you should report the on Supplemental Reporting of Market Value Estimates. See Market Value Estimates of OBS Contracts in Section V, Reporting of Market Value Estimates, for reporting instructions.

An amortizing swap is a swap on which the notional amount amortizes over time. You report amortizing swaps by replacing the first two digits of the contract codes listed above with 55. For example, the contract code for an amortizing swap where the institution pays COFI and receives 1-month LIBOR is 5552. Because mortgage swaps are amortizing swaps, their contract codes begin with 55.

Contract Codes for Interest-Rate Caps

6002 long a cap on 1-month LIBOR
6004 long a cap on 3-month LIBOR
6006 long a cap on 6-month LIBOR
6008 long a cap on the 3-month Treasury
6010 long a cap on the 1-year Treasury
6012 long a cap on the 3-year Treasury
6014 long a cap on the 5-year Treasury
6016 long a cap on the 7-year Treasury
6018 long a cap on the 10-year Treasury
6020 long a cap on COFI
6022 long a cap on the prime rate
6032 short a cap on 1-month LIBOR
6034 short a cap on 3-month LIBOR
6036 short a cap on 6-month LIBOR
6038 short a cap on the 3-month Treasury
6040 short a cap on the 1-year Treasury
6042 short a cap on the 3-year Treasury
6044 short a cap on the 5-year Treasury
6046 short a cap on the 7-year Treasury
6048 short a cap on the 10-year Treasury
6050 short a cap on COFI
6052 short a cap on the prime rate

If you hold a cap on which the notional amount is amortizing, an amortizing cap, you should report the contract on Supplemental Reporting of Market Value Estimates. See Market Value Estimates of OBS Contracts in Section V, Reporting of Market Value Estimates, for reporting instructions.

Contract Codes for Interest-Rate Floors

7002 long a floor on 1-month LIBOR
7004 long a floor on 3-month LIBOR
7006 long a floor on 6-month LIBOR
7008 long a floor on the 3-month Treasury
7010 long a floor on the 1-year Treasury
7012 long a floor on the 3-year Treasury
7014 long a floor on the 5-year Treasury
7016 long a floor on the 7-year Treasury
7018 long a floor on the 10-year Treasury
7020 long a floor on COFI
7022 long a floor on the prime rate
7032 short a floor on 1-month LIBOR
7034 short a floor on 3-month LIBOR
7036 short a floor on 6-month LIBOR
7038 short a floor on the 3-month Treasury
7040 short a floor on the 1-year Treasury
7042 short a floor on the 3-year Treasury
7044 short a floor on the 5-year Treasury
7046 short a floor on the 7-year Treasury
7048 short a floor on the 10-year Treasury
7050 short a floor on COFI
7052 short a floor on the prime rate

If the institution holds a floor on which the notional amount is amortizing, an amortizing floor, you should report the contract should be reported on Supplemental Reporting of Market Value Estimates. See Market Value Estimates of OBS Contracts in Section V, Reporting of Market Value Estimates, for reporting instructions.

Contract Codes for Futures

8002 long 30-day interest rate
8004 long 3-month Treasury bill
8006 long 2-year Treasury note
8008 long 5-year Treasury note
8010 long 10-year Treasury note
8012 long Treasury bond
8014 long 1-month LIBOR
8016 long 3-month Eurodollar
8018 long 3-year Swap
8020 long 5-year Swap
8032 short 30-day interest rate
8034 short 3-month Treasury bill
8036 short 2-year Treasury note
8038 short 5-year Treasury note
8040 short 10-year Treasury note
8042 short Treasury bond
8044 short 1-month LIBOR
8046 short 3-month Eurodollar
8048 short 3-year Swap (Self-value using code 500)
8050 short 5-year Swap (Self-value using code 500)

Contract Codes for Options on Futures

Long Call Options

9002 long call, 30-day interest rate futures 9004 long call, 3-month Treasury bill futures 9006 long call, 2-year Treasury note futures 9008 long call, 5-year Treasury note futures 9010 long call, 10-year Treasury note futures 9012 long call, Treasury bond futures 9014 long call, 1-month LIBOR futures 9016 long call, 3-month Eurodollar futures

Long Put Options

9026 long put, 30-day interest rate futures 9028 long put, 3-month Treasury bill futures 9030 long put, 2-year Treasury note futures 9032 long put, 5-year Treasury note futures 9034 long put, 10-year Treasury note futures 9036 long put, Treasury bond futures 9038 long put, 1-month LIBOR futures 9040 long put, 3-month Eurodollar futures

Short Call Options

9050 short call, 30-day interest rate futures 9053 short call, 3-month Treasury bill futures 9054 short call, 2-year Treasury note futures 9056 short call, 5-year Treasury note futures 9058 short call, 10-year Treasury note futures 9060 short call, Treasury bond futures 9062 short call, 1-month LIBOR futures 9064 short call, 3-month Eurodollar futures

Short Put Options

9074 short put, 30-day interest rate futures 9076 short put, 3-month Treasury bill futures 9078 short put, 2-year Treasury note futures 9080 short put, 5-year Treasury note futures 9082 short put, 10-year Treasury note futures 9084 short put, Treasury bond futures 9086 short put, 1-month LIBOR futures 9088 short put, 3-month Eurodollar futures

Contract Codes for Construction LIP

9502 fixed-rate
9512 adjustable-rate

THIS PAGE INTENTIONALLY LEFT BLANK

APPENDIX C

LIST OF ASSET CODES FOR SUPPLEMENTAL REPORTING

CMR Asset
Line Asset Type Code

Multifamily and Nonresidential Mortgage Loans and Securities

Adjustable-Rate

CMR261 Balloon Mortgage Loans
Coupon Within 300 bp of Lifetime Cap 100
Coupon More Than 300 bp From Lifetime Cap 105
With No Lifetime Cap 106
Balloon Mortgage Securities
Coupon Within 300 bp of Lifetime Cap 107
Coupon More Than 300 bp From Lifetime Cap 108
With No Lifetime Cap 109

CMR262 Fully Amortizing Mortgage Loans
Coupon Within 300 bp of Lifetime Cap 110
Coupon More Than 300 bp From Lifetime 115
With No Lifetime Cap 116
Fully Amortizing Mortgage Securities
Coupon Within 300 bp of Lifetime Cap 117
Coupon More Than 300 bp From Lifetime Cap 118
With No Lifetime Cap 119

Fixed-Rate

CMR281 Balloon Mortgage Loans 125
Balloon Mortgage Securities 126

CMR282 Fully Amortizing Mortgage Loans 127
Fully Amortizing Mortgage Securities 128

CMR291 Construction & Land Loans – adjustable-rate

130

CMR311 Second Mortgage – adjustable-rate

140

CMR Asset Line Asset Type Code

CMR325 Commercial Loans – adjustable-rate 150

CMR335 Consumer Loans – fixed- or adjustable-rate: or Loans on Deposits 180 CMR336 Unsecured Home Improvement Loans 181 Education Loans 182 Auto Loans and Leases 183 Mobile Home Loans 184 Credit Cards 185 Recreational Vehicle Loans 187 Other Type of Consumer Loans 189

CMR473 Government & Agency Securities: Fixed-Coupon Securities 300 Floating-Rate Securities 302 Inverse Floating-Rate Securities 304

CMR479 Other Investment Securities: Fixed-Coupon Securities 120 Floating-Rate Securities 122 Inverse Floating-Rate Securities 124

APPENDIX D
LIST OF CODES FOR SUPPLEMENTAL REPORTING

Code	Position
1211	Market value estimates of complex securities, other than mortgage derivative securities
1231	Market value estimates of mortgage derivatives
1291	Market value estimates of mortgage-related mutual funds
2002	Terms and conditions of variable-rate, fixed-maturity certificates of deposit
2101	Market value estimates of collateralized mortgage obligations issued
2202	Terms and conditions of variable-rate, fixed-maturity FHLB advances, other than those reported below
2801	Market value estimates of FHLB putable advance. Putable advances are advances that the issuing FHLB, at its discretion, may terminate and require the borrowing institution to repay at predetermined dates prior to the stated maturity date of the advance.
2811	Market value estimates of FHLB convertible advance. With a convertible advance, the issuing FHLB has the option to convert the advance to an adjustable rate advance after a predetermined lock-out period and periodically thereafter.
2821 2831	Market value estimates of FHLB callable advance. With a callable advance, the borrower has the option to return the funds to the FHLB that issued the advance, without a prepayment fee, at designated prepayment or put dates and periodically thereafter. Market value estimates of FHLB periodic floor floating rate advance. The rate on the advance resets periodically to LIBOR, and the interest rate decline is limited to the periodic floor
2891	Market value estimates of other FHLB structured advances
2901	Market value estimates of other structured borrowings
2992	Terms and conditions of other variable-rate, fixed-maturity borrowings
5001	Market value estimates of either: (1) other financial derivatives and OBS positions without a contract code; or (2) the aggregate value of OBS positions in excess of the 16 positions reported on the Financial Derivatives and Off-Balance-Sheet Positions.

¹Use these codes in the Supplemental Reporting of Market Value Estimates ² Use these codes in the Supplemental Reporting of Assets and Liabilities

THIS PAGE INTENTIONALLY LEFT BLANK

GLOSSARY

We use this glossary to explain terms that we use in connection with the Thrift Financial Report. We have neither officially approved nor sanctioned the definitions. They are not legal definitions and you should not use them to interpret or define provisions of our regulations or other official documents. A more extensive glossary of financial terms is available on the OTS web site. Also refer to the glossary in the OTS Trust and Asset Management Handbook.

Above Par (Value)

A higher dollar amount than the face value, or par, of a security. Above par occurs when a security sells at a premium – for more than par or face value. The premium is the difference between the face value and the market price.

Accelerated Mortgage Amortization

(1) The restructuring of an existing mortgage loan by increasing the monthly payment to pay off the loan in a shorter time than the original maturity. (2) Prepayment of loan principal.

Acceleration Clause

A clause commonly included in mortgages and bonds, it gives the holder the right to demand that the borrower pay the entire outstanding balance in the event of default or other breach of contract.

Accounting Principles Board (APB)

A principle-making body of the American Institute of CPAs (AICPA) established in 1959. Membership of the Accounting Principles Board included representatives from public accounting, the industry, and academia. The APB issued thirty-one opinions known as APB Opinions during its existence until it was terminated in 1972 and replaced by the Financial Accounting Standards Board (FASB).

Accounting Research Bulletins (ARB)

Pronouncements issued by the Committee on Accounting Procedure of the American Institute of CPAs (AICPA) during the period 1939 through 1959, at which time the Accounting Principles Board replaced the Committee. Fifty-one ARBs were issued, formally establishing accounting principles on a variety of issues.

Accounts Payable

Short-term liabilities incurred and amounts recorded on the books of a company or individual that are owed to a creditor for previously purchased merchandise or services rendered.

Accounts Receivable

Amounts recorded as assets on the books of a company or individual that are due for merchandise sold or services rendered.

Accretion

Addition to income resulting from gradual, periodic reduction of deferred income.

Accrual Basis

(1) The basis of accounting under which revenues are recorded when earned and expenditures are recorded as soon as they result in liabilities for benefit received, notwithstanding that the receipt of the revenue or the payment of the expenditure may take place, in whole or in part, in another accounting period. (2) Opposite of cash basis accounting. The accrual basis of accounting must be used in the preparation of the Thrift Financial Report.

Accrued Dividend

A dividend declared by the Board of Directors and considered to be earned and payable but not yet paid on stock or other instruments of ownership of a business.

Accrued Expense

Costs incurred during an accounting period but not paid.

Accrued Interest

Interest earned, but not received or credited, for the period of time that has elapsed since interest was last received.

Actual Thrift Investment Percentage (ATIP)

A ratio whose numerator is housing-related investments, called qualified thrift investments, and whose denominator is portfolio assets. The ratio is used to determine whether a savings association meets the qualified thrift lender (QTL) test. Savings associations may elect to use the Internal Revenue Service tax code Domestic Building and Loan Association (DBLA) test rather than the QTL test.

ADC

Acquisition, development, and/or construction.

Add-on Interest

The amount of interest the borrower will pay during the term of the loan that is added to the principal of the loan to determine the face amount of the note. The borrower signs a note promising to repay the face amount (principal plus interest), although only the principal is disbursed to the borrower. Since the interest is not yet earned at the date of closing, a contra-account to the loan is set up representing the unearned interest. This contra-account is reduced monthly and credited to interest income until at the time of maturity the contra-account is zero and the full principal is due. Report loans with add-on interest net of the unearned interest in Schedule SC in accordance with APB Opinion No. 21. See Discount Loan.

Adjustable Rate

An asset or liability repriced (rate adjusted) periodically during its life according to a predetermined formula or index. The interest rate is automatically adjusted at stated intervals. See Adjustable-Rate Mortgage, Floating-Rate Securities, and Floating-Rate Tranches.

Adjustable-Rate Mortgage (ARM)

A loan with an interest rate that is periodically adjusted, moving higher or lower in the same ratio as a preselected index, such as Treasury bill rates. ARM loans may limit interest rate increases, caps, within a given time period and over the life of the loan, and may limit the frequency of interest rate adjustments. ARM loans may initially have below-market interest rates, teaser rates, in return for the borrower sharing the risk that interest rates may rise during the course of the loan.

Adjusted Basis

Equals cost at which an asset is acquired and adjusted for certain occurrences since the day of acquisition. For example, the adjusted basis of real property is generally the purchase price plus capital improvements to the property less any depreciation taken. Adjusted basis is used in calculating gains and losses on the sale of an asset.

Adjusting Entries

Bookkeeping entries made after the trial balance is prepared but before the closing entries. The adjusting entries are necessary to make the income and expense accounts consistent with the accrual method of accounting.

Advances

Loans the Federal Home Loan Banks issue to member savings associations.

Affiliated Company

(1) A company that exercises control over another company either directly or indirectly. (2) A company that has common ownership with another company.

Affiliated Person

(1) A director, officer, or controlling person of a savings association or its holding company. (2) A member of the immediate family residing in the same household as a director, officer, or controlling person of a savings association.

Agencies

Securities issued by an agency or government-sponsored enterprise of the federal government, for example, Fannie Mae, Ginnie Mae, etc.

AICPA

American Institute of Certified Public Accountants.

ALLL

Allowance for loan and lease losses.

Allowance

A reserve set aside for bad debts or for depreciation. See Allowance for Loan and Lease Losses (ALLL) and Valuation Allowances.

Allowance for Loan and Lease Losses (ALLL)

Valuation allowances established to absorb unidentified losses inherent in a savings association’s overall loan and lease portfolio. See General Valuation Allowances and Specific Valuation Allowances.

Alternative Mortgage Instruments

Mortgage plans that differ from conventional fixed rate, fixed term, fixed monthly payment, fully amortized mortgages.

Amortization

(1) The gradual reduction of an asset or liability by means of periodic charges to reduce income or to increase expense. (2) The repayment of a loan calculated so that the principal will be paid in full through monthly payments of principal and interest for a predetermined period of time.

Amortized Cost

Equals the face value net of unamortized discounts and premiums less write-offs. See Book Value, Face Value, and Recorded Investment.

Annual Percentage Rate (APR)

A requirement of Truth in Lending laws designed to show consumers the total cost of credit, including the effective interest rate plus certain finance and service charges, points.

Annual Percentage Yield (APY)

The effective annual rate of income expressed as a percentage of the price originally paid. This calculation assumes that interest earned is reinvested.

Annuity

(1) A series of equal payments at fixed intervals, such as monthly or annually. (2) An investment yielding fixed payments during the holder’s lifetime or for a stated number of years.

Anticipatory Hedge

(1) A long anticipatory hedge is initiated by buying futures contracts to protect against a rise in the price of an asset to be purchased at a later date. (2) A short anticipatory hedge is initiated by selling futures contracts to protect against the decline in price of an asset to be sold at a future date, or to protect against a rise in interest rates of a fixed-rate liability or a future repricing on a variable-rate liability.

APB

Accounting Principles Board.

Appraisal

An estimate of the market value of an asset by a qualified appraiser.

Appreciation

The increase in value of an asset, specifically the increase in market value of real estate.

APR

Annual Percentage Rate.

APY

Annual Percentage Yield.

ARB

Accounting Research Bulletins.

Arbitrage

A transaction that involves buying a commodity in one market and simultaneously selling it in another market to profit from a disparity in prices between two markets. In a true arbitrage, the timing of the transactions must be simultaneous, thus imposing no risk to the investor.

Arm’s-Length Transaction

(1) A transaction negotiated by unrelated parties, each acting in his or her own best interest. (2) The basis for a fair market value determination.

Arrears

A payment not made when due. Frequently used in connection with installment notes, mortgages, rent, and other obligations due and payable on a certain specified date.

Asked Price

The price at which a security is offered for sale.

Assessment

(1) An estimate of the value of real property for levying taxes; also called assessed valuation. (2) A charge against real property levied by a public governing body for a local improvement, such as a sewer repair or street paving.

Asset

Anything owned by an individual or company that has commercial usefulness or value if sold. An asset may be physical property, enforceable claims against others, including loans and accounts receivable, and deferred expenses. An asset may be tangible or intangible.

Asset/Liability Management

A planning and control process, the key concept of which is the integrated approach to matching the mix and maturities of assets and liabilities to achieve a favorable and even flow of “net interest margin.”

Assisted Merger

The takeover of a troubled savings association by another depository institution with financial assistance provided from a federal deposit insurance fund.

ATIP

Actual Thrift Investment Percentage.

ATM

Automated teller machine.

At-the-Money Option

An option with a strike price equal to the current market price of the underlying cash or futures contract. In this instance, the intrinsic value is zero and the value of the option reflects a premium paid for: (1) the time the holder has to decide whether or not to exercise the option, and (2) the expected price volatility. The value of this premium declines over time.

Automated Teller Machine (ATM)

A machine that permits customers to gain access to their accounts through the use of a magnetically encoded plastic card and by pushing appropriate buttons on a computer terminal. ATMs dispense cash, accept deposits, transfer funds from one account to another, and perform other functions. Generally, ATMs are available 24 hours a day.

Average Rate of Return

The return of an investment calculated by totaling the cash flow over the years divided by the amount of the investment, and dividing that amount by the number of years (or months) that the investment is outstanding.

Bad Debt Reserve

A valuation allowance that savings associations maintain for income tax purposes to offset losses from foreclosed or uncollectable loans.

Balloon Loan

A loan that does not fully amortize during the loan term, and at maturity the unpaid principal is due in a lump sum. Periodic payments may be for principal and interest, or for interest only.

Bank Check

A check that a bank draws on itself then has it signed by an authorized bank officer. See Cashier’s Checks and Official Checks.

Bank Insurance Fund (BIF)

A fund, administered by the FDIC, that insures deposits of member banks (primarily commercial banks) up to $100,000 per depositor. BIF was merged into the Deposit Insurance Fund in 2006 pursuant to the Federal Deposit Reform Act of 2005. See Deposit Insurance Fund.

Bank Investment Contract (BIC)

Investment contract issued by a bank where interest is guaranteed by the bank in a portfolio over a specific time frame with a specific yield. Unlike guaranteed investment contracts (GICs), BICs do not include annuity provisions.

Banker’s Acceptance

A draft drawn on a depository institution by another, which when accepted by the depository institution, obligates the depository institution to pay specific obligations of the draft writer when due. Acceptance converts a depositor’s “order to pay” into an unconditional “promise to pay” by the accepting depository institution. Bankers acceptances are effectively a guaranty of payment for a purchase and are generally used in financing the import, export, transfer or storage of goods.

Banking Act of 1933

Legislation that (1) created the Federal Deposit Insurance Corporation to provide insurance of deposits for member banks; (2) provided for the regulation of banks; and (3) limited branch banking. Also known as the Glass-Steagall Act.

Basis Point

A measurement of yields or changes in prices or yields for securities. One basis point equals one one-hundredth of one percent. One hundred basis points equal one percent.

Bear Market

(1) A period of falling prices. (2) A condition of a stock market characterized by a selling trend and declining prices. (3) Opposite of a bull market.

Bearer Bond

A bond that does not have the owner’s name registered on the books of the issuing agency or company, and is payable to whomever holds the bond.

Before-Tax Income

Gross income less all expenses except for income tax expense.

Below Market

A price that is lower than the prevailing level at which a security is currently quoted or traded.

Below-Market Interest Rate

A lower interest rate than the current rate for conventional financing in a given geographical area. Programs with below-market rates may be used to assist low or moderate income buyers.

Below Par

A price lower than par or face value. The difference between the price and the face value is the discount.

BIC

Bank Investment Contract.

Bid

(1) The price that a potential buyer is willing to pay for a security. (2) An offer to purchase something.

BIF

Bank Insurance Fund.

BIF HOLA Savings Association

A BIF-insured, OTS-regulated savings association.

Blanket Mortgage Loan

A loan made to developers or contractors to purchase one or more tracts of land with the intention of dividing the land into smaller parcels for resale or development.

Bond

A certificate that evidences a debt. The debt is initiated when the issuer sells the bond to the holder for a specific amount of cash. The issuer is obligated to pay the holder of the bond a fixed sum (the bond’s face value) at a stated future date and to pay interest (usually twice a year) at a specified rate during the life of the bond. Corporations, the federal government, and state and local governments may issue bonds as a means of raising funds in the capital markets. Bonds may be issued in registered form, in which the name of the holder is on record with the issuer, or in bearer form, in which the name of the owner is not registered and the bond is payable to whomever bears or presents the bond to the issuer for redemption.

Bond Discount

The difference between the purchase price and face value of a bond when the face value exceeds the purchase price. Normally a bond sells at a discount when the stated interest rate of the bond is less than the current market interest rate. The discount is accreted to interest income over the life of the bond, increasing the stated interest rate of the bond to the market interest rate at the time of purchase.

Bond Equivalent

A yield based on a 365-day year with two semiannual coupon payments.

Bond Premium

The difference between the purchase price and the face value of a bond when a bond sells above par. Normally a bond sells at a premium when the stated interest rate is greater than the current market interest rate. The premium is amortized to interest income over the life of the bond, decreasing the stated interest rate of the bond to the market interest rate at the time of purchase.

Bond, Debenture

A bond for which there is no specific security, collateral, set aside or allocated for repayment of the principal.

Bond, Interim

Sometimes used before the issuance of permanent bonds to raise funds needed only temporarily. Synonymous with temporary bond.

Bond, Junk

Bonds rated lower than investment grade that yield higher rates of interest than the current investment-grade bond market.

Bond, Par

A bond selling at par, whose interest rate is in line with prevailing market interest rates.

Bond, Stripped

Bonds whose coupons have been clipped off. The principal and interest (coupons) are sold to separate groups of investors. Those seeking current income buy the strip of coupons, and those wanting a lump sum at maturity buy the principal or “corpus” portion. Because each portion is worth less than its whole, both are sold at a deep discount from their face values.

Bond, Treasury

A U.S. Government long-term security sold to the public with a maturity longer than five years.

Bond, Zero-Coupon

A security sold at a deep discount from its face value and redeemed at the full amount at maturity. The difference between the cost of the bond and its value when redeemed is the investor’s return. These notes provide no interest payments to holders.

Book Value

(1) The amount at which a business carries an asset on the accounting books. (2) Book value is equal to face value less unamortized discounts, plus unamortized premiums, plus accrued interest, less depreciation, valuation allowances, and write-offs. (3) Equivalent to Carrying Value.

Branch Office

An office of a savings association physically separate from the home office that offers the same kinds of deposit and most loan services conducted at the home office.

Broker

An agent or middleman who does not actually own the securities or property he sells or buys. A broker, as opposed to a dealer, is always acting on behalf of another individual.

Broker-Originated Deposit

Any deposit placed in a savings association by or through a deposit broker.

Brokerage Fee

A fee, usually referred to as a commission fee, charged by a broker for execution of a transaction. The broker may base the fee on an amount per transaction or a percentage of the total value of the transaction.

Bull Market

(1) A period of rising prices. (2) Opposite of bear market.

Buy-Back Agreement

A provision in a sales contract stating that the seller will repurchase the asset sold within a specified period of time, usually for the selling price, if certain stated conditions exist. See Repurchase Agreement and Recourse.

Buying Hedge

Buying futures contracts to protect against possible increased cost of commodities or financial instruments that will be needed in the future. Also referred to as a long hedge.

Buying Long

Buying stocks, bonds, or commodities outright with the expectation of holding them for a rise in price and then selling.

Call

(1): An option to buy a specific security at a specified price within a designated period. (2) A demand by a lender for payment of a loan because of the failure of the borrower to comply with the terms of the loan.
(3): A demand by the issuer of the redemption of stocks or bonds. See Put Option.

Call Option

An option that gives the option buyer the right to purchase – go long – the underlying futures contract at the strike price on or before the expiration date.

Call Price

The price at which a callable bond is redeemable. It is used in connection with preferred stocks and debt securities having a fixed claim. It is the price that an issuer must pay to voluntarily retire such securities. This often exceeds the par or liquidating price to compensate the holder of the called security for his or her loss of income and investment position resulting from the call.

Callable Bond

A bond that is redeemable by the issuer prior to maturity; for example, most Treasury bonds are callable five years before maturity at a specific price.

C and D

Cease and Desist Order.

Cap

(1) The maximum rate to which an ARM may adjust, also referred to as a ceiling. (2) A contractual agreement, akin to an insurance policy, in which a third party limits the interest that will be received or paid if interest rates increase by a predetermined number of percentage points, also referred to as an interest-rate cap.

Capital

Generally represents the owners’ interest in the company’s net assets. It is also called equity capital, stockholders’ equity, and net worth. The capital of a company includes capital contributed by the owners’ plus the retention of earnings over time.

Capital Asset

(1) An asset with an expected life of over one year and one that is not bought and sold in the normal course of business. (2) A fixed asset.

Capital Expenditure

Money spent for additions or improvements to structures or equipment used to carry on the activities of an organization or individual.

Capital Gain or Loss

The gain or loss incurred from the sale or disposition of assets other than inventory, such as investment securities, and real estate.

Capitalize

The treatment of large expenses as part of a firm’s assets. Thus, rather than treating an expenditure as a deduction from the income statement, it is treated as an asset.

Capitalized Interest

Interest not expensed, but added to the carrying value of an asset. The purpose of capitalizing interest is to obtain a measure of acquisition cost that reflects the total investment in the asset. Interest is typically capitalized for assets that are constructed for a business’s own use or for assets intended for sale or lease that are constructed as a discrete project. Refer to FASB Statement No. 34, Capitalization of Interest Costs.

Capitalized Loan

A loan to which all amounts due are added to the balance of the loan and all payments received are deducted from the balance of the loan. For example, each month as interest is earned and escrow payments become due, these amounts are added to the loan balance; when payment is received it is deducted from the loan balance. Any unpaid amounts become part of the loan principal.

Captive Insurance Company

An insurance company in which an association is required to purchase stock in order to receive insurance. Because the sale of the stock of a captive insurance company is restricted by contract and typically must be redeemed by the issuer, these investments are not subject to FASB Statement No. 115, Accounting for Certain Investments in Debt and Equity Securities.

Carrying Amount of Loan

Recorded investment in the loan minus valuation allowances.

Carrying Value

(1) The amount at which an asset is carried on the books of a business. (2) Amortized cost – face value adjusted for unamortized discounts and premiums, accrued interest, depreciation, valuation allowances, and write-offs. (3) Equivalent to Book Value.

Cash Basis Accounting

(1) A method of accounting in which income and expense items are recorded and recognized when cash is received or disbursed. (2) Opposite of accrual basis accounting. The accrual basis of accounting must be used in the preparation of the Thrift Financial Report.

Cash Market

A market in which securities are traded for immediate delivery for a cash payment.

Cash Price

The price that a specific financial instrument is presently selling in the open market.

Cashier Checks

A check drawn by a financial institution on itself, signed by an institution’s authorized officer and payable to a third party named by a customer making the withdrawal. See Official Checks.

Certificate of Deposit.

Cease and Desist Order (C & D)

A demand from the courts or government agency that an entity cease an activity.

CEBA

Competitive Equality Banking Act of 1987.

Chattel Mortgage

A mortgage on personal property, such as an automobile or furniture, that is given as security to pay an obligation.

Certain Nonsecurity Financial Instruments (CNFI)

Unsecuritized financial instruments accounted for under FASB Statement No. 140, Accounting for Transfers and Servicing of Financial Assets and Extinguishments of Liabilities. CNFIs include interest-only strip receivables, loans receivable, other receivables, or retained interests in securitizations that can be contractually prepaid or otherwise settled in such a way that the holder would not recover substantially all of its recorded investment.

Certificate of Deposit (CD)

A written document a financial institution issues to a depositor as evidence of its deposit. It includes the institution’s promise to return the deposit at a specified future date with earnings at a specified rate of interest. It may be negotiable (transferable to another party) or nonnegotiable. The interest specified may adjust periodically according to a predetermined formula or index or may be fixed for the term of the deposit.

Certificate of Deposit (demand)

A negotiable or transferable receipt issued for funds deposited with a financial institution and payable on demand to the holder. These receipts normally do not bear interest and are used principally by contractors and others as a guarantee of performance of a contract or as evidence of good faith when submitting a bid. They may also be used as collateral.

Charge-Off

The amount of loss to an asset that, when recorded, directly reduces the balance of an asset. Consequently, the loss is not established separately as a valuation allowance. See Write-off.

CIF

Collective Investment Fund.

Classified Assets

Assets, generally loans, whose value may not be recoverable. Such assets are classified as substandard, doubtful, or loss. Refer to OTS Regulation § 560.160.

Clear Title

A title to real or personal property that has no liens recorded against it and that is transferable to another party. Synonymous with good title, just title, and marketable title.

Close of Business

The time established by the reporting institution as the cut-off time for receipt of work for posting transactions to its general ledger accounts for that day. The time designated as the close of business should be reasonable and applied consistently. The posting of a transaction to the general ledger means that both debit and credit entries are recorded as of the same date.

Closed Position

Forward or futures contracts offset in full are closed because the obligations cancel each other out.

Closed-End Credit

A loan where the entire amount is disbursed to the borrower. Overdraft privileges, credit cards, most home equity loans, and lines of credit are open-end rather than closed-end loans because, although they have a fixed ceiling, the association will not necessarily disburse the full amount of the line of credit.

Closed-End Mortgage

A mortgage with a prohibition against additional borrowing using the same lien. The prohibition against additional borrowing protects the existing creditors from having the security diluted.

Closing

Consummating a financial transaction. In mortgage lending, closing is the process of the delivery of a deed, the signing of loan documents, and the advancing of funds by the lender.

Closing Price

The price at which transactions are made just before the end of trading on a given day.

Closing Transaction

(1) The final transaction for a particular security during a trading day. (2) An option order that will eliminate or decrease the size of an existing option position.

CMO

Collateralized mortgage obligation.

CNFI

Certain nonsecurity financial instruments.

Collar

A maximum and minimum rate of interest that will be paid on the par value of a floating-rate note. See Interest-Rate Collar.

Collateral

Something of value pledged as security for a loan. The lender can repossess the collateral if the loan is not repaid.

Collateral Loan

A loan for which the borrower deposits certain property with the lender as a pledge of payment. The lender usually has the right to sell the property to pay off the debt if the borrower does not pay according to its term.

Collateral Mortgage

A document used with a loan that effects a lien on real estate, where the loan is not a purchase-money mortgage.

Collateralized Mortgage Obligation (CMO)

A multiclass, mortgage-backed security. An underlying pool of mortgages held by the issuer serves as collateral for the debt obligation, and principal and interest payments from the pool of mortgages are used to retire the CMOs. Typically, a single issue of CMOs contains three or more classes, tranches, of bonds having fixed or floating interest rates, and different lengths of maturity for each class of bond that provides a form of call protection to the holder of a CMO.

Collateral Trust Notes

Bonds secured by the deposit of other bonds or stocks, usually issued by holding companies, investment trusts, and railroads.

Collective Investment Fund (CIF)

The collective investment of fiduciary accounts. Generally includes accounts held by a trustee, executor, administrator or guardian. Used primarily to describe the collective investment of tax-qualified retirement plans. Also referred to as Group Trusts. See Common Trust Fund.

Combined Construction-Permanent Loan

Loans used to finance construction and that are converted to permanent loans upon completion of construction. Typically, the borrower makes no principal payments during the construction period, and upon conversion to a permanent loan begins to make both interest and principal payments.

Commercial Letter of Credit

An instrument by which a financial institution lends its credit to a customer to enable him to finance the purchase of goods. Addressed to the seller, the letter authorizes him to draw drafts on the financial institution under the terms stated.

Commercial Loan

Loans made to businesses for the financing of inventory purchases and operating expenses, as distinguished from personal loans or consumer credit loans. Commercial loans are typically short-term loans or acceptances.

Commercial Mortgage

A loan secured by real estate that is used, zoned, or intended for business purposes or multi-unit dwellings, or is part of a real estate investment portfolio.

Commercial Paper

An unsecured debt instrument issued by a corporation with a fixed maturity, typically for a short-term period (30, 45, 60, or 90 days). It is generally priced at a discount from par and is redeemable at par on the maturity date. Individual and corporate investors buy, sell, and trade commercial paper. .

Commissions

(1) A fee for services rendered. (2) The fees that a broker charges a customer for executing a trade.

Commitment

An advance agreement to perform in the future, such as to provide funds for a mortgage loan or to buy or sell securities. Commitments may be at a fixed interest rate or price determined on the commitment date or at a rate or price to be determined at closing date. Commitments may be in the form of a commitment letter or may be verbal.

Commitment Fee

(1) A fee paid by a borrower to a lender for the lender’s promise to loan money at a future date. (2) In the secondary market, a commitment fee is a payment by a financial institution to a mortgage buyer, such as Freddie Mac, Fannie Mae, etc., for the buyer’s promise to buy loans at a future date.

Common Stock

Securities that are evidence of proportionate equity or ownership of a corporation. They give the holder an unlimited proportionate interest in the corporation’s earnings and assets after satisfaction of claims from creditors and the holders of preferred stock.

Common Trust Fund

The collective investment of fiduciary accounts. Generally includes accounts held by a trustee, executor, administrator or guardian. See Collective Investment Fund.

Community Reinvestment Act of 1977 (CRA)

Legislation that requires financial institutions to meet the credit needs of all segments of their communities, including low- and moderate-income neighborhoods.

Compensating Balance

A dollar amount equal to the lowest percentage of a line of credit that the customer of a financial institution is expected to maintain, usually in a demand deposit account, as a condition for being granted a line of credit.

Competitive Equality Banking Act of 1987 (CEBA)

Legislation passed by the U.S. Congress in 1987 that resulted in the following:

Established the adoption of generally accepted accounting principles (GAAP) in financial
reporting.
Established classification of impaired assets.
Changed appraisal standards.
Affected minimum capital requirement provisions.
Established capital forbearance.
Mandated Troubled Debt Restructuring (TDR) disclosure.
Gave the thrift industry the Qualified Thrift Lender test (QTL).

Compliance Exam

An examination of a savings institution to determine how well it is complying with federal law and regulations, particularly those dealing with consumer protection and nondiscrimination.

Compound Interest

The interest that accrues when earnings for a specified period of time are added to the principal, so that interest during subsequent periods is computed on the principal plus all accumulated interest.

Comprehensive income

Defined pursuant to FASB Statement No. 130 in FASB Concepts Statement 6 as “the change in equity of a business enterprise during a period from transactions and other events and circumstances from nonowner sources. It includes all changes in equity during a period except those resulting from investments by owners and distributions to owners.”

Condominium

(1) A single dwelling unit in a multi-unit structure in which each unit is individually owned. (2) A form of real estate ownership in which the purchaser receives title to a particular unit in a project and proportionate interest in common areas.

Conforming Loan

A mortgage loan that conforms to specified limits such as loan-to-value ratio, term, interest rates, or other characteristics. Typically these conform to guidelines established by Freddie Mac, Fannie Mae, or Ginnie Mae.

Conservator/Conservatorship

An individual or institution the Court or the FDIC appoints to protect and conserve the assets of a troubled financial institution to facilitate liquidation, merger, or replacement of management. A conservatorship affects the control and operation of an institution or company but does not alter its ownership. See Receivership.

Consolidation

The results obtained when the accounts of a parent company and its majority-owned subordinate organizations are combined to reflect the financial position and results of operations of the group as if operated as a single entity. This involves intercompany eliminations and noncontrolling interest adjustments. See FASB Statement No. 94, APB Opinion No. 18, and ARB No. 51.

Consolidation Loan

A loan that combines several debts into one loan, usually to reduce the annual percentage rate or dollar amount of payments made each month, by extending them over a longer period of time.

Constant Prepayment Rate (CPR)

The percentage of principal amount of a pool of mortgages that have been or are expected to be prepaid on an annual basis over the life of a pool.

Construction Loan

A short-term interim loan for financing the cost of construction. The lender makes payments to the builder at periodic intervals upon completion of certain phases of construction as provided in the loan contract. See Loans in Process.

Consumer Credit

See Consumer Loan.

Consumer Loan

Loans to individuals or families where the proceeds are used for consumer purposes, versus business or investment.

Contingency Fund

Assets or other resources placed aside for unexpected expenditures, or for anticipated expenditures of an uncertain amount.

Contra Account

An account offset against another account. A contra account to an asset, contra-asset, has a credit balance and a contra account to a liability, contra-liability, has a debit balance. A contra account has no value in its own right and can only be stated in terms of the asset or liability to which it applies. Examples of contra-assets are discounts, deferred loan fees, and accumulated depreciation. An example of a contra-liability is a discount paid for deposits.

Contract Month

The month in which the futures contract may be fulfilled by making or taking delivery. Most interest rate futures contracts are liquidated prior to the contract month.

Conventional Mortgage

A mortgage originated by a financial institution without government insurance or guarantee.

Cooperative

A system of indirect ownership of a single unit in a multi-unit structure. The individual owns shares in a nonprofit corporation that holds title to the building. In turn, the corporation gives the owner a long-term proprietary lease on the unit. Also called a co-op.

Core Capital

One of three capital standards established for savings associations in 1989. Also known as Tier 1 Capital.

Core Deposits

The base of deposits a savings association expects to retain over relatively long periods. In the application of purchase accounting in a merger, a dollar amount is allocated to the value of retaining the core deposits and this amount is established as an intangible asset known as a core deposit intangible (CDI).

Correspondent Bank

A bank that is the depository for another depository institution, typically located in another city or marketing area. The correspondent bank provides services such as accepting deposits and collection of loan payments for the other depository institution.

Cost of Capital

The rate of interest that an association must pay to a third party to borrow money or raise equity capital.

Cost of Funds

The interest paid or accrued on savings and borrowings, expressed as a percent of the average total savings and borrowings during a given accounting period.

Coupon

A tab attached to a bond, which can be torn off and presented to collect an interest payment at a given date.

Coupon Rate

The rate of interest paid on a particular security. For mortgage-backed securities, the word coupon is customarily used to describe the stated contract interest rate.

Coupon Strips

Ordinary bonds, typically, U.S. Treasury bonds, purchased and then repackaged so that the rights to interest and principal payments are sold separately. The effect is to transform a regular interest-paying security into zero-coupon securities. See Bond, Strip.

Covered Interest Arbitrage

Investing dollars in an instrument denominated in a foreign currency and hedging the resulting foreign exchange risk by selling the proceeds of the investment forward for dollars.

CRA

Community Reinvestment Act of 1977.

Credit

Any amount that, when posted, will increase the balance of a liability, income, or capital account or decrease the balance of an asset or expense account. Liability, capital, and income accounts normally have credit balances, and asset and expense accounts normally have debit balances.

Credit Loss

Loan losses that arise from a contractual relationship between a creditor and a borrower.

Credit losses may result from the creditor’s own underwriting, processing, servicing, or administrative activities along with the borrower’s failure to pay according to the terms of the loan agreement. While the creditor’s personnel, systems, policies, or procedures may affect the timing or magnitude of a credit loss, they do not change its character from credit to operational.

Credit Risk

The potential for a borrower to default on all or part of a loan and, consequently, the potential for the value of the loan held by a savings association to decrease.

Cross-Hedge

A hedge transaction whereby the correlation between the two items being hedged is similar but not perfect. For example, hedging a commercial loan with a Ginnie Mae futures contract.

DBLA

Domestic Building and Loan Association.

Dealer Reserve Accounts

Refundable amounts held as collateral in the purchase of installment notes from a dealer. For example, a savings association purchases $100,000 in installment notes from a dealer for the full face amount for which it pays $90,000 to the dealer and holds the remaining $10,000 as collateral. The $10,000 held as collateral is a dealer reserve account.

Debenture

A debt instrument secured only by the general credit of the issuer. A corporate obligation sold as an investment.

Debit

Any amount that, when posted, will increase the balance of an asset or expense account and decrease the balance of a liability, income, or capital account. Asset and expense accounts normally have debit balances; and liability, capital, and income accounts normally have credit balances.

Debt

Money owed by one person or entity to another.

Debt Securities

A security representing borrowed funds that must be repaid. Examples of debt securities include bonds, certificates of deposit, commercial paper, and debentures.

Deed

A written agreement in proper legal form that conveys title to, or an interest in, real property.

Deed in Lieu

A deed given by a borrower to a lender to repay a mortgage loan and avoid foreclosure. A deed given in lieu of foreclosure.

Default

Failure to do what the law requires or to carry out the terms of a contract.

Defer

To delay payment to a future time.

Deferred Expense

An expense paid before the corresponding benefit is fully received, such as a prepaid insurance premium. For accounting purposes, the expense is recorded as an asset until benefit is obtained, and may be prorated over a number of subsequent accounting periods.

Deferred Income

Any income received before it is due or before it is earned. Rent paid in advance is an example of deferred income received during one accounting period but earned in a later accounting period. Deferred income is generally recorded as a liability until it is earned, at which time it is taken into income. Interest received in advance is also deferred income; however, instead of being recorded as a liability, interest received in advance offsets the balance of the loan to which it applies.

Deferred Loan Fee

A loan fee, also referred to as points, typically received at loan closing. Deferred loan fees are considered interest paid in advance. Once the loan is disbursed, the deferred loan fee is reported on the balance sheet as a contra-asset to the loan and is accreted to interest income. See FASB Statement No.

91.

Deficiency Judgment

A court order that authorizes the collection from the debtor of the part of the debt remaining unsatisfied after foreclosure and sale of collateral.

Delinquency

Failure to make payment on a debt when due.

Demand Deposit Account

A non-interest-bearing account from which a depositor may withdraw funds immediately without prior notice. Since funds may be withdrawn on demand in person or by presentation of a check, the account has many of the liquid characteristics of circulating currency. See FDIC Regulations §§ 329.1, 329.101, and 329.102.

De Novo Association

A newly chartered savings association.

Deposit

Money placed in a depository institution for safekeeping. Includes demand – usually checking – accounts, savings – passbook – accounts, time deposits, negotiable certificates of deposit, money market accounts, etc. Most deposits are interest bearing.

Deposit Broker

A person or entity engaged in the business of placing funds or facilitating the placement of funds of third parties in accounts issued by a depository institution.

Deposit Insurance Fund (DIF)

A fund, administered by the FDIC, insuring deposits of member banks and savings associations. DIF was established by the Federal Deposit Reform Act of 2005 to replace BIF and SAIF as the insurer of banks and savings associations.

Depository Institution

A financial intermediary that accepts savings and demand deposits from the general public.

Depreciation

The gradual decline in the value of a property over its useful life. Depreciation is recognized through a systematic charge-off of the cost less salvage value over the estimated useful life. It is a bookkeeping entry that does not involve any cash outlay.

DIF

Deposit Insurance Fund.

Direct Investment

Investment by savings associations directly in the equity of a venture, as opposed to investment in a debt instrument. With direct investment, an association actually owns all or part of a venture, rather than loaning money to finance the venture.

Discharge of Lien

The recorded release of a lien when debt has been repaid.

Discount

The difference between the purchase price and face value of a security when the face value exceeds the purchase price. Normally a security sells at a discount when the stated interest rate of the security is less than the current market interest rate. The discount is accreted to interest income over the life of the security, increasing the stated interest rate of the security to the market interest rate at the time of purchase.

Discount Bond

See Bond Discount.

Discount Loan

A loan on which the amount disbursed at closing equals the face amount of the loan less interest that will be earned over the life of the loan, and sometimes miscellaneous charges. The borrower must repay the full face amount of the loan. See Add-on Interest.

Discount Paper

Short-term non-interest-bearing securities issued at a price below par. The difference between the purchase price and the amount redeemed at maturity is accreted to interest income over the life of the security.

Discount Rate

(1) The rate representing the amount of money deducted from the face value of a note. (2) The add-on rate of interest charged to Federal Reserve System member banks for borrowing at the discount window.

Discount Securities

Short-term non-interest-bearing debt instruments issued at a price below par and redeemed at maturity for full face value; usually short-term such as Treasury bills.

Discount Window

A “window” available to Federal Reserve System members that allows them to borrow against collateral.

Discounted Cash Flows

Anticipated net cash receipts from an investment discounted to present value under the theory that cash received in the future has a lesser value than the same amount of cash received today. Several assumptions must be made in this calculation: estimated cash flows, timing of the cash flows, and the discount rate used.

Dividend

A portion of the net profits the Board of Directors officially declares for distribution to the shareholders. A dividend is paid at a certain rate for each share of stock held by each stockholder, such as, at ten cents per share.

Dividend, Extra

Distribution of excess profits over and above the regular dividend.

Dividend, Scrip

A promissory dividend payable in the future. The directors vote to withhold actual cash dividend until a certain future event has taken place.

Dividend, Stock

A payment of stock in lieu of a cash dividend on a pro rata basis according to the amount of stock held by each stockholder.

Docket Number

A five-digit number the OTS assigns to each savings association it regulates. The number is used to file and retrieve all financial, organizational, and regulatory data regarding that institution.

Dollar Reverse Repurchase Agreement

A financial transaction similar to a reverse repurchase agreement in which a dealer loans money by buying a security and agreeing to sell it back to the customer at a higher price at a later date. In a dollar reverse repurchase agreement (dollar reverse repo) the dealer does not sell back the exact same security but another, substantially identical security. See Repurchase Agreement.

Domestic Building and Loan Association (DBLA)

Defined in the IRS Tax Code as a domestic or federal savings and loan association whose principal business is acquiring savings deposits from the public and investing in loans. Savings associations may substitute the IRS DBLA test for the Qualified Thrift Lender (QTL) test.

Doubtful Assets

(1) Those assets that will probably not bring full value upon liquidation. (2) A classification of assets under OTS Regulations. See Classified Assets.

Duration

(1) The number of years required to receive the present value of future payments, both interest and principal, from a bond. To determine duration, calculate the present value of the principal and each coupon, and then multiply each result by the period of time before payment is to occur. (2) The concept of duration relates the sensitivity of bond price changes to changes in interest rates.

Dwelling Unit

(1) A unified combination of rooms, whether existing or under construction, designed for residence by one family. (2) Living quarters consisting of contiguous rooms providing complete independent facilities for living, eating, cooking, sleeping, and sanitation.

Dwelling Units, One- to Four-

(1) Single-family dwellings in detached or semidetached structures including manufactured housing. (2) Permanently financed units in a condominium or cooperative arrangement, where the owner of each unit has an undivided proportional interest in the underlying real estate and common elements of the structure. (3) Structures consisting of two- to four-dwelling units.

Dwelling Units, Five or More

A structure, or structures, containing five or more dwelling units; also referred to as multi-family residential property. This mortgage classification includes:

A single mortgage secured by five or more dwelling units in one structure, or in semi-detached or detached structures.
The construction financing of condominium or cooperative apartments until the construction phase is complete because the units are in structures containing five or more units and are covered by one mortgage.
Fraternity/sorority houses offering sleeping accommodations, living accommodations for students or staff of a college or hospital, and retirement homes with sleeping and eating accommodations that are not condominiums or cooperatives. In these cases, the number of bedrooms in the structure will be the number of dwelling units.
Mobile home parks.

This category does not include the construction of single-family dwellings in one project, even though it may involve only one construction loan. In this case, the future use of the property as single-family dwellings and the fact that the dwellings are in detached or semi-detached structures determines the classification.

Education Loan

An advance of funds for the purpose of financing a college or vocational education.

Effective Rate

The actual yield of interest as opposed to the stated rate. For deposits, the effective rate of interest is based on the accounting method used to compute interest and the frequency of compounding. For loans, the effective rate is the stated interest rate plus fees and charges prorated over the life of the mortgage.

EITF

Emerging Issues Task Force of the Financial Accounting Standards Board (FASB).

Employee Stock Option Plan (ESOP)

An employee benefit where employees receive as compensation equity shares (stock) of the employer. Stock acquired for this purpose by a loan or guarantee of the employer is transferred to a trust. The loan is then typically paid off through dividends received on the stock and through additional contributions from the employer.

Equity Investment

Investment in the ownership of property or a business where the investor’s profit depends on the profit of the underlying investment. The investor may receive a specified rate of return dependent on the profit of the underlying investment.

Equity Kicker

Added to a stated rate of return, the investor participates in the profits of the underlying investment.

Equity Loan

A loan that uses the borrower’s equity in real property as collateral; also called a home equity loan. The loan may be for a variety of purposes. It is typically an open-ended second or junior mortgage loan.

Equity Method

A method of accounting for an equity investment in another company or joint venture. The carrying value of the investment reflects a share of the acquired firm’s increases (or decreases) in retained earnings. Example: If association A purchases 20% of association B’s stock and association B earns $3 million after taxes during the next year, association A will increase the carrying value of its investment by 20% of $3 million, or $600,000. If association B pays half of its earnings in cash dividends, association A will decrease its investment by $300,000. See APB Opinion No. 18, The Equity Method of Accounting for Investments in Common Stock.

Equity to Assets Ratio

Total equity divided by total assets. This ratio provides information on the proportion of total assets provided by shareholders, owners, on any given date. A high equity ratio may indicate the existence of a protective buffer in the event the company suffers a loss.

Equity to Liabilities Ratio

Total equity divided by total liabilities.

Escrow

A written agreement under which funds transferred from one party to another are placed with a third person or entity, usually a depository institution, acting as custodian. The custodian completes the transfer to the second party only upon the fulfillment of certain specified conditions. For purposes of the calculation of deposit insurance premiums, escrows are included as deposits.

ESOP

Employee stock ownership plan.

Eurobond

A bond issued for release by a U.S. or other non-European company or government for sale in Western Europe. In that market, corporations and governments normally issue medium-term securities with maturities of 10 to 15 years.

Eurodollars

Deposits denominated in U.S. dollars at banks and other financial institutions outside the United States. Although this name originated because of the large amounts of such deposits held at banks in Western Europe, similar deposits in other parts of the world are also called Eurodollars.

EWP

Early withdrawal penalty. A penalty for withdrawing funds from a time savings account prior to a stated date.

Excess Loan Servicing

(1) An asset established prior to FASB Statement No. 125 when loans were sold to yield a different rate than their contractual rate and the seller retained servicing. (2) The present value of the difference between the amount to be collected from the borrower and the amount to be paid to the purchaser of the loans. (The point spread differential less normal servicing costs represents the excess servicing amount that is recorded at the time of sale, increasing the gain or decreasing the loss on the sale.) Refer to FASB Statement No. 65, Accounting for Certain Mortgage Banking Activities, FASB Statement No. 140 Accounting for Transfers and Servicing of Financial Assets and Extinguishments of Liabilities, FASB Technical Bulletin 87-3, and EITF Consensus 86-38.

Exercise

To execute the right granted under the terms of a contract. To exercise a call, holders exchange the call option position for a long futures position. To exercise a put, holders exchange the put option position for a short position in T-Bond futures.

Exercise Price

See Strike Price.

Expense

The costs of resources used to create, or intended to create, revenues.

Face Value

The sum of money denoted on the principal or “face” side of a financial instrument representing: (1) the amount of money the issuer promises to pay at maturity and (2) the amount on which interest is computed. Synonymous with par value.

Fair Market Value

The price at which property transfers from a willing seller to a willing buyer, each of whom has a reasonable knowledge of all pertinent facts concerning the property in question and similar properties on the market, and neither being under any compulsion to buy or sell.

Fannie Mae

Federal National Mortgage Association (FNMA). A U.S. government sponsored enterprise.

Fannie Mae/Freddie Mac Pool

Mortgage-backed security that represents a proportional undivided ownership interest in a pool of mortgage loans where the full and timely payment of principal and interest is guaranteed by Fannie Mae/Freddie Mac.

Farmers Home Administration (FmHA)

A federal government agency that finances and insures loans to farmers and other qualified borrowers for rural housing and other purposes.

FASB

Financial Accounting Standards Board.

FDIC

Federal Deposit Insurance Corporation.

Federal Deposit Insurance Corporation (FDIC)

A government corporation that insures deposits in savings associations and commercial banks through the Deposit Insurance Fund.

Federal Funds

Overnight, unsecured loans of funds between banks. Generally considered as funds that are immediately available and invested only for one business day, they are typically treated as cash equivalents. Federal funds bought and sold for longer periods ranging up to 90 days are referred to as term federal funds.

Federal Housing Administration (FHA)

The FHA is a division of the Department of Housing and Urban Development whose activities include insuring residential mortgage loans under a nationwide system. This enables lenders to loan a higher percentage of the value of the underlying property. FHA loans generally require a down payment of not less than five percent of the original amount of the loan.

Federal Home Loan Banks (FHLBs)

Twelve regional banks of the Federal Home Loan Bank System that provide credit to member savings associations.

Federal Home Loan Bank Board (FHLBB)

A former independent agency in the executive branch of the federal government that regulated and supervised the savings and loan industry, the Federal Home Loan Banks, the Federal Savings and Loan Insurance Corporation, and the Federal Home Loan Mortgage Corporation. In 1989, FIRREA abolished the FHLBB and transferred its functions to other agencies, including the Office of Thrift Supervision.

Federal Home Loan Bank System

The group made up of the Federal Housing Finance Board and the twelve regional Federal Home Loan Banks. The fundamental purpose of the System is to serve as a central credit facility for member associations.

Federal Home Loan Mortgage Corporation (Freddie Mac)

A government-sponsored but privately owned corporation, Freddie Mac is a secondary market facility under the supervision of the Office of Federal Housing Enterprise Oversight. Freddie Mac is authorized to buy conventional whole mortgage loans and sell participation certificates secured by pools of these conventional mortgage loans.

Federal Housing Finance Board (FHFB)

An independent agency in the executive branch of the federal government that replaced the FHLBB in its authority to govern the Federal Home Loan Bank System. Its duties are:

To supervise the Federal Home Loan Banks.
To ensure the Federal Home Loan Banks carry out their housing finance mission.
To ensure the Federal Home Loan Banks remain adequately capitalized and able to raise funds in the capital markets.
To ensure the Federal Home Loan Banks operate in a safe and sound manner.

Federal National Mortgage Association (Fannie Mae)

A government-sponsored but privately owned corporation, Fannie Mae is a secondary market facility under the supervision of the Office of Federal Housing Enterprise Oversight. Fannie Mae supplements private mortgage funds by buying FHA, VA, and conventional loans and issuing mortgage-backed securities.

Federal Reserve Board

The seven governing members of the Federal Reserve System who are appointed by the President of the

U.S. for 14-year terms. Board members play an important role in determining the country’s monetary policy, which, in turn, strongly influences economic activity.

Federal Reserve System

The system of independent central banks that influences the United States’ money supply and credit through its control of bank reserves. Federal Reserve actions impact security prices. For example, restriction of bank reserves and lending ability in an attempt to restrain inflation tends to drive up interest rates and drive down security prices over the short run. Also called the Fed.

Federal Savings & Loan Insurance Corporation (FSLIC)

A government corporation the National Housing Act established in 1934 that insured deposit accounts in federal savings associations, federally chartered national savings banks, and state-chartered savings associations that were members of the Federal Home Loan Bank System. Under the Financial Institutions Reform, Recovery, and Enforcement Act (FIRREA) of 1989, the Savings Association Insurance Fund, SAIF, replaced the FSLIC as an insurer. All assets and liabilities of FSLIC were transferred to the FSLIC Resolution Fund.

FHA/HUD

Federal Housing Administration/Housing and Urban Development

FHLB or FHLBank

One of the twelve district banks of the Federal Home Loan Bank System.

FHLBB

Federal Home Loan Bank Board.

FHLMC

Federal Home Loan Mortgage Corporation. Also known as Freddie Mac.

Fiduciary

Someone who is entrusted with the care of another person's money, property or other items of value. Acting in a fiduciary capacity generally includes acting as a trustee, executor, administrator, registrar of stocks and bonds, transfer agent, assignee, receiver, guardian or conservator of the estate of a minor or incompetent, investment adviser, any capacity in which you possess investment discretion on behalf of another, or any other similar capacity.

Finance Subsidiary

A savings association’s subsidiary whose sole purpose is to issue securities, typically preferred stock or mortgage-backed securities, that the parent itself is authorized to issue directly – or, if the parent is a mutual association, is authorized to issue if it converted to the stock form – and to remit the net proceeds of such securities to its parent association.

Financial Accounting Standards Board (FASB)

An accounting organization established in 1973 that is responsible for establishing generally accepted account principles (GAAP). FASB is a self-regulated organization whose impact affects accounting firms and practitioners.

Financial Asset

A financial asset represents Cash, evidence of an ownership interest in an entity, or a contract that conveys to a second entity a contractual right (a) to receive cash or another financial instrument from a first entity or (b) to exchange other financial instruments on potentially favorable terms with the first entity

Financial Futures

A futures contract based on financial instruments or indices.

Financial Institutions Reform, Recovery, and Enforcement Act of 1989 (FIRREA)

An act of Congress to reform, recapitalize, and consolidate the federal deposit insurance system, and to enhance the regulatory and enforcement powers of federal financial institutions’ regulatory agencies. FIRREA established the Office of Thrift Supervision (OTS), the Federal Housing Finance Board, the FSLIC Resolution Fund, the Resolution Trust Corporation, and the Resolution Funding Corporation. FIRREA dissolved the Federal Home Loan Bank Board (FHLBB) and Federal Savings and Loan Insurance Corporation (FSLIC).

FIRREA

Financial Institutions Reform, Recovery, and Enforcement Act of 1989.

First Mortgage

A mortgage that creates a lien against real property. A first mortgage has first priority against other claims in the event of foreclosure. Also called a senior or first lien.

Fiscal Year

Any consecutive 12 months designated as the time frame for financial reporting and preparation of balance sheets, profit and loss statements, and other financial summations.

Fixed Assets

Those tangible assets, such as office buildings, furniture, fixtures, and equipment, used in the operation of a business that are not intended to be sold in the normal process of the business.

Fixed-Rate Mortgage

A mortgage in which the interest rate and the amount of each interest and principal payment remain constant throughout the life of the loan.

Floating-Rate Securities

A security whose interest rate varies or floats in relation to a specific index or benchmark, such as the rate on Treasury securities, LIBOR, etc.

Floating-Rate Tranches

CMO tranches that have rates that adjust in the same direction, and by the same amount, as an index such as LIBOR.

Floor Planning

Commercial loans that finance automobile or mobile home floor stock (dealer inventory).

FmHA

Farmers Home Administration.

FNMA

Federal National Mortgage Association or Fannie Mae.

Forbearance Agreement

A verbal or written agreement providing that the savings association will delay exercising its rights in the case of a mortgage loan foreclosure as long as the borrower performs certain agreed-upon actions.

Foreclosure

Legal process protecting the mortgagee should the mortgagor default on the mortgage, whereby the mortgagee obtains title to the collateral.

Foreign Exchange Rate

The price of one currency denominated in another currency such as the value of British pounds expressed in U.S. dollars.

Forward Commitment or Forward Commitment Contract

Agreement between a buyer and seller to purchase or sell a specified amount of mortgages or securities at an agreed-upon price, and at a specified future date. Sometimes called a forward delivery contract or forward coverage.

Forward Delivery

Delivery of loans or securities to be made at a future date.

Freddie Mac

FHLMC, Federal Home Loan Mortgage Corporation.

Freddie Mac Participation Certificate (PC)

A mortgage-backed security, guaranteed by the Federal Home Loan Mortgage Corporation as to the timely payment of interest at the certificate rate and the ultimate collection of principal, which represents a proportional undivided ownership interest in a pool of mortgage loans. Generally, each PC group contains fixed-rate equal installment conventional residential mortgage loans with original terms to maturity of between 10 and 30 years.

FRR

SEC Financial Reporting Release.

FSLIC

Federal Savings and Loan Insurance Corporation.

FSLIC Resolution Fund

A fund FIRREA established to assume all the assets and liabilities of FSLIC. The RTC managed the FSLIC Resolution Fund. The RTC was dissolved in December 1995, upon the satisfaction of all debt and liabilities and the sale of all assets assumed by it.

Funded Debt

Debt that is usually long-term, for which certain assets have been set aside to satisfy the debt.

Futures Call Option

An option contract that gives the buyer the right to assume a long T-Bond futures position at a fixed strike price any time prior to the contract’s expiration date. When assigned, a call option seller automatically assumes a short futures position.

Futures Contract

An agreement to take (by the buyer) or make (by the seller) delivery of a specific commodity on a particular date. The commodities and contracts are standardized so that an active resale, secondary, market will exist. Futures contracts are available for a variety of items including grains, metals, and foreign currencies.

Futures Price

The price of a contract for delivery of a specific dollar amount of a standardized financial instrument in a designated future month.

Futures Put Option

An option contract that gives the buyer the right to assume a short T-Bond futures position, at a fixed strike price, any time prior to the contract’s expiration date. When assigned, a put option writer automatically assumes a long futures position.

GAAP

Generally accepted accounting principles.

Gap

The imbalance between the maturities (or repricing) of assets and liabilities of a financial institution; a measure of that imbalance. Gap refers to a specific time interval, such as a 30-day gap, which is the degree to which assets repricing within 30 days exceed or fall short of liabilities repricing in 30 days. See Net Portfolio Value Model.

General Valuation Allowance

A contra-asset established against receivables and investments based on the amount expected to be collected. General valuation allowances are established for the purpose of covering probable but not specifically identifiable credit losses. See Allowance for Loan and Lease Losses and Specific Valuation Allowance.

Generally Accepted Accounting Principles (GAAP)

The basic principles of accounting promulgated either through authoritative sources such as the Financial Accounting Standards Board (FASB), the American Institute of Certified Public Accountants (AICPA), or, if no written standards exist, through widespread common practices.

GIC

Guaranteed Investment Contract. See Bank Investment Contract (BIC).

Government National Mortgage Association (Ginnie Mae)

A wholly owned U.S. government corporation, known as Ginnie Mae, which is part of the Department of Housing and Urban Development (HUD). Ginnie Mae guarantees the timely payment of principal and interest on mortgage-backed securities that represent an interest in a pool of mortgages insured by VA or FHA, and are backed by the full faith and credit of the United States government.

Ginnie Mae Certificates

Mortgage pass-through securities with the full and timely payment of principal and interest guaranteed by Ginnie Mae. A Ginnie Mae certificate represents a proportional, undivided ownership interest in a pool of fixed-rate mortgage loans. Also known as Ginnie Mae Pools.

Ginnie Mae Pool

See Ginnie Mae Certificates.

Goodwill

The premium exceeding fair value of net identifiable assets of an acquired association in a purchase business combination.

Government Sponsored Enterprise (GSE)

Privately owned corporations chartered and supervised by the U. S. Government. GSEs include Fannie Mae and Freddie Mac who are supervised by the Office of Federal Housing Enterprise Oversight (OFHEO), a part of HUD. Federal Home Loan Banks are also GSEs and are supervised by the Federal Housing Finance Board.

Graduated-Payment Adjustable Mortgage Loan (GPAML)

A graduated payment mortgage that has a variable interest rate. The initial scheduled payment is insufficient to pay all the interest due. The unpaid interest increases the principal of the loan and the scheduled payments increase over the term of the loan so the loan will fully amortize at maturity.

Graduated-Payment Mortgage (GPM)

A graduated payment mortgage with a fixed interest rate. The initial payment is lower than that on a standard fixed-rate mortgage and is insufficient to pay all the interest due. The unpaid interest increases the principal of the loan and the scheduled payments increase over the term of the loan so the loan will fully amortize at maturity.

Grandfather Clause

Any condition that ties existing rights or privileges to previous or remote conditions or acts. More popularly used when a new regulation goes into effect, to exempt associations already engaged in the activity being regulated.

Gross

The total amount before any deductions.

Gross Income

Total income before deducting expenses.

Gross Margin

See Net Interest Margin.

GSE

Government Sponsored Enterprise.

Guaranteed Student Loans

Education loans primarily made by banks, savings and loan associations, and credit unions, and some colleges, payment of which is guaranteed by the federal or state government.

Hedging

The matching of assets to liabilities of a similar nature; the assumption of one risk calculated to offset another. The buying or selling of offsetting positions to protect against an adverse change in price or interest rates. In mortgage banking, the purchase or sale of mortgage futures contracts to offset cash market transactions to be made at a later date.

HMDA

Home Mortgage Disclosure Act.

Holding Company

A corporation or other entity that owns a majority of voting stock or securities of another corporation, thus obtaining control of the other corporation. Section 1730a of the National Housing Act (NHA) defines a savings and loan holding company as follows: “savings and loan holding company means any company which directly or indirectly controls an insured institution or controls any other company which is a savings and loan holding company by virtue of this subsection”. NHA defines control as owning 25 percent or more of the voting stock. Also referred to as Thrift Holding Company.

Home Equity Loan

Revolving, open-end loans secured by a one- to four-family property and extended under lines of credit. Although residential property secures home equity loans, in some cases they may not have an appraisal meeting OTS standards, or may not have a sufficient loan-to-value level and, thus, are classified as a nonmortgage loan.

Home Improvement Loan

A loan usually not secured by a recorded lien on the property and usually short-term, made to a property owner for such improvements as maintenance and repair, additions and alterations, or replacement of equipment or structural elements.

Home Loan

A residential mortgage loan secured by a one- to four-family property.

Home Mortgage Disclosure Act (HMDA)

A law that requires the annual disclosure of mortgage loan data by depository institutions, service corporations, and mortgage banking subsidiaries located in metropolitan statistical areas. Institutions subject to the Act are required to disclose data on all mortgage loans and home improvement loans that they originate and purchase each year.

Hypothecated Deposit

Deposits accumulated until the sum of the payments equals the entire amount of principal and interest on the contract, at which time the loan is considered paid in full. Typically state law determines the handling of hypothecated deposits. In reporting Schedule SC, you should net hypothecated deposits against the related loans.

Income

Money or its equivalent, earned or accrued, arising from the sale of goods or services.

Income Tax

A tax on annual earnings and profits of a person, corporation, or organization. Traditionally, there are federal, state, and city taxes, although not all states and not all cities tax income.

Index

A price indicator such as LIBOR or T-Bill rates. The repricing of the interest rate on an adjustable rate mortgage is typically governed by an index rate. Rate movements of the mortgage are adjusted to correspond to movements in the index. The index rate generally is a published interest-rate series that is readily verifiable by the borrower and not under the control of the lender.

Individual Retirement Account (IRA)

Special accounts where you can save and invest, where the taxes generally are deferred until money is withdrawn. These plans are defined by statute and are subject to frequent changes by Congress. Withdrawals of tax-deferred contributions are generally taxed as income, including the capital gains from such accounts. Withdrawal prior to a specified retirement age or for purposes other than those specified by law may be subject to a tax penalty. Types of IRAs include Keogh Plans, Roth IRAs, and Education IRAs.

Initial Margin

The amount of deposit a broker initially requires to purchase securities on behalf of an investor. See Margin.

Insolvent

(1) A condition in which the value of liabilities exceeds the value of assets according to some accounting standard such as generally accepted accounting principles (GAAP). That is, net worth, or capital, is negative. (2) The state of being unable to pay debts when demanded by creditors at maturity.

Installment

The regular, periodic payment to repay a debt that a borrower agrees to pay. .

In-Substance Foreclosure

A situation in which the lender considers the collateral underlying a loan repossessed in substance by the lender and accounts for it at its fair value, consistent with generally accepted accounting principles (GAAP). In-substance foreclosure occurs when the debtor formally or effectively abandons control of the collateral to the creditor.

Interest

A fee paid for using money that belongs to another, usually expressed as an annual percentage of the amount used. A financial institution makes periodic payments of interest to savers for the use of their deposited funds. A borrower pays interest on a loan to the financial institution for the use of its funds.

Interest-Only (I/O) Strip

The interest portion of a security (debt security or mortgage security). The owner of an IO strip receives only the interest payments of the security. The owner of an IO strip of a mortgage pool security receives only the interest payments on the cash flow of the underlying mortgages.

Interest-Rate Cap

See Cap.

Interest-Rate Collar

(1) A contractual agreement that limits the interest paid or received if the interest rates increase or decrease by a predetermined number of percentage points. (2) A two-sided cap.

Interest-Rate Swaps

A transaction that involves two parties exchanging their interest payment obligations – no principal is exchanged – on two different kinds of debt instruments, one bearing a fixed interest rate and the other a floating interest rate. If a savings association has fixed-rate assets and floating-rate liabilities, it typically will swap its floating rate payment for a fixed-rate payment to match liability repricing to asset repricing.

In-the-Money

An option with a favorable price opportunity. The strike price is less than market for a call and above the market for a put.

Intrinsic Value

The amount by which an option is in-the-money. For call options, it is the current T-Bond futures price minus the strike price if the difference is a positive number. For put options, it is the strike price minus the current price of T-Bond futures if the difference is a positive number. See Swap.

Inverse Floater

An asset that adjusts in the opposite direction of the movement of interest rates. Generally the inverse floater adjusts by a multiple of an interest-rate index. It is usually repriced based on a formula containing a multiple of the LIBOR rate. For example, if an inverse floater adjusts at an inverse of 1.25 times LIBOR, a decrease of two basis points in LIBOR would result in an increase in the rate of the inverse floater of 2.5 (2 x 1.25) basis points.

Inverse-Floating Rate Tranches

CMO tranches that have adjustable rates that adjust in the opposite direction as an index such as LIBOR. Frequently, the rate adjusts by a multiple of the change in the index.

Investment

The use of capital to create more money, either through income-producing vehicles or through more risk-oriented ventures designed to result in longer term capital gains.

Investment Accounts

Accounts that range from short-term, highly liquid securities, such as U.S. Treasury Bills, to long-term railroad equipment trust certificates that are not always liquid. In between, there are debentures, floaters, notes, put bonds, and cushion bonds, along with a broad array of short-term money market instruments. Investment accounts may be trading accounts, available-for-sale, or held-to-maturity.

I/O

Interest Only.

I/O Strip

Interest-only strip. The interest portion of a security (debt security or mortgage security). See Interest-only Strip.

IRA

Individual Retirement Account.

Issuer

One who issues securities to others.

Joint Venture

Any joint undertaking between two or more parties in such legal form as joint tenancy, tenancy in common, partnership, or a corporation.

Judgment

A formal decision given by a court. A judgment against a property is generally a lien against the property. See Lien.

Junior Lien

A lien that is subordinate to the claims of prior lien(s) or mortgage(s). See Second Mortgage.

Junk Bonds

Bonds issued by companies without long track records of sales and earnings. These bonds are more volatile and pay higher yields than investment-grade bonds.

Land Loan

Loan for unimproved land, developed building lots, and the acquisition and development of land.

Letter of Credit

A document issued by a financial institution on behalf of its customer authorizing a third party, or in some cases the customer, to draw drafts on the institution up to a stipulated amount and with specified terms and conditions. The letter of credit is a conditional commitment, except when prepaid by the customer, on the part of the institution to provide payment on drafts drawn in accordance with the terms of the document.

Liabilities

Debts incurred but not paid. For savings associations, liabilities consist of deposits, borrowings including long-term debentures, and other liabilities.

LIBOR

London Interbank Offered Rate. An international interest-rate index, similar to the federal funds rate of banks in the United States. It is commonly used as a repricing index for various financial instruments such as ARMs, CMO tranches, and interest-rate swaps.

Lien

A claim by one person or entity on the specific property of another and that serves as security for a debt. The security interest in real estate created by a mortgage. A lien is typically recorded in the legal jurisdiction (county) in which the property is located.

Line of Credit

A pre-established loan authorization with a specified borrowing limit extended by a lending institution to an individual or business. Most lines of credit are unsecured; however, certain lines of credit, such as home equity loans, are secured by the borrower’s equity in property. A line of credit allows borrowers to obtain a number of loans without re-applying each time as long as the total of borrowed funds does not exceed the pre-established credit limit.

LIP

Loans-in-process.

Liquidation

Closing a savings association by paying the claims of insured depositors and other secured creditors. Liquidation may be a voluntary decision made by the board of directors, or may be mandated and executed by the FDIC.

Liquidity

The amount an entity holds in cash and other assets quickly convertible into cash without significant loss.

Loan

Money advanced by one entity to another to be repaid within a specified time, typically with a specified rate of interest, as set forth in a note or other evidence of indebtedness. Loans may be unsecured or secured by real or personal property but do not represent an equity interest in the underlying security for the lender. See Mortgage Loan.

Loan Loss Reserve

A contra-asset set up to compensate for anticipated losses from loans. See Allowance for Loan and Lease Losses. See FASB Statement No. 114.

Loan Origination

The steps a lending institution takes to obtain a borrower and underwrite a loan up to the time a loan is booked, including soliciting, processing applications, appraising, and closing.

Loan Origination Fee

The initial service charge that a lending institution imposes on a borrower for underwriting a loan. See Origination.

Loan Participation

(1) The purchase of portions of outstanding loans by investors, who then participate on a pro rata basis in interest and principal payments; (2) a loan or package of loans in which two or more lenders share ownership. See Participation Loan.

Loan Portfolio

The total loans held by a financial institution or other lender, at a given time.

Loans-in-Process

Loans that an association closed, but the full principal of which has yet to be disbursed. Generally, these are construction loans that are typically disbursed in stages as construction is completed. The full amount of a loan is recorded on the savings association’s books at closing, with the undisbursed portion recorded in the contra-asset account called loans-in-process. Report loans on the TFR net of loans-inprocess.

Loans to Facilitate

A mortgage loan in which the lender provides a borrower with funds at a high loan-to-value ratio and/or below-market interest rates to facilitate the borrower’s acquisition of a piece of property owned by the lender.

LOCOM

Lower of cost or market.

Long

(1) As a noun, one who has bought futures contracts and has not yet offset that position. (2) As an adverb, going long, the action of taking a position in which one has bought futures contracts without taking the offsetting action. The long protects against declining rates of interest.

Long-Term, Fixed-Rate Tranches

CMO tranches that have fixed rates and are expected to mature in five years or more.

Long-Term Planned Amortization Classes (PACs)

CMO tranches that have fixed rates, a prioritized repayment schedule within certain prepayment speeds, and expected maturity of more than five years. Targeted Amortization Classes (TACs) are considered to be substantially similar to PACs for reporting purposes.

Long-Term PAC Support Tranches

CMO tranches that have fixed rates, expected maturity of more than five years, and are part of a CMO structure that contains a PAC or TAC tranche(s).

Loss

(1) The amount of all expenses exceeding revenues for a period or for a transaction. (2) A classification of assets under OTS regulations where recovery is unlikely. See Specific Valuation Allowance, Classified Assets.

Lower-of-Cost-or-Market (LOCOM)

An accounting method used to establish the amount at which certain assets are recorded. The amount established is the lower of the cost of the asset or the current market value. Under this method, assets must be written down if the market value falls below amortized cost but the asset may never be written up to a market value above amortized cost.

LTV

Loan-to-value. The ratio of a loan to the appraised value of the property securing the loan.

Maintenance Margin

Additional assets required by a broker on a margin account due to decreases in the market value of the securities that guarantee the margin account. See Margin.

Majority Stockholders

Stockholders whose share of voting stock is so large that they can exercise control over the corporation. . Generally, an ownership of 20% or more is deemed to constitute control.

Majority-Owned Subsidiary

A subsidiary whose parent company, or parent’s majority-owned subsidiaries, owns more than 50 percent of the outstanding voting capital stock.

Mandatory Convertible Securities

Subordinated debt instruments that are eventually transformed into common or perpetual preferred stock within a specified period of time. Generally, there are two types: (1) equity contract notes - securities that oblige the holder to take common or perpetual preferred stock of the issuer in lieu of cash for repayment of principal; and (2) equity commitment notes - securities that are redeemable only with the proceeds from the sale of common or preferred stock.

Mandatory Delivery

A lender’s commitment to deliver loans or securities or pay a penalty.

Margin

(1) The amount of deposit money that a securities broker requires from an investor to purchase securities on credit. (2) An amount of money or securities deposited by buyers and sellers of futures contracts and short options to ensure performance of the contract terms, such as, the commitment to make or take delivery of the commodity or the cancellation of the position by a subsequent offsetting trade at such price as can be attained. Margin in commodities is not a payment of equity or down payment on the commodity itself, but rather is in the nature of a performance bond or security deposit. See Initial Margin and Maintenance Margin.

Mark-to-Market

An accounting procedure by which assets are recorded at current market value, which may be higher or lower than their purchase price or book value. Examples of the use of mark-to-market accounting are: purchase accounting, pushdown accounting, and accounting for certain securities. See FSAS No. 115, Accounting for Certain Investments in Debt and Equity Securities.

Market Value

(1) The price established in a competitive market where buyers and sellers meet to buy and sell similar products. (2) A price determined by supply and demand factors rather than by management. (3) The price at which an owner is prepared to sell and an unrelated buyer is willing to buy.

Marketable Title

Title to property that is free from a claim, lien, charge or defect and that will not be subject to legal objection. Also known as perfect title, clear title, and good title.

Maturity

The date on which the principal balance of a debt becomes due and payable. The date when a debt is paid in full.

Maturity Mix

The variety of assets found in an investment portfolio that vary in terms of length, such as 90-day Treasury bills, 20-year corporate bonds, etc.

MBS

Mortgage-backed security.

MCD

Mandatory Convertible Debt.

Merger

The combining of two or more entities either through one purchasing the assets and liabilities of the other(s) or the pooling or combining of two or more entities into one new entity.

Noncontrolling Interest

The portion of net worth of a subsidiary relating to shares not owned by the controlling company or other members of the combined group. Example 1: A parent owns 75% of the controlling interest in Company B; therefore, there is a 25% noncontrolling interest in Company B. Example 2: A parent owns 50% of the voting stock of Company B and 100% of Company C; Company C owns 25% of Company B. Therefore, the parent effectively controls 75% of Company B and there is a 25% noncontrolling interest in Company

MMDA

Money Market Deposit Accounts.

Mobile Home

A movable, portable dwelling without permanent foundation, designed for year-round living.

Mobile Home Certificates

Variations of the Ginnie Mae certificate. Fully guaranteed, pass-through securities that are collateralized by mobile home loans.

Mobile Home Loan

A loan to finance the purchase of a mobile home, secured by the lender’s claim on the mobile home. The loan may include funds for associated costs such as transportation of the mobile home and setup on a new site.

Monetary Policy

Federal Reserve Board policy that pertains to the control of credit availability, and thus interest rate levels.

Money Market Deposit Accounts (MMDA)

A savings account offered by Federal savings associations in accordance with 12 U.S.C. §1464(b)(1) and by state-chartered savings associations in accordance with applicable state law on which market rates of interest may be paid if issued subject to certain limitations. Limitations include: (1) Minimum of seven days' notice required prior to withdrawal or transfer. (2) Transfers limited to no more than six per calendar month.

Money Market Fund

The combined money of many individuals jointly invested in high yield financial instruments such as U.S. government securities, certificates of deposits, and commercial paper. A money market fund is a mutual fund that strives to make a profit by buying and selling various forms of money rather than buying and selling shares of ownership in corporations.

Mortgage-Backed Bonds

Bonds secured by mortgages. Unlike mortgage-backed pass-through securities, mortgage-backed bonds do not convey ownership of any portion of the underlying pool mortgages. However, mortgage-backed bonds do offer a more predictable maturity and thus offer a form of call protection.

Mortgage-Backed Security (MBS)

A security backed by mortgages, the owners of which participate in receiving payments of principal and/or interest. See Mortgage Derivative and Mortgage Pool Security.

Mortgage Banker

(1): A firm or individual who, acting as a broker, originates loans and then sells them to investors. A mortgage banker may retain the servicing rights to the loans it originates, but does not retain the loans as an investment (all loans held by a mortgage banker are held for sale).
(2): A firm or individual who brings a borrower and lender together, receiving a commission if a loan is made.

Mortgage Derivative

Any variety of mortgage-backed securities of complex structures whose payments to investors are derived from the cash flows of mortgages, but in which the cash flows from the mortgages are not passed through proportionately to the holders of the securities.

Mortgage Loan

An advance of funds from a lender, the mortgagee, to a borrower, the mortgagor, secured by real property and evidenced by a document called a mortgage. The mortgage sets forth the conditions of the loan, the manner and duration of repayment, and the rights of the mortgagee to repossess the pledged property if the mortgagor defaults.

Mortgage Loans Outstanding

The total amount of money that is owed by mortgagors (borrowers).

Mortgage Origination

The making of a new mortgage. See Loan Origination.

Mortgage Participation

The division of a mortgage or pool of mortgages into units owned by one or more investors, who participate in receiving payments of principal and interest. See Loan Participation.

Mortgage Pool Security

A number of mortgages combined and issued as a single security. Repayments from the mortgages in the pool are passed through to the investor(s) proportionate to ownership interest and with the same timing with which they are received. The security provides each investor with a proportional ownership interest in the underlying collateral.

Mortgage Portfolio

All mortgage loans or obligations held as assets by a financial institution or other lender.

Mortgagee

The financial institution, group, or individual that lends money secured by real estate. The lender.

Mortgagor

Real estate owner who pledges real estate as security for a loan. The borrower.

Multifamily Residential Property

Property containing five or more dwelling units. An apartment building, a residence hall for students or employees, a retirement complex, etc. See Dwelling Units, 5 or More.

Municipal Bond

A tax exempt debt obligation issued by a state or local government agency to raise funds for the public good, such as for building low-income housing, improving streets, or building bridges. The bonds are redeemed with interest and are backed by the government’s taxing authority. Municipal bonds are generally exempt from Federal income taxes.

Municipal Deposits

Deposits of state and local government funds, which, under the laws of certain jurisdictions, are secured by the pledge of acceptable securities or by a surety contract (depository bond) to directly protect these funds. See Preferred Deposits.

Mutual Association

A savings association that issues no capital stock, but is owned and controlled solely by its savings depositors, who are called members. Members do not share in profits, but they exercise other ownership rights such as electing the board of directors.

Mutual Fund

A mutual fund pools the funds of many investors and provides professional management in investing those funds. Also called an open-end investment company. See Proprietary Mutual Funds.

National Bank

A commercial bank organized with the consent and approval of the Office of the Comptroller of the Currency and operated under the supervision of the Federal government. National banks are required to be members of the Federal Reserve System and must purchase stock in the Federal Reserve Bank in their district.

Negative Amortization

Any increase in the loan balance arising from a mortgage payment being too small to pay all the interest due that month. The lender effectively makes the borrower an additional loan at the mortgage rate for the amount of unpaid interest. This additional loan must be repaid over the remaining term of the mortgage.

Negotiable Order of Withdrawal (NOW) Account

A savings account with characteristics of a checking account. An account holder can withdraw funds by writing a negotiable order of withdrawal payable to a third party. NOW accounts may earn interest.

Net

That which remains after making certain designated deductions from the gross amount.

Net Assets

The assets of an individual or entity remaining after all obligations have been met. Assets minus liabilities. The owners’ equity.

Net Income

Gross income less expenses, including taxes, but before dividends.

Net Interest Margin

Interest income less interest expense, before the inclusion of noninterest income and deduction of noninterest expense. This is the gross margin for financial institutions.

Net Loss

The excess of expenses and losses over revenues and gains during a specified period of time. A negative net income.

Net Operating Income

Net interest margin less provision for losses and operating expenses plus noninterest income.

Net Operating Loss (NOL)

A loss for tax purposes that can be applied against net income from prior periods (NOL carry-back) or subsequent periods (NOL carry-forward) to reduce the tax liability of those periods.

Net Portfolio Value Model

A model used by the OTS to measure each association’s exposure to interest rate risk by estimating how a change in interest rates affects the market value of its assets, liabilities, and off-balance-sheet.

Net Present Value

Sum of the future cash flows (positives and negatives) discounted to present value under the theory that money received today is worth more than the same amount received in the future.

Net Profit

See Net Income.

Net Realizable Value (NRV)

The estimated sales price from a property, reduced by the sum of:

(1): Direct selling expenses such as sales commissions, cost of title policy, etc.
(2): Costs of completion or improvement necessary for sale.
(3): Direct holding costs, net of rental or other income, including taxes, maintenance, insurance, and cost of all capital, debt and equity, during the period held for sale.

Net Undistributed Income

Profit earned but not distributed to stockholders.

Net Worth

The owner’s equity. Assets less liabilities, deferred income, redeemable preferred stock, and noncontrolling interest. Also called net assets, equity, stockholders’ equity, and equity capital. See Capital.

NOL

Net operating loss.

Nominal Interest Rate

The stated or contractual interest rate in a loan agreement, bond, or other security, which may differ from the effective interest rate.

Nonconforming Loans A real estate mortgage loan is nonconforming if the unpaid principal balance or unexpired term exceeds lending limits set by purchasers or guarantors of mortgages in the secondary market – Freddie Mac, Fannie Mae, etc.

Nonmortgage Loan

An advance of funds not secured by a lien on real estate. See Loan.

Nonperformance

The failure of a contracting party to provide goods or services according to an agreement.

Nonperforming Assets

Assets that do not earn income, including those originally acquired to earn income (delinquent loans) and those not intended to earn income (fixed assets). Typically assets originally acquired to earn income are deemed nonperforming when (1) full payment of interest or principal is no longer anticipated, or (2) the principal or interest that is due at a regularly scheduled payment date or the maturity date is 90 days or more delinquent even if the asset is still in accrual status. Nonperforming loans that are restructured continue to be considered nonperforming until a cash payment from the borrower brings the loan current under its restructured terms; for instance, a loan cannot be taken out of the nonperforming category simply by restructuring the loan.

Nonresidential Mortgage Loan

A mortgage loan secured by nonresidential property such as an office building, store, factory, church, or vacant land.

Note

An instrument that bears the recognized legal evidence of debt. A note is signed by the maker (borrower) and promises to pay a specified sum of money to the lender at a certain future date and place.

Notional Principal

The amount of principal underlying an interest rate swap transaction, and upon which the swap payment calculation is based. See Interest-rate Swaps.

NRV

Net Realizable Value.

Oakar

An "Oakar" savings association is a savings association (OTS-regulated institution) that was a member of one insurance fund, generally the Savings Association Insurance Fund (SAIF), and acquired deposits insured by a secondary insurance fund, generally the Bank Insurance Fund (BIF), by means of a so-called "Oakar transaction." The most common Oakar transaction occured when a SAIF-member acquired deposits from a BIF-member, either by means of a whole-institution acquisition or through a branch acquisition. The reverse, an acquisition of SAIF-insured deposits by an OTS-regulated, BIF-member (“BIF HOLA” savings association), was also considered an “Oakar transaction.” BIF and SAIF were merged into the Deposit Insurance Fund in April 2006 pursuant to the Federal Deposit Reform Act of 2005.

OBS

Off-balance-sheet.

Occupancy Rate

The percentage of space or units that are leased or occupied. The inverse of the vacancy rate.

OFHEO

Office of Federal Housing Enterprise Oversight.

Off-Balance-Sheet

An asset or obligation that in accordance with GAAP you do not report on the balance sheet. Such as commitments to originate loans, undisbursed loan balances, unused letters of credit, etc.

Offer

An expression of willingness to sell something at a given price; opposite of bid.

Offering

An issue of securities or bonds presented for sale. An offering may be public (open to anyone wishing to buy) or private (predetermined buyers or market).

Office of Federal Housing Enterprise Oversight (OFHEO)

A government agency responsible for ensuring the financial safety and soundness of the nation's two largest players in the secondary mortgage market, the Federal National Mortgage Association (Fannie Mae) and the Federal Home Loan Mortgage Corporation (Freddie Mac). OFHEO is an independent office of the Department of Housing and Urban Development, and was established by the Federal Housing Enterprises Financial Safety and Soundness Act of 1992.

Office of Thrift Supervision (OTS)

An office of the Treasury Department of the Federal government. The OTS was established in 1989 by FIRREA to succeed the Federal Home Loan Bank Board for chartering and regulating federal savings associations.

Official Checks

A financial institution’s check drawn on its own account for paying its operating expenses and other debts. See Cashier’s Checks.

Offset

The process used to close an open futures option; for instance, to sell after having previously purchased, or to buy after having previously sold.

Open Position

An outstanding position in a futures contract, which has not been offset. If not covered prior to maturity, the trader is liable for taking or delivering the underlying commodities.

Open Repo

A repo with no definite term that can be terminated by either party. The rate paid is typically higher than that paid on overnight repos and is subject to adjustment on a day-to-day basis.

Open-End Credit

An unsecured line of credit that may be used repeatedly up to an established overall limit. Commonly known as revolving credit or a line of credit, in which the customer may pay in full or in installments. A finance charge is assessed on the unpaid balance. The term does not include negotiated advances under an open-end real estate mortgage or a letter of credit. See Line of Credit.

Open-End Mortgage

A mortgage that by mutual agreement may have the balance or maturity extended to provide additional funds to the mortgagor. See Home Equity Loan.

Operating Assets

Those assets that contribute to the regular income from business operations, such as loans and investments; the opposite of which are nonoperating assets, such as real estate held for future use and non-income-producing intangibles such as goodwill. Nonperforming assets that were acquired with the intent to produce operating income are included in operating assets.

Operating Capital

Funds available for use in financing daily business activities.

Operating Expense

Any expense incurred in the normal operation of a business. This is distinguished from capital expenditures, which are disbursements that are capitalized and depreciated over a period of years.

Operating Income

Income generated in the ordinary course of business. For savings associations, income generated by the customary lending and deposit-taking business.

Operational Loss

Loan losses that arise outside of a relationship between a creditor and a borrower. Losses incurred in the normal operation of a business.

For example, an independent third party created credit cards through the use of an illegal credit card machine and stole the identification and credit card numbers of various individuals. The subsequent charges on these credit cards and losses incurred by the bank would be an operational loss, because the bank did not issue these credit cards and did not have a contractual relationship with a borrower.

Option

A right to buy or sell specific securities or properties at a specified price within a specified time. (1) Call option: The right but not the obligation to purchase a specific amount of a specific commodity or security at a specified price before a specified date. The seller (writer) grants such right to the buyer of the call. (2) Put option: The right to sell a specific amount of a commodity or security to the writer of the put at a specific price on or before a specific date. The buyer of a call or put pays to the seller (writer) a “premium” for being granted the right. There are options on actual securities or commodities as well as options on futures contracts.

Option ARM

It is an adjustable rate mortgage on which the interest rate adjusts monthly and the payment adjusts annually, with borrowers offered options on how large a payment they will make. Payment options include fully amortizing, interest-only, and a "minimum" payment that may be less than the interest-only payment. The minimum payment option results in a growing loan balance, or negative amortization.

Option Buyer (Holder)

A person who holds the rights granted by the option contract.

Option Seller (Writer)

A person who, in exchange for receiving the premium, agrees to assume the opposite side of an option contract at a fixed price any time prior to the contract’s expiration date.

Originate a Loan

To make or issue a loan; the process whereby a lender qualifies a borrower, appraises the collateral, processes all documents, advances funds, and places the loan on its books.

Origination Fee

A charge imposed by a lender for evaluating, preparing, and processing loan applications.

OTS

Office of Thrift Supervision.

Out-of-The-Money

An option where the strike price exceeds market for a call and is less than market for a put.

Over-Collateralization

Providing collateral in excess of what is needed to support the principal amount of secured debt. It is viewed as using two separate loan pools. One pool provides sufficient cash flow to support the debt; the other pool subsidizes cash flow shortfalls for loans with losses or delinquencies.

Overdraft

A draft or check written for an amount that exceeds the funds in the account on which the check is drawn. An overdraft, if not covered immediately by the writer of the check, essentially becomes a borrowing.

Overnight Money

(1) Any money that is replaced daily. (2) Funds loaned by one financial institution to another overnight, including but not limited to the federal funds market. A means for firms to earn interest on undrawn funds in their operating account at the end of the business day.

P & I

Abbreviation for principal and interest. This is customarily used to describe the regular monthly checks that the servicer pays to the registered owner of the mortgage-backed securities.

P/O

Principal-only.

P/O Strip

Principal-only strip.

PAC

Planned Amortization Class.

Paid-In-Capital

The amount of capital in excess of the par value of common stock contributed to a corporation by its owners.

Paper Gain Or Loss

An expression for unrealized gains or losses on securities in a portfolio, based on comparison of current market quotations and the original costs.

Par Value

(1) The value assigned to a share of stock by the issuer at the time the stock is first offered for sale. The par value may be more or less than the market value. (2) The value of a bond or note at maturity. (3) The face value of a security.

Partially Amortizing Loan

A loan in which the periodic payments cover all of the interest charges but only part of the principal, therefore an unpaid balance is left when the loan matures. See Balloon Loan.

Participation

(1) Ownership by two or more lenders or investors of all or a portion of a single mortgage or a package of mortgages. (2) The cooperative origination by two or more lenders of a single, usually large, mortgage loan. See Loan Participation.

Participation Certificate (PC)

A document that describes a package of loans and the portion that is being bought or sold. See Freddie Mac Participation Certificate.

Participation Loan

(1) A loan made by one lender, known as the lead lender, in which one or more other lenders, known as participants, own a part interest. (2) A loan originated by two or more lenders. (3) A loan having two or more banks as creditors. See Loan Participation.

Pass-Through

This term, as used for mortgage-backed securities, signifies that the interest and principal payments due and/or paid on the underlying mortgages are passed through to the holders of the securities on a pro rata basis.

Pass-Through Securities

Securities that convey ownership of a fraction of each mortgage in a pool of mortgages backing the security. Each security owner shares proportionally the interest and principal payments generated by the underlying pool of mortgages.

Passbook Account

A savings account that normally requires no minimum balance, or a nominal minimum balance of perhaps $50 to $100, no minimum term, no specified frequency of deposits, and no notice or penalty for withdrawals. A periodic statement mailed to the depositor has generally replaced the actual passbook, in which transactions are recorded.

Passbook Loan

A loan secured by funds in a savings account on deposit with the same association originating the loan. The pledged funds may not be withdrawn during the life of the loan. See Share Loan.

Past Due

An account on which payment has not been made according to the terms of the loan document. Delinquent.

Payables

A bookkeeping term for any accounts or notes payable.

Payoff

The complete repayment of loan principal, interest, and any other sums due. Payoffs result from either installment payments over the full term of the loan or lump sum payments, including payments made on the sale of the underlying collateral.

Participation Certificate.

PCCR

Purchased credit card relationship.

Pension Fund

A fund set up to collect regular premiums from employees and/or their employers, invest those premiums safely and profitably, and pay out a monthly income to employees who retire after reaching a specific age and length of service.

Permanent Mortgage Loan

A mortgage that is not a construction loan. Typically permanent mortgage loans are fully amortized for a period of 20 years or more. However, this classification also includes balloon mortgages and short-term mortgage loans that are not construction loans.

Permanent, Reserve, or Guaranty Stock

Par value of common stock outstanding. See Common Stock.

Personal Check

A check drawn on a depository institution by an individual against the individual’s own funds, as opposed to a check drawn against a business account.

Planned Amortization Class (PAC)

The PAC feature of a security creates a reserve or sinking fund that attempts to ensure the planned maturity for the bond or CMO tranche. Therefore, the payments on a PAC security are virtually insulated from prepayment risk. See Short-term Planned Amortization Classes and Long-term Planned Amortization Classes.

Pledged Assets

Assets pledged as collateral security against liabilities.

Pledged Deposits

Deposits to which a security interest has been attached or perfected by a creditor. Also called loans on deposits and share loans.

PMI

Private mortgage insurance.

Point

An amount equal to one percent of the principal amount of an investment or note. Loan discount points are a one-time charge assessed at closing by the lender to increase the yield on the mortgage loan to a competitive position with other types of investments.

Pool

A large group of mortgages which back a mortgage security. See Mortgage Pool Security.

Pooling-of-Interest Method

A method of accounting for business combinations. The criteria for using the pooling method are discussed in APB Opinion No. 16. The application of FASB Statement No. 141 eliminated the use of the pooling method for most banking institutions.

In the pooling-of-interest method, assets, liabilities, and capital of the combining associations are added together on a line-by-line basis without any adjustments for current market value. The current carrying value (typically, historical costs adjusted for amortization of premiums and depreciation and accretion of discounts) of each asset, liability, and capital account of the disappearing association is added to the corresponding account of the surviving association.

In the reporting period in which the merger occurs, income and expense is reported as though the entities had been combined for the entire period. See Purchase Method.

Portfolio

Holdings of securities by an individual or entity. A portfolio may contain any marketable or potentially marketable investment such as bonds, mortgages, debt securities, equity securities, etc.

Position

Having a position in a futures contract means to have bought or sold a contract that has not been offset. See Open Position.

Positive Gap

An excess of assets repricing during a period of time over liabilities repricing during the same period; an asset sensitive position. See Gap.

Preferred Deposits

Deposits of states and political subdivisions in the U.S. that are secured or collateralized as required under state law. See Municipal Deposits.

Preferred Stock

Capital stock with preferences or special rights attached. For example, a stockholder may have a preferred position to receive dividends and/or proceeds in liquidation. Preferred stock typically yields a stated rate of interest, dividends, that may be cumulative or noncumulative. Preferred stock may be redeemable by the holder or nonredeemable.

Premium

(1) The amount, often stated as a percentage, paid in addition to the face value of a note or bond to adjust the yield to market. (2) A fee charged for the granting of a loan – points. (3) The price paid for an insurance contract. (4) A product given free or sold at discount, offered as an inducement to the public to open or add to a savings account, or to purchase other specified products or services. (5) The price paid by the buyer of an option contract. See Discount.

Prepayment

A payment made before its due date. For example, a 30-year mortgage may be prepaid after ten years if the mortgagor sells the property and the purchaser does not assume the mortgage. Borrowers typically prepay loans when interest rates fall and they can obtain cheaper financing.

Prepayment Clause

A provision in a promissory note stating the amount a borrower may repay ahead of schedule without incurring a penalty.

Prepayment Penalty

A fee assessed by a lender on a borrower who repays all or part of the loan principal before it is due. The prepayment penalty compensates the lender for the loss of interest that would have been earned had the loan remained in effect for its full term.

Present Value

The discounted value of a certain sum to be paid in the future, based on the theory that cash received today is worth more than the same amount of cash received in the future. See Net Present Value.

Price

The amount of money a seller receives for goods or services sold. Price is the amount of money actually received by the seller, not necessarily the amount originally asked for or the face value. In the buying and selling of bonds and mortgages, price is stated as a percentage of the face value of that instrument. For example, if sold at par, the price is 100 percent of the face value; a premium price could be 105 percent; and a discount price could be 95 percent of face value. See Premium, definition 1, and Discount.

Prime Rate

The interest rate charged by leading banks to their most secure customers. The prime rate tends to be a yardstick for general trends in interest rates. The interest on adjustable rate loans is sometimes stated in terms of the prime rate. For example, the rate of an adjustable rate loan may be stated as fifty basis points (0.5%) over prime.

Principal

(1) The amount of funds borrowed. (2) At closing, the face amount of a loan. (3) The amount of debt, exclusive of accrued interest, remaining on a loan.

Principal-Only

An account that does not charge interest on the remaining balance, so that payments are credited to principal only.

Principal-Only Strip (P/O)

A security from which the interest coupons have been separated. The owner of a P/O strip of a mortgage pool receives only the principal payments on the cash flow of the underlying mortgages. See Interest-Only Strip.

Private Mortgage Insurance (PMI)

Insurance policies written by private companies insuring lenders against loss resulting from defaults on mortgages. Generally, OTS will recognize only those insurance companies whose PMI is accepted by Fannie Mae or Freddie Mac, for purposes such as calculating high LTV and the risk weighting of a loan.

Profit

The excess income after all costs and expenses are paid. Net income.

Profit and Loss Statement

A summary listing a firm’s total revenues and expenses within a specified period of time. Also called a statement of operations or an income statement.

Profitability

A firm’s ability to earn a profit and its potential for future earnings.

Promissory Note

A written promise to pay a specific sum of money to a specified party under conditions mutually agreed upon. Also called a note, promise, or bond.

Proprietary Mutual Funds

Those funds where the savings association, its affiliates, or its subsidiaries act as investment advisor to the fund.

Prospectus

A written offer to sell property or a security that provides a detailed description of what is being sold, including its characteristics and quality.

Prospectus Supplement

A document supplementing the Prospectus, disclosing pertinent information relating to the specific series of securities that are being issued. It includes stated maturities, repayment periods under different scenarios, specific financial assumptions as to the composition of the underlying collateral, the capitalizations of the issuer, and other terms relevant to the series.

Provision for Loan Losses

A charge to expense for loan losses. See Valuation Allowance, Allowance for Loan and Lease Losses, Specific Valuation Allowances, Charge-off, Write-off.

Purchase Method

A method of accounting for a business combination as the acquisition of one enterprise by another. The criteria for using the purchase method are discussed in FASB Statement No. 141.

In an acquisition accounted for under the purchase method, the assets and liabilities of the disappearing association must be recorded on the books of the surviving entity at fair value. The fair value of an asset is generally its market or appraised value. The fair value of liabilities is generally their present value using an appropriate discount rate. The carrying values of the capital accounts of the disappearing association are not carried forward onto the books of the surviving association. To the extent possible, the cost of the acquisition must be allocated to each identifiable asset or liability being acquired. Identifiable assets can be tangible (such as securities or mortgage loans) or intangible (such as core deposit base). Any excess of the cost of the acquisition over the fair value of the identifiable assets and liabilities is recorded as goodwill.

The adjustments to record purchased assets at fair value due to interest rate fluctuations are reported as a direct adjustment to assets. Adjustments to purchased deposits are reported on SC715, Unamortized Yield Adjustments on Deposits; adjustments to any other liability are reported as a direct adjustment to the liability.

Purchase-Money Mortgage

A mortgage where the purpose of the loan is to purchase the property securing the loan.

Purchased Credit Card Relationships

The premium paid to acquire established credit card accounts from a financial institution. Buyers pay a premium over the dollar value of the credit card accounts themselves in order to acquire the customer loyalty in an established line of business.

Push-Down Accounting

A method of accounting used when an entity changes ownership. The purchase cost to the new owner is pushed down to the entity, thereby marking all assets and liabilities to market. This is also known as new-basis accounting. At the date of acquisition, the purchased entity is given a new basis, which is valued at market.

Put Option

A buyer acquires the right to sell a specific security, at a specified strike price, at any time before the expiration of the option.

QTL

Qualified Thrift Lender.

Qualified Thrift Lender (QTL)

A savings institution that qualifies for low cost advances from its Federal Home Loan Bank by virtue of having at least a certain percentage of its assets in housing-related investments. Institutions may use the HOLA QTL test or the Internal Revenue Service tax code Domestic Building and Loan Association (DBLA) test.

Rate of Return

The measure of income from or profitability of an investment. See Return on Investment and Yield.

Rate-Sensitive Asset

An asset that will experience a change in its market value over some specific time period due to changing interest rates in the market.

Rate-Sensitive Liability

A liability that will experience a change in its market value over some specific time period due to changing interest rates in the market.

Real Estate

Land and all physical property attached to the land. Includes all physical substances below, upon, or attached to land; thus houses, trees, and fences are classified as real estate. All else is personal property.

Real Estate Investment Trust (REIT)

An organization, usually corporate, established for the accumulation of funds for investing in real estate holdings, or the extension of credit to others engaged in real estate construction. These funds are usually accumulated by the sale of shares of ownership in the trust.

Real Estate Loan

A loan fully secured by real estate, regardless of how the proceeds will be used.

Real Estate Mortgage Investment Conduit (REMIC)

A mortgage securities vehicle authorized by The Tax Reform Act of 1986. The REMIC rules authorize a new entity (a REMIC) to hold commercial or residential mortgages and issue securities representing interests in those mortgages. The REMIC itself generally is exempt from Federal income tax, and the income from the mortgages held by the REMIC is taxed to the holders of the REMIC regular and residual interests.

Real Estate Owned (REO)

A term frequently used by lending institutions to describe ownership of real property, generally acquired as a result of foreclosure.

Receivables

Accounts receivable owned by a business. These may be pledged as collateral for a loan secured from a bank or other financial institution, known as factored receivables, and classified as a secured commercial loan.

Receiver/Receivership

A party appointed by a court or the FDIC to manage property subject to litigation, or the property and affairs of a bankrupt financial institution. The receiver maintains and manages the property in the interest of lenders or creditors until a final disposition of the property is made. A receivership ends the corporate existence of an institution; it removes the institution from its owners, who lose their equity interest. See Conservator.

Recorded Investment in a Loan

The principal balance of the loan less direct write-downs, adjusted for related discounts or premiums and other yield adjustments. Carrying value before deducting valuation allowances. See Schedule SC, Mortgage Loans.

Recourse

The rights of a holder in due course of a negotiable instrument to force prior endorsers to meet their legal obligations by making good the payment of the instrument if dishonored by the maker or acceptor. The holder in due course must meet the legal requirements of presenting and delivering the instrument to the maker of a note or acceptor of a draft, and must find that this legal entity is in default. See Residual.

Recovery

The collection of money on a loan that you previously charged-off.

Refinancing

The repayment of a loan with funds from a new loan secured by the same property as the first loan. The new loan may be secured from the same lending institution or a different one, and typically has a modified interest rate or maturity date. See Restructured Debt.

Registration Statement

A document containing a prospectus and other information required by the SEC in transactions involving public offerings, such as the issuance of CMOs. The registration statement enables a series or, in the case of a shelf registration, several series of securities to be offered.

REIT

Real Estate Investment Trust.

Release

(1) The discharge of property from a mortgage lien. (2) A written statement that an obligation has been satisfied.

REMIC

Real Estate Mortgage Investment Conduit.

Rent

Income received from leasing property.

REO

Real estate owned.

REPO

Repurchase Agreement.

Reporting Period

The period for reporting the statement of operations and activity of an entity. This may be any number of days or months, normally one, three, six, or twelve months. The reporting period for the TFR is three months. The reporting period for Cost of Funds is one month.

Repossession

The reclaiming or taking back of items purchased on an installment sales contract on which the buyer has fallen behind in payments and consequently defaulted.

Repriced at Maturity

An asset or liability that carries a fixed interest rate during its term and, therefore, cannot reprice until maturity.

Repricing

A feature of some specific assets and liabilities, where the interest rates (and possibly other associated features) change, based on predetermined terms and schedules. This feature may occur periodically or only once.

Repurchase Agreement (REPO)

A financial transaction in which an organization borrows money by selling securities and simultaneously agreeing to buy them back later at a higher price, generally less than 30 days. Repurchase agreements are commonly called “repos”, and they function similarly to a secured loan with the securities serving as collateral. In a resale agreement, the organization, in effect, loans money by buying securities and agreeing to sell them back to the borrower later at a higher price. In either case, the difference between the bought and sold price of the securities constitutes the yield on the transaction. See Resale Agreement.

Resale Agreement

A financial transaction in which an organization lends short-term money by buying securities and simultaneously agreeing to sell them back later at a higher price. See Repurchase Agreement.

Reserve

(1) A valuation allowance. (2) A portion of retained earnings that has been set aside for the purpose of assuming liabilities. (3) Cash set aside to absorb losses or contingencies that have not yet occurred but are foreseen. See Valuation Allowances.

Reserve For Bad Debts

See Bad Debt Reserve.

Reserve Requirements

The portion of deposits in transaction accounts that member banks are required to maintain with a Federal Reserve Bank.

Residential Mortgage

A loan extended with residential real estate as collateral.

Residual

(1): Defined in 12 CFR Part 567.1 as any balance sheet asset that represents an interest, including a beneficial interest, created by a transfer of financial assets that qualifies as a sale under GAAP and that exposes the institution to a credit risk that exceeds a pro rata share of the institution’s claim on the transferred assets. The transfer of assets may be through securitization or otherwise; the credit risk may be directly or indirectly associated with the transferred assets; and the exposure to credit risk may be through either subordination provisions or other credit enhancement techniques.
(2): Purchased or retained beneficial interests in securitized financial assets.
(3): The tranche of a CMO that represents the difference between the cash flows received on the mortgages collateralizing the CMO and the required interest payments to holders of all other tranches. The residual tranche represents an equity interest in the CMO.

Restructured Debt

Debt that has been restructured by adding to the outstanding principal balance or by modifying the terms of the debt. Restructured debt involves debt of borrowers who may or may not be experiencing financial difficulty. See Troubled Debt Restructuring.

Retained Earnings

An equity capital account comprised of accumulated unallocated profits from the current and all prior reporting periods. Retained earnings are the profits that are neither paid out in cash dividends to stockholders nor used to increase other equity accounts.

Return on Assets

A financial measurement of how efficient a business is in using its assets. Return on assets is the ratio of net income divided by average total assets.

Return on Equity

A measure of how effective a business has been in investing its net worth. Return on equity is expressed as a ratio, calculated by dividing net income by average equity.

Return On Investment

The rate, usually expressed on a bond equivalent basis, needed to equate the present value of future cash flows with a given purchase price for that issue. It assumes that periodic cash distributions can be reinvested at the same rate.

Revenue

All earnings received from selling a firm’s product or service during a given period.

Revenue Bonds

Issued by state and local governments whereby the revenues from a project, such as a toll bridge, repay the borrowing. In contrast to a general obligation bond backed by the taxing power of an issuer.

Reverse Repurchase Agreement

See Repurchase Agreement.

Revolving Credit

A line of credit extended to customers to use as often as desired up to a certain dollar limit. The line of credit may be paid in full upon receipt of a monthly statement or paid off in several installments, in which case an interest charge is added.

Risk

The possibility that a loss will occur if a debt is not paid.

Risk-Controlled Arbitrage

A method used to fund long-term assets with short-term liabilities, using a hedge to reduce interest-rate risk. For example, using repurchase agreements (short-term) to purchase mortgage-backed securities (long-term) and using a futures contract to hedge against rising interest rates.

Rollover

The practice of reinvesting capital and interest of one investment into a substantially identical new investment.

Safety Factor

The difference between net income from collateral and the payment of interest on a funded debt. See Spread.

SAIF

Savings Association Insurance Fund.

Sale and Servicing Agreement

In secondary market transactions, a contract under which the seller/servicer agrees to supply, and the buyer to purchase, loans from time to time. The contract sets forth the conditions for the transactions and the rights and responsibilities of both parties.

Sale-Leaseback

The sale of property that is then leased back to the seller. See FASB Statement No. 28, Accounting for Sales with Leasebacks.

Sales Draft

An instrument that arises from using a bankcard that obligates the cardholder to pay money to the card issuer.

Sallie Mae (SLMA)

Student Loan Marketing Association.

Salvage

An attempt to recover some portion of a loan that has been written off the bank’s books.

SAM

Shared-Appreciation Mortgage.

Sasser

A SAIF-insured institution that has a bank charter and, therefore, that OTS does not regulate.

Satisfaction of Judgment

The legal procedure followed when a debtor pays the amount due as determined by the court in a judgment.

Savings

The amount of income that is not consumed.

Savings Account

Money that is deposited in a depository institution, normally not subject to withdrawal by check. Savings accounts usually bear interest. Also called passbook accounts.

Savings Association Insurance Fund (SAIF)

A fund, administered by the FDIC, insuring deposits of member savings associations up to $100,000 per depositor. SAIF was established by FIRREA in 1989 to replace the FSLIC as the insurer of savings associations. SAIF was merged into the Deposit Insurance Fund in 2006 pursuant to the Federal Deposit Reform Act of 2005. See Deposit Insurance Fund.

Savings Certificate

Evidence of the ownership of a savings account typically representing a fixed amount of funds deposited for a fixed term at a specified rate of interest. See Certificate of Deposit.

Savings Liability

The aggregate amount of an association’s deposits, including earnings credited to such accounts, less redemptions or withdrawals.

SBA

Small Business Administration.

Seasoned Loan

A loan that has been on the association’s books long enough to demonstrate that the borrower’s credit is sound.

SEC

Securities and Exchange Commission.

Second Lien

A lien subordinate to the first. See Junior Lien, Second Mortgage.

Second Mortgage

A mortgage that has rights subordinate to the first mortgage (the proceeds from a foreclosure sale must pay the first mortgage before any funds can go to repay the second).

Secondary Market

The market for reselling outstanding securities, opposite of primary market in which newly created securities are sold. See Freddie Mac, Fannie Mae, and Ginnie Mae.

Secured Creditor

A creditor whose obligation is backed by collateral.

Secured Debt

Any debt for which some form of acceptable collateral has been pledged.

Securities

Any documents that identify legal ownership of a physical commodity or legal claims to another’s wealth.

Securitize

To put in the form of a security. For example, Freddie Mac securitizes a savings association’s loans when they pool the loans into a participation certificate.

Security

(1): The collateral given, deposited, or pledged to secure the fulfillment obligation or payment of a debt.
(2): An instrument that provides evidence of debt or of rights to share in earnings or distribution of property.

Security Ratings

Ratings placed on securities according to the degree of investment risk incurred by the purchaser.

Segregated Account

Funds set aside to meet specific obligations. Usually applies to cash set aside to meet drafts drawn under a letter of credit issued by the savings association; may also apply to funds set aside to honor checks certified by the savings association.

Self-Liquidating

Describes an asset that can be converted into cash or subject to the total recovery of invested money over a period of time.

Selling Hedges

See Short Hedge.

Senior Lien

Opposite of Junior Lien. See First Mortgage.

Sensitivity Analysis

Another term for gap analysis, an evaluation of an association’s make-up, revealing the areas in which it is exposed to the risk of changing interest rates. See Gap.

Serial Bond Issue

Bonds of a single issue that mature on staggered dates rather than all at once. The purpose of a serial bond issue is to help the issuer retire the bonds in small quantities over a long period.

Service Charge

A fee for services rendered or to be rendered.

Service Corporation

A corporation previously defined in OTS regulations as being owned by one or more savings associations and performing services and engaging in certain activities for its owners, such as originating, holding, selling, and servicing mortgages; performing appraisal, brokerage, clerical, escrow, research, and other services; and acquiring, developing, or renovating and holding real estate for investment purposes. This term became obsolete with the issuance of the Subsidiary and Equity Investment Rule, effective January 1, 1997.

Servicing Assets

Benefits recognized by an entity undertaking a contract to service loans and other financial assets. Servicing includes collecting principal, interest, and escrow payments from the borrowers; paying taxes and insurance from escrowed funds; monitoring delinquencies; executing foreclosure, if necessary; temporarily investing funds pending distribution; remitting fees to guarantors, trustees, and others providing services; and accounting for and remitting principal and interest payments to the holders of beneficial interests in the financial assets.

SFAC

Statement of Financial Accounting Concepts issued by the Financial Accounting Standards Board.

SFAS

Statement of Financial Accounting Standards issued by the Financial Accounting Standards Board. Also called FASB Statements. See Financial Accounting Standards Board.

Share Loan

A loan secured by funds on deposit at a financial institution. One purpose of a share loan is to preserve interest due on deposits by not withdrawing the funds until the date on which the interest payment is due or the account matures. See Passbook Loan

Shared-Appreciation Mortgage (SAM)

A home-financing technique where the borrower receives a mortgage rate that is lower than the prevailing rates. The borrower must agree to give the lender a share of the profits from the eventual sale of the property. A SAM has payments that are based on a normal (typically 30- year) amortization schedule, but the loan becomes due and payable at an earlier date (typically not later than at the end of 10 years). A SAM has an interest rate below that on a conventional mortgage and a contingent interest feature, where at either the sale or transfer of the property or the refinancing or maturity of the loan, the borrower must pay the lender a share of the appreciation of the property securing the loan.

Shareholder

The owner of shares of equity in an organization. The owners of a corporation.

Shelf Registration

A type of Registration Statement, pursuant to Rule 415 of the SEC, that authorizes a certain principal amount of securities to be issued, in whole or in parts, in the future, thereby spreading the issuance dates over a period of time.

Short

(1) The sale of a futures contract. (2) A trader who has a short position in a commodity.

Short Hedge

A hedge transaction in which futures contracts are sold and then purchased; a short hedge protects the hedger against interest rate increases, the major risk faced by financial institutions.

Short-Term Debt

An obligation that is usually due within one year.

Short-Term Fixed-Rate Tranches

CMO tranches that have fixed rates and expected maturity of five years or less.

Short-Term Planned Amortization Classes (PACs)

CMO tranches that have fixed rates, a prioritized repayment schedule within certain prepayment speeds, and expected maturity of five years or less. Targeted Amortization Classes (TACs) are considered to be substantially similar to PACs for reporting purposes.

Short-Term PAC Support Tranches

CMO tranches that have fixed rates, expected maturity of five years or less, and are part of a CMO structure that contains a PAC or TAC tranche(s).

Single-Family Dwelling

A housing unit designed for occupancy by one individual or family. See Dwelling Units, 1-4.

Sinking Fund

The obligation to retire debt instruments according to a predetermined schedule.

Special Redemption

Special redemptions are designed to allow the issuer to retire a security earlier than scheduled, precluding interest from accruing during the remaining period. The amount of principal redeemed is limited to the amount that would have been retired at the next scheduled payment date.

Specific Valuation Allowance

A valuation allowance representing an amount classified as a loss on specific assets. In the TFR, assets are reported net of specific valuation allowances. See Valuation Allowance.

Spread

(1) The difference between interest income and interest expense. (2) The simultaneous purchase of one futures contract and sale of another, either different contract months or underlying instruments. One does this to try to profit from differing rates of change in different contract months or contracts, often due to changing market factors, such as, rising or falling rates, shifts in yield curve.

Standard Prepayment Assumption

A commonly used prepayment model based on an assumed monthly rate of prepayment of the then current principal balance of a pool of new mortgage loans.

Standby Letter of Credit

A letter of credit that can only be drawn against if a specified business transaction is not performed.

Standbys

Non-binding commitments to make or take delivery of securities, commonly used in the mortgage market when dealing with Fannie Mae.

Stock Dividend

See Dividend, Stock.

Strike Price

The price at which the holder of the call or put may exercise his right to purchase or sell the underlying futures contract. Synonymous with exercise price.

Strip

A hedge transaction which involves selling or buying the same futures contract across several delivery months, such as, selling T-Bills for June, September, and December at the same time. The objective is to lengthen the effective hedging period.

Strip Certificate

A certificate showing ownership of a fractional share of stock that can be converted into a full share when presented in amounts equal to a full share.

Strip Hedge

The selling of a series of futures contracts with different maturities. The purpose is to lock in interest costs that vary based on the contract settlement date.

Structured Securities

Debt securities with derivative-like characteristics that are issued by corporations and government-sponsored enterprises (GSEs), including Freddie Mac, Fannie Mae, and the Federal Home Loan Banks. Structured notes take various forms and often contain complex rate-adjustment formulas and embedded options, such as, calls, caps, and collars.

Student Loan Marketing Association (Sallie Mae)

A government-sponsored private corporation created to increase the flow of funds into loans by facilitating the purchase of student loans in the secondary market.

Subordinate Organization

Any corporation, partnership, business trust, association, joint venture, pool, syndicate, or other similar business organization in which a savings association has a direct or indirect ownership interest. There is an exception when that ownership interest qualifies as a pass-through investment pursuant to 12 C.F.R. §

560.32 and the savings association designates it as such.

Subordinated Debt

Obligations whose liquidation preference is inferior to that of other debt.

Subprime Lending

Credit extended to borrowers exhibiting higher (frequently much higher) risk of default characteristics than traditional bank lending customers. Risk of default may be measured by traditional credit risk measures (credit/repayment history, debt-to-income levels, etc.) or by alternative measures such as credit scores. Subprime borrowers represent a broad spectrum of debtors ranging from those who have exhibited repayment problems due to an adverse event, such as job loss or medical emergency, to those who persistently mismanage their finances and debt obligations. Subprime lending does not include loans to borrowers who have had minor, temporary credit difficulties but are now current.

Subsidiary

Any organization controlled by another organization. The OTS Subsidiary and Equity Investment Rule defines subsidiary as a consolidated subsidiary and refers generically to organizations under the control of a parent organization as subordinate organizations. See Consolidation.

Substandard

Describing conditions making a risk less desirable than normal for its class. A classification of assets under OTS Regulations. See Classified Assets.

Super-Floater

An asset that has a variable rate that adjusts by a multiple of a change in an interest-rate index. Thus if the super-floater adjusts at 1.25 times the change in LIBOR, a decrease of two basis points in LIBOR would cause a decrease of 2.5 (2 x 1.25) basis points in the super-floater. Super-floater is most commonly used to describe CMO tranches that reprice based on a formula containing a multiple of the three-month LIBOR rate.

Super Floating Rate Tranches

CMO tranches that have rates adjusting at some multiple of, and in the same direction as, an index such as LIBOR.

Super Principal Only (P/O) Tranche

A long-term zero coupon, deep discount PAC that is the only support tranche of a PAC or TAC CMO.

Supervisory Authority

The official or officials authorized by law to ensure that associations comply with the governing charter, statutes, and by-laws.

Supervisory Merger

The takeover of one savings association – typically an insolvent association – by another with our oversight.

Suspense Account

A general ledger account used to hold over unposted items so the business day can balance at closing.

Swap

An agreement between two parties to exchange a series of cash flows, one representing a fixed rate and the other a floating rate. In a currency swap, two parties contract to exchange the cash flows - of equal net present value of specific assets or liabilities that are expressed in different currencies.

In the classic – widely known as plain vanilla – interest-rate swap, two parties contract to exchange interest service payments, and sometimes principal service payments, on the same amount of indebtedness of the same maturity with the same payment dates - one providing fixed interest-rate payments in return for variable-rate payments from the other and vice versa. Basis swaps – floating rate swaps based on different indices, such as prime against LIBOR – and combined interest rate and currency swaps, circus swaps, are also common. There are numerous variations involving many counterparts that result in highly complex swap transactions.

T-Bill

Treasury Bill.

TAC

Targeted Amortization Class.

Tangible Capital

Our capital regulations define tangible capital as equity in accordance with GAAP, adjusted for unrealized gains and losses on certain available-for-sale securities, less investments in nonincludable subsidiaries, less goodwill and other intangible assets, less certain nonqualifying equity instruments, plus noncontrolling interest in includable consolidated subsidiaries, plus nonwithdrawable deposits of mutual associations. Our capital rule requires savings associations to hold a ratio of 1.5% tangible capital to tangible assets.

Tangible Net Worth

GAAP net worth less goodwill and other intangible assets.

TBA Abbreviation for future pools to be announced which are bought and sold for future settlement. To be announced refers to interest rates and due dates which are determined at a later date. Trading in these securities is done on a yield basis.

TDR

Troubled Debt Restructuring.

Teaser Rate

The initial below-market interest rate offered on an adjustable-rate mortgage in return for the borrower sharing the risk of rising rates during the course of the loan.

Term Federal Funds

Federal funds with a term of more than one business day.

TFR

Thrift Financial Report.

Threshold Rate

Represents the rate established by management policy for a fixed-rate asset category above which new assets may be added and below which lower yielding assets will be sold. Should be tied to policies related to dollar volume and maturity limits.

Thrift Financial Report

The financial report that we require of all savings associations under our jurisdiction; OTS Form 1313.

Thrift Holding Company

See Holding Company.

Tick

Refers to a change in price, either up or down. Synonymous with minimum fluctuation.

Time Deposit

An interest-bearing deposit that will mature on a specific date.

Time-Share Loan

A loan that enables a buyer to take part in a form of real property ownership that grants each of several owners the exclusive right to occupy a housing unit during a specified time period each year. These loans are reported as nonmortgage loans on the TFR.

Time Value

A portion of an option premium unrelated to buying and selling at a more favorable price.

Trade

A term that indicates the consummation of a security transaction, either a purchase or a sale.

Trade Date

The date a security transaction is actually executed.

Trading Account

Securities that you intend to hold principally for the purpose of selling them in the near term. Trading activity includes frequent buying and selling of securities for the purpose of generating profits from price fluctuations. Securities in a trading account must be listed on financial reports at market value.

Tranche

Also called a class. CMOs generally have several bond classes; each bond is considered a separate tranche or class, each with different maturities and/or interest rates and accrual structures.

Troubled Debt Restructuring

A troubled debt restructuring occurs when the financial institution provides the borrower certain concessions that it would not normally consider. The concessions must be in light of the borrower’s financial difficulty, and the objective must be to maximize recovery of the institution’s investment. Troubled debt restructures are often, but not always, the result of legal proceedings or negotiations between the parties.

Troubled debt restructures include situations in which the reporting association accepts any one of the following:

A note, secured or unsecured, from a third party in payment of its receivable from the borrower.
The underlying collateral in payment of the loan, either through foreclosure, other transfer of title, or in-substance foreclosure.
Other assets in payment of the loan.
An equity interest in the borrower or its assets in lieu of its receivable.

A modification of the terms of the debt including, but not limited to any of the following:

o Reduction in stated interest rate.
o Extension of maturity at an interest rate below market.
o Reduction in the face amount of the debt.
o Reduction in the accrued interest.

A foreclosure or other asset received in payment of a loan is TDR only if a loss is incurred. In calculating whether or not a loss occurred, the fair value of the foreclosed property is compared to the recorded investment in the receivable without deducting valuation allowances or charge-offs.

Any restructuring of loan terms must be accounted for in accordance with GAAP as principally prescribed in FASB Statement Nos. 114, 118, 15 and 5. Foreclosed assets are reported at fair value less cost to sell.

Treasury Bill

A U.S. government short-term security sold to the public each week at a discount, maturing in 91 to 182 days.

Treasury Bond

See Bond, Treasury.

Treasury Note

A U.S. government long-term security, sold to the public, maturing in one to five years.

Treasury Stock

Stock reacquired by the same company that issued it with the intention of subsequent resale or transfer, such as an Employee Stock Option Plan.

u v

Unlimited Mortgage

An open-end mortgage; a mortgage not limited to a fixed amount.

Unrealized Gain or Loss

A loss that you have not yet realized because the related asset has not yet been sold or disposed of.

(1) Valuation Allowance. (2) Veterans’ Administration.

Valuation Allowance

A contra-asset established against receivables and investments based on the amount expected to be collected. Valuation allowances are established for covering probable and estimably credit losses. Refer to FASB Statement No. 5. See Allowance for Loan and Lease Losses, Allowance, Specific Valuation Allowance, and General Valuation Allowance.

Variable Rate

An interest rate on an asset or liability that can be repriced periodically when market interest rates change, without regard to maturity. Also called “floating rate”. See Adjustable Rate Mortgage.

Variation Margin

See Maintenance Margin.

Voting Stock

Stock for which the holder has the right to vote in the election of directors, the appointment of auditors, and other matters brought up at the annual stockholders’ meeting. Most common stock is voting stock; most preferred stock is nonvoting stock.

wxyz

Warehouse Loan

A short-term line of credit used by mortgage bankers to fund loans prior to sale. Financial institutions that hold loans as collateral until collateral is delivered to the investor usually provide this type of credit.

Warehousing

Inventory financing. See Warehouse Loan.

Weighted Average Coupon (WAC)

The WAC is calculated as a weighted-average of the underlying mortgage interest rates as of the issue date, using the balance of each mortgage as the weighting factor. A WAC is needed only when the underlying mortgages have varying interest rates.

Weighted Average Maturity (WAM)

The weighted average is the remaining term to maturity of the underlying mortgages at the issue date, using the balance of each mortgage as the weighting factor.

Weighted Average Remaining Term

The remaining term to maturity over time as the security ages. This number can be calculated at any point in time. Sometimes weighted average remaining term is mistaken for the weighted average maturity, which is the remaining term at the issue date. The weighted average remaining term must be recalculated each month and is impacted by prepayments.

Whole Loans

Mortgages that are not divided into participation units or pooled to back securities or participation certificates.

Whole Pools

A mortgage certificate where ownership is represented by an entire pool of mortgage loans, as opposed to a fractional interest in a pool.

With Recourse

An agreement where the seller assumes a stated level of risk for the performance of the asset sold; the purchaser has the right to endorse a claim against the seller for sustained damages in the case of nonperformance. See Recourse.

Without Recourse

An agreement where the purchaser accepts all risks in the transaction, and gives up rights to any recourse. See Recourse.

Wraparound Mortgages

A second mortgage that wraps around, or exists in addition to, a first or other mortgage(s). The lender assumes the existing mortgage(s) thus continues to pay the monthly installments at the original lower interest rate(s), and also loans the purchaser additional money to meet the higher purchase price specified in the contract. The rate charged to the purchaser on the total mortgage amounts is higher than the original rate. This type of mortgage allows the terms of the original mortgage to be satisfied, compensates the seller for the sale of his or her investment, and allows the buyer to purchase a home. The wraparound lender benefits from the below-market rates of the existing mortgage that the lender has assumed while charging the purchaser a higher rate on the full loan.

Wraparound mortgages are also used as a method of obtaining refinancing when an owner wants to increase the amount of mortgage outstanding. In this case the lender assumes the existing mortgage and the borrower enters into a loan in an amount covering both the old mortgage and the additional funds disbursed.

Write-Off

An asset or portion of an asset charged off as a loss because it is determined to be uncollectable. See Charge-off.

Write-Up

Increasing an asset’s book value by adjusting the value of an asset to correspond to an appraisal or market value. Unrealized gains.

Year-End Adjustment

A ledger account modification entered at the close of a fiscal period. The modification might be the result of an accrual, prepayment, physical inventory, reclassification, policy change, audit adjustment, or other entry.

Yield

The effective annual rate of income being accrued on an investment, expressed as a percentage of the original price.

Yield Adjustment

A portion of the purchase price of an asset that is an adjustment to interest over a specified period, typically over the life of the asset. A yield adjustment is set up in a separate account from the asset and is accreted to income at a rate similar to interest. Examples: Discounts and premiums, loan fees, prepaid interest, etc.

Yield to Maturity

The rate of return earned by a debt instrument held to maturity. The rate of return calculates interest payments reinvested at the coupon rate, and factors in capital gains or losses.

YTD

Year-to-date. Generally designates that income figures are for the year up to a given date, rather than for a shorter period such as a month or a quarter.

Zero Rate

A type of asset or liability that bears no interest. Examples: Commercial checking accounts and vault cash.

Zero-Coupon Bond

See Bond, Zero Coupon.

THIS PAGE INTENTIONALLY LEFT BLANK

INDEX

Accountants Change of .................................................................1102 Codes for type of work performed ...........................1101

Accounting fees ..............................................................312 Accounting principles

Retroactive changes to..............................................1008
Accounts Payable............................................................229
Accounts receivable........................................................222
Accrual basis of accounting............................................301
Accrued interest receivable

Nonmortgage loans.....................................................216

Accrued interest receivable Mortgage loans...........................................................211 Mortgage-backed securities........................................206 Securities....................................................................204

Advertising expenses ......................................................312 Affiliates

Transactions with .....................................................1009 AICPA SOP No. 93-6.....................................................228 Allowances for loan and lease losses

Mortgage loans...........................................................212
nonmortgage...............................................................216
Tier 2 Capital............................................................1611

Amended reports.............................................103, 301, 316 Annuity Sales .........................................................................1010

APB No. 16 Discounts and premiums ............................................226 Schedule SC, Goodwill ..............................................220

Asset codes

Schedule CMR .........................................................1811 Asset-backed securities...................................................204 Assets

Average ....................................................................1012 Contingent..................................................................706 Assets held for sale

Gain or loss on sale of ................................................307
Audit codes...................................................................1101
Available-for-sale securities ...........................................202
Gain or loss in regulatory capital..............................1606
Gain or loss on sale of ................................................307

Balance sheet Classified, defined....................................................1405 Bank accounts Zero balance ...............................................................224

Bank-owned life insurance Income........................................................................310 Schedule SC ...............................................................220

Bilateral netting agreement Risk weighting..........................................................1629 Borrowed money

Interest expense ......................................................... 304
Schedule SC............................................................... 226

Borrowings Average.................................................................... 1013 Discounts and premiums............................................226 Interest Payable.......................................................... 229

Branch office Sale of........................................................................309

Broker Fee income................................................................. 307 Receivables................................................................ 222

Broker payables.............................................................. 230
Brokered deposits...........................................................901
Building lots...................................................................211

Capital In excess of par value................................................. 232 Reconciliation of...................................................... 1006 Regulatory ....................................See Regulatory capital

Capitalized interest.........................................................305

Cash Risk weighting.........................................................1615 Schedule SC............................................................... 202

Cash flow ....................................................................... 801 Holding company..................................................... 1409 Cash Flow Hedges Gains(Losses) in Schedule SC ................................... 232

Cash items Risk weighting.........................................................1618 Schedule SC............................................................... 202

Charge-offs..................................................................... 401 Charitable contributions ................................................. 314 Charter Conversion ........................................................ 103 Checks

In process of collection .............................................. 202 Classified assets ............................................................. 416 CMOs

Interest expense ......................................................... 304

CNFIs............................................................................. 221
Available-for-Sale.................................................... 1002
Income from............................................................... 310

Collective investment fund........................................... 1303

Commercial loans Nonmortgage inScheduleSC....................................213 Sales/Purchases.......................................................... 806

Commercial paper

Liability ..................................................................... 228 Commercial Paper..........................................................204 Commitment fees

Amortization.............................................................. 307
nonrefundable ............................................................ 229
Refundable................................................................. 225

Commitments Risk weighting.........................................................1625 Schedule CC .............................................................. 701

Common stock................................................................231
Issuance costs adjusting retained earnings................1008
Common trust fund.......................................................1303
Computer software
Amortization ..............................................................313
Schedule SC ...............................................................220
Consolidation..........................................................201, 301
Regulatory capital.....................................................1602
Schedule SO...............................................................301
Construction loans
Balances in Schedule SC............................................208
Churches.....................................................................209
Combination land/construction loan...........................208
Combined with permanent loan..................................208
Condominiums ...........................................................209
Conversion to permanent loans ..................................802
Dormitories ................................................................209
LIP..............................................................................701
Mobile home parks.....................................................209
Multifamily, Schedule SC ..........................................209
Nonresidential, Schedule SC......................................209
Retirement homes.......................................................209
Risk weighting, qualifying .......................................1622
Single-family developments.......................................208
Undisbursed commitment...........................................701
Unsecured...................................................................213
Consumer loans
Sales/Purchases ..........................................................806
Schedule SC ...............................................................214
Unused line of credit ..................................................704
Contributed capital..........................................................232
Convertible securities
Issuance costs .............................................................222
Cooperative buildings
Loans on units in ........................................................208
Core capital.........................................................1602, 1603
Core deposit intangibles
Amortization ......................................................220, 313
Corporate Debt Securities...............................................204
Credit card lines
Risk weighting..........................................................1625
Credit cards
Overpayments.............................................................224
Schedule SC ...............................................................215
Servicing income........................................................307
Unused line of credit ..................................................704
Credit-enhancing interest-only strips
Defined.....................................................................1004
Custodial services .........................................................1302

Data Processing Services
Income from ...............................................................310
Deferred income .............................................................229
Deferred loan fees...........................................................207
Deferred Policy Acquisition Costs................................1404
Deferred tax assets
Regulatory capital.....................................................1605
Cash items.......................................................................223
Delinquent loans .............................................................501

Deposit Insurance Fund................................................ 1917
Deposit insurance premiums
Expensed.................................................................... 314
Prepaid....................................................................... 221
Deposits
Average.................................................................... 1013
Broker-originated....................................................... 901
Definition of............................................................... 223
Demand, defined........................................................906
Discounts and Premiums............................................ 226
Escrows...................................................................... 225
Interest expense ......................................................... 304
Interest payable..........................................................228
Jumbo ................................................................ 902, 903
MMDA ...................................................................... 905
Overdrafts, consumer.................................................215
Passbook .................................................................... 905
Penalties for early withdrawals..................................304
Preferred .................................................................... 904
public funds – Schedule SC ....................................... 223
Reciprocal balances ................................................... 224
Risk weighting.........................................................1617
Schedule DI ............................................................... 901
Time........................................................................... 906
Transaction ................................................................ 905
Transaction account fees............................................307
Types of accounts ...................................................... 905
Unamortized brokers fees .......................................... 226
Uninsured................................................................... 904
Zero coupon...............................................................223
Derivatives
Fair value in assets.....................................................222
DIF ....................................................................... 223, 1917
Direct creditsubstitutes..................................................704
Directors' fees and expenses...........................................311
Dividend income ............................................................ 302
Dividends
Capital reconciliation...............................................1006
Other than cash ........................................................ 1007
Payable....................................................................... 229
Dwelling unit
Defined .................................................................... 1706

EITF Consensus No. 85-41 ............................................ 233 Electronic Filing............................................................. 103 Electronic FilingSystem(EFS)......................................101 Employee benefits..........................................................311 Employees Number of................................................................1001 Equity capital Reconciliation of...................................................... 1006 Equity instruments Inc. in Tier 2 Capital................................................1611 Equity investments in regulatory capital ................................................. 1602 Regulatory capital, deduction from..........................1612 Equity securities Defined in capital..................................................... 1612 Gains incl. in Tier 2 capital......................................1611

Schedule SC ...............................................................204
Escrows...........................................................................225
Interest expense..........................................................304
Tax and insurance.......................................................225
ESOPs
Debt............................................................................228
Employer contributions to ..........................................311
Unearned shares .........................................................233
Examination fees ............................................................314
Excess servicing....................................See Servicing assets
Extraordinary items
Gains and losses .........................................................316

Fannie Mae Stock...........................................................................204 FASB Statement No. 34 Schedule SC, Real estate investments ........................218 Schedule SO...............................................................305 FASB Statement No. 109 Schedule SC ...............................................................221 FASB Statement No. 115 Unrealized gains and losses in equity.........................232 FASB Statement No. 115 Equity investments not subject to...............................218 Equity Securities ........................................................204 Schedule SC ...............................................................202 Schedule SC, Mortgage-backed securities..................204 Schedule SC, Servicing assets....................................221 FASB Statement No. 115 Schedule SO, Sale of securities ..................................307 FASB Statement No. 133 Borrowings.................................................................226 Deposits......................................................................226 Fair value of derivative instruments ...........................230 FASB Statement No. 133 Mortgage Loans..........................................................207 Nonmortgage Loans ...................................................212 Servicing assets ..........................................................220 FASB Statement No. 140 Repurchase agreements ..............................................227 FASB Statement No. 140 Schedule SC, CNFIs...................................................221 Schedule SC, Servicing assets....................................220 FASB Statement No. 141 Goodwill Amortization...............................................313 Schedule SC, Goodwill ..............................................220 FASB Statement No. 142................................................313 FASB Statement No. 66 Schedule SC, Sale of real estate .................................230 Schedule SO...............................................................309 FASB Statement No. 72 Amortization ..............................................................313 FASB Statement No. 77 Schedule SC, Sale of Loans........................................228 FASB Statement No. 87 Pension Intangibles.....................................................220 Federal Funds Sold ............................................................................203 Term...........................................................................203 Federal funds purchased

Interest expense ......................................................... 304
Federal Funds purchased................................................227
Federal funds sold
Risk weighting.........................................................1618
Federal Home Loan Bank
Accrued dividends ..................................................... 221
Advances ................................................................... 227
Commitment fees.......................................................227
Deposits ..................................................................... 202
Dividends................................................................... 303
Prepayment fees.........................................................316
Prepayment penalties ................................................. 304
Reverse repurchase agreements ................................. 227
Securities ................................................................... 203
Stock, Risk weighting..............................................1617
Fee Income.....................................................................307
FHA/VA Loans
Schedule LD .............................................................. 601
FHLMC
Participation certificates............................................. 206
Securities ................................................................... 203
FICO bonds....................................................................203
Fiduciary services
Custody accounts ..................................................... 1305
Income ..................................................................... 1306
Managed accounts.................................................... 1303
Nonmanaged accounts ............................................. 1304
Settlements and losses.............................................. 1312
Fiduciary Services........................................................1301
Filing
Filing Deadline .......................................................... 102
Financing leases
Commercial................................................................ 214
Fiscal year end.............................................................. 1101
Holding company..................................................... 1402
FNMA
Mortgage securities, risk weighting ......................... 1617
Pools .......................................................................... 206
Securities ................................................................... 203
Foreclosed assets............................................................216
Deed in lieu of ........................................................... 415
During thequarter......................................................415
Gain or loss from sale ................................................ 308
Held over 5 years ....................................................... 218
Income from operations ............................................. 308
In-substance ............................................................... 216
Junior liens................................................................. 216
Provision for loss ....................................................... 313
Troubled debt restructured................................. 216, 415
Valuation allowances.................................................403
Writing down to market..................................... 216, 305
Foreign currency translation........................................... 232
Forward agreements
Risk weighting.........................................................1627
Fraud expense ................................................................ 314
Freddie Mac
Stock.......................................................................... 204
Futures.......................................................................... 1102
Contract codes, Schedule CMR ............................... 1808

GAAP Use of in the TFR...............................104, 201, 224, 301 General Instructions........................................................101 General valuation allowances Foreclosed assets ........................................................218 Mortgage-backed securities........................................206 Other assets ................................................................222 Generally accepted accounting principles...............201, 301 GNMA securities Repurchase option liability.........................................228 Risk weighting..........................................................1616 GNMA Securities Pools...........................................................................206 Goodwill Amortization ..............................................................313 Schedule SC ...............................................................220 Write-downs...............................................................313

Held-for-sale assets.......................................................1002
Held-to-maturity securities .............................................202
High loan-to-value mortgages.........................................601
Holding company
GAAP.......................................................................1401
Schedule HC.............................................................1401
Schedule SC ...............................................................201
Home equity loans
Disbursements ............................................................802
Nonmortgages ............................................................214
Risk weighting lines-of-credit ..................................1625
Schedule SC ...............................................................210
Unused line of credit ..................................................704
Hypothecated deposits ....................................................207

Intangible assets
Deducted from Tier 1 ...............................................1604
Schedule SC ...............................................................220
Intercompany payables ...................................................230
Interest Expense..............................................................303
Interest income ...............................................................301
Yield adjustments.......................................................302
Interest payable...............................................................228
Interest rate caps
Contract codes, Schedule CMR................................1807
Interest rate floors
Contract codes, Schedule CMR................................1808
Interest rate index codes
Schedule CMR .........................................................1801
Interest rate swaps
Contract codes, Schedule CMR................................1806
Payables......................................................................230
Receivables ................................................................222
Risk weighting......................................1618, 1622, 1627
Internet web address .....................................................1102
HOLDING COMPANY...........................................1402
Subsidiary.................................................................1508

Investment securities Commitment to purchase ........................................... 703 Commitment to sell.................................................... 703 Investments Income ....................................................................... 302

Land
Office buildings ......................................................... 219
Land loans......................................................................211
Leases
Deferred gains on sale and leaseback......................... 229
Net income from ........................................................ 310
Office buildingsand equipment.................................219
Property leasedto others............................................222
Legal expenses ............................................................... 311
Letters of credit
Commercial -defined ................................................ 704
Prepaid, in Schedule SC............................................. 224
Risk weighting.........................................................1626
Standby - defined.......................................................704
Undrawn amount ....................................................... 704
Leverage capital ........................................................... 1602
Liabilities
Contingent ................................................................. 706
Off-balance-sheet credit losses .................................. 230
Liability for credit loss
ALLL, included with ............................................... 1611
Life insurance
Adjustment of CSV.................................................... 310
BOLI.......................................................................... 220
Key Person................................................................. 220
Lines of credit
Commercial, unsecured.............................................. 213
Risk weighting.........................................................1625
Unused amount .......................................................... 703
Litigation reserves..........................................................230
Loan fees
Deferred..................................................................... 207
Loan origination expense ............................................... 314
Loan payments
Unapplied........................................................... 224, 230
Loan servicing
Credit card fee income...............................................307
Escrows...................................................................... 225
Fee expense................................................................ 312
Liability ..................................................................... 230
Receivables (taxes, ins., princ. &interest).................222
Recourse, risk weighting.......................................... 1626
Loans
Agricultural.............................................................. 1202
Airplanes.................................................................... 215
Auto, consumer..........................................................214
Average.................................................................... 1013
Boats.......................................................................... 215
Commercial, Secured.................................................213
Commitment to purchase ........................................... 702
Commitment to sell.................................................... 703
Delinquent ................................................................. 501
Deposit....................................................................... 214

Education....................................................................214
Farm .........................................................................1202
Farm, nonmortgage ....................................................213
Floor-planning............................................................213
Gains and losses on sale .............................................308
Held for sale .............................................................1002
Home equity ...............................................................214
Home improvement....................................................214
Insured by FmHA, AID, SBA ....................................213
Mobile home, consumer .............................................215
Modified.....................................................................414
Motorcycles................................................................215
Nonaccrual .................................................................503
Nonmortgage..............................................................212
Officers, directors and shareholders .........................1005
Originated for sale....................................................1002
Overdraft Lines ..........................................................215
Personal......................................................................215
Purchased ...................................................................804
Serviced for others....................................................1003
Share, risk weighting................................................1618
Small business..........................................................1201
Sold ............................................................................805
Sold with recourse, financings....................................228
Time-share..................................................................215
Loans-in-process
Commitments in Schedule CC ...................................701
Disbursements ............................................................802
Mortgage Loans, in Schedule SC ...............................207
Risk weighting..........................................................1624
LOCOM adjustment
Valuation allowance...................................................402
LOCOM adjustments
Income statement........................................................308
LTV ratio
Calculation .................................................................602

Management services......................................................312
Mandatorily convertible securities..................................227
Manufactured housing
Construction loans on.................................................208
Market research expenses ...............................................312
Mergers
Capital reconciliation ...............................................1006
Money orders..................................................................225
Mortgage
Office premises ..........................................................228
Mortgage loans
Accrued Interest Receivable.......................................211
Allowance for loan and lease losses ...........................212
Apartment buildings...................................................210
Average ....................................................................1013
Churches.....................................................................211
Commercial ................................................................211
Commitments .............................................................701
Co-op units.................................................................208
Co-op units, risk weighting ......................................1619
Defined.......................................................................207
Discounts and premiums ............................................207
Dormitories ................................................................210

Farms ......................................................................... 211
First Liens on 1-4 Dwelling Units.............................. 210
Held for investment ................................................... 207
High loan-to-value ..................................................... 601
Home equity loans ..................................................... 210
Junior liens................................................................. 207
Junior Liens on 1-4 DwellingUnits...........................210
Land........................................................................... 211
Mixed use property .................................................... 207
Mobile Home Parks ................................................... 210
Multifamily................................................................ 210
Multifamily, risk weighting ..................................... 1620
Negative amortization as disbursements....................802
Nonresidential............................................................ 211
Nursing homes...........................................................211
Originated for Sale..................................................... 207
Origination commitments .......................................... 702
Participating interests................................................. 207
Participating interests, income ................................... 302
Participations purchased ............................................ 804
Participations sold...................................................... 805
Permanent loans on 1-4 dwelling units ...................... 209
Real estate investments..............................................218
Refinancing activity...................................................701
Refinancing, in Schedule SC ..................................... 209
Retirement homes ...................................................... 210
Second mortgages......................................................207
Small business ........................................................... 213
Sold with recourse, risk weighting........................... 1626
Unearned interest ....................................................... 207
Wrap-around.............................................................. 228
Wrap-around, in assets............................................... 208
Wrap-around, income from........................................ 302

Mortgage Loans Origination disbursements ......................................... 802

Mortgage pool securities Defined, Schedule SC................................................205 Private issues ............................................................. 206

Mortgage-backed Bonds ................................................ 204

Mortgage-backed securities
Commitment to purchase ........................................... 703
Commitment to sell.................................................... 703
Document custodian services................................... 1302
Purchase/sale activity................................................. 801
Risk weighting............................................... 1617, 1621

Mortgage-Backed Securities Interest Income .......................................................... 302

Municipal securities Risk weighting.........................................................1617

Mutual funds .................................................................. 204
Proprietary ............................................................... 1303
Regulatory capital....................................................1602
Risk weighting.........................................................1615
Unremitted funds ....................................................... 225

Mutual Funds Fee income............................................................... 1011 Proprietary, definition of.......................................... 1010 Sales......................................................................... 1010

Net deferred tax assets

Schedule SC ...............................................................221
Net Portfolio Value Model............................................1701
New basis accounting ...................................................1008
Nonaccrual loans ............................................................503
Noncontrolling interest
in Tier 2 capital ........................................................1611
Noncontrolling shareholders
Net income allocated to..............................................301
Net loss allocated to ...................................................310
Nonincludable subsidiaries
Consolidation, exception to GAAP ..........................1602
Defined.....................................................................1604
Noninterest expense........................................................311
Noninterest income.........................................................306
Non-interest-earning Deposits
Schedule SC ...............................................................202
Nonmortgage loans
Interest Income...........................................................302
Origination commitments...........................................702
Sales/Purchases ..........................................................806
Schedule SC ...............................................................212
Nonperforming assets
Risk weighting..........................................................1615
Nonsecuritized financial instruments..............................221
Schedule CC...............................................................705

Off-balance-sheet items
Contract codes, Schedule CMR................................1803
Risk weighting..........................................................1624
Office
Data center fees ..........................................................312
Equipment rental ........................................................312
Leasehold improvements............................................219
Leasehold improvements, amortization......................312
Office buildings ..............................................................219
Construction of...........................................................219
Depreciation ...............................................................219
Depreciation expense .................................................312
Leasing income ..........................................................310
Office supplies expense ..................................................314
Operating subsidiary
Defined.....................................................................1503
Options
Schedule CMR .........................................................1754
Standby fees received.................................................230
Organization cost
Expense ......................................................................314
Other assets.....................................................................221
Other Comprehensive Income
Accumulated ..............................................................232
Reconciliation...........................................................1008
Other liabilities ...............................................................229
OTS assessments
Complexity component ............................................1306
Expensed ....................................................................314
Outstanding checks
Cashiers checks ..........................................................223
Overdrafts .......................................................................228
Customer accounts .....................................................215

Paid-in Capital................................................................ 232 Pass-through investment Income ....................................................................... 303 Net income from ........................................................ 310 Past-due assets Risk weighting.........................................................1615 Past-due loans Defined ...................................................................... 501 Troubled debt restructured.........................................505 Pension Expense...................................................................... 311 Pension Asset intangibles Amortization.............................................................. 313 Schedule SC............................................................... 220 Pension liability Minimum ................................................................... 232 Personnel expenses......................................................... 311 Postretirement benefit Liability ..................................................................... 230 Preferred stock Convertible ................................................................ 231 Cumulative................................................................. 231 Issuance costs............................................................. 231 Issued by Subsidiaries................................................ 233 Issued by subsidiary...................................................228 Noncumulative........................................................... 231 Perpetual (nonredeemable) ........................................ 231 Redeemable, in Tier 2 capital .................................. 1611 Redeemable, Issuance costs.......................................222 REIT .......................................................................... 227 Prepaid expenses Schedule SC............................................................... 221 Prior period Corrections to............................................................. 301 Prior periodcorrections..................................................310 Promissory Notes ........................................................... 204 Provision for loss Calculation................................................................. 402 Public relations expense ................................................. 312 Purchased credit card relationships in regulatory capital ................................................. 1604 Purchased servicing.............................. See Servicing assets Push-down accounting Adjustments to retained earnings.............................1008

Qualified Thrift Lender ................................................ 1004 Questions Common questions .................................................... 101

Real estate Sale of........................................................................309 Sale of, deferred gains................................................ 230 Real estate held for investment Net income from. ....................................................... 310 Real estate investments .................................................. 218

Real estate taxes
Payable.......................................................................229
Receivables
Intercompany..............................................................222
Noninterest bearing ....................................................222
Record Retention ............................................................103
Recorded investment
Defined...............................................................207, 415
Recourse
Low level risk weighting................................1614, 1629
Recourse obligations.......................................................704
Recourse Obligations......................................................230
Recovery
Defined.......................................................................402
Of assets .....................................................................408
Refinancings
Multifamily ................................................................210
Regulation O
Definitions................................................................1005
Regulatory capital
Adjustments to GAAP..............................................1603
ALLL .......................................................................1611
Assets required to be deducted .................................1612
Deferred tax assets....................................................1605
Gains on equity securities.........................................1611
IMCR .......................................................................1609
Individual minimum capital requirement .................1609
Mutual funds ............................................................1602
Nonincludable subsidiaries.......................................1603
Purchased credit card relationships ..........................1604
Reciprocal holdings..................................................1612
Risk weighting rules.................................................1614
Servicing assets ........................................................1605
Standards..................................................................1601
Tier 2 capital ............................................................1609
REIT preferred stock ......................................................227
Dividends ...................................................................304
Replacement cost
Defined.....................................................................1627
Reporting Basis...............................................................103
Repossessed assets......................216, See Foreclosed assets
Repurchase agreements...................................................227
Residual interests
Defined.....................................................................1003
Schedule CC...............................................................705
Residual interests in financial assets sold .......................222
Retained earnings............................................................233
Adjustments to..........................................................1008
Retirement accounts
IRA/Keogh .................................................................903
Reviewing the TFR.........................................................105
Risk weighting
Depository inst., claims on .......................................1617
Exchange-rate contracts............................................1628
Federal Reserve, claims on.......................................1616
FHLB, claims on ......................................................1617
General rules ............................................................1614
Interest-rate contracts ...............................................1627
LIP............................................................................1624
Low-level recourse...................................................1629
Multifamily mortgages.............................................1620
Off-balance-sheet items............................................1624

Residual interests ..................................................... 1629
Revenue bonds......................................................... 1622
Single-family mortgages..........................................1619
Super risk weighting ................................................ 1629

U.S. Government, claims on .................................... 1616

U.S. Treasury securities ........................................... 1616
Risk-based capital ........................................................ 1602
Rounding........................................................................ 104

SBA pools
Risk weighting.........................................................1616
SBA Securities
Nonmortgage ............................................................. 203
Schedule CMR
ARMs, frequent reset...............................................1718
Balances reported..................................................... 1702
Balloon Mortgages, defined.....................................1707
Balloon mortgages, fixed rate .................................. 1710
Brokered deposits .................................................... 1744
Buydowns ................................................................ 1708
Call loans, defined ................................................... 1707
Cash, deposits and securities.................................... 1733
CMOs ...................................................................... 1729
Issued................................................................... 1749
CMOs, Residuals ..................................................... 1730
Commercial loans .................................................... 1724
Commitments, Nonmortg. fin. assets.......................1755
Compared to Schedule SC ....................................... 1705
Consolidation........................................................... 1702
Construction LIP...................................................... 1761
Construction loans ................................................... 1721
Construction loans, defined ..................................... 1707
Consumer loans ....................................................... 1726
Credit cards..............................................................1741
Debt securities ......................................................... 1735
Deposits ................................................................... 1742
Deposits, Nonmaturity ............................................. 1747
Escrows.................................................................... 1748
Exemption from filing................................................ 104
FASB Statement No. 133......................................... 1738
FASB Statement No. 133......................................... 1751
Federal funds sold....................................................1735
Fixed-rate mortgage loans and securities.................1708
Format...................................................................... 1702
Futures ..................................................................... 1759
Home equity loans ................................................... 1740
Interest rate caps ...................................................... 1757
Interest rate floors .................................................... 1758
Interest rate swaps.................................................... 1756
Inverse floaters......................................................... 1729
Land loans................................................................ 1721
Land loans. defined.................................................. 1707
Liabilities................................................................. 1742
Liabilities,Fixed rate ................................................ 1745
Loans serviced by others.......................................... 1741
Market value estimates ...............1701, 1702, 1731, 1767
Mortgage pool securities, multifamily ..................... 1718
Mortgage-derivative securities................................. 1728
Multifamily mortgage loans..................................... 1718
Multifamily mortgageloans, defined.......................1707

Mutual funds, Mortgage-related...............................1741
Noncontrolling interest.............................................1750
Nonmortgage loans,Securitized................................1724
Nonperforming assets...............................................1736
Nonperforming loans................................................1707
Nonperforming loans defined...................................1702
Nonresidential Mortgage loans, defined...................1707
Off-balance-sheet items..................................1751, 1770
Options on futures ....................................................1760
Other assets ..............................................................1739
Pass-through rate......................................................1703
Pass-through securities, defined ...............................1707
Pay-through securities, defined ................................1708
Preferred stock, Redeemable ....................................1747
Repurchase agreements ............................................1735
Second mortgages ....................................................1722
Servicing, Mortgage .................................................1731
Single-family mortgage loans, defined.....................1706
Stripped MBS...........................................................1730
Superfloaters ............................................................1729
Supplemental Reporting ...........................................1762
Teaser ARMs............................................................1714
Teaser ARMs, defined..............................................1707
TimeshareTime loans ...............................................1740
Unrealized gains and losses......................................1738
Use of estimates .......................................................1702
WAC defined............................................................1703
Warehouse loans ............................................1724, 1740
WARM.....................................................................1704
Weighted average margin.........................................1704
Weighted averages ...................................................1703
Zero-coupon securities .............................................1734

Schedule SC....................................................................201

SEC file number ...........................................................1402

Securities
Accrued interest and dividends receivable .................204
Asset-backed ..............................................................204
Auto loans ..................................................................204
Available-for-sale balances ......................................1002
Credit cards ................................................................204
Gains and losses on sale .............................................308
Income........................................................................302
Mortgage Derivatives.................................................206
Mortgage pass-through...............................................205
Mortgage-backed........................................................204
Pledged on margin accounts.......................................203
Schedule SC...............................................................202

U.S. Government and Agency, Schedule SC..............203
Unrealized gain or loss...............................................232
Service corporation
Defined.....................................................................1503
Service corporations .............See Subordinate organizations
Servicing
Loans serviced for others..........................................1003
Servicing assets...............................................................220
Regulatory capital adjustments.................................1605
Sale of ........................................................................309
Severance pay .................................................................311
SFAC No. 6
Borrowings.................................................................226
Share loans......................................................................214

Risk weighting.........................................................1618
Sinking fund mortgages ................................................. 224
Small business loans............................................. 213, 1201
Specific valuation allowances ........................................ 201
Provisions and transfers in Schedule VA...................410
State and Municipal Obligations
in Schedule SC........................................................... 204
Stock
Issued....................................................................... 1007
Retired ..................................................................... 1007
Subscriptions.............................................................. 225
Stock exchangeticker symbol......................................1402
Stock subscriptions......................................................... 230
Structured borrowings
Schedule CMR defined............................................1746
Subordinate organizations
Definition................................................................... 104
Investment in ............................................................. 219
Negative equity investment........................................ 230
Net income from ........................................................ 310
Subordinated debentures ................................................ 227
in Tier 2 capital........................................................1611
Interest expense ......................................................... 304
Issuance costs............................................................. 222
Subordinated securities
Schedule CC .............................................................. 705
Subsidiary
Defined for regulatory capital..................................1602
GAAP consolidated ................................................... 104
Lower-tier, defined .................................................. 1603
Nonincludable, defined............................................1604
Sale of........................................................................309
Supplementary capital...............................See Tier 2 capital

Tangible capital............................................................1602
Tax and insurance escrows
Advances for..............................................................212
Taxes
Deferred..................................................................... 229
Income tax expense.................................................... 315
Interest income from refunds ..................................... 310
Payable....................................................................... 229
Receivable ................................................................. 221
Telephone expense ......................................................... 314
Temporary employee expense........................................311
TFR
Copies of Forms and Instructions .............................. 101
TFR Schedules
List of......................................................................... 101
Tier 1 capital ................................................................ 1603
Requirement............................................................. 1609
Tier 1 risk-based capital ............................................... 1602
Tier 2 capital
Allowable in total regulatory capital........................ 1612
Defined .................................................................... 1609
Time-share loans ............................................................ 215
Construction loans ..................................................... 209
Trading securities...........................................................202
Defined .................................................................... 1001

Transmission...................................................101, 102, 103
Travelers’ checks
Risk weighting..........................................................1618
Treasury stock.................................................................233
Treasury tax and loan accounts.......................................224
Troubled debt restructured
Defined.......................................................................414
Nonaccrual status .......................................................503
Schedule PD...............................................................505
Trust Services...............................................................1301
Trusts ............................................................................1304
Fee income .................................................................307
Uninvested funds........................................................225

U.S. government and agency securities .........................203
IO and PO Strips ........................................................203

U.S. Savings Bonds Redeemed...................................................................202

U.S. Treasury bills ..........................................................203

U.S. Treasury securities Risk weighting..........................................................1616

U.S. Treasury tax and loan accounts...............................230

Unapplied loan disbursements........................................ 222
Unposted credits............................................................. 223
Utility deposits ............................................................... 221

Valuation allowances

Elimination in sales.................................................... 403

Provision for loss ....................................................... 305

Provision for loss on noninterest bearing assets......... 313

Purchased assets......................................................... 404

Reconciliation............................................................ 401

Web site expense............................................................314 Who must file.................................................................103 Who to call.....................................................................101 Withholding taxes

Employees’ share.......................................................225

From deposits............................................................. 225

Payable, employer's share .......................................... 229

NS	Optional Narrative Statement: Statement by institution management concerning issues
	relevant to the TFR
SC	Consolidated Statement of Condition: Assets, liabilities, and equity capital
SO	Consolidated Statement of Operations: Income and expense
VA	Consolidated Valuation Allowances and Related Data: Reconciliation of valuation
	allowances, charge-offs and recoveries, and other data on troubled assets
PD	Consolidated Past Due and Nonaccrual: Information on delinquent and nonaccrual loans

LD	Loan Data: Information on high loan-to-value loans secured by 1-4 family residential properties without PMI or government guarantee
CC	Consolidated Commitments and Contingencies: Information on commitments and contingencies
CF	Consolidated Cash Flow Information: Information on mortgage, deposit, and other activity affecting cash flow during the quarter
DI	Consolidated Deposit Information: Information on deposits and escrows
SI	Consolidated Supplemental Information: Information on QTL, loans to insiders, reconciliation of equity capital, transactions with affiliates, mutual fund and annuity sales, average balance sheet data, and other data
SQ	Consolidated Supplemental Questions: Questions concerning structural and other activity during the quarter
SB	Consolidated Small Business Loans: Data completed annually as of June 30 to comply with Section 122 of the FDIC Improvement Act
FS	Fiduciary and Related Services: Data on trust assets and activities. Summary data is completed quarterly; more detailed information is reported annually at December 31st
HC	Thrift Holding Company: Summary of holding company financial data for both the parent only and consolidated
CSS	Subordinate Organization Schedule: Listing of information on required subordinate organizations and joint ventures, completed annually at December 31
CCR	Consolidated Capital Requirement: Balances necessary to compute the OTS minimum capital requirement
CMR	Consolidated Maturity and Rate: Information on interest rate and repricing/maturity characteristics of selected balance-sheet and off-balance-sheet items
3.	FILING DEADLINES

GENERAL INSTRUCTIONS

SCHEDULE SC – CONSOLIDATED STATEMENT OF CONDITION

ASSETS

Include:

Do not include:

Do not include:

Do not include:

Include:

Do not include:

Include:

Do not include:

Include:

Do not include:

Include:

Do not include:

Include:

Do not include:

Include:

Do not include:

SC230: 1-4 Dwelling Units

Include:

Do not include:

SC235: Multifamily (5 or More Dwelling Units)

SC240: Nonresidential Property

Include:

Do not include:

1-4 Dwelling Units:

Do not include:

SC256: Multifamily (5 or More Dwelling Units)

Include:

Do not include:

SC260: Nonresidential Property, Except Land

Include:

Do not include:

SC265: Land

Include:

Do not include:

Do not include:

Do not include:

Do not include:

Adjust the balances in this section for:

Include:

Do not include:

SC32: Total

SC300: Secured

Do not include:

Include:

Do not include:

SC306: Lease Receivables

SC35: Total

SC310: Loans on Deposits

SC316: Home Improvement Loans (Not Secured by Real Estate)

Do not include:

SC323: Auto Loans

Do not include:

SC326: Mobile Home Loans

Do not include:

SC328: Credit Cards

Do not include:

SC330: Other, Including Lease Receivables

Include:

Do not include:

Do not include:

SC357: Allowance for Loan and Lease Losses

Include:

Do not include:

SC405: Construction

SC415: 1-4 Dwelling Units

SC425: Multifamily (5 or More Dwelling Units)

SC426: Nonresidential, Except Land

Include:

Do not include:

Include:

Do not include:

Include:

Do not include:

SC615: Key Person Life Insurance

SC625: Other

SC660: Goodwill and Other Intangible Assets

Include: