Form FFIEC 101 FFIEC 101 Risk-Based Capital Reporting for Institutions Subject to

Advanced Capital Adequacy Framework Regulatory Reporting Requirements

FFIEC101_20110331_form_omb (0159)

Advanced Capital Adequacy Framework Regulatory Reporting Requirments

OMB: 3064-0159

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Board of Governors of the Federal Reserve System
OMB Number: 7100-0319
Federal Deposit Insurance Corporation
OMB Number: 3064-0159
Office of the Comptroller of the Currency
OMB Number: 1557-0239
Office of Thrift Supervision
OMB Number: 1550-0120
Expires April 30, 2011

DRAFT
Federal Financial Institutions Examination Council

1

March 31, 2014

Risk-Based Capital Reporting for Institutions Subject to the
Advanced Capital
Adequacy Framework—FFIEC
101
2011
March
20110331
Report at the close of business December 31, 2010

(20101231)

This report is required by law: 12 U.S.C. 161 (National banks),
12 U.S.C. 324 and 12 U.S.C. 1844(c) (State member banks and BHCs

respectively), 12 U.S.C. 1817 (Insured state nonmember commercial
and savings banks), and 12 U.S.C. 1464 (Savings associations).

The FFIEC 101 is to be prepared in accordance with Federal regulatory authority instructions. The report must be signed by a senior
officer of the reporting entity who can attest that the risk estimates
and other information submitted in this report meet the requirements
set forth in 72 Fed. Reg. 69288 (“the final rule” that implements the
advanced approaches for determining risk-based capital for credit
and operational risk) and the FFIEC 101 reporting instructions. The
senior officer may be the chief financial officer, the chief risk officer, or
equivalent senior officer.

To fulfill the signature and attestation requirement for the FFIEC 101
for this report date, attach the bank’s completed signature page (or a
photocopy or a computer-generated version of this page) to the hardcopy records of the data file submitted electronically that the bank
must place in its files.

I, the undersigned senior officer of the named bank, bank holding
company, or savings association attest that the FFIEC 101 report for
this report date have been prepared in conformance with the instructions issued by the Federal regulatory authority and that the reported
risk estimates meet the requirements set forth in the final rule to the
best of my knowledge and belief.

(AAXX 9999)

The appearance of the bank’s hard-copy record of the submitted data
file need not match exactly the appearance of the FFIEC’s sample
report forms, but should show the caption of each reported item and
the reported amounts.

Legal Title of Bank (AAXX J197)

Mailing Adddress of the Bank Street/P.O. Box (AAXX 9110)

City (AAXX 9130)
Printed Name of Senior Officer (AAXX C490)
State Abbrev. (AAXX 9200)

ZIP Code (AAXX 9220)

Signature of Senior Officer

Title of Officer (AAXX C491)

Date of Signature (AAXX J196)

Person to whom questions about this report should be directed:
Name / Title (AAXX 8901)

For Federal Reserve Bank Use Only
Area Code / Phone Number (AAXX 8902)

BHC RSSD ID
RSSD ID

FAX Number (AAXX 9116)

C.I.
E-mail Address of Contact (AAXX 4086)

The estimated average reporting burden for this information collection is 625 hours
per response, including time to gather and maintain data in the required form and to
review instructions and complete the information collection. A Federal agency may
not conduct or sponsor, and an organization (or a person) is not required to respond
to a collection of information, unless it displays a currently valid OMB control number.
Comments regarding this burden estimate or any other aspect of this information collection, including suggestions for reducing the burden, may be sent to Secretary, Board

of Governors of the Federal Reserve System, Washington, D.C. 20551; to Assistant
Executive Secretary, Federal Deposit Insurance Corporation, Washington, D.C. 20429;
to Legislative and Regulatory Analysis Division, Office of the Comptroller of the Currency, Washington, D.C. 20219; to Chief Counsel’s Office, Office of Thrift Supervision,
1700 G Street, NW, Washington, D.C. 20552; and to the Office of Management and
Budget, Paperwork Reduction Project (7100–0128), Washington, D.C. 20503.

For Federal Reserve Bank Use Only

FFIEC 101
Page A-1

C.I.

2

Schedule A—Advanced Risk-Based Capital
Part I. Risk-Based Capital Numerator and Ratios for Banks and Bank Holding Companies
Dollar Amounts in Thousands
b. Qualifying restricted core capital elements (other than cumulative perpetual preferred stock)
(for BHCs only)............MDRM is G215
c. Qualifying mandatory convertible preferred securities of internationally active bank holding
TIER 1 CAPITAL
companies (for BHCs only)......G216

AAAB

4435
1. Total equity capital.............................................................................................................................. 3210

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

Bil

Mil

Thou

1.

8434

2.

A221

3.

4336
B588
B589
C502
B590

4.
5.
6.a.
6.b.
7.a.

F264
C227
B591
5610

7.b.
8.
9.a.
9.b.

J160
J161

9.c.
9.d.

J162
J163
J188
J189
J169

9.e.
9.f.
10.a.
10.b.
11.

5306
B593

12.
13.

J173
2221
J190
J191

14.
15.
16.a.
16.b.

J175

17.a.

J176

17.b.

J177
J178
J179
1395
B595
J182

17.c.
18.
19.
20.
21.
22.

6/08

For Federal Reserve Bank Use Only

FFIEC 101
Page A-2

C.I.

3

Schedule A—Continued
Part I. Continued
Dollar Amounts in Thousands
AAAB

Bil

Mil

Thou

ADJUSTMENTS FOR FINANCIAL SUBSIDIARIES (FOR BANKS ONLY)
23. a. Adjustment to Tier 1 capital reported in item 11 ............................................................................ C228
b. Adjustment to total risk-based capital reported in item 22............................................................. B503
24. Adjustment to risk-weighted assets.................................................................................................... B504
(Column A)
AAAB

CAPITAL RATIOS
(Column B is to be completed by all banks and bank holding companies.
Column A is to be completed by banks with financial subsidiaries.)
25. Tier 1 risk-based capital ratio1 ...................................................................... J192
26. Total risk-based capital ratio2 ....................................................................... J193

23.a.
23.b.
24.
(Column B)

Percentage

AAAB

Percentage

.

J194
J195

.

.

AAAB

25.
26.

.

Bil

Mil

Thou

27. Eligible credit reserves ....................................................................................................................... J183
28. Total expected credit losses ............................................................................................................... J184

1
2

27.
28.

The ratio for column B is item 11 divided by Schedule B, item 33, Column G. The ratio for column A is item 11 minus item 23.a divided by
(Schedule B, item 33, Column G, minus item 24).
The ratio for column B is item 22 divided by Schedule B, item 33, Column G. The ratio for column A is item 22 minus item 23.b divided by
(Schedule B, item 33, Column G, minus item 24).

3/08
6/08

Schedule B—Summary Risk-Weighted Asset Information for Banks Approved to Use
Advanced Internal Ratings-Based and Advanced Measurement Approaches for
Regulatory Capital Purposes

For Federal Reserve Bank Use Only

FFIEC 101
Page B-1

C.I.

6

Dollar Amounts in Thousands
Non-Defaulted and Defaulted Exposures

Exposure Category

(Column A)
Weighted Average
Probability of
Default
Percentage

WHOLESALE EXPOSURES
1. Corporate ............................

(Column B)
Balance Sheet
Amount

Bil

Mil

Thou

(Column C)
Total Undrawn
Amount

Bil

Mil

Thou

(Column D)
Exposure
at Default

Bil

Mil

Thou

(Column E)
(Column F)
Weighted Average Wtd Avg LGD after
Maturity
Consideration
(Years)
of Credit Risk
Mitigants

(Column G)
Risk Weighted
Assets

Bil

Mil

Thou

(Column H)
Expected
Credit Loss

Number

Percentage

AABA J124

AABB J124

AABC J124

AABD J124

AABE J124

AABF J124

AABG J124

Bil

AABH J124

Mil

Thou

AABA J125

AABB J125

AABC J125

AABD J125

AABE J125

AABF J125

AABG J125

AABH J125

AABA J126

AABB J126

AABC J126

AABD J126

AABE J126

AABF J126

AABG J126

AABH J126

AABA J127

AABB J127

AABC J127

AABD J127

AABE J127

AABF J127

AABG J127

AABH J127

AABA J128

AABB J128

AABC J128

AABD J128

AABE J128

AABF J128

AABG J128

AABH J128

1.

2. Bank ....................................

2.

3. Sovereign ............................

3.

4. IPRE ....................................
5. HVCRE................................
6. Eligible margin loans, repostyle transactions and OTC
derivatives with crossproduct netting—EAD
adjustment method..............
7. Eligible margin loans, repostyle transactions and OTC
derivatives with crossproduct netting—collateral
reflected in LGD ..................
8. Eligible margin loans, repostyle transactions—no
cross-product netting—EAD
adjustment method..............
9. Eligible margin loans, repostyle transactions—no
cross-product netting—
collateral reflected in LGD ...
10. OTC derivatives—no crossproduct netting—EAD
adjustment method..............
11. OTC derivatives—no crossproduct netting—collateral
reflected in LGD ....................

4.
5.

AABA J129

AABB J129

AABC J129

AABD J129

AABE J129

AABF J129

AABG J129

AABH J129
6.

AABA J130

AABB J130

AABC J130

AABD J130

AABE J130

AABF J130

AABG J130

AABH J130
7.

AABA J131

AABB J131

AABC J0131

AABD J131

AABE J131

AABF J131

AABG J131

AABH J131
8.

AABA J132

AABB J132

AABC J132

AABD J132

AABE J132

AABF J132

AABG J132

AABH J132
9.

AABA J133

AABB J133

AABC J133

AABD J133

AABE J133

AABF J133

AABG J133

AABH J133
10.

AABA J134

AABB J134

AABC J134

AABD J134

AABE J134

AABF J134

AABG J134

AABH J134

6/08

11.

Schedule B—Continued

For Federal Reserve Bank Use Only

Dollar Amounts in Thousands

FFIEC 101
Page B-2

C.I.

7
Non-Defaulted and Defaulted Exposures

Exposure Category

(Column A)
Weighted Average
Probability of
Default
Percentage

RETAIL EXPOSURES
12. Residential mortgage—
closed-end first lien
exposures............................
13. Residential mortgage—
closed-end junior lien
exposures............................
14. Residential mortgage—
revolving exposures ............
15. Qualifying revolving
exposures............................

AABA J135

(Column B)
Balance Sheet
Amount

Bil

Mil

Thou

AABB J135

(Column C)
Total Undrawn
Amount

Bil

Mil

Thou

AABC J135

(Column D)
Exposure
at Default

Bil

Mil

Thou

AABD J135

EQUITY EXPOSURES
21. Simple risk weight method
(SRWA) ...............................
22. Full internal models
approach (IMA) ...................
23. Partial IMA, partial SRWA ...

Number

Percentage

AABE J135

AABF J135

.

AABA J136

AABB J136

AABC J136

AABD J136

AABE J136
.

AABA J137

AABB J137

AABC J137

AABD J137

AABE J137

AABA J138

AABB J138

AABC J138

AABD J138

AABE J138

AABA J139

AABB J139

AABC J139

AABD J139

AABE J139

.

.

16. Other retail exposures .........
SECURITIZATION
EXPOSURES
17. Subject to ratings-based
approach .............................
18. Subject to internal
assessment approach .........
19. Subject to the supervisory
formula approach ................
20. Investors’ interest in
securitizations .....................

(Column E)
(Column F)
Weighted Average Wtd Avg LGD after
Maturity
Consideration
(Years)
of Credit Risk
Mitigants

.

AABA J140

AABB J140

AABC J0140

AABD J140

AABE J140

AABA J141

AABB J141

AABC J141

AABD J141

AABE J141

AABA J142

AABB J142

AABC J142

AABD J142

AABE J142

AABA J143

AABB J143

AABC J143

AABD J143

AABE J143

.

.

.

.

AABA J144

AABB J144

AABC J144

AABD J144

AABE J144
.

AABA J145

AABB J145

AABC J145

AABD J145

AABE J145

AABA J146

AABB J146

AABC J146

AABD J146

AABE J146

.

.

(Column G)
Risk Weighted
Assets

Bil

Mil

Thou

AABG J135

(Column H)
Expected
Credit Loss

Bil

Mil

Thou

AABH J135
12.

.

AABF J136

AABG J136

AABH J136

AABG J137

AABH J137

AABG J138

AABH J138

AABG J139

AABH J139

13.

.

AABF J137

14.

.

AABF J138

15.

.

AABF J139

16.

.

AABF J140

AABG J140

AABH J140

AABG J141

AABH J141

AABG J142

AABH J142

AABG J143

AABH J143

17.

.

AABF J141

18.

.

AABF J142

19.

.

AABF J143

20.

.

AABF J144

AABG J144

AABH J144

AABG J145

AABH J145

AABG J146

AABH J146

21.

.

AABF J145

22.

.

AABF J146
.

23.
6/08

Schedule B—Continued

For Federal Reserve Bank Use Only

Dollar Amounts in Thousands

FFIEC 101
Page B-3

C.I.

8
Non-Defaulted and Defaulted Exposures

Exposure Category

(Column A)
Weighted Average
Probability of
Default
Percentage

OTHER ASSETS
24. Unsettled transactions..........
25. Assets not included in a
defined exposure category ..
26. Non-material portfolios
of exposures.........................
27. Sum of Column G, 1
through 26 .............................
28. Total credit risk weighted
assets (cell G-27 x 1.06) ......
29. Assets subject to the
general risk-based capital
requirements ........................
30. Excess eligible credit
reserves not included in
Tier 2 capital .........................
31. Market risk equivalent
assets ...................................

AABA J147

(Column B)
Balance Sheet
Amount

Bil

Mil

Thou

(Column C)
Total Undrawn
Amount

Bil

Mil

Thou

(Column D)
Exposure
at Default

Bil

Mil

Thou

Number

Percentage

AABB J147

AABC J0147

AABD J147

AABE J147

AABF J147

.

.

AABB J148

AABC J0148

AABD J148

AABE J148

AABF J148

.

.

AABB J149

AABC J149

AABD J149

AABE J149

AABF J149

.

.

AABB J150

AABC J150

AABD J150

AABE J150

AABF J150

.

.

AABB J151

AABC J151

AABD J151

AABE J151

AABF J151

.

.

AABE J198

AABF J198

.

.

.

AABA J148
.

AABA J149
.

AABA J150
.

AABA J151
.

AABA J198

(Column E)
(Column F)
Weighted Average Wtd Avg LGD after
Maturity
Consideration
(Years)
of Credit Risk
Mitigants

AABB J198

AABC J198

AABD J198

.

AABA J152

AABB J152

AABC J152

AABD J152

AABE J152

AABF J152

AABA J152

AABB J152

AABC J152

AABD J152

AABE J152

AABF J152

.

.

AABF J153

(Column G)
Risk Weighted
Assets

Bil

Mil

Thou

(Column H)
Expected
Credit Loss

Bil

Mil

Thou

AABG J147

AABH J147

AABG J148

AABH J148

AABG J149

AABNH J149

AABG J150

AABH J150

AABG J151

AABH J151

24.
25.
26.
27.
28.
AABG J198

AABH J198

AABG J152

AABH J152

AABG J152

AABH J152

AABG J153

AABH J153

AABG J154

AABH J154

29.

.

.

AABA J153

AABB J153

AABC J153

AABD J153

AABE J153
.

.

AABB J154

AABC J154

AABD J154

AABE J154

AABF J154

.

AABA J154
32. Operational risk ....................

.

33. Total (add cells G-28, G-29,
G-31, and G-32, and
subtract G-30) ......................

AABA J155

30.
31.

.

32.

.

.

AABB J155

AABC J155

AABD J155

AABE J155

AABF J155

.

.

AABG J155

AABH J155
33.

6/08

FFIEC 101
Page C-1

Schedule C—Wholesale Exposure–Corporate

9

Dollar Amounts in Thousands

PD Range

(Column A)
Weighted Average
Obligor PD

Percentage

Percentage

Number

Number

Percentage

Percentage

AACA J005

AACB J005

AACC J005

AACD J005

AACE J005

AACF J005

AACG J005

AACH J005

AACB J008

AACC J008

AACD J008

AACE J008

AACF J008

AACB J010

AACC J010

AACD J010

AACE J010

AACF J010

AACB J013

AACC J013

AACD J013

AACE J013

AACF J013

AACB J014

AACC J014

AACD J014

AACE J014

AACF J014

AACB J016

AACC J016

AACD J016

AACE J016

AACF J016

AACB J019

AACC J019

AACD J019

AACE J019

AACF J019

AACB J025

AACC J025

AACD J025

AACE J025

AACF J025

AACB J029

AACC J029

AACD J029

AACE J029

AACF J029

AACB J031

AACC J031

AACD J031

AACE J031

AACF J031

AACB J033

AACC J033

AACD J033

AACE J033

AACF J033

AACB J034

AACC J034

AACD J034

AACE J034

AACF J034

AACA J035

AACB J035

AACC J035

AACD J035

AACE J035

AACF J035

AACG J035

wtd avg

sum

sum

sum

sum

wtd avg

wtd avg

1. 0.00 to < 0.15 ..

13. Total1...............

.

.

.

.

.

.

.

.

.

.
AACA J034

12. 100.00 (default)

.

.
AACA J033

11. 20.00 to < 100. ..

Thou

.
AACA J031

10. 10.00 to < 20.00

Mil

.
AACA J029

9. 5.50 to < 10.00

Bil

.
AACA J025

8. 2.50 to < 5.50 ..

Mil Thou

.
AACA J019

7. 1.35 to < 2.50 ..

Thou

.
AACA J016

6. 0.75 to < 1.35 ..

Bil

Mil

(Column G)
(Column H)
(Column F)
Weighted Average Weighted Average Weighted Average
LGD before
LGD after
Effective Maturity
Consideration of
Consideration
(Years)
Eligible
of Credit Risk
Guarantees and
Mitigants
Credit Derivatives

.
AACA J014

5. 0.50 to < 0.75 ..

Bil

(Column E)
EAD

.
AACA J013

4. 0.35 to < 0.50 ..

(Column D)
Total Undrawn
Amount

.
AACA J010

3. 0.25 to < 0.35 ..

(Column C)
Balance Sheet
Amount

.
AACA J008

2. 0.15 to < 0.25 ..

(Column B)
Number
of Obligors

.

.

100.00

Bil

Mil

.
AACG J008
.
AACG J010
.
AACG J013
.
AACG J014
.
AACG J016
.
AACG J019
.
AACG J025
.
AACG J029
.
AACG J031
.
AACG J033
.
AACG J034
.

(Column I)
Effect of PD
Substitution and
LGD Adjustment
Approaches on
RWA

Bil

Mil

Thou

(Column J)
Effect of Double
Default Treatment
on RWA

Bil

Mil

Thou

(Column K)
Risk Weighted
Assets2

Bil

Mil

Thou

(Column L)
Expected
Credit Loss

Bil

Mil

Thou

AACI J005

AACJ J005

AACK J005

AACL J005

AACI J008

AACJ J008

AACK J008

AACL J008

AACI J010

AACJ J010

AACK J010

AACL J010

AACI J013

AACJ J013

AACK J013

AACL J013

AACI J014

AACJ J014

AACK J014

AACL J014

AACI J016

AACJ J016

AACK J016

AACL J016

AACI J019

AACJ J019

AACK J019

AACL J019

AACI J025

AACJ J025

AACK J025

AACL J025

AACI J029

AACJ J029

AACK J029

AACL J029

AACI J031

AACJ J031

AACK J031

AACL J031

AACI J033

AACJ J033

AACK J033

AACL J033

AACI J034

AACJ J034

AACK J034

AACL J034

AACH J035

AACI J035

AACJ J035

AACK J035

AACL J035

wtd avg

sum

sum

sum

sum

.
AACH J008

1.

.
AACH J010

2.

.
AACH J013

3.

.
AACH J014

4.

.
AACH J016

5.

.
AACH J019

6.

.
AACH J025

7.

.
AACH J029

8.

.
AACH J031

9.

.
AACH J033

10.

.
AACH J034

11.

.

12.

13.

Thou

AACX J036
14. Risk weighted assets associated with non-material portfolios not included above ........................

1
2

Cells in line 13 are calculated.
Not calculated from previous column entries.

14.

6/08

FFIEC 101
Page D-1

Schedule D—Wholesale Exposure–Bank

10

Dollar Amounts in Thousands

PD Range

(Column A)
Weighted Average
Obligor PD

Percentage

Percentage

Number

Number

Percentage

Percentage

AADA J005

AADB J005

AADC J005

AADD J005

AADE J005

AADF J005

AADG J005

AADH J005

AADB J008

AADC J008

AADD J008

AADE J008

AADF J008

AADB J010

AADC J010

AADD J010

AADE J010

AADF J010

AADB J013

AADC J013

AADD J013

AADE J013

AADF J013

AADB J014

AADC J014

AADD J014

AADE J014

AADF J014

AADB J016

AADC J016

AADD J016

AADE J016

AADF J016

AADB J019

AADC J019

AADD J019

AADE J019

AADF J019

AADB J025

AADC J025

AADD J025

AADE J025

AADF J025

AADB J029

AADC J029

AADD J029

AADE J029

AADF J029

AADB J031

AADC J031

AADD J031

AADE J031

AADF J031

AADB J033

AADC J033

AADD J033

AADE J033

AADF J033

AADB J034

AADC J034

AADD J034

AADE J034

AADF J034

AADA J035

AADB J035

AADC J035

AADD J035

AADE J035

AADF J035

AADG J035

wtd avg

sum

sum

sum

wtd avg

wtd avg

1. 0.00 to < 0.15 ..

13. Total1................

.

.

.

.

.

.

.

.

.

.

.
AADA J034

12. 100.00 (default)

Thou

.
AADA J033

11. 20.00 to < 100...

Mil

.
AADA J031

10. 10.00 to < 20.00

Bil

.
AADA J029

9. 5.50 to < 10.00

Thou

.
AADA J025

8. 2.50 to < 5.50 ..

Mil

.
AADA J019

7. 1.35 to < 2.50 ..

Bil

.
AADA J016

6. 0.75 to < 1.35 ..

Thou

(Column F)
Weighted Average
Effective Maturity
(Years)

.
AADA J014

5. 0.50 to < 0.75 ..

Mil

(Column E)
EAD

.
AADA J013

4. 0.35 to < 0.50 ..

Bil

(Column D)
Total Undrawn
Amount

.
AADA J010

3. 0.25 to < 0.35 ..

(Column C)
Balance Sheet
Amount

.
AADA J008

2. 0.15 to < 0.25 .

(Column B)
Number of Obligors

.

.

100.00

sum

Bil

Mil

(Column G)
Weighted Average
LGD before
Consideration of
Eligible
Guarantees and
Credit Derivatives

.
AADG J008
.
AADG J010
.
AADG J013
.
AADG J014
.
AADG J016
.
AADG J019
.
AADG J025
.
AADG J029
.
AADG J031
.
AADG J033
.
AADG J034
.

(Column H)
Weighted Average
LGD after
Consideration
of Credit Risk
Mitigants

(Column I)
Effect of PD
Substitution and
LGD Adjustment
Approaches on
RWA

Bil

Mil

Thou

(Column J)
Risk Weighted
Assets2

Bil

Mil

Thou

(Column K)
Expected
Credit Loss

Bil

Mil

Thou

AADI J005

AADJ J005

AADK J005

AADI J008

AADJ J008

AADK J008

AADI J010

AADJ J010

AADK J010

AADI J013

AADJ J013

AADK J013

AADI J014

AADJ J014

AADK J014

AADI J016

AADJ J016

AADK J016

AADI J019

AADJ J019

AADK J019

AADI J025

AADJ J025

AADK J025

AADI J029

AADJ J029

AADK J029

AADI J031

AADJ J031

AADK J031

AADI J033

AADJ J033

AADK J033

AADI J034

AADJ J034

AADK J034

AADH J035

AADI J035

AADJ J035

AADK J035

wtd avg

sum

sum

sum

.
AADH J008

1.

.
AADH J010

2.

.
AADH J013

3.

.
AADH J014

4.

.
AADH J016

5.

.
AADH J019

6.

.
AADH J025

7.

.
AADH J029

8.

.
AADH J031

9.

.
AADH J033

10.

.
AADH J034

11.

.

12.

13.

Thou

AADX J036
14. Risk weighted assets associated with non-material portfolios not included above ...................................

1
2

Cells in line 13 are calculated.
Not calculated from previous column entries.

14.

6/08

FFIEC 101
Page E-1

Schedule E—Wholesale Exposure–Sovereign

11

Dollar Amounts in Thousands

PD Range

(Column A)
Weighted Average
Obligor PD

Percentage

Percentage

Number

Number

Percentage

Percentage

AAEA J005

AAEB J005

AAEC J005

AAED J005

AAEE J005

AAEF J005

AAEG J005

AAEH J005

AAEB J008

AAEC J008

AAED J008

AAEE J008

AAEF J008

AAEB J010

AAEC J010

AAED J010

AAEE J010

AAEF J010

AAEB J013

AAEC J013

AAED J013

AAEE J013

AAEF J013

AAEB J014

AAEC J014

AAED J014

AAEE J014

AAEF J014

AAEB J016

AAEC J016

AAED J016

AAEE J016

AAEF J016

AAEB J019

AAEC J019

AAED J019

AAEE J019

AAEF J019

AAEB J025

AAEC J025

AAED J025

AAEE J025

AAEF J025

AAEB J029

AAEC J029

AAED J029

AAEE J029

AAEF J029

AAEB J031

AAEC J031

AAED J031

AAEE J031

AAEF J031

AAEB J033

AAEC J033

AAED J033

AAEE J033

AAEF J033

AAEB J034

AAEC J034

AAED J034

AAEE J034

AAEF J034

AAEA J035

AAEB J035

AAEC J035

AAED J035

AAEE J035

AAEF J035

AAEG J035

wtd avg

sum

sum

sum

wtd avg

wtd avg

1. 0.00 to < 0.15 ..

13. Total1................

.

.

.

.

.

.

.

.

.

.

.
AAEA J034

12. 100.00 (default)

Thou

.
AAEA J033

11. 20.00 to < 100...

Mil

.
AAEA J031

10. 10.00 to < 20.00

Bil

.
AAEA J029

9. 5.50 to < 10.00

Thou

.
AAEA J025

8. 2.50 to < 5.50 ..

Mil

.
AAEA J019

7. 1.35 to < 2.50 ..

Bil

.
AAEA J016

6. 0.75 to < 1.35 ..

Thou

(Column F)
Weighted Average
Effective Maturity
(Years)

.
AAEA J014

5. 0.50 to < 0.75 ..

Mil

(Column E)
EAD

.
AAEA J013

4. 0.35 to < 0.50 ..

Bil

(Column D)
Total Undrawn
Amount

.
AAEA J010

3. 0.25 to < 0.35 ..

(Column C)
Balance Sheet
Amount

.
AAEA J008

2. 0.15 to < 0.25 .

(Column B)
Number of Obligors

.

.

100.00

sum

Bil

Mil

(Column G)
Weighted Average
LGD before
Consideration of
Eligible
Guarantees and
Credit Derivatives

.
AAEG J008
.
AAEG J010
.
AAEG J013
.
AAEG J014
.
AAEG J016
.
AAEG J019
.
AAEG J025
.
AAEG J029
.
AAEG J031
.
AAEG J033
.
AAEG J034
.

(Column H)
Weighted Average
LGD after
Consideration
of Credit Risk
Mitigants

(Column I)
Effect of PD
Substitution and
LGD Adjustment
Approaches on
RWA

Bil

Mil

Thou

(Column J)
Risk Weighted
Assets2

Bil

Mil

Thou

(Column K)
Expected
Credit Loss

Bil

Mil

Thou

AAEI J005

AAEJ J005

AAEK J005

AAEI J008

AAEJ J008

AAEK J008

AAEI J010

AAEJ J010

AAEK J010

AAEI J013

AAEJ J013

AAEK J013

AAEI J014

AAEJ J014

AAEK J014

AAEI J016

AAEJ J016

AAEK J016

AAEI J019

AAEJ J019

AAEK J019

AAEI J025

AAEJ J025

AAEK J025

AAEI J029

AAEJ J029

AAEK J029

AAEI J031

AAEJ J031

AAEK J031

AAEI J033

AAEJ J033

AAEK J033

AAEI J034

AAEJ J034

AAEK J034

AAEH J035

AAEI J035

AAEJ J035

AAEK J035

wtd avg

sum

sum

sum

.
AAEH J008

1.

.
AAEH J010

2.

.
AAEH J013

3.

.
AAEH J014

4.

.
AAEH J016

5.

.
AAEH J019

6.

.
AAEH J025

7.

.
AAEH J029

8.

.
AAEH J031

9.

.
AAEH J033

10.

.
AAEH J034

11.

.

12.

13.

Thou

AAEX J036
14. Risk weighted assets associated with non-material portfolios not included above ...................................

1
2

Cells in line 13 are calculated.
Not calculated from previous column entries.

14.

6/08

FFIEC 101
Page F-1

Schedule F—Wholesale Exposure–IPRE

12

Dollar Amounts in Thousands

PD Range

(Column A)
Weighted Average
Obligor PD

Percentage

Percentage

Number

Number

Percentage

Percentage

AAFA J005

AAFB J005

AAFC J005

AAFD J005

AAFE J005

AAFF J005

AAFG J005

AAFH J005

AAFB J008

AAFC J008

AAFD J008

AAFE J008

AAFF J008

AAFB J010

AAFC J010

AAFD J010

AAFE J010

AAFF J010

AAFB J013

AAFC J013

AAFD J013

AAFE J013

AAFF J013

AAFB J014

AAFC J014

AAFD J014

AAFE J014

AAFF J014

AAFB J016

AAFC J016

AAFD J016

AAFE J016

AAFF J016

AAFB J019

AAFC J019

AAFD J019

AAFE J019

AAFF J019

AAFB J025

AAFC J025

AAFD J025

AAFE J025

AAFF J025

AAFB J029

AAFC J029

AAFD J029

AAFE J029

AAFF J029

AAFB J031

AAFC J031

AAFD J031

AAFE J031

AAFF J031

AAFB J033

AAFC J033

AAFD J033

AAFE J033

AAFF J033

AAFB J034

AAFC J034

AAFD J034

AAFE J034

AAFF J034

AAFA J035

AAFB J035

AAFC J035

AAFD J035

AAFE J035

AAFF J035

AAFG J035

wtd avg

sum

sum

sum

sum

wtd avg

wtd avg

1. 0.00 to < 0.15 ..

13. Total1................

.

.

.

.

.

.

.

.

.

.
AAFA J034

12. 100.00 (default)

.

.
AAFA J033

11. 20.00 to < 100...

Thou

.
AAFA J031

10. 10.00 to < 20.00

Mil

.
AAFA J029

9. 5.50 to < 10.00

Bil

.
AAFA J025

8. 2.50 to < 5.50 ..

Mil Thou

.
AAFA J019

7. 1.35 to < 2.50 ..

Thou

.
AAFA J016

6. 0.75 to < 1.35 ..

Bil

Mil

(Column G)
(Column H)
(Column F)
Weighted Average Weighted Average Weighted Average
LGD before
LGD after
Effective Maturity
Consideration of
Consideration
(Years)
Eligible
of Credit Risk
Guarantees and
Mitigants
Credit Derivatives

.
AAFA J014

5. 0.50 to < 0.75 ..

Bil

(Column E)
EAD

.
AAFA J013

4. 0.35 to < 0.50 ..

(Column D)
Total Undrawn
Amount

.
AAFA J010

3. 0.25 to < 0.35 ..

(Column C)
Balance Sheet
Amount

.
AAFA J008

2. 0.15 to < 0.25 ..

(Column B)
Number
of Obligors

.

.

100.00

Bil

Mil

.
AAFG J008
.
AAFG J010
.
AAFG J013
.
AAFG J014
.
AAFG J016
.
AAFG J019
.
AAFG J025
.
AAFG J029
.
AAFG J031
.
AAFG J033
.
AAFG J034
.

(Column I)
Effect of PD
Substitution and
LGD Adjustment
Approaches on
RWA

Bil

Mil

Thou

(Column J)
Effect of Double
Default Treatment
on RWA

Bil

Mil

Thou

(Column K)
Risk Weighted
Assets2

Bil

Mil

Thou

(Column L)
Expected
Credit Loss

Bil

Mil

Thou

AAFI J005

AAFJ J005

AAFK J005

AAFL J005

AAFI J008

AAFJ J008

AAFK J008

AAFL J008

AAFI J010

AAFJ J010

AAFK J010

AAFL J010

AAFI J013

AAFJ J013

AAFK J013

AAFL J013

AAFI J014

AAFJ J014

AAFK J014

AAFL J014

AAFI J016

AAFJ J016

AAFK J016

AAFL J016

AAFI J019

AAFJ J019

AAFK J019

AAFL J019

AAFI J025

AAFJ J025

AAFK J025

AAFL J025

AAFI J029

AAFJ J029

AAFK J029

AAFL J029

AAFI J031

AAFJ J031

AAFK J031

AAFL J031

AAFI J033

AAFJ J033

AAFK J033

AAFL J033

AAFI J034

AAFJ J034

AAFK J034

AAFL J034

AAFH J035

AAFI J035

AAFJ J035

AAFK J035

AAFL J035

wtd avg

sum

sum

sum

sum

.
AAFH J008

1.

.
AAFH J010

2.

.
AAFH J013

3.

.
AAFH J014

4.

.
AAFH J016

5.

.
AAFH J019

6.

.
AAFH J025

7.

.
AAFH J029

8.

.
AAFH J031

9.

.
AAFH J033

10.

.
AAFH J034

11.

.

12.

13.

Thou

AAFX J036
14. Risk weighted assets associated with non-material portfolios not included above ........................

1
2

Cells in line 13 are calculated.
Not calculated from previous column entries.

14.

6/08

FFIEC 101
Page G-1

Schedule G—Wholesale Exposure–HVCRE

13

Dollar Amounts in Thousands

PD Range

(Column A)
Weighted Average
Obligor PD

Percentage

Percentage

Number

Number

Percentage

Percentage

AAGA J005

AAGB J005

AAGC J005

AAGD J005

AAGE J005

AAGF J005

AAGG J005

AAGH J005

AAGB J008

AAGC J008

AAGD J008

AAGE J008

AAGF J008

AAGB J010

AAGC J010

AAGD J010

AAGE J010

AAGF J010

AAGB J013

AAGC J013

AAGD J013

AAGE J013

AAGF J013

AAGB J014

AAGC J014

AAGD J014

AAGE J014

AAGF J014

AAGB J016

AAGC J016

AAGD J016

AAGE J016

AAGF J016

AAGB J019

AAGC J019

AAGD J019

AAGE J019

AAGF J019

AAGB J025

AAGC J025

AAGD J025

AAGE J025

AAGF J025

AAGB J029

AAGC J029

AAGD J029

AAGE J029

AAGF J029

AAGB J031

AAGC J031

AAGD J031

AAGE J031

AAGF J031

AAGB J033

AAGC J033

AAGD J033

AAGE J033

AAGF J033

AAGB J034

AAGC J034

AAGD J034

AAGE J034

AAGF J034

AAGA J035

AAGB J035

AAGC J035

AAGD J035

AAGE J035

AAGF J035

AAGG J035

wtd avg

sum

sum

sum

sum

wtd avg

wtd avg

1. 0.00 to < 0.15 ..

13. Total1................

.

.

.

.

.

.

.

.

.

.
AAGA J034

12. 100.00 (default)

.

.
AAGA J033

11. 20.00 to < 100. ..

Thou

.
AAGA J031

10. 10.00 to < 20.00

Mil

.
AAGA J029

9. 5.50 to < 10.00

Bil

.
AAGA J025

8. 2.50 to < 5.50 ..

Mil Thou

.
AAGA J019

7. 1.35 to < 2.50 ..

Thou

.
AAGA J016

6. 0.75 to < 1.35 ..

Bil

Mil

(Column G)
(Column H)
(Column F)
Weighted Average Weighted Average Weighted Average
LGD before
LGD after
Effective Maturity
Consideration of
Consideration
(Years)
Eligible
of Credit Risk
Guarantees and
Mitigants
Credit Derivatives

.
AAGA J014

5. 0.50 to < 0.75 ..

Bil

(Column E)
EAD

.
AAGA J013

4. 0.35 to < 0.50 ..

(Column D)
Total Undrawn
Amount

.
AAGA J010

3. 0.25 to < 0.35 ..

(Column C)
Balance Sheet
Amount

.
AAGA J008

2. 0.15 to < 0.25 ..

(Column B)
Number
of Obligors

.

.

100.00

Bil

Mil

.
AAGG J008
.
AAGG J010
.
AAGG J013
.
AAGG J014
.
AAGG J016
.
AAGG J019
.
AAGG J025
.
AAGG J029
.
AAGG J031
.
AAGG J033
.
AAGG J034
.

(Column I)
Effect of PD
Substitution and
LGD Adjustment
Approaches on
RWA

Bil

Mil

Thou

(Column J)
Effect of Double
Default Treatment
on RWA

Bil

Mil

Thou

(Column K)
Risk Weighted
Assets2

Bil

Mil

Thou

(Column L)
Expected
Credit Loss

Bil

Mil

Thou

AAGI J005

AAGJ J005

AAGK J005

AAGL J005

AAGI J008

AAGJ J008

AAGK J008

AAGL J008

AAGI J010

AAGJ J010

AAGK J010

AAGL J010

AAGI J013

AAGJ J013

AAGK J013

AAGL J013

AAGI J014

AAGJ J014

AAGK J014

AAGL J014

AAGI J016

AAGJ J016

AAGK J016

AAGL J016

AAGI J019

AAGJ J019

AAGK J019

AAGL J019

AAGI J025

AAGJ J025

AAGK J025

AAGL J025

AAGI J029

AAGJ J029

AAGK J029

AAGL J029

AAGI J031

AAGJ J031

AAGK J031

AAGL J031

AAGI J033

AAGJ J033

AAGK J033

AAGL J033

AAGI J034

AAGJ J034

AAGK J034

AAGL J034

AAGH J035

AAGI J035

AAGJ J035

AAGK J035

AAGL J035

wtd avg

sum

sum

sum

sum

.
AAGH J008

1.

.
AAGH J010

2.

.
AAGH J013

3.

.
AAGH J014

4.

.
AAGH J016

5.

.
AAGH J019

6.

.
AAGH J025

7.

.
AAGH J029

8.

.
AAGH J031

9.

.
AAGH J033

10.

.
AAGH J034

11.

.

12.

13.

Thou

AAGX J036
14. Risk weighted assets associated with non-material portfolios not included above ........................

1
2

Cells in line 13 are calculated.
Not calculated from previous column entries.

14.

6/08

FFIEC 101
Page H-1

Schedule H—Wholesale Exposure–Eligible Margin Loans, Repo-Style Transactions and OTC Derivatives
With Cross-Product Netting

14

Dollar Amounts in Thousands
Exposures Where Collateral Is Reflected in LGD

Exposures with EAD Adjustment

PD Range

Percentage

1. 0.00 to < 0.03 ..

(Column B)
(Column A)
Weighted Average Weighted Average
Effective Maturity
PD
(Years)
Percentage

Number

AAHA J001

AAHB J001

.
AAHA J003

2. 0.03 to < 0.10 ..

.
AAHA J006

3. 0.10 to < 0.15 ..

.
AAHA J008

4. 0.15 to < 0.25 ..

.
AAHA J012

5. 0.25 to < 0.50 ..

.
AAHA J014

6. 0.50 to < 0.75 ..

.
AAHA J016

7. 0.75 to < 1.35 ..

.
AAHA J019

8. 1.35 to < 2.50 ..

.
AAHA J025

9. 2.50 to < 5.50 ..

.
AAHA J029

10. 5.50 to < 10.00

.
AAHA J032

11. 10.00 to < 100...

.
AAHA J034

12. 100.00 (default)

100.00

1
2

Bil

Mil Thou

AAHC J003

AAHD J003

AAHC J006

AAHD J006

AAHC J008

AAHD J008

AAHC J012

AAHD J012

AAHC J014

AAHD J014

AAHC J016

AAHD J016

AAHC J019

AAHD J019

AAHC J025

AAHD J025

AAHC J029

AAHD J029

AAHC J032

AAHD J032

AAHC J034

AAHD J034

Number

AAHG J001

AAHH J001

AAHE J003

AAHF J003

AAHG J003

AAHE J006

AAHF J006

AAHG J006

AAHE J008

AAHF J008

AAHG J008

AAHE J012

AAHF J012

AAHG J012

AAHE J014

AAHF J014

AAHG J014

AAHE J016

AAHF J016

AAHG J016

AAHE J019

AAHF J019

AAHG J019

AAHE J025

AAHF J025

AAHG J025

AAHE J029

AAHF J029

AAHG J029

AAHE J032

AAHF J032

AAHG J032

AAHE J034

AAHF J034

AAHG J034

.

.

.

.

.

.

.

.

.

.

.

.

.
AAHB J034

Thou

.

.
AAHB J032

Mil

.

.
AAHB J029

Percentage

AAHF J001

.

.
AAHB J025

Bil

.

.
AAHB J019

Thou

.

.
AAHB J016

Mil

.

.

.

.

AAHC J037

(Column G)
(Column H)
Weighted Average Weighted Average
PD
Maturity
(Years)

AAHE J001

.

.
AAHB J014

Bil

(Column F)
Expected
Credit Loss

.

.
AAHB J012

(Column E)
Risk Weighted
Assets2

.

.
AAHB J008

Percentage
AAHD J001

.
AAHB J006

(Column D)
Weighted Average
LGD

AAHC J001

.
AAHB J003

13. Eligible margin
loans where a
300% riskweight has
been applied ....

14. Total1................

(Column C)
EAD

100.00

(Column I)
EAD

Bil

Mil

Thou

AAHJ J001

AAHI J003

AAHJ J003

AAHI J006

AAHJ J006

AAHI J008

AAHJ J008

AAHI J012

AAHJ J012

AAHI J014

AAHJ J014

AAHI J016

AAHJ J016

AAHI J019

AAHJ J019

AAHI J025

AAHJ J025

AAHI J029

AAHJ J029

AAHI J032

AAHJ J032

AAHI J034

AAHJ J034

AAHK J006

AAHL J006

AAHK J008

AAHL J008

AAHK J012

AAHL J012

AAHK J014

AAHL J014

AAHK J016

AAHL J016

AAHK J019

AAHL J019

AAHK J025

AAHL J025

AAHK J029

AAHL J029

AAHK J032

AAHL J032

AAHK J034

AAHL J034

1.

2.

3.

4.

5.

6.

7.

8.

9.

.

.
AAHH J034

AAHL J003

.

.
AAHH J032

AAHK J003

.

.
AAHH J029

Thou

.

.
AAHH J025

Mil

AAHL J001

.

.
AAHH J019

Bil

.

.
AAHH J016

Thou

.

.
AAHH J014

Mil

AAHK J001

.

.
AAHH J012

Bil

(Column L)
Expected
Credit Loss

.

.
AAHH J008

(Column K)
Risk Weighted
Assets2

.

.
AAHH J006

Percentage

AAHI J001

.
AAHH J003

(Column J)
Weighted Average
LGD

10.

.

.

11.

.

12.

AAHE J037
13.

AAHA J035

AAHB J035

AAHC J035

AAHD J035

AAHE J035

AAHF J035

AAHG J035

AAHH J035

AAHI J035

AAHJ J035

AAHK J035

AAHL J035

wtd avg

wtd avg

sum

wtd avg

sum

sum

wtd avg

wtd avg

sum

wtd avg

sum

sum

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

14.

6/08

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

FFIEC 101
Page I-1

Dollar Amounts in Thousands

15
Exposures Where Collateral Is Reflected in LGD

Exposures with EAD Adjustment

PD Range

Percentage

1. 0.00 to < 0.03 ..

(Column B)
(Column A)
Weighted Average Weighted Average
Effective Maturity
PD
(Years)
Percentage

Number

AAIA J001

AAIB J001

.
AAIA J003

2. 0.03 to < 0.10 ..

.
AAIA J006

3. 0.10 to < 0.15 ..

.
AAIA J008

4. 0.15 to < 0.25 ..

.
AAIA J012

5. 0.25 to < 0.50 ..

.
AAIA J014

6. 0.50 to < 0.75 ..

.
AAIA J016

7. 0.75 to < 1.35 ..

.
AAIA J019

8. 1.35 to < 2.50 ..

.
AAIA J025

9. 2.50 to < 5.50 ..

.
AAIA J029

10. 5.50 to < 10.00

.
AAIA J032

11. 10.00 to < 100...

.
AAIA J034

12. 100.00 (default)

100.00

Bil

Mil Thou

AAIC J003

AAID J003

AAIC J006

AAID J006

AAIC J008

AAID J008

AAIC J012

AAID J012

AAIC J014

AAID J014

AAIC J016

AAID J016

AAIC J019

AAID J019

AAIC J025

AAID J025

AAIC J029

AAID J029

AAIC J032

AAID J032

AAIC J034

AAID J034

AAIE J003

AAIF J003

AAIG J003

AAIE J006

AAIF J006

AAIG J006

AAIE J008

AAIF J008

AAIG J008

AAIE J012

AAIF J012

AAIG J012

AAIE J014

AAIF J014

AAIG J014

AAIE J016

AAIF J016

AAIG J016

AAIE J019

AAIF J019

AAIG J019

AAIE J025

AAIF J025

AAIG J025

AAIE J029

AAIF J029

AAIG J029

AAIE J032

AAIF J032

AAIG J032

AAIE J034

AAIF J034

AAIG J034

.

.

AAIC J037

(Column J)
Weighted Average
LGD

Mil

Percentage

Thou

AAII J001

AAIJ J001

AAII J003

AAIJ J003

AAII J006

AAIJ J006

AAII J008

AAIJ J008

.

AAII J012

AAIJ J012

.

AAII J014

AAIJ J014

.

AAII J016

AAIJ J016

.

AAII J019

AAIJ J019

.

AAII J025

AAIJ J025

.

AAII J029

AAIJ J029

.

AAII J032

AAIJ J032

.

AAII J034

AAIJ J034

AAIL J006

AAIK J008

AAIL J008

AAIK J012

AAIL J012

AAIK J014

AAIL J014

AAIK J016

AAIL J016

AAIK J019

AAIL J019

AAIK J025

AAIL J025

AAIK J029

AAIL J029

AAIK J032

AAIL J032

AAIK J034

AAIL J034

2.

3.

4.

5.

6.

7.

8.

9.

10.

.

.

100.00

AAIK J006

1.

.

.
AAIH J034

AAIL J003

.

.
AAIH J032

AAIK J003

.

.
AAIH J029

Thou

.

.
AAIH J025

Mil

AAIL J001

.

.
AAIH J019

Bil

.

.
AAIH J016

Thou

.

.
AAIH J014

Mil

AAIK J001

.

.
AAIH J012

Bil

(Column L)
Expected
Credit Loss

.

.
AAIH J008

(Column K)
Risk Weighted
Assets2

.

.
AAIH J006

.

.

Bil

(Column I)
EAD

.
AAIH J003

.

.

11.

.

12.

AAIE J037
13.

AAIA J035

AAIB J035

AAIC J035

AAID J035

AAIE J035

AAIF J035

AAIG J035

AAIH J035

AAII J035

AAIJ J035

AAIK J035

AAIL J035

wtd avg

wtd avg

sum

wtd avg

sum

sum

wtd avg

wtd avg

sum

wtd avg

sum

sum

M1
Collateral Haircut

M2
Simple VaR

M3
Internal Models

AAIX J038

AAIX J039

AAIX J040

15. Percent of line 14, column C calculated using ...............................................................................

2

AAIH J001

.

EAD Adjustment Method

1

Number

AAIG J001

.

.
AAIB J034

Thou

.

.
AAIB J032

Mil

.

.
AAIB J029

Percentage

AAIF J001

.

.
AAIB J025

Bil

.

.
AAIB J019

Thou

.

.
AAIB J016

Mil

(Column G)
(Column H)
Weighted Average Weighted Average
PD
Maturity
(Years)

AAIE J001

.

.
AAIB J014

Bil

(Column F)
Expected
Credit Loss

.

.
AAIB J012

(Column E)
Risk Weighted
Assets2

.

.
AAIB J008

Percentage
AAID J001

.
AAIB J006

(Column D)
Weighted Average
LGD

AAIC J001

.
AAIB J003

13. Eligible margin
loans where a
300% riskweight has
been applied ....

14. Total1................

(Column C)
EAD

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

.

.

.

14.

15.

6/08

FFIEC 101
Page J-1

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

16

Dollar Amounts in Thousands
Exposures Where Collateral Is Reflected in LGD3

Exposures with EAD Adjustment

PD Range

Percentage

1. 0.00 to < 0.03 ..

(Column B)
(Column A)
Weighted Average Weighted Average
Effective Maturity
PD
(Years)
Percentage

Number

AAJA J001

AAJB J001

.
AAJA J003

2. 0.03 to < 0.10 ..

.
AAJA J006

3. 0.10 to < 0.15 ..

.
AAJA J008

4. 0.15 to < 0.25 ..

.
AAJA J012

5. 0.25 to < 0.50 ..

.
AAJA J014

6. 0.50 to < 0.75 ..

.
AAJA J016

7. 0.75 to < 1.35 ..

.
AAJA J019

8. 1.35 to < 2.50 ..

.
AAJA J025

9. 2.50 to < 5.50 ..

.
AAJA J029

10. 5.50 to < 10.00 ..

.
AAJA J032

11. 10.00 to < 100. ..

.
AAJA J034

12. 100.00 (default)

13. Total1...............

100.00

(Column C)
EAD

Bil

Mil Thou

AAJD J001

AAJC J003

AAJD J003

AAJC J006

AAJD J006

AAJC J008

AAJD J008

AAJC J012

AAJD J012

AAJC J014

AAJD J014

AAJC J016

AAJD J016

AAJC J019

AAJD J019

AAJC J025

AAJD J025

AAJC J029

AAJD J029

AAJC J032

AAJD J032

AAJC J034

AAJD J034

3

AAJE J003

AAJF J003

AAJG J003

AAJE J006

AAJF J006

AAJG J006

AAJE J008

AAJF J008

AAJG J008

AAJE J012

AAJF J012

AAJG J012

AAJE J014

AAJF J014

AAJG J014

AAJE J016

AAJF J016

AAJG J016

AAJE J019

AAJF J019

AAJG J019

AAJE J025

AAJF J025

AAJG J025

AAJE J029

AAJF J029

AAJG J029

AAJE J032

AAJF J032

AAJG J032

AAJE J034

AAJF J034

AAJG J034

.

.

.

.

.

.

.

.

.

.

.

.

100.00

.

(Column I)
EAD

Bil

Mil

Thou

AAJJ J001

AAJI J003

AAJJ J003

AAJI J006

AAJJ J006

AAJI J008

AAJJ J008

AAJI J012

AAJJ J012

AAJI J014

AAJJ J014

AAJI J016

AAJJ J016

AAJI J019

AAJJ J019

AAJI J025

AAJJ J025

AAJI J029

AAJJ J029

AAJI J032

AAJJ J032

AAJI J034

AAJJ J034

AAJK J006

AAJL J006

AAJK J008

AAJL J008

AAJK J012

AAJL J012

AAJK J014

AAJL J014

AAJK J016

AAJL J016

AAJK J019

AAJL J019

AAJK J025

AAJL J025

AAJK J029

AAJL J029

AAJK J032

AAJL J032

AAJK J034

AAJL J034

1.

2.

3.

4.

5.

6.

7.

8.

9.

10.

.

.
AAJH J034

AAJL J003

.

.
AAJH J032

AAJK J003

.

.
AAJH J029

Thou

.

.
AAJH J025

Mil

AAJL J001

.

.
AAJH J019

Bil

.

.
AAJH J016

Thou

.

.
AAJH J014

Mil

AAJK J001

.

.
AAJH J012

Bil

(Column L)
Expected
Credit Loss

.

.
AAJH J008

(Column K)
Risk Weighted
Assets2

.

.
AAJH J006

Percentage

AAJI J001

.
AAJH J003

(Column J)
Weighted Average
LGD

11.

.

.

12.

.

AAJA J035

AAJB J035

AAJC J035

AAJD J035

AAJE J035

AAJF J035

AAJG J035

AAJH J035

AAJI J035

AAJJ J035

AAJK J035

AAJL J035

wtd avg

wtd avg

sum

wtd avg

sum

sum

wtd avg

wtd avg

sum

wtd avg

sum

sum

M1
Collateral Haircut

M2
Internal Models

AAJX J038

AAJX J040

14. Percent of line 13, column C calculated using ..............................................................................

2

AAJH J001

.

EAD Adjustment Method

1

AAJG J001

.

.
AAJB J034

Thou

.

.
AAJB J032

Mil

.

.
AAJB J029

Number

AAJF J001

.

.
AAJB J025

Bil

.

.
AAJB J019

Thou

.

.
AAJB J016

Percentage

AAJE J001

.

.
AAJB J014

Mil

(Column G)
(Column H)
Weighted Average Weighted Average
PD
Maturity
(Years)

.

.
AAJB J012

Bil

(Column F)
Expected
Credit Loss

.

.
AAJB J008

(Column E)
Risk Weighted
Assets2

.

.
AAJB J006

Percentage

AAJC J001

.
AAJB J003

(Column D)
Weighted Average
LGD

.

.

13.

14.

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

6/08

FFIEC 101
Page K-1

Schedule K—Retail Exposure–Residential Mortgage—Closed-end First Lien Exposures
Dollar Amounts in Thousands

17
LTV3

PD Range

Percentage

1. 0.00 to < 0.05 ...

(Column A)
Weighted
Average PD

(Column B)
Number of

Percentage

Number

AAKA J002

AAKB J002

AAKE J006

AAKF J006

AAKB J007

AAKC J007

AAKD J007

AAKE J007

AAKF J007

AAKB J009

AAKC J009

AAKD J009

AAKE J009

AAKF J009

AAKB J010

AAKC J010

AAKD J010

AAKE J010

AAKF J010

AAKB J013

AAKC J013

AAKD J013

AAKE J013

AAKF J013

AAKB J014

AAKC J014

AAKD J014

AAKE J014

AAKF J014

AAKB J016

AAKC J016

AAKD J016

AAKE J016

AAKF J016

AAKB J019

AAKC J019

AAKD J019

AAKE J019

AAKF J019

AAKB J025

AAKC J025

AAKD J025

AAKE J025

AAKF J025

AAKB J029

AAKC J029

AAKD J029

AAKE J029

AAKF J029

AAKB J031

AAKC J031

AAKD J031

AAKE J031

AAKF J031

AAKB J033

AAKC J033

AAKD J033

AAKE J033

AAKF J033

AAKB J034

AAKC J034

AAKD J034

AAKE J034

AAKF J034

AAKA J035

AAKB J035

AAKC J035

AAKD J035

AAKE J035

AAKF J035

16. Total1.................
1

wtd avg

sum

sum

sum

sum

wtd avg

2
3

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.
AAKA J034

15. 100.00 Default ..

.

.

AAKA J033
14. 20.00 to < 100 ..

.

.

AAKA J031
13. 10.00 to < 20.00

.

.

AAKA J029
12. 5.50 to < 10.00 .

.

.

AAKA J025
11. 2.50 to < 5.50 ...

AAKH J002

AAKD J006

AAKA J019
10. 1.35 to < 2.50 ...

AAKG J002

AAKC J006

AAKA J016
9. 0.75 to < 1.35 ...

AAKF J002

AAKB J006

AAKA J014
8. 0.50 to < 0.75 ...

Bil Mil Thou Bil

.

.

.

.

100.00

(Column I)
Expected
Credit Loss

Percentage

AAKF J004

AAKA J013
7. 0.35 to < 0.50 ...

AAKE J002

(Column G)
(Column H)
Weighted
Risk Weighted
Average LGD
Assets2

Number

AAKE J004

AAKA J010
6. 0.25 to < 0.35 ...

AAKD J002

Mil Thou

AAKD J004

AAKA J009
5. 0.20 to < 0.25 ...

AAKC J002

Mil Thou Bil

AAKC J004

AAKA J007
4. 0.15 to < 0.20 ...

Mil Thou Bil

(Column F)
Weighted
Average Age
(Months)

AAKB J004

AAKA J006
3. 0.10 to < 0.15 ...

Bil

(Column E)
EAD

.
AAKA J004

2. 0.05 to < 0.10 ...

Exposures

(Column C)
(Column D)
Total Balance Total Undrawn
Sheet Amount
Amount

(Column J)
Less Than
70%

Mil Thou Bil

AAKI J002

(Column K)
(Column M)
(Column L)
At Least 70% At Least 80% At Least 90%
but Less Than but Less Than but Less Than
80%
100%
90%

Mil Thou Bil

AAKJ J002

Mil Thou Bil

AAKK J002

(Column N)
Greater than
or Equal to
100%

Mil Thou Bil Mil Thou Bil

AAKL J002

AAKM J002

Mil Thou

AAKN J002

Number
AAKO J002

AAKH J004

AAKI J004

AAKJ J004

AAKK J004

AAKL J004

AAKM J004

AAKN J004

AAKO J004

AAKH J006

AAKI J006

AAKJ J006

AAKK J006

AAKL J006

AAKM J006

AAKN J006

AAKO J006

AAKH J007

AAKI J007

AAKJ J007

AAKK J007

AAKL J007

AAKM J007

AAKN J007

AAKO J007

AAKH J009

AAKI J009

AAKJ J009

AAKK J009

AAKL J009

AAKM J009

AAKN J009

AAKO J009

AAKH J010

AAKI J010

AAKJ J010

AAKK J010

AAKL J010

AAKM J010

AAKN J010

AAKO J010

AAKH J013

AAKI J013

AAKJ J013

AAKK J013

AAKL J013

AAKM J013

AAKN J013

AAKO J013

AAKH J014

AAKI J014

AAKJ J014

AAKK J014

AAKL J014

AAKM J014

AAKN J014

AAKO J014

AAKH J016

AAKI J016

AAKJ J016

AAKK J016

AAKL J016

AAKM J016

AAKN J016

AAKO J016

AAKH J019

AAKI J019

AAKJ J019

AAKK J019

AAKL J019

AAKM J019

AAKN J019

AAKO J019

AAKH J025

AAKI J025

AAKJ J025

AAKK J025

AAKL J025

AAKM J025

AAKN J025

AAKO J025

AAKH J029

AAKI J029

AAKJ J029

AAKK J029

AAKL J029

AAKM J029

AAKN J029

AAKO J029

AAKH J031

AAKI J031

AAKJ J031

AAKK J031

AAKL J031

AAKM J031

AAKN J031

AAKO J031

AAKH J033

AAKI J033

AAKJ J033

AAKK J033

AAKL J033

AAKM J033

AAKN J033

AAKO J033

AAKH J034

AAKI J034

AAKJ J034

AAKK J034

AAKL J034

AAKM J034

AAKN J034

AAKO J034

AAKG J035

AAKH J035

AAKI J035

AAKJ J035

AAKK J035

AAKL J035

AAKM J035

AAKN J035

AAKO J035

wtd avg

sum

sum

sum

sum

sum

sum

sum

10.
AAKP J025
11.
AAKP J029
12.
AAKP J031
13.
AAKP J033

.

.
AAKG J034

9.
AAKP J019

.

.
AAKG J033

8.
AAKP J016

.

.
AAKG J031

7.
AAKP J014

.

.
AAKG J029

6.
AAKP J013

.

.
AAKG J025

5.
AAKP J010

.

.
AAKG J019

4.
AAKP J009

.

.
AAKG J016

3.
AAKP J007

.

.
AAKG J014

2.
AAKP J006

.

.
AAKG J013

1.
AAKP J004

.

.
AAKG J010

AAKP J002

.

.
AAKG J009

Mil Thou

.

.
AAKG J007

Bil

.

.
AAKG J006

(Column P)
EAD of
Accounts with
Updated LTV

.

.
AAKG J004

(Column O)
Weighted
Average
Bureau Score

14.
AAKP J034

.

.

15.
AAKP J035
sum

Cells in line 16 are calculated, except for Column O.
Not calculated from previous column entries.
LTV values should be calculated using only first lien exposures. Where LTV information is available for all accounts, the sum of EADs reported in columns J through N for a given PD range should equal the
amount reported in column E for that same PD range. Otherwise, the sum of EADs reported in columns J through N for a given PD range will be less than the EAD reported in column E for that same PD 6/08
range.

16.

FFIEC 101
Page K-2

Schedule K—Continued

18

Dollar Amounts in Thousands
Bil

Mil Thou

AAKX J036
17. Risk weighted assets associated with non-material portfolios not included above .............................

17.
AAKX

18. Credit scores shown in Column O are from which credit scoring system(s)? .....................................

J041

18.

6/08

FFIEC 101
Page L-1

Schedule L—Retail Exposure–Residential Mortgage—Closed-end Junior Lien Exposures
Dollar Amounts in Thousands

19
LTV3

PD Range

Percentage

1. 0.00 to < 0.05 ...

(Column A)
Weighted
Average PD

Number

AALC J002

AALD J002

AALE J002

AALF J002

AALB J004

AALC J004

AALD J004

AALE J004

AALF J004

AALB J006

AALC J006

AALD J006

AALE J006

AALF J006

AALB J007

AALC J007

AALD J007

AALE J007

AALF J007

AALB J009

AALC J009

AALD J009

AALE J009

AALF J009

AALB J010

AALC J010

AALD J010

AALE J010

AALF J010

AALB J013

AALC J013

AALD J013

AALE J013

AALF J013

AALB J014

AALC J014

AALD J014

AALE J014

AALF J014

8. 0.50 to < 0.75 ...

AALB J016

AALC J016

AALD J016

AALE J016

AALF J016

AALB J019

AALC J019

AALD J019

AALE J019

AALF J019

AALB J025

AALC J025

AALD J025

AALE J025

AALF J025

AALB J029

AALC J029

AALD J029

AALE J029

AALF J029

AALB J031

AALC J031

AALD J031

AALE J031

AALF J031

AALB J033

AALC J033

AALD J033

AALE J033

AALF J033

AALB J034

AALC J034

AALD J034

AALE J034

AALF J034

AALA J035

AALB J035

AALC J035

AALD J035

AALE J035

AALF J035

16. Total1.................

wtd avg

sum

sum

sum

sum

wtd avg

1
2
3

.

.

.

.

.

.

.

.

.
AALA J034

15. 100.00 Default ..

.

.

AALA J033
14. 20.00 to < 100 ..

.

.

AALA J031
13. 10.00 to < 20.00

.

.

AALA J029
12. 5.50 to < 10.00 .

.

.

AALA J025
11. 2.50 to < 5.50 ...

.

.

AALA J019
10. 1.35 to < 2.50 ...

.

.

AALA J016
9. 0.75 to < 1.35 ...

.

.

AALA J014

Number

.

.

AALA J013
7. 0.35 to < 0.50 ...

Mil Thou

.

AALA J010
6. 0.25 to < 0.35 ...

Mil Thou Bil

.

AALA J009
5. 0.20 to < 0.25 ...

Mil Thou Bil

(Column F)
Weighted
Average Age
(Months)

AALB J002

AALA J007
4. 0.15 to < 0.20 ...

Bil

(Column E)
EAD

AALA J002

AALA J006
3. 0.10 to < 0.15 ...

Exposures

(Column C)
(Column D)
Total Balance Total Undrawn
Sheet Amount
Amount

Percentage

AALA J004
2. 0.05 to < 0.10 ...

(Column B)
Number of

.

.

100.00

(Column G)
(Column H)
Weighted
Risk Weighted
Average LGD
Assets2

Percentage
AALG J002

(Column I)
Expected
Credit Loss

Bil Mil Thou Bil

(Column J)
Less Than
70%

Mil Thou Bil

(Column K)
(Column M)
(Column L)
At Least 70% At Least 80% At Least 90%
but Less Than but Less Than but Less Than
80%
100%
90%

Mil Thou Bil

Mil Thou Bil

(Column N)
Greater than
or Equal to
100%

Mil Thou Bil Mil Thou Bil

Mil Thou

(Column O)
Weighted
Average
Bureau Score
Number

AALH J002

AALI J002

AALJ J002

AALK J002

AALL J002

AALM J002

AALN J002

AALO J002

AALH J004

AALI J004

AALJ J004

AALK J004

AALL J004

AALM J004

AALN J004

AALO J004

AALH J006

AALI J006

AALJ J006

AALK J006

AALL J006

AALM J006

AALN J006

AALO J006

AALH J007

AALI J007

AALJ J007

AALK J007

AALL J007

AALM J007

AALN J007

AALO J007

AALH J009

AALI J009

AALJ J009

AALK J009

AALL J009

AALM J009

AALN J009

AALO J009

AALH J010

AALI J010

AALJ J010

AALK J010

AALL J010

AALM J010

AALN J010

AALO J010

AALH J013

AALI J013

AALJ J013

AALK J013

AALL J013

AALM J013

AALN J013

AALO J013

AALH J014

AALI J014

AALJ J014

AALK J014

AALL J014

AALM J014

AALN J014

AALO J014

AALH J016

AALI J016

AALJ J016

AALK J016

AALL J016

AALM J016

AALN J016

AALO J016

AALH J019

AALI J019

AALJ J019

AALK J019

AALL J019

AALM J019

AALN J019

AALO J019

AALH J025

AALI J025

AALJ J025

AALK J025

AALL J025

AALM J025

AALN J025

AALO J025

AALH J029

AALI J029

AALJ J029

AALK J029

AALL J029

AALM J029

AALN J029

AALO J029

AALH J031

AALI J031

AALJ J031

AALK J031

AALL J031

AALM J031

AALN J031

AALO J031

AALH J033

AALI J033

AALJ J033

AALK J033

AALL J033

AALM J033

AALN J033

AALO J033

AALH J034

AALI J034

AALJ J034

AALK J034

AALL J034

AALM J034

AALN J034

AALO J034

AALG J035

AALH J035

AALI J035

AALJ J035

AALK J035

AALL J035

AALM J035

AALN J035

AALO J035

wtd avg

sum

sum

sum

sum

sum

sum

sum

12.
AALP J031
13.
AALP J033

.

.
AALG J034

11.
AALP J029

.

.
AALG J033

10.
AALP J025

.

.
AALG J031

9.
AALP J019

.

.
AALG J029

8.
AALP J016

.

.
AALG J025

7.
AALP J014

.

.
AALG J019

6.
AALP J013

.

.
AALG J016

5.
AALP J010

.

.
AALG J014

4.
AALP J009

.

.
AALG J013

3.
AALP J007

.

.
AALG J010

2.
AALP J006

.

.
AALG J009

1.
AALP J004

.

.
AALG J007

Mil Thou

AALP J002

.

.
AALG J006

Bil

.

.
AALG J004

(Column P)
EAD of
Accounts with
Updated LTV

14.
AALP J034

.

.

15.
AALP J035

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

sum

16.

6/08

FFIEC 101
Page L-2

Schedule L—Continued

20

Dollar Amounts in Thousands
Bil

Mil Thou

AALX J036
17. Risk weighted assets associated with non-material portfolios not included above .............................

17.
AALX

18. Credit scores shown in Column O are from which credit scoring system(s)? .....................................

J041

18.

6/08

FFIEC 101
Page M-1

Schedule M—Retail Exposure–Residential Mortgage—Revolving Exposures

21

Dollar Amounts in Thousands
LTV3

PD Range

Percentage

1. 0.00 to < 0.05 ...

(Column A)
Weighted
Average PD

Number

AAMC J002

AAMD J002

AAME J002

AAMF J002

AAMB J004

AAMC J004

AAMD J004

AAME J004

AAMF J004

AAMB J006

AAMC J006

AAMD J006

AAME J006

AAMF J006

AAMB J007

AAMC J007

AAMD J007

AAME J007

AAMF J007

AAMB J009

AAMC J009

AAMD J009

AAME J009

AAMF J009

AAMB J010

AAMC J010

AAMD J010

AAME J010

AAMF J010

AAMB J013

AAMC J013

AAMD J013

AAME J013

AAMF J013

AAMB J014

AAMC J014

AAMD J014

AAME J014

AAMF J014

8. 0.50 to < 0.75 ...

AAMB J016

AAMC J016

AAMD J016

AAME J016

AAMF J016

AAMB J019

AAMC J019

AAMD J019

AAME J019

AAMF J019

AAMB J025

AAMC J025

AAMD J025

AAME J025

AAMF J025

AAMB J029

AAMC J029

AAMD J029

AAME J029

AAMF J029

AAMB J031

AAMC J031

AAMD J031

AAME J031

AAMF J031

AAMB J033

AAMC J033

AAMD J033

AAME J033

AAMF J033

AAMB J034

AAMC J034

AAMD J034

AAME J034

AAMF J034

AAMA J035

AAMB J035

AAMC J035

AAMD J035

AAME J035

AAMF J035

16. Total1.................

wtd avg

sum

sum

sum

sum

wtd avg

1
2
3

.

.

.

.

.

.

.

.

.
AAMA J034

15. 100.00 Default ..

.

.

AAMA J033
14. 20.00 to < 100 ..

.

.

AAMA J031
13. 10.00 to < 20.00

.

.

AAMA J029
12. 5.50 to < 10.00 .

.

.

AAMA J025
11. 2.50 to < 5.50 ...

.

.

AAMA J019
10. 1.35 to < 2.50 ...

.

.

AAMA J016
9. 0.75 to < 1.35 ...

.

.

AAMA J014

Number

.

.

AAMA J013
7. 0.35 to < 0.50 ...

Mil Thou

.

AAMA J010
6. 0.25 to < 0.35 ...

Mil Thou Bil

.

AAMA J009
5. 0.20 to < 0.25 ...

Mil Thou Bil

(Column F)
Weighted
Average Age
(Months)

AAMB J002

AAMA J007
4. 0.15 to < 0.20 ...

Bil

(Column E)
EAD

Percentage

AAMA J006
3. 0.10 to < 0.15 ...

Exposures

(Column C)
(Column D)
Total Balance Total Undrawn
Sheet Amount
Amount

AAMA J002

AAMA J004
2. 0.05 to < 0.10 ...

(Column B)
Number of

.

.

100.00

(Column G)
(Column H)
Weighted
Risk Weighted
Average LGD
Assets2

Percentage
AAMG J002

(Column I)
Expected
Credit Loss

Bil Mil Thou Bil

(Column J)
Less Than
70%

Mil Thou Bil

(Column K)
(Column M)
(Column L)
At Least 70% At Least 80% At Least 90%
but Less Than but Less Than but Less Than
80%
100%
90%

Mil Thou Bil

Mil Thou Bil

(Column N)
Greater than
or Equal to
100%

Mil Thou Bil Mil Thou Bil

Mil Thou

(Column O)
Weighted
Average
Bureau Score
Number

Bil

AAMH J002

AAMI J002

AAMJ J002

AAMK J002

AAML J002

AAMM J002

AAMN J002

AAMO J002

AAMH J004

AAMI J004

AAMJ J004

AAMK J004

AAML J004

AAMM J004

AAMN J004

AAMO J004

AAMH J006

AAMI J006

AAMJ J006

AAMK J006

AAML J006

AAMM J006

AAMN J006

AAMO J006

AAMH J007

AAMI J007

AAMJ J007

AAMK J007

AAML J007

AAMM J007

AAMN J007

AAMO J007

AAMH J009

AAMI J009

AAMJ J009

AAMK J009

AAML J009

AAMM J009

AAMN J009

AAMO J009

AAMH J010

AAMI J010

AAMJ J010

AAMK J010

AAML J010

AAMM J010

AAMN J010

AAMO J010

AAMH J013

AAMI J013

AAMJ J013

AAMK J013

AAML J013

AAMM J013

AAMN J013

AAMO J013

AAMH J014

AAMI J014

AAMJ J014

AAMK J014

AAML J014

AAMM J014

AAMN J014

AAMO J014

AAMH J016

AAMI J016

AAMJ J016

AAMK J016

AAML J016

AAMM J016

AAMN J016

AAMO J016

AAMH J019

AAMI J019

AAMJ J019

AAMK J019

AAML J019

AAMM J019

AAMN J019

AAMO J019

AAMH J025

AAMI J025

AAMJ J025

AAMK J025

AAML J025

AAMM J025

AAMN J025

AAMO J025

AAMH J029

AAMI J029

AAMJ J029

AAMK J029

AAML J029

AAMM J029

AAMN J029

AAMO J029

AAMH J031

AAMI J031

AAMJ J031

AAMK J031

AAML J031

AAMM J031

AAMN J031

AAMO J031

AAMH J033

AAMI J033

AAMJ J033

AAMK J033

AAML J033

AAMM J033

AAMN J033

AAMO J033

AAMH J034

AAMI J034

AAMJ J034

AAMK J034

AAML J034

AAMM J034

AAMN J034

AAMO J034

AAMG J035

AAMH J035

AAMI J035

AAMJ J035

AAMK J035

AAML J035

AAMM J035

AAMN J035

AAMO J035

wtd avg

sum

sum

sum

sum

sum

sum

sum

13.
AAMP J033

.

.
AAMG J034

12.
AAMP J031

.

.
AAMG J033

11.
AAMP J029

.

.
AAMG J031

10.
AAMP J025

.

.
AAMG J029

9.
AAMP J019

.

.
AAMG J025

8.
AAMP J016

.

.
AAMG J019

7.
AAMP J014

.

.
AAMG J016

6.
AAMP J013

.

.
AAMG J014

5.
AAMP J010

.

.
AAMG J013

4.
AAMP J009

.

.
AAMG J010

3.
AAMP J007

.

.
AAMG J009

2.
AAMP J006

.

.
AAMG J007

1.
AAMP J004

.

.
AAMG J006

Mil Thou

AAMP J002

.

.
AAMG J004

(Column P)
EAD of
Accounts with
Updated LTV

14.
AAMP J034

.

.

15.
AAMP J035

.

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

sum

16.

6/08

FFIEC 101
Page M-2

Schedule M—Continued

22

Dollar Amounts in Thousands
Bil

Mil Thou

AAMX J036
17. Risk weighted assets associated with non-material portfolios not included above .............................

17.
AAMX

18. Credit scores shown in Column O are from which credit scoring system(s)? .....................................

J041

18.

6/08

FFIEC 101
Page N-1

Schedule N—Retail Exposure–Qualifying Revolving Exposures

23

Dollar Amounts in Thousands

PD Range

(Column A)
Weighted
Average PD

(Column B)
Number of
Exposures

Percentage

Percentage

Number

AANA J011

AANB J011

1. 0.00 to < 0.50 ...

15. 100.00 (default)
16. Total1 ................

1
2

AANF J011

Percentage

AANG J011

(Column H)
Risk Weighted
Assets2
Bil

Mil

Thou

(Column I)

Expected
Credit Loss
Bil

Mil

Thou

AANG J017

AANB J018

AANC J018

AAND J018

AANE J018

AANF J018

AANG J018

AANJ J011

AANH J015

AANI J015

AANJ J015

AANH J017

AANI J017

AANJ J017

AANH J018

AANI J018

AANJ J018

AANB J020

AANC J020

AAND J020

AANE J020

AANF J020

AANG J020

AANH J020

AANI J020

AANJ J020

AANB J021

AANC J021

AAND J021

AANE J021

AANF J021

AANG J021

AANH J021

AANI J021

AANJ J021

AANB J022

AANC J022

AAND J022

AANE J022

AANF J022

AANG J022

AANH J022

AANI J022

AANJ J022

AANB J023

AANC J023

AAND J023

AANE J023

AANF J023

AANG J023

AANH J023

AANI J023

AANJ J023

AANB J024

AANC J024

AAND J024

AANE J024

AANF J024

AANG J024

AANH J024

AANI J024

AANJ J024

AANB J026

AANC J026

AAND J026

AANE J026

AANF J026

AANG J026

AANH J026

AANI J026

AANJ J026

AANB J027

AANC J027

AAND J027

AANE J027

AANF J027

AANG J027

AANH J027

AANI J027

AANJ J027

AANB J028

AANC J028

AAND J028

AANE J028

AANF J028

AANG J028

AANH J028

AANI J028

AANJ J028

AANB J030

AANC J030

AAND J030

AANE J030

AANF J030

AANG J030

AANH J030

AANI J030

AANJ J030

AANB J032

AANC J032

AAND J032

AANE J032

AANF J032

AANG J032

AANH J032

AANI J032

AANJ J032

AANA J034

AANB J034

AANC J034

AAND J034

AANE J034

AANF J034

AANG J034

AANH J034

AANI J034

AANJ J034

100.00
AANA J035
wtd avg

AANB J035
sum

AANC J035
sum

AAND J035
sum

AANE J035
sum

AANF J035
sum

AANG J035
wtd avg

AANH J035
sum

AANI J035
sum

AANJ J035

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

Number

AANI J011

.

.

(Column J)
Weighted
Average
Bureau Score

AANH J011

.

AANF J017

AANA J032
14. 10.00 to < 100 ..

Thou

AANE J017

AANA J030
13. 8.00 to < 10.00 .

Mil

AAND J017

AANA J028
12. 7.00 to < 8.00 ...

AANE J011

Bil

AANC J017

AANA J027
11. 6.00 to < 7.00 ....

Thou

AANB J017

AANA J026
10. 5.00 to < 6.00...

Mil

.

AANA J024
9. 4.00 to < 5.00 ...

AAND J011

Bil

AANG J015

AANA J023
8. 3.50 to < 4.00 ...

Thou

AANF J015

AANA J022
7. 3.00 to < 3.50 ...

Mil

(Column G)
Weighted
Average LGD

AANE J015

AANA J021
6. 2.50 to < 3.00 ...

AANC J011

Bil

F)
EAD of
Accounts < Two
Years Old

AAND J015

AANA J020
5. 2.00 to < 2.50 ...

Thou

(Column

AANC J015

AANA J018
4. 1.50 to < 2.00 ...

Mil

(Column E)
EAD

AANB J015

AANA J017
3. 1.00 to < 1.50 ...

Bil

(Column D)
Total Undrawn
Amount

.

AANA J015
2. 0.50 to < 1.00 ...

(Column C)
Total Balance
Sheet Amount

.

.

.

.

.

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

Cells in line 16 are calculated, except for Column J.
Not calculated from previous column entries.
6/08

FFIEC 101
Page N-2

Schedule N—Continued

24

Dollar Amounts in Thousands
Bil

Mil

Thou

AANX J036
17. Risk weighted assets associated with non-material portfolios not included above ..........
18. Credit scores shown in Column J are from which credit scoring system(s)? ...................

17.
AANX
J041

18.

6/08

FFIEC 101
Page O-1

Schedule O—Retail Exposure–Other Retail Exposures

25

Dollar Amounts in Thousands

PD Range

Percentage

1. 0.00 to < 0.50 ...

(Column A)
Weighted
Average PD

AAOE J011

AAOF J011

AAOG J011

AAOB J015

AAOC J015

AAOD J015

AAOE J015

AAOF J015

AAOG J015

AAOB J017

AAOC J017

AAOD J017

AAOE J017

AAOF J017

AAOG J017

AAOB J018

AAOC J018

AAOD J018

AAOE J018

AAOF J018

AAOG J018

AAOB J020

AAOC J020

AAOD J020

AAOE J020

AAOF J020

AAOG J020

AAOB J021

AAOC J021

AAOD J021

AAOE J021

AAOF J021

AAOG J021

AAOB J022

AAOC J022

AAOD J022

AAOE J022

AAOF J022

AAOG J022

15. 100.00 (default)
16. Total1 ................

1
2

Thou

Percentage

AAOB J023

AAOC J023

AAOD J023

AAOE J023

AAOF J023

AAOG J023

AAOB J024

AAOC J024

AAOD J024

AAOE J024

AAOF J024

AAOG J024

AAOB J026

AAOC J026

AAOD J026

AAOE J026

AAOF J026

AAOG J026

AAOB J027

AAOC J027

AAOD J027

AAOE J027

AAOF J027

AAOG J027

AAOB J028

AAOC J028

AAOD J028

AAOE J028

AAOF J028

AAOG J028

AAOB J030

AAOC J030

AAOD J030

AAOE J030

AAOF J030

AAOG J030

AAOB J032

AAOC J032

AAOD J032

AAOE J032

AAOF J032

AAOG J032

AAOA J034

AAOB J034

AAOC J034

AAOD J034

AAOE J034

AAOF J034

AAOG J034

100.00
AAOA J035
wtd avg

AAOB J035
sum

AAOC J035
sum

AAOD J035
sum

AAOE J035
sum

AAOF J035
sum

AAOG J035
wtd avg

(Column H)
Risk Weighted
Assets2
Bil

Mil

Thou

(Column I)

Expected
Credit Loss
Bil

Mil

Thou

AAOJ J011

AAOH J015

AAOI J015

AAOJ J015

AAOH J017

AAOI J017

AAOJ J017

AAOH J018

AAOI J018

AAOJ J018

AAOH J020

AAOI J020

AAOJ J020

AAOH J021

AAOI J021

AAOJ J021

AAOH J022

AAOI J022

AAOJ J022

AAOH J023

AAOI J023

AAOJ J023

AAOH J024

AAOI J024

AAOJ J024

AAOH J026

AAOI J026

AAOJ J026

AAOH J027

AAOI J027

AAOJ J027

AAOH J028

AAOI J028

AAOJ J028

AAOH J030

AAOI J030

AAOJ J030

AAOH J032

AAOI J032

AAOJ J032

AAOH J034

AAOI J034

AAOJ J034

AAOH J035
sum

AAOI J035
sum

AAOJ J035

7.

.

8.

.

.

9.

.

.

10.

.

.

11.

.

.

12.

.

.

13.

.

.

14.

.

.

Cells in line 16 are calculated, except for Column J.
Not calculated from previous column entries.

6.

.

.

.

5.

.

.

.

4.

.

.

.

3.

.

.

.

2.

.

.

.

1.

.

.

.

Number

AAOI J011

.

.

(Column J)
Weighted
Average
Bureau Score

AAOH J011

.

.

AAOA J032
14. 10.00 to < 100 ..

Mil

.

AAOA J030
13. 8.00 to < 10.00 .

Bil

.

AAOA J028
12. 7.00 to < 8.00 ...

Thou

.

AAOA J027
11. 6.00 to < 7.00 ....

Mil

.

AAOA J026
10. 5.00 to < 6.00...

Bil

.

AAOA J024
9. 4.00 to < 5.00 ...

Thou

.

AAOA J023
8. 3.50 to < 4.00 ...

Mil

(Column G)
Weighted
Average LGD

AAOD J011

AAOA J022
7. 3.00 to < 3.50 ...

Bil

F)
EAD of
Accounts < Two
Years Old

AAOC J011

AAOA J021
6. 2.50 to < 3.00 ...

Thou

(Column

Number

AAOA J020
5. 2.00 to < 2.50 ...

Mil

(Column E)
EAD

AAOB J011

AAOA J018
4. 1.50 to < 2.00 ...

Bil

(Column D)
Total Undrawn
Amount

Percentage

AAOA J017
3. 1.00 to < 1.50 ...

(Column C)
Total Balance
Sheet Amount

AAOA J011
AAOA J015
2. 0.50 to < 1.00 ...

(Column B)
Number of
Exposures

15.

.

.

16.

6/08

FFIEC 101
Page O-2

Schedule O—Continued

26

Dollar Amounts in Thousands
Bil

Mil

Thou

AAOX J036
17. Risk weighted assets associated with non-material portfolios not included above ..........
18. Credit scores shown in Column J are from which credit scoring system(s)? ...................

17.
AAOX
J041

18.

6/08

FFIEC 101
Page P-1

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

27

Dollar Amounts in Thousands

Rating Category

1. Exposures with highest or second-highest investment grade long-term credit rating or highest investment grade
short-term credit rating .................................................................................................................................................
2. Exposures with third-highest investment grade long-term credit rating or second-highest investment grade
short-term credit rating .................................................................................................................................................
3. Exposures with lowest investment grade long-term credit rating or third-highest investment grade short-term
credit rating ..................................................................................................................................................................

(Column A)
Exposures
Subject to the
Ratings-based
Approach
(RBA)

(Column B)
Exposures
Subject to the
Internal
Assessment
Approach
(IAA)

(Column C)
Risk Weighted
Assets

Bil

Bil

Bil

Mil

Thou

Mil

Thou

Mil

Thou

AAPA J042

AAPB J042

AAPC J042

AAPA J043

AAPB J043

AAPC J043

AAPA J044

AAPB J044

AAPC J044

AAPA J045

AAPB J045

AAPC J045

AAPA J046
sum

AAPB J046
sum

AAPC J046
sum

1.
2.
3.

4. Exposures with long-term credit rating one category below investment grade ............................................................
5. Total RBA and IAA securitization exposures and risk weighted assets1.......................................................................
1

4.
5.

Cells in line 5 are calculated.

6/08

FFIEC 101
Page Q-1

Schedule Q—Securitization Detail Schedule

28

Dollar Amounts in Thousands

Memorandum Items

(Column A)
Exposure
Amount
Bil

Mil

Thou

(Column B)
Risk Weighted
Assets
Bil

Mil

Thou

(Column C)
Deduction
Bil

Mil

Thou

AAQC J047

1. Deduction for exposures subject to the ratings-based or internal assessment approaches ........................................

1.
AAQC J048

2. All other deductions for securitization exposures .........................................................................................................

2.
AAQA J049

AAQB J049

AAQC J049

AAQA J050

AAQB J050

AAQC J050

AAQA J051

AAQB J051

AAQA J052

AAQB J052

3. Exposures subject to the supervisory formula approach .............................................................................................

3.

4. Total exposures to synthetic securitizations .................................................................................................................

4.

5. Risk weighted assets for investors’ interest in securitizations, retail credit lines..........................................................
6. Risk weighted assets for investors’ interest in securitizations, non-retail credit lines ...................................................

5.
6.

6/08

DRAFT

Schedule R - Equity Exposures
Dollar Amounts in Thousands

Simple Risk Weight Approach

Bil

Full Internal Models Approach

(Column A)
Exposure

(Column B)
Risk Weight or
Risk Weighted Assets
Multiplier

Mil

Bil

Thou

Mil

AARA J053

Thou

Bil

Publicly-Traded Internal Models Approach

(Column C)
Exposure

(Column D)
Risk Weight or
Risk Weighted Assets
Multiplier

Mil

Bil

Thou

Mil

AARC J053

Thou

(Column E)
Exposure
Bil

Mil

Risk Weight or
Multiplier

Thou

(Column F)
Risk Weighted
Bil

Mil

Thou

AARE J053

1. Total equity exposures
AARA J054

2. 0% risk weight

AARB J054

AARA J055

3. 20% risk weight

AARB J055

AARA J056

AARC J055

AARE J054

AARB J056

AARD J055

AARC J056

AARF J054
0%

AARE J055

20%

100%
AARA J057

AARD J054
0%

20%

4. Community development equity exposures
SIMPLE RISK WEIGHT APPROACH (SRWA)
5. Effective portion of hedge pairs

AARC J054

0%

AARF J055
20%

AARD J056

AARE J056

100%

AARF J056
100%

AARB J057
100%

AARA J058

6. Non-significant equity exposures

AARB J058
100%

AARA J059

7. Publicly traded equity exposures under the SRWA

AARB J059
300%

AARA J060

8. Non-publicly traded equity exposures under the SRWA

AARB J060

AARE J060

400%
AARA J061

9. 600% risk weight equity exposures under the SRWA

AARF J060
400%

AARB J061

AARE J061

600%

AARF J061
600%

AARB J062

10. Total RWA under the SRWA (sum column B, lines 2 through 9)
EQUITY EXPOSURES TO INVESTMENT FUNDS
11. Full look-through approach

AARA J063

AARB J063

AARC J063

AARD J063

AARE J063

AARF J063

AARA J064

AARB J064

AARC J064

AARD J064

AARE J064

AARF J064

12. Simple modified look-through approach
AARA J065

AARB J065

AARC J065

AARD J065

AARE J065

AARF J065

AARA J066

AARB J066

AARC J066

AARD J066

AARE J066

AARF J066

13. Alternative modified look-through approach
14. Money market fund approach

7%

7%
AARB J067

7%
AARD J067

AARF J067

15. Total RWA for investment funds (sum column B, lines 11 through 14)
AARB J068

16. Total: SRWA (column B, lines 10 and 15)
FULL INTERNAL MODELS APPROACH (Full IMA)
17. Estimate of potential losses on equity exposures

AARC J069

Floors (Full IMA):
18. Publicly traded

AARC J070

AARD J069
12.5
AARD J070
200%

AARC J071

19. Non-publicly traded

AARD J071
300%
AARD J072

20. RWA floors (add from column B, lines 18 and 19)
AARD J073

21. Total RWA - Full IMA (larger of column B, lines 17 and 20)
AARD J074

22. Total: Full IMA (add from column B lines 3, 4, 15, and 21)
PUBLICLY-TRADED INTERNAL MODELS APPROACH (Partial IMA)
23. Estimate of potential losses on publicly-traded equity

AARE J075

Floors (Partial IMA):
24. Publicly traded

AARE J076

AARF J075
12.5
AARF J076
200%
AARF J077

25. Total RWA -- Partial IMA (larger of column B, lines 23 and 24)
AARF J078

26. Total: Partial IMA, Partial SRWA (add from column B lines 3, 4, 8, 9, 15, and 25)

3/11

For Federal Reserve Bank Use Only

FFIEC 101
Page S-1

C.I.

31

Schedule S—Operational Risk
Dollar Amounts in Thousands
AASA

Bil

Mil

Thou

PUBLIC ITEMS
Operational Risk Capital
1. Risk-based capital requirement for operational risk ........................................................................... J079

1.

AASA
2. Is item 1 generated from an “alternative operational risk qualification system?” (Enter “1” for yes;
enter “0” for no) ..................................................................................................................................................... J080

CONFIDENTIAL ITEMS
AASA
Expected Operational Loss (EOL) and Eligible Operational Risk Offsets
3. Expected operational loss (EOL) ....................................................................................................... J081
4. Total eligible operational risk offsets
a. Eligible GAAP reserves ................................................................................................................. J082
b. Other eligible offsets...................................................................................................................... J083

Bil

Mil

2.

Thou

3.
4.a.
4.b.

Total Risk-Based Capital Requirement for Operational Risk Without:
5. Dependence assumptions.................................................................................................................. J084
6. Adjustments reflecting business environment and internal control factors ........................................ J085
7. Risk mitigants (e.g., insurance) .......................................................................................................... J086
Internal Operational Loss Event Data Characteristics
8. Date ranges of internal operational loss event data used in modeling operational risk capital:
a. Starting date for frequency distribution (if applicable) ..................................................................
b. Ending date for frequency distribution (if applicable) ....................................................................
c. Starting date for severity distribution (if applicable).......................................................................
d. Ending date for severity distribution (if applicable) ........................................................................

AASA

5.
6.
7.

MM

YYYY

J087
J088
J089
J090
AASA

8.a.
8.b.
8.c.
8.d.
Bil

Mil

Thou

9. Highest dollar threshold applied in modeling internal operational loss event data ............................ J091

9.
AASA

10. Does the dollar threshold change across units of measure? (Enter “1” for yes; enter “0” for no) ......................... J092
AASA

10.

Number

11. Total number of loss events ............................................................................................................... J093
AASA

11.
Bil

Mil

12. Total dollar amount of loss events ...................................................................................................... J094
13. Dollar amount of largest loss event .................................................................................................... J095
14. Number of loss events in the following ranges (e.g., ≥ 10,000 and < $100,000):
a. Less than $10,000 .........................................................................................................................
b. $10,000–$100,000 ........................................................................................................................
c. $100,000–$1 million ......................................................................................................................
d. $1 million–$10 million ....................................................................................................................
e. $10 million–$100 million ................................................................................................................
f. $100 million–$1 billion ...................................................................................................................
g. $1 billion + .....................................................................................................................................

AASA

J096
J097
J098
J099
J100
J101
J102

Thou

12.
13.
Number

14.a.
14.b
14.c.
14.d.
14.e.
14.f.
14.g.

6/08

For Federal Reserve Bank Use Only

FFIEC 101
Page S-2

C.I.

32

Schedule S—Continued
Dollar Amounts in Thousands
AASA

15. Total dollar amount of losses in the following ranges (e.g., ≥ $10,000 and < $100,000):
a. Less than $10,000 .........................................................................................................................
b. $10,000–$100,000 ........................................................................................................................
c. $100,000–$1 million ......................................................................................................................
d. $1 million–$10 million ....................................................................................................................
e. $10 million–$100 million ................................................................................................................
f. $100 million–$1 billion ...................................................................................................................
g. $1 billion + .....................................................................................................................................

Bil

Mil

Thou

J103
J104
J105
J106
J107
J108
J109

15.a
15.b.
15.c.
15.d.
15.e.
15.f.
15.g.

AASA
Scenario Analysis
16. How many individual scenarios were used in calculating the risk-based capital
requirement for operational risk? ....................................................................................................... J110
AASA

Number

16.
Bil

Mil

Thou

17. What is the dollar value of the largest individual scenario? ............................................................... J111
18. Number of scenarios in the following ranges (e.g., ≥ $1 million and < $10 million):
a. Less than $1 million.......................................................................................................................
b. $1 million–$10 million ....................................................................................................................
c. $10 million–$100 million ................................................................................................................
d. $100 million–$500 million ..............................................................................................................
e. $500 million–$1 billion ...................................................................................................................
f. $1 billion + .....................................................................................................................................

17.

AASA

Number

18.a.
18.b.
18.c.
18.d.
18.e.
18.f.

J112
J113
J114
J115
J116
J117

Distributional Assumptions
19. How many units of measure were used in calculating the risk-based capital requirement for
operational risk? ................................................................................................................................. J118
20. Frequency Distribution: Across how many individual units of measure did the choice of frequency
distribution change since the last reporting period (if applicable)? .................................................... J119
21. Severity Distribution: Across how many individual units of measure did the choice of severity
distribution change since the last reporting period (if applicable)? .................................................... J120

19.
20.
21.

Loss Caps
22. How many loss caps are used in calculating the risk-based capital requirement for operational
risk?.................................................................................................................................................... J121
AASA

23. What is the dollar amount of the smallest cap used (if applicable)? .................................................. J122
24. What is the dollar amount of the largest cap used (if applicable)?..................................................... J123

22.
Bil

Mil

Thou

23.
24.

6/08


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