Summary Schedule - Annual

FR Y-14A: Summary Schedule Instructions

Table of Contents

I.

Overview ................................................................................................................................. 4
A.

Summary .......................................................................................................................... 4

B.

Technical Details .............................................................................................................. 4

C.

Supporting Documentation .............................................................................................. 4

Model Risk Management Policy ............................................................................................. 5
Documentation of Risk Measurement Practices ...................................................................... 5
Documentation of Internal Stress Testing Methodologies ...................................................... 5
Documentation of Assumptions and Approaches ................................................................... 6
Validation and Independent Review........................................................................................ 6
II.

Income Statement, Balance Sheet, and Capital ................................................................... 7
A.

Income Statement worksheet ........................................................................................... 7

B.

Balance Sheet worksheet .................................................................................................. 7

C.

Capital worksheet ............................................................................................................. 8

D.

Supporting Documentation .............................................................................................. 9

Income Statement, Balance Sheet, and Capital Worksheets ................................................... 9
III.

Retail .................................................................................................................................... 9

A.

Retail Balance and Loss Projections worksheet ............................................................... 9

B.

Retail Repurchase Worksheet ........................................................................................ 10

C.

ASC 310-30 worksheet .................................................................................................. 12

D.

Supporting Documentation ............................................................................................ 13

IV.

Wholesale........................................................................................................................... 13

V.

Loans Held for Sale and Loans Accounted for Under the Fair Value Option ................... 14

VI.

AFS/HTM Securities ......................................................................................................... 15

A.

Projected OTTI for AFS Securities and HTM Securities by CUSIP ............................. 15

B.

Projected OTTI for AFS and HTM Securities by Portfolio ........................................... 15

C.
High-Level OTTI Methodology and Assumptions for AFS and HTM Securities by
Portfolio..................................................................................................................................... 15
D.

Post-Trading Shock Market Values for AFS Securities................................................. 15

E. Actual AFS and HTM Fair Market Value Sources by Portfolio ....................................... 16
F.

Supporting Documentation ................................................................................................ 16
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OTTI Methodology................................................................................................................ 16
Validation and Independent Review...................................................................................... 16
Fair Market Value Determination.......................................................................................... 17
Post-Trading Shock Market Values for AFS Securities ........................................................ 17
VII.

Trading ............................................................................................................................... 17

A.

Trading worksheet .......................................................................................................... 17

B.

Supporting Documentation ............................................................................................ 18

VIII.

Counterparty Credit Risk (CCR) .................................................................................... 19

A.

Counterparty Risk Worksheet ........................................................................................ 19

B.

Supporting Documentation ............................................................................................ 20
Trading IDR ........................................................................................................................... 20
CVA ....................................................................................................................................... 22
CCR IDR ............................................................................................................................... 23
Other CCR Losses ................................................................................................................. 24

IX.

Operational Risk ................................................................................................................ 25
Support for Sponsored Funds ................................................................................................ 25
Legal Reserves and Provisions .............................................................................................. 25
Unrelated Professional Services ............................................................................................ 26
Definitions ............................................................................................................................. 26
Worksheets ............................................................................................................................ 27

A.

BHC Operational Risk Scenario Inputs Worksheet ....................................................... 27

B.

BHC Operational Risk Projected Losses Worksheet ..................................................... 27

C.

Supporting Documentation and Independent Review.................................................... 27

Documentation....................................................................................................................... 27
Model Validation ................................................................................................................... 28
Independent Review .............................................................................................................. 28
X.

Pre-Provision Net Revenue (PPNR) .................................................................................. 29

A.

General Technical Details .............................................................................................. 29

B.

PPNR Projections Worksheet ........................................................................................ 30
Revenue Components ............................................................................................................ 30
Non-Interest Expense Components ....................................................................................... 34

C.

PPNR Net Interest Income (NII) Worksheet.................................................................. 35

Average Interest Bearing Assets............................................................................................ 35
Average Interest Bearing Liabilities ...................................................................................... 35
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D.

PPNR Metrics worksheet ............................................................................................... 35

E. Commonly Used Terms and Abbreviations ....................................................................... 36
F.

Supporting Documentation ................................................................................................ 36
PPNR Documentation............................................................................................................ 36
MSR Projection Documentation............................................................................................ 38

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I. Overview
A. Summary
This document contains instructions for the FR Y-14A Summary schedule. The schedule includes data
collection worksheets related to the following:
1.
2.
3.
4.
5.
6.
7.

Income, Balance Sheet, and Equity/Capital Statements;
Retail;
Securities;
Trading;
Counterparty Credit Risk;
Operational Risk; and
Pre-Provision Net Revenue (PPNR).

The bank holding company (BHC) should submit a separate Summary schedule for each scenario (Use
the “Save As” function of the original Excel workbook provided to the institution.). Name the file using
the following style: FR_Y-14A_SUMMARY_BHCRSSD_BHCMNEMONIC_SCENARIO.xlsx.
In the tab labeled Summary Submission Cover Sheet, include:
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The name and RSSD ID of the submitting BHC;
The date of submission to the Federal Reserve;
Which scenario this Summary Schedule applies to (choose from the drop-down box); and
A brief description of the scenario.

B. Technical Details
The following instructions apply to all worksheets within the Summary schedule.
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Do not enter any information in gray highlighted cells with embedded formulas.
Ensure that any internal consistency checks are correct before submission.
Report income and loss data on a quarterly basis, and not on a cumulative or year-to-date basis.
Report dollar values in millions of US dollars (unless specified otherwise).
For worksheets that collect non-scenario dependent data (e.g. the historical data collection on
the Retail Repurchase worksheet), report information for the Baseline Scenario only.
The “projection horizon” refers to nine quarters starting with the fourth quarter of the reporting
year (e.g., from fourth quarter of 2011 to fourth quarter of 2013).

C. Supporting Documentation
For each part of the Summary Schedule, submit supporting documentation that clearly describes the
methodology used to produce the BHC’s projections. In the documentation, include a description of
how the BHC translated the macroeconomic factors (or market shock for the Trading and Counterparty
Risk sections) associated with the scenario into the BHC’s projections and technical details of any
underlying statistical methods used, including information on model validation and independent review.
Where judgment is an essential part of the forecast, include documentation that demonstrates rationale
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and magnitude, as well as the process involved to ensure consistency of projections with scenario
conditions. Furthermore, include thorough discussion of any material deviations from the instructions
and how the materiality of such deviations was decided upon. Additional information to be included in
the documentation is described below and in more detail in each section of the schedule instructions.
Model Risk Management Policy
BHCs should include in their submission their model risk management policies, which should provide the
BHC’s general framework for model development, calibration, validation, escalation, and oversight by
specifying criteria and controls across various stages of the model lifecycle (Identification; Inventory/
Tracking; Development and Documentation; Independent Validation; Approval for Implementation;
Ongoing monitoring; Model Retirement).
Documentation of Risk Measurement Practices
Capital plan submissions should include documentation of key risk identification and measurement
practices supporting the BHC-wide stress testing required in the capital plans. BHC submissions should
also include internal documentation describing the BHC’s framework for development, calibration,
estimation, validation, oversight, and escalation of key risk identification and measurement practices. As
noted above, an assessment of the robustness of these practices is a critical aspect of the supervisory
assessment of capital adequacy processes.
Documentation of Internal Stress Testing Methodologies
BHCs should include in their capital plan submissions thorough documentation that describes and makes
transparent key methodologies and assumptions for performing stress testing on their portfolios. In
particular, the design, theory, and logic underlying the methodology should be well documented and
generally supported by published research and sound industry practice. The documentation should
include
•

discussion of historical data set construction, including data sources, adjustments to the data
set, and documentation validating the use of any external data;
• rationale for portfolio segmentation and a discussion on how a particular methodology and
model captures the key characteristics and the unique risk drivers of each portfolio segment;
• an explanation of the theory, logic, and design behind each model;
• a description of model selection and specification, variable choice, and estimation methodology,
including the statistical results used to arrive at the selected model;
• an analysis of the model output, including the congruence of inputs with the assumed economic
scenario, the justification of any qualitative adjustment, along with the statistical analysis used
to support the model output;
• a model inventory log specifying, at a minimum, the model’s version, the date of model
approval, the date of its last revision, its intended use, the name of its model owner and
developer, the model’s priority, the date of the model’s last independent validation, and the
date of the model’s next expected independent validation.
Documentation should also include mapping that clearly conveys the methodology used for each FR Y14A product line under each stress scenario. If third-party models are used, the documentation should
describe how the model was constructed, validated, and any known limitations of the model.
Documentation should clearly describe assumptions concerning new growth and changes to credit
policy. Supporting documentation should transparently describe internal governance around the
development of comprehensive capital plans. Documentation should demonstrate that senior
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management has provided the board of directors with sufficient information to facilitate the board’s full
understanding of the stress testing used by the firm for capital planning purposes.
Documentation of Assumptions and Approaches
BHCs should provide credible support for all assumptions used to derive loss estimates, including
assumptions related to the components of loss, severity of loss, and any known weaknesses in the
translation of assumptions into loss estimates. BHCs should demonstrate that these assumptions are
clearly conditioned on the stated macroeconomic scenario, are consistent with stated business
strategies, and reflect the competitive environment of each business line. If firm‐specific assumptions
(other than broad macroeconomic assumptions) are used, also describe these assumptions and how
they relate to reported projections. If the BHC models rely upon historical relationships, provide the
historical data and clearly describe why these relationships are expected to be maintained in each
scenario. The impact of assumptions concerning new growth or changes to credit policy on forecasted
loss estimates relative to historical performance should be clearly documented.
While judgment is an essential part of risk measurement and risk management, including for loss
forecasting, BHCs should not be over-reliant on judgment to prepare their loss estimations without
providing documentation or evidence of transparency and discipline around the process. BHCs should
adequately support their judgments and should ensure that judgments are in line with scenario
conditions. BHCs should be consistently conservative in the assumptions they make to arrive at loss
rates. Where appropriate, documentation should quantify the impact of qualitative adjustments from
modeled output.
Supporting documentation also should transparently describe internal governance around the
development of stress testing models and methodologies, and discuss how the stress testing
methodologies have been implemented in the BHC’s existing firm-wide risk management practices.
Furthermore, documentation should include a discussion of the stress testing outcomes in terms of the
nature of the portfolio and the modeled scenario. The BHC should demonstrate that senior
management provided the board of directors with sufficient information to facilitate the board’s full
understanding of the stress testing used by the firm for capital planning purposes and allow for the
appropriate level of challenge of assumptions and outcomes.
Validation and Independent Review
In addition to being properly documented, models employed by BHCs (either developed internally or
supplied by a vendor) should be independently validated or otherwise reviewed in line with model risk
management expectations presented in existing supervisory guidance, including Supervisory Letter SR
11-7.
BHCs should also provide their model validation policy. Institutions should provide model validation
documentation on the following elements: conceptual soundness, inputs, transparency,
implementation, reporting, model robustness and limitations, use of expert judgment, exception
reports, outcomes analysis (backtesting and/or benchmarking) and qualitative adjustments. Validation
documentation should include the BHC’s assessment of the vulnerability of their models to error, an
understanding of any of their other limitations, and consideration of the risk to the BHC should
estimates based on those models prove materially inaccurate. Specifically, validation reviews should
examine the efficacy of model use in both base case and stress scenarios. While the use of existing risk
measurement models and processes provides a useful reference point for considering stress scenario
potential loss estimates, validation efforts should consider whether these processes generate outputs
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that are relevant in a stressful scenario or if the use of models should be supplemented with other data
elements and alternative methodologies. To the extent available, the above items should also be
provided for any vendor supplied models used by the BHC, along with any third party validation
documentation available for the vendor supplied model.

II. Income Statement, Balance Sheet, and Capital
A. Income Statement worksheet
The Income Statement worksheet collects projections for the main components of the income
statement. Federal Reserve Micro Data Reference Manual (MRDM) codes are provided in the ‘Notes’
column for many of the line items. 1 Where applicable, use the definitions for the FR Y-9C line items
corresponding to the MDRM code. For each scenario used, input the loan loss projections for the
various line items in this worksheet. The BHC should include losses tied to the relevant balances
reported on the Balance Sheet worksheet. Losses associated with accrual loans should be reported in
the appropriate line items under the “Accrual Loan Losses” section and any losses due to changes in the
fair value of assets that are held for sale or held for investment under the fair value option should be
reported in the appropriate line items under the “Losses Associated With Loans Held for Sale and Loans
Accounted for Under the Fair Value Option” section.
For Corporate and CRE loans, if an MDRM number is not provided, use the same definitions as provided
in the FR Y-14Q Corporate and Commercial Real Estate schedules. For credit card loans, use the same
definitions as provided in the FR Y-14M Credit Card schedule. The Repurchase Reserve/Liability for
Mortgage Reps and Warrants line items are included to provide information on the expected evolution
of any reserve or accrued liability that has been established for losses related to sold or governmentinsured mortgage loans (first or second lien). Losses charged to this reserve can occur through
contractual repurchases, settlement agreement, or litigation loss, including losses related to claims
under securities law or fraud claims; it is likely that most losses charged to this reserve will come
through contractual repurchases or settlements. Quarterly reserve/accrued liability levels and quarterly
provisions and net charge-offs to the reserve/accrued liability should be reported as forecast under the
applicable scenario. To ensure consistency across the sheets of each Y-14A summary workbook, the
Provisions during the quarter line is linked to the PPNR Projections Worksheet rows where BHCs are
expected to report any provisions to the Repurchase Reserve/Liability for Mortgage Reps and Warrants.
For the same reason, the Net charges during the quarter line is linked to Table G.3 in the Retail
Repurchase Worksheet.
B. Balance Sheet worksheet
For each scenario used, input the loan balance projections in the various line items in this worksheet.
Balances for loans held in the accrual loan portfolio should be reported in the appropriate wholesale line
items in the “Accrual Loans” section and balances for held for sale or held for investment under the fair
value option should be reported in the appropriate line items in the “Loans Held for Sale and Loans
Accounted for Under the Fair Value Option” section. MDRM codes are provided within the ‘Notes’
1

Each MDRM code is associated with a specific line item (data cell) on the FR Y-9C report. See
http://www.federalreserve.gov/reportforms/mdrm/ for a list of MDRM codes and data descriptions.

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column for many of the line items. When applicable, the definition of the BHC’s projections should
correlate to the definitions outlined by the corresponding MDRM code within the FR Y-9C report.
Domestic refers to portfolios in the domestic US offices (as defined in the FR Y-9C report), and
International refers to portfolios outside of the domestic US offices.
Explain any M&A and divestitures included and how they are funded (liabilities, asset sales, etc.)
C. Capital worksheet
The Capital worksheet collects projections of the main drivers of equity capital and the key components
of the regulatory capital schedule. MRDM codes are provided in the ‘Notes’ column for many of the line
items.
The schedule collects projections of components of equity capital and regulatory capital (as reported in
FR Y-9C schedules HI-A and HC-R), components of assets and liabilities (as reported in schedules HC, HCF, HC-G), and deferred tax asset items. The projections should follow the definitions currently used in
the FR Y-9C report and found in the Federal Reserve’s risk based capital guidelines. All data collected in
the Capital worksheet should be reported on a quarterly basis and not on a year-to-date, cumulative
basis.
BHCs are required to provide projections of Tier 1 common capital, which is defined as Tier 1 capital less
non-common elements 2, including perpetual preferred stock and related surplus, minority interest in
subsidiaries, trust preferred securities, and mandatory convertible preferred securities.
The projections should clearly show any proposed capital distributions or other scenario-dependent
actions that would affect the BHC’s regulatory capital, including any assumptions required under the
Board's regulations.
Projections of risk-weighted assets – RWA (line item 33) must be based on the Board’s capital rules in
effect in a given quarter. For example, for the first quarter of the planning horizon associated with the
FR Y-14A with the September 30, 2012 as-of date, a BHC subject to the Board’s market risk rule must
report market RWAs in a manner consistent with the market risk capital rule in effect on December 31,
2012. 3 Similarly, for the second through ninth quarters of the planning horizon associated with the FR Y14A with the September 30, 2012 as-of date, a BHC subject to the Board’s market risk rule must report
market RWAs in a manner consistent with the final market risk capital rule that becomes effective on
January 1, 2013. 4
BHCs are required to provide an additional Capital worksheet for each of the adverse, baseline, and
severely adverse scenarios using capital assumptions that are required under any final stress testing
rules that the Federal Reserve may issue.

2

Non-common elements should include the following items captured in the FR Y-9C: Schedule HC, line
item 23 net of Schedule HC-R, line item 5; and Schedule HC-R, line items 6a, 6b, and 6c.
3
See 12 CFR part 225, Appendix E.
4
See 77 Federal Register 53060 (August 30, 2012).

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D. Supporting Documentation
Income Statement, Balance Sheet, and Capital Worksheets
BHCs should submit supporting documentation that clearly describes the methodologies used to make
the loss, reserve change, and revenue projections that underlie the pro forma projections of equity
capital. The supporting document should be titled
BHCRSSD_BHCMNEMONIC_CAPITAL_METHODOLOGY_YYMMDD. Each BHC should include in its
supporting documentation a clear description of how the various balance sheet and income statement
line items were reported.
Provide information on the specific assumptions used to calculate regulatory capital, including a
discussion of any proposed capital distributions. When appropriate, clearly state assumptions related to
the corporate tax rate and the evolution of the deferred tax assets. In situations where the BHC
chooses not to project components of the balance sheet, those components should be held constant at
the last current level and the BHC should explain why the zero delta assumption is appropriate in the
given scenario.
BHCs should submit any other information and documentation necessary to support or understand its
capital calculations. For example, a BHC could show the calculations related to the projections of the
deferred tax asset or servicing assets that may be disallowed for regulatory capital purposes. Where
applicable, BHCs should link the additional supporting documentation to the Summary Memo of Capital
Methodology and Assumptions and the Capital worksheet.

III. Retail
Throughout the retail-related worksheets, Domestic refers to portfolios in the domestic US offices (as
defined in the FR Y-9C report), and International refers to portfolios outside of the domestic US offices.
A. Retail Balance and Loss Projections worksheet
The Retail Balance and Loss Projections worksheet collects projections of business-line level loan
balances and losses on BHCs’ accrual loans only.
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Balances: According to FR Y-9C definition (end of quarter levels). Where requested, please
segment the total balances reported by vintage. Balances should be classified according to the
origination vintage of the account with which the balance is associated.
New Originations: Total dollar amount of new originations net of sales to Agencies. Only include
originations you expect to hold in portfolio.
Paydowns: Total dollar of repayments received in the given quarter.
Asset Purchases: Total dollar of assets purchased in the given quarter.
Asset Sales: Total dollar of assets sold in the given quarter.
Loan Losses: Total dollar of loan losses recognized in the given quarter.
Cumulative Interim Loan Losses – Non-PCI: The total unpaid principal balance that has been
charged-off on loans in the segment through Q3 of the reporting period on non-PCI loans.
Interim charge-offs include all cumulative partial chargeoffs/write-downs for loan that have not
been fully charged‐off or otherwise liquidated.
Cumulative Interim Loan Losses – PCI: The total unpaid principal balance that has been
determined to be uncollectible through Q3 of the reporting period and for which the non9

•

accretable difference or ALLL has been used to absorb the uncollectible amount. The amounts
reported in this line should be consistent with the Non-Accretable Difference Remaining and
other information reported on the ASC 310-30 worksheet. As above, this measure should not
include liquidated loans.
Reporting of projections for credit cards should be based on all open accounts (active +
inactive), but not charged-off accounts.

B. Retail Repurchase Worksheet
The Retail Repurchase worksheet collects data on loans sold by the BHC that may be subject to
repurchase risk due to breaches of representations and warranties made during the sale of the loans. It
also collects data on loans insured by the US Government for which the insurance coverage could be
denied if loan defects are identified. Information about loans sold between first quarter 2004 and third
quarter 2012 should be aggregated and reported in the following categories on Tables A-F:
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Tables A—Loans Sold to Fannie Mae;
Tables B—Loans Sold to Freddie Mac;
Tables C—Loans Insured by the US Government (e.g. FHA, VA): loans (whether on balance
sheet or in a GNMA security) insured by the US government and subject to a denial of
insurance payment if certain defects are discovered;
Tables D—Loans Securitized with Monoline Insurance: loans packaged into a securitization
and wrapped with monoline insurance. If it cannot be identified whether a given loan is
monoline insured, include the loan in this category;
Tables E—Loans Securitized without Monoline Insurance: loans packaged into a
securitization but not wrapped with monoline insurance;
Tables F—Whole Loans Sold: loans sold as whole loans to parties other than Fannie Mae or
Freddie Mac, even if the whole loans were subsequently sold to Fannie Mae or Freddie Mac.

Please report information aggregated by vintage for each of the data fields below. In cases where the
data may not be available by vintage, report the data in the Unallocated column. It is expected that use
of the Unallocated column will be very limited. Any data reported in the Unallocated column will be
treated with conservative assumptions by the Federal Reserve. Loans that have been sold, repurchased
and then sold again should be reported in the most recent year of sale.
For row variables described below with the note Excluding Exempt Population, the data submitted
should exclude any loans for which the BHC has no risk of repurchase liability because of settlement or
previous repurchase. Only exclude finalized settlements; any loans subject to a pending settlement
should be included on this worksheet. Also exclude loans for which a repurchase request has been made
and subsequently rescinded. Loans paid in full are not part of the exempt population unless they satisfy
the exemption criteria defined above.
For each set of tables A-F, please complete Table X.1 for all loans for which the outstanding UPB and
delinquency information requested in Table X.1 is available. If the requested outstanding UPB or
delinquency information is not available, please complete Table X.2 instead. Due to the missing data
associated with loans reported in Table X.2, loans in this population will be treated with conservative
assumptions. Tables X.1 and X.2 should be mutually exclusive.

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The row variables for each table should be filled out as follows:
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Original UPB: The original unpaid principal balance (UPB) of all of the loans, including closed
loans;
Original UPB (Excluding Exempt Population): The original UPB of the loans, including closed
loans but excluding the exempt population as defined above;
Outstanding UPB (Excluding Exempt Population): The outstanding UPB as of September 30 of
the reporting year, excluding the exempt population as defined above;
Delinquency Status as of 3Q (Excluding Exempt Population): Report the data as of September 30
of the reporting year, excluding the exempt population as defined above. The sum of the four
delinquency categories listed below should equal the outstanding UPB reported for that vintage.
• Current: The UPB of loans less than 30 days past due;
• Past due 30 to 89 days: The UPB of loans 30-89 days past due;
• Past due 90 to 179 days: The UPB of loans 90-179 days past due;
• Past due 180+ days: The UPB of all loans that are 180 days or more past due and have
not yet been fully charged‐off;
Net Credit Loss Realized to‐date (Excluding Exempt Population): Cumulative net credit losses
realized by investors in the loans through September 30 of the reporting year, excluding the
exempt population as defined above;
Repurchase Requests Outstanding (Excluding Exempt Population): The UPB of loans for which a
buyer has requested a repurchase but a resolution had not been reached as of September 30 of
the reporting year. No loans that belong in this row will fit the definition of the exempt
population, so this variable is by definition exclusive of the exempt population as defined above;
Loss to-date Due to Denied Insurance (applicable to Table C only): Losses realized through
September 30 of the reporting year due to insurance claims denied by the US Government due
to an identified defect on the loan in question;
Estimated Lifetime Net Credit Losses (Excluding Exempt Population): The firm’s estimate of
lifetime net credit losses by investors in the loans (inclusive of net credit losses realized‐to‐date)
under the scenario in question, excluding from the estimate losses on the exempt population as
defined above;
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population):
Lifetime future losses related to sold or government-insured loans under the scenario in
question that the BHC expects to charge through its repurchase reserve.

In Table X.3, please distribute the projected future lifetime losses that would be charged-off through the
repurchase reserve under each scenario, as defined above, over the quarters displayed in the column
headers. For each Table A-F, the sum of the projected future losses in Table X.3 expected to be charged
off to the repurchase reserve should equal the sum of the projected future losses expected to be
charged off through the repurchase reserve in Tables X.1 and X.2. The Projection Validity Check cells will
read “TRUE” when these projected losses are filled out correctly. Further, the sum of the projected
future losses reported in Tables A.3-F.3 is calculated in table G.3. The sum of losses expected to be
charged to the repurchase reserve is linked to the net charge-off lines in the Repurchase Reserve on the
Income Statement to ensure consistency across the sheets of the Y-14A summary workbook.

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C. ASC 310-30 worksheet
The Retail ASC 310‐30 5 worksheet collects information and projections on the BHCs’ retail purchased
credit impaired (PCI) portfolio. Provide actual information 6 for the third quarter of the reporting period
and projected information for the future quarters.
Submit the information requested by product, as segregated on the worksheet. In the event that a firm
has ASC 310-30 pools that include more than one of the products provided on the worksheet, please
allocate the data between the products in question and provide documentation for the methodology you
used for the allocation.
1. Carry Value: The carry value of the ASC 310-30 purchased impaired loans as reported on the balance
sheet. Carry value should not reflect any allowance for loan losses that may be in place for the PCI loans
being reported, consistent with the instructions for Y-9C item HC-C M5(b).
2. Allowance: The amount of any allowance for loan losses that has been established for the PCI loans.
3. Net Carry Value: Net Carry Value: The carry value less any allowance. This field is automatically
calculated.
4. Unpaid Principal Balance: Total contractual Unpaid Principal Balance of ASC 310‐30 (SOP 03‐3) PCI
loans as of quarter‐end.
5. Initial Day 1 Non-Accretable Difference to Absorb Cash Flow Shortfalls on PCI Loans: The original
Day 1 full non-accretable difference to absorb amounts determined to be uncollectible on PCI loans
when the PCI portfolio was acquired. Please specify if this includes principal only or principal and
interest. Provide only for the first quarter on the reporting schedule.
6. Quarter Ending Non Accretable Difference (NAD): The amount of the Day 1 NAD remaining, net of
the amount allocated to offset ‘Charge Offs to Date’ (provided in Line 7) and any amounts reclassified to
accretable yield.
7-8. Cumulative “Charge-Offs” to Date: Total cumulative contractual amounts due on PCI loans that
would have been deemed charged-off under a non-PCI charge-off policy (i.e. losses accumulated to date
that will be offset against the non-accretable difference (NAD) and/or the PCI Allowance). Please split
between amount planned to be applied against the NAD and the amount planned to be applied against
the Allowance. Provide only for the first quarter on the reporting schedule.
9. Provisions to Allowance: The amount of provisions to the allowance recognized in the income
statement in the quarter due to changed expectations of lifetime cash flows to be received for the PCI

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Accounting Standards Codification (ASC) Subtopic 310‐10, Receivables—Loans and Debt Securities
Acquired with Deteriorated Credit Quality (formerly AICPA Statement of Position 03‐3, “Accounting for
Certain Loans or Debt Securities Acquired in a Transfer”).
6

Required only in the baseline scenario

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loans. Provide increases to the allowance as a positive number and reversals of the allowance as a
negative number.
10-11. Quarterly “Charge-Offs”: The total contractual amount of PCI loans that would be deemed
charged off or identified as loss under a non-PCI charge-off policy in the quarter (i.e. losses in the
quarter that will be offset at some point against the non-accretable difference (NAD) and/or the PCI
Allowance). Please split between amount planned to be applied against the NAD and the amount
planned to be applied against the Allowance.
12. Accretable Yield Remaining: The accretable yield remaining as of the quarter-end.
13. Accretable Yield Accreted to Income: The amount of accretable yield recognized as income in the
quarter.
14. Effective Yield (%):The effective interest rate at which income is recognized in the quarter.
D. Supporting Documentation
BHCs should submit separate documentation for their Retail-related projections. The supporting
document should be titled BHCRSSD_BHCMNEMONIC_RETAIL_METHODOLOGY_YYMMDD. You may
submit separate documents for different models and/or methodologies. In this case, title the
documents: BHCRSSD_BHCMNEMONIC_RETAIL_METHODOLOGY_MODELTYPE_YYMMDD. Model
Type refers to the type of Retail model. Documentation should be submitted for all aspects of the retail
portfolio, including purchased credit impaired loans and mortgage repurchase risk. Mortgage
repurchase documentation should include descriptions of all important assumptions made in each
scenario, including, but not limited to, assumptions about legal process outcomes and counterparty
behavior. All retail documentation should include documentation of assumptions, governance,
validation and independent review as outlined in the Supporting Documentation section of the
Overview.

IV. Wholesale
BHCs should submit separate documentation for their Wholesale (Corporate and CRE) loan balances and
loss projections. The supporting document should be titled
BHCRSSD_BHCMNEMONIC_WHOLESALE_METHODOLOGY_YYMMDD. You may submit separate
documents for different models and/or methodologies. In this case, title the documents:
BHCRSSD_BHCMNEMONIC_ WHOLESALE _METHODOLOGY_MODELTYPE_YYMMDD. Model Type
refers to the type of Wholesale model.
BHCs should include supporting documentation that describes the key methodologies and assumptions
for performing stress testing on each wholesale portfolio. Documentation should include an index of
documents submitted, a general overview document providing a broad summary of the stress testing
methodologies utilized, and detailed supporting documentation that clearly describe the model
development process, the derivation of outcomes, and validation procedures as outlined below. The
methodologies’ formulaic specification, assumptions, numerical techniques, and approximations should
be explained in detail with particular attention to both their merits and limitations. Specifically,
documentation should include:
•

Discussion of historical data set construction, including data sources, adjustments to the data
13

set, and documentation validating the use of any external data.
• Time period of model calibration.
• Rationale for portfolio segmentation and a discussion on how a particular methodology and
model captures the key characteristics and the unique risk drivers of each portfolio segment.
• A description of how the loss estimates appropriately capture the severity of the
macroeconomic scenario, reflecting both industry and borrower characteristics. Documentation
should include a justification for explanatory variables selected, including coefficients from
statistical models, measures of their statistical significance, and qualitative assessments where
appropriate. Where relevant, descriptive statistics, including their mean, median, minimum,
maximum, and standard deviation should be outlined.
• Step-by-step examples of loss calculation, including a transparent breakdown of all components
of forecasted loss (i.e., probability of default, severity of loss, exposure at default) and how each
component is adjusted for the given macroeconomic scenario.
• Discussion of how losses were distributed to each quarter in the forecasted period as it relates
to changes in the macroeconomic factors within the modeled scenario.
• Qualitative or quantitative adjustment to main model output. Firms should perform preadjustment / post adjustment loss analysis and supply that analysis for material disparity.
Where the current total balances in the wholesale line items do not tie directly to the corresponding
category on the FR Y-9C, BHCs should provide a reconciliation which accounts for all wholesale balances.
To the extent that loss projection line items include the consolidation of various loan portfolios which
have different risk characteristics, supporting documentation should break out the relevant subportfolio losses. Furthermore, BHCs should provide supporting documentation and forecasts for any
wholesale loan portfolios acquired after the beginning quarter of the stress scenario and/or for loans
covered by loss sharing agreements with the FDIC.

V. Loans Held for Sale and Loans Accounted for Under the Fair Value Option
BHCs should submit separate documentation for their Fair Value Option and Held for Sale retail and
wholesale loans. The supporting document should be titled
BHCRSSD_BHCMNEMONIC_FVOHFS_METHODOLOGY_YYMMDD. You may submit separate documents
for different models and/or methodologies. In this case, title the documents:
BHCRSSD_BHCMNEMONIC_FVOHFS_METHODOLOGY_MODELTYPE_YYMMDD. The documentation
should include:








Total loss and outstanding fair market value balances segmented by Commercial/Wholesale,
Commercial Real Estate and Retail along with explanation as to the main drivers of loss for each
category noted above.
Please document the amount of funded and non-funded commitments for wholesale loans and
for retail loans please include the average amount of loans that had been rejected or were in
not in conformance with agency standards.
An attestation to completeness: describe the process and governance & oversight for ensuring
the full set of positions were accounted for and included,
Documentation should clearly make note of instances where different methodologies were used
across different business lines with like assets,
Documentation should make note where judgment was used in defining and allocating
exposure,
14




•

Where shocks were used that differed from prescribed shocks,
Document approach and asset coverage under these approaches,
Describe any additional broadening or simplification of the scenario done to get the requisite
amount of granularity needed to run to scenario,
Scenario design and choice for BHC scenario and method of application compared to the FRB
scenario.

VI. AFS/HTM Securities
A. Projected OTTI for AFS Securities and HTM Securities by CUSIP
For each position that incurred a loss in P&L, please state the identifier value (CUSIP or ISIN) and the
amount of loss projected (over the entire forecast horizon). Create a separate line item for each
position. Total projected losses should reconcile to the total sum of projected losses (across all quarters)
provided in the Securities OTTI by Portfolio tab of this schedule. Responses should be provided in USD
millions.
B. Projected OTTI for AFS and HTM Securities by Portfolio
Please provide the credit loss portion and non-credit loss portion of projected OTTI (for relevant
portfolios) for the quarters detailed in the tables provided in the Securities OTTI by Portfolio tab.
Responses should be provided in USD millions. Values should be quarterly, not cumulative.
OTTI related to the security’s credit loss is recognized in earnings, whereas the OTTI related to other
factors (defined as the non‐credit loss portion) is included as part of a separate component of other
comprehensive income (OCI). For only those securities determined to be other-than-temporarily
impaired, BHCs should provide both projected losses that would be recognized in earnings and any
projected losses that would be captured in OCI.
Only securities projected to experience an other-than-temporary impairment loss in the P&L should be
reported in the tables provided in the Securities OTTI by Portfolio tab. Securities not projected to be
other-than-temporarily impaired (for example, any securities implicitly or explicitly guaranteed by the
U.S. government or any other securities for which no OTTI is projected) should not be reported in this
tab.
C. High-Level OTTI Methodology and Assumptions for AFS and HTM Securities by Portfolio
Please complete the unshaded cells in the table provided.
D. Post-Trading Shock Market Values for AFS Securities
BHCs should estimate and provide fair market values of AFS securities based on a re-pricing of
09/30/2011 positions under the trading shock scenario.

15

E. Actual AFS and HTM Fair Market Value Sources by Portfolio
Provide information on the sources of actual fair market values as of September 30 of the reporting
year.
F. Supporting Documentation
The supporting document should be titled
BHCRSSD_BHCMNEMONIC_SECURITIES_METHODOLOGY_YYMMDD. You may submit separate
documents for different models and/or methodologies. In this case, title the documents:
BHCRSSD_BHCMNEMONIC_SECURITIES_METHODOLOGY_MODELTYPE_YYMMDD. The documentation
should clearly addresses the OTTI methodologies used by BHCs to complete the FR Y‐14A Summary
schedule. The documentation should, at a minimum, address the questions outlined below by major
product/portfolio type (e.g., non‐agency residential mortgage-backed securities (RMBS), commercial
mortgage-backed securities (CMBS), auto asset-backed securities (ABS), corporate bonds, etc.).
OTTI Methodology
 Describe the model/methodology used to develop stressed OTTI losses. Please state whether a
vendor or proprietary model was used.
 If a vendor model was used, please provide the name of the vendor model. If a vendor model
was used, has the BHC performed an independent review of the vendor model?
 What data source(s) was used to estimate the model?
 What were the key inputs/variables and how were these determined? (E.g., how were default,
severity, and other elements determined? What were the key inputs in determining default,
severity, and other elements? What were the key assumptions and how were these
assumptions determined?)
 If using a cash flow model, was a vendor or proprietary model used? If using a vendor model,
please provide the name of the vendor and model.
 How did the model/methodology (whether vendor or proprietary) incorporate macroeconomic
assumptions?
 If relevant, how were macroeconomic assumptions (as prescribed under the supervisory stress
scenario) used to determine projected collateral default and severity?
 Were all securities reviewed for impairment? If not, describe the rationale, decision rule, or
filtering process.
 If the threshold for determining OTTI on structured products was based on a loss coverage
multiple, describe the multiple used.
 If OTTI was estimated for multiple quarters, describe the process for determining OTTI in each
period of the forecast time horizon.
 Is the BHC using shortcuts or rules of thumb to recognize the OTTI charges for this analysis or
going through the BHC’s normal process for recognizing OTTI charges? If using shortcuts or rules
of thumb, state how this process differs from the normal process for recognizing OTTI charges.
Validation and Independent Review
16




Has the model undergone model validation, with results reviewed independently of the business
line?
Has any performance testing been conducted on the model? If so, what type of performance
testing has been conducted?

Fair Market Value Determination
 If more than one third‐party vendor is used as the principal pricing source for a given security,
what are the criteria for determining the final price? (e.g., is a mean, median, weighting scheme
or high/low price taken?) Is there a hierarchy of sources? If appropriate, describe responses by
major product or portfolio type (e.g., non‐agency RMBS, CMBS, Consumer ABS).
 If an internal model is used as the principal pricing source for a given security, are prices (from
an internally created model) compared with third party vendor prices? If so, which vendors are
used? If prices are not compared with third party vendors, state the reason. If appropriate,
describe responses by major product/portfolio type (e.g., non‐agency RMBS, CMBS, Consumer
ABS.).
 Describe any additional adjustments made to prices determined by internal model(s) and/or
third parties. How is the ultimate price determined?
 If an internal model is used as the principal pricing source for a given security, what are the
primary market pricing variables used for fair value estimation?
 Describe briefly the BHC’s price validation and verification process. Provide readily available
documentation related to the BHC’s price validation and verification process.
Post-Trading Shock Market Values for AFS Securities
 For the supervisory stress scenario only, BHCs should provide documentation on how trading
shocks were applied to 9/30 positions. BHCs should make every effort to use the shocks
specified; however, there may be cases where a BHC may require a shock that differs from those
provided. For these cases, supplemental documentation must be submitted with the BHC’s
trading shock estimates. Supplemental documentation should include, at a minimum, the
following information:
•
•
•
•

For each type of security, the rationale for using a shock other than those provided.
The methodology and assumptions used to determine the shocked market value.
The shocks used by the BHC by type of security.
The data source(s) used by the BHC to determine the shock.

VII. Trading
A. Trading worksheet
The Trading worksheet collects firm-wide trading profit and loss (P/L) results decomposed into the
various categories listed (Equities, FX, Rates) as of a date specified by the Federal Reserve. These
categories are not meant to denote lines of business or desks, but rather firm-wide totals by risk.
Definitions of terms can be found in the instructions to the quarterly Trading schedule. The
17

decomposition of losses into risk areas should sum to equal the total trading mark-to-market (MTM) loss
reported on the income statement. On the trading tab, report total P/L for the entire scenario horizon,
not quarterly decomposition.
B. Supporting Documentation
The supporting document should be titled
BHCRSSD_BHCMNEMONIC_TRADING_METHODOLOGY_YYMMDD. You may submit separate
documents for different models and/or methodologies. In this case, title the documents:
BHCRSSD_BHCMNEMONIC_TRADING_METHODOLOGY_MODELTYPE_YYMMDD.













•

Documentation should include supporting details explaining the main drivers and attribution of
loss for the overall trading and MTM loss estimate, and for each respective primary
risk/business unit area details on the loss attribution by the primary risk factors.
Documentation should provide a complete and technical definition of second and higher order
risk factors (cross gamma, vanna, etc.) and describe the methods undertaken by the firm to
estimate the cross gamma and higher order effects.
o Estimate the contribution to total losses from higher-order risks.
Describe the evolution of risk per each risk area two weeks before and after the submission
date, i.e. make note of positions that may expire or terminate within this time frame that
significantly alters a risk profile.
Describe the process and governance & oversight for ensuring the full set of positions were
accounted for and included and also please make note of differences in the products and/or
exposures included in the 14Q vs. the 14A.
A detailed and technical description of modeling methods (including pricing models) used,
o Documentation should clearly make note of instances where different methodologies were
used across different business lines with like assets.
o Document approach (full revaluation vs. grid based approach, e.g.) and asset coverage
under these approaches,
o Please identify those products or exposures where the firm used models or systems that
were outside of the normal routine stress testing framework for the FRB stress scenario and
indicate if they were reviewed or validated by an independent Model Review function.
The decision-making used for allocating exposures according to risk area. Documentation should
make note where judgment was used in defining and allocating exposure per each risk area.
Where shocks were used that differed from prescribed shocks.
Describe any additional broadening or simplification of the scenario done to get the requisite
amount of granularity needed to run to scenario,
Scenario design and choice for BHC scenario and method of application compared to the FRB
scenario.

18

VIII.

Counterparty Credit Risk (CCR)

A. Counterparty Risk Worksheet
The CCR worksheet collects projected counterparty credit losses as of a date specified by the Federal
Reserve. Use the following definitions for the fields in the worksheet.
•

Trading IDR losses: Capture incremental default risk (IDR) of credit sensitive assets in the trading
book over the projection horizon. Trading IDR represents the additional losses incurred from
default of underlying securities (obligors) in the trading book, beyond the MTM losses already
captured by the MTM trading book shocks. To estimate Trading IDR, firms can leverage
calculations under the Basel methodology as defined in Basel Committee on Banking Supervision
(BCBS) Guidelines for Computing Capital for Incremental Risk in the Trading Book. 7 Default risk
should be consistent with the macroeconomic scenario. Where separate methodologies are
used to calculate CCR IDR and Trading IDR, provide separate results and supporting details.
a. Trading IDR losses from securitized products: Trading IDR losses from securitized
products, including RMBS, CMBS, and other securitized products as specified on the
Securitized Products Worksheet of the FR_Y-14Q_TRADING Schedule.
b. Trading IDR losses from other credit sensitive instruments: Trading IDR losses from all
other credit sensitive instruments (i.e., all products considered in Trading IDR losses
other than securitized products), such as sovereigns, advanced economy corporate
credits, and emerging market corporate credits.

7

•

CVA losses: Total losses reported are equivalent to the BHC's calculation of aggregate stressed
CVA less unstressed CVA for each scenario. This figure should correspond to the difference
between aggregate stressed CVA and aggregate unstressed CVA, as reported in the FR_Y14A_CCR schedule, Worksheet 1e, for both scenarios.

•

CCR IDR losses: Capture incremental default risk (IDR) over the projection horizon of over-thecounter (OTC) derivative counterparties in the trading book, beyond the mark-to-market (MTM)
losses already captured by stressing CVA. A methodology conceptually similar to the Trading
IDR book can be applied, where instead of obligor defaults, the CCR IDR would account for
counterparty defaults. Exposure at default (EAD) calculations should capture stressed
counterparty exposures, and should deduct stressed asset-side, unilateral CVA. Stressed EAD
should be based on the trading asset stress scenarios (adverse scenario provided by the Federal
Reserve and adverse scenario developed by BHC), while default risk should be consistent with
the macroeconomic scenario. Where separate methodologies are used to calculate CCR IDR and
Trading IDR, provide separate results and supporting details. Only single name credit default
swap (CDS) hedges of the defaulting counterparty may be used to offset counterparty defaults
in CCR IDR losses.

Available at http://www.bis.org/publ/bcbs159.pdf.

19

a. Impact of hedges: The decrease in CCR IDR losses due to the gains from single name
CDS hedges of defaulting counterparties.
•

Other CCR losses: Other CCR losses not associated with Trading IDR, CVA, or CCR IDR.

B. Supporting Documentation
The supporting document should be titled
BHCRSSD_BHCMNEMONIC_CCR_METHODOLOGY_YYMMDD. You may submit separate documents for
different models and/or methodologies. In this case, title the documents:
BHCRSSD_BHCMNEMONIC_CCR_METHODOLOGY_MODELTYPE_YYMMDD. Model Type refers to CVA,
CCR IDR, Trading IDR, and Other CCR Losses.
The documentation should include a detailed description of the methodologies used to estimate Trading
IDR, CVA, and CCR IDR losses under the stress scenario as well as methodologies used to produce the
data in the FR_Y-14A_CCR schedule. All information relevant for supervisors to understand the approach
should be included. Any differences between the BHC and the FR scenarios in methodology, position
capture, or other material elements of the loss modeling approach should be clearly described.
As part of the detailed methodology document, BHCs should provide an Executive Summary that gives
an overview of each model and answers each of the questions below. If one of the questions below is
not fully addressed in the Executive Summary, cite the page number(s) of the methodology document
that fully addresses the question.
In addition to the Executive Summary, there should be a section of the methodology document devoted
to any divergence from the instructions to the Counterparty Risk Worksheet or the FR_Y-14A Schedule.
Use this section to explain any data that is missing or not provided as requested. This section should also
be used to describe where and how judgment was used to interpret an instruction.
Trading IDR
If different models were used for different product types (e.g., corporate credit and securitized
products), provide a response for each model type where appropriate.
1. Data and systems
a. What product types are included and excluded? Specifically, comment on whether
equities are excluded and what types of securitized products, if any, are excluded.
Comment on the materiality of any exclusions.
b. Are there any issuer type exclusions? Comment on the materiality of any exclusions.
c. Are there any exposure measurement or trade capture limitations impacting the Trading
IDR loss estimate in Item 1 on the Counterparty Risk Worksheet in the
SUMMARY_SCHEDULE or the data provided in Worksheets Corporate Credit-Advanced,
Corporate Credit-EM, Sovereign Credit, Credit Correlation, IDR-Corporate Credit, or IDRJump To Default in the FR_Y-14Q_TRADING Schedule? If so, make sure to elaborate in
the documentation, particularly where these limitations understate losses.
d. Are there any discrepancies in position capture between the MV and Notionals reported
in Worksheets Corporate Credit-Advanced, Corporate Credit-EM, Sovereign Credit,
Credit Correlation, or IDR- Corporate Credit in the FR_Y-14Q_TRADING Schedule? If so,
20

2.

3.
4.

5.
6.

7.
8.

elaborate on the discrepancies in the documentation.
e. Are any index or structured exposures decomposed/unbundled into single name
exposures on the IDR Corp Credit or IDR Jump to Default Worksheets in the FR_Y14Q_TRADING Schedule? If so, provide a description of the exposures that are
decomposed and the methodology used.
f. What types of CVA hedges are included in the FR_Y-14Q_TRADING Schedule and Item
10 on the Trading Worksheet of the SUMMARY_SCHEDULE (e.g., market risk hedges,
counterparty risk hedges)? Which, if any, of these hedges are excluded from the Trading
IDR loss estimates (Item 1 on the Counterparty Risk Worksheet of the
SUMMARY_SCHEDULE)? Confirm that hedges modeled in Trading IDR are excluded from
CCR IDR.
PD methodology
a. How is the severity of default risk treated? Is a stressed expected PD used, or is it an
outcome in the tail of the default distribution? If an outcome in the tail is used, what is
the tail percentile?
b. How is default risk represented over the horizon of the stress test? Is a cumulative twoyear PD or a one-year PD used as a model input? How is migration risk captured?
c. What data sources and related time periods are used to generate the assumptions on
stressed expected PD or the default distribution? In the documentation, provide a
breakdown of PDs (e.g., by rating, asset category). Provide stressed PDs if a stressed PD
is used, or provide PD inputs if an outcome in the tail is used.
Correlation assumptions
a. What correlation assumptions are used in the Trading IDR models?
LGD methodology
a. Do the models assume a static LGD or a stochastic LGD with a non-zero recovery rate
volatility?
i. If a static LGD is used, were the mean LGDs stressed? What data sources and
related time periods were used to determine the LGDs? In the methodology
documentation, provide the relevant breakdown of LGDs used in the model
(e.g., by ratings, asset category).
ii. If a stochastic LGD is used, elaborate on the assumptions generating the
stochastic LGD in the documentation, including assumptions on the LGD mean
and volatility and rationale for modeling choices.
Liquidity horizon
a. What liquidity horizon assumptions are used?
Exposure at default (EAD)
a. What Exposure at Default (EAD) is used for Trading IDR? For example, is the calculation
based on actual issuer exposures, stressed exposures, a mix of both, or something else?
If exposures are stressed, please explain how the exposures were stressed.
Treatment of gains
a. Are any gains being reflected in the Trading IDR calculations? If so, elaborate in the
documentation how gains are treated.
Model validation and documentation
a. For any models used to report numbers in the SUMMARY_SCHEDULE or the FR_Y14A_Trading that are also used in Business as Usual (BAU) production, have those
models been validated as used in BAU? If so, attach model validation documents. If not,
elaborate in the documentation on any review process.
b. For any ad-hoc models used for CCAR that would not have been previously validated,
21

what review if any has occurred? Elaborate in the documentation where appropriate.
CVA
1. Divergence from instructions
a. In the FR_Y-14A_CCR or Summary Schedules, is liability-side CVA (i.e., DVA) included in
any element of the submission? If so, elaborate in the documentation.
b. In the FR_Y-14A_CCR or Summary Schedules, is bilateral CVA included in any element of
the submission (i.e., CVA where the counterparty default probabilities are conditional
on the survival of the BHC)? If so, elaborate in the documentation.
c. Is there any place where CVA data is reported net of hedges on the FR_Y_14A_CCR
Schedule or Item 2 on the Counterparty Risk Worksheet in the SUMMARY_SCHEDULE?
d. In calculating Stressed Net CE in Worksheets 1a, 1b, 1c, 1d, and 1e in FR_Y-14A_CCR, are
there any occasions where it is assumed additional collateral has been collected after
the shock? If so, elaborate in the documentation.
e. Are there any counterparties for which your firm did not fully implement the FR
specification for the EE profiles on Worksheets 2a and 2b in the FR_Y-14A_CCR? If so,
elaborate in the documentation.
2. Data and systems: In the documentation, clearly identify, describe, and comment on the
materiality of any exclusions that prevent 100% capture of counterparties or trades. At a
minimum, address the questions below and elaborate in the documentation where appropriate.
a. Are any counterparties on Worksheet 1a of FR_Y-14A_CCR excluded from Worksheet
2a? Where specific counterparties are reported as top 200 counterparties on one
Worksheet of the Schedule, but are not listed on other top 200 Worksheets, list these
counterparties in the documentation by name and provide a reason for their exclusion.
b. Are any counterparties excluded from the unstressed or stressed aggregate data
reported in Worksheets 1e, 2b, or 3b of FR_Y-14A_CCR or the losses reported in the
SUMMARY_SCHEDULE SUMMARY_SCHEDULE (Item 2 in the Counterparty Risk
Worksheet)? In the documentation, elaborate on the nature, materiality, and rationale
for these exclusions.
c. Do the expected exposure (EE) profiles, CDS spreads, PDs, LGDs, discount factors, as
provided on FR_Y-14A_CCR Schedule (Worksheets 2a and 2b), come from the same
systems as that used for the calculation of CVA losses as provided in the
SUMMARY_SCHEDULE (Item 2 in the Counterparty Risk Worksheet)? If not, elaborate in
the documentation.
d. For unstressed and stressed CVA reported in the FR_Y-14A_CCR Schedule, which
counterparties, counterparty types, or trade types are calculated offline or using
separate methodologies? Why are they calculated offline or with a different
methodology? Elaborate in the documentation.
e. Are any add-ons used to calculate stressed CVA in the FR_Y-14A_CCR Schedule?
Elaborate regarding the nature and rationale for each type of add-on in the
documentation.
f. Are there any additional/ offline CVA reserves are reported in Worksheet 1e in the
FR_Y-14A_CCR Schedule? If so, elaborate about the nature of these reserves in the
documentation. Explain what counterparties, counterparty types, or trade types are
included, why are they calculated as reserves, and how they are stressed.
g. Are there any exposure measurement or product capture limitations impacting the loss
estimate in Item 2 on the Counterparty Risk Worksheet in the SUMMARY_SCHEDULE? If
22

3.

4.

5.

6.

so, make sure to elaborate in the documentation, particularly where these limitations
understate losses.
h. Does the firm conduct a reconciliation between the sum of items 15(a) in Schedule HC-L
of the FRY-9C and the aggregate unstressed Gross CE on Worksheet 1e of the FRY14A_CCR Schedule? Note that the figures in the FRY-9C are called "net current credit
exposure", as the "net" refers to counterparty netting.
i. Are all sensitivities/ slides provided as requested? If slides are not provided as requested
in the FR_Y-14A_CCR Schedule, elaborate in the documentation why they are missing or
not provided correctly.
j. Are the sensitivities/ slides provided in Worksheet 4 of FR_Y-14A_CCR sourced from the
same calculation engine and systems as used for the firm's loss estimates (Item 2 in the
Counterparty Risk Worksheet in the SUMMARY_SCHEDULE)? If not, elaborate in the
documentation.
k. Elaborate on how sensitivities/ slides in Worksheet 4 of FR_Y-14A_CCR were determined
to be material. What qualifies a risk factor as immaterial?
LGD methodology
a. For the LGD used to calculate PD, are market implied recovery rates used? If not,
elaborate on the source of the LGD assumption in the methodology documentation.
b. Is the same recovery/LGD used in the CVA calculation as is used to calculate PDs from
the CDS spread? If not, in the documentation provide a detailed rationale and backup
data to support the use of a different LGD, and provide the source of the LGD used to
calculate CVA.
Exposure at default (EAD)
a. What Margin Period of Risk (MPOR) assumptions are used for unstressed and stressed
CVA?
b. Are collateral values stressed in the numbers reported in the FR_Y_14A_CCR Schedule
or Items 2 or 3 on the Counterparty Risk Worksheet in the SUMMARY_SCHEDULE? If so,
elaborate on the stress assumptions applied.
c. In the FR_Y-14A_CCR on Worksheets 2a and 2b, for the BHC specification, are
downgrade triggers modeled in the exposure profiles?
Application of shocks
a. Are the shocks applied to CVA (for calculating Item 2 in the Counterparty Risk
Worksheet in the SUMMARY_SCHEDULE as well as the Stressed figures reported in
FR_Y-14A_CCR) the same as those applied to the Trading Book (Item 10 in the Trading
Worksheet in the SUMMARY_SCHEDULE)? Where they are different, or where shocks
applied diverge from the FR shock scenario, elaborate in the documentation.
b. Have the models for CVA been validated? If not, elaborate on the review process, if any.
Model validation and documentation
a. For any models used to report numbers in the SUMMARY_SCHEDULE or the FR_Y14A_CCR that are also used in Business as Usual (BAU) production, have those models
been validated as used in BAU? If so, attach model validation documents. If not,
elaborate in the documentation on any review process.
b. For any ad-hoc models used for CCAR that would not have been previously validated,
what review if any has occurred? Elaborate in the documentation where appropriate.

CCR IDR
1. Data and systems
23

2.

3.
4.

5.
6.

7.
8.

a. Are there any exposure measurement or product capture limitations impacting the loss
estimate in Item 3 on the Counterparty Risk Worksheet in the SUMMARY_SCHEDULE? If
so, make sure to elaborate in the documentation, particularly where these limitations
understate losses.
b. What types of CVA hedges are included in CCR IDR? Confirm that hedges modeled in
CCR IDR were excluded from Trading IDR.
PD methodology
a. How is the severity of default risk treated? Is a stressed expected PD used, or is it an
outcome in the tail of the default distribution? If an outcome in the tail is used, what is
the tail percentile?
b. How is default risk represented over the horizon of the stress test? Is a cumulative twoyear PD or a one-year PD used as a model input? How is migration risk captured?
c. What data sources and related time periods are used to generate the assumptions on
stressed expected PD or the default distribution? In the documentation, provide a
breakdown of PDs (e.g., by rating, counterparty type). Provide stressed PDs if a stressed
PD is used, or provide PD inputs if an outcome in the tail is used.
Correlation assumptions
a. What correlation assumptions are used in the CCR IDR models?
LGD methodology
a. Do the models assume a static LGD or a stochastic LGD with a non-zero recovery rate
volatility?
b. If a static LGD is used, are the mean LGDs stressed? What data sources and related time
periods are used to determine the LGDs? In the methodology documentation, provide
the relevant breakdown of LGDs used in the model (e.g., by ratings, counterparty type).
c. If a stochastic LGD is used, elaborate on the assumptions generating the stochastic LGD
in the documentation, including assumptions on the LGD mean and volatility and
rationale for modeling choices.
Liquidity horizon
a. What liquidity horizon assumptions are used?
Exposure at default (EAD)
a. Provide an overview of how EAD is modeled for CCR IDR.
b. Are any downgrade triggers assumed in the CCR IDR model? If so, elaborate in the
documentation.
c. What Margin Period of Risk (MPOR) assumptions are modeled in CCR IDR?
Treatment of gains
a. Are any gains being reflected in the CCR IDR calculations? If so, elaborate in the
documentation how gains are treated.
Model validation and documentation
a. For any models used to report numbers in the SUMMARY_SCHEDULE or the FR_Y14A_CCR that are also used in Business as Usual (BAU) production, have those models
been validated as used in BAU? If so, attach model validation documents. If not,
elaborate in the documentation on any review process.
b. For any ad-hoc models used for CCAR that would not have been previously validated,
what review if any has occurred? Elaborate in the documentation where appropriate.

Other CCR Losses
1) Data and systems
24

a. What types of CCR losses are included in the "Other CCR Losses" Counterparty Risk
Worksheet of the SUMMARY_SCHEDULE? What are the loss amounts for each major
category of "Other CCR Losses"? For any material losses, discuss the methodology and
rationale in the documentation.

IX. Operational Risk
Operational risk losses are defined in Basel II as losses arising from inadequate or failed internal
processes, people and systems, or from external events. Operational risk losses include legal losses but
exclude boundary events (e.g., operational losses that could also be classified as credit event losses).
The FFIEC Final Rule further defines an operational loss as a financial loss (excluding insurance or tax
effects) resulting from an operational loss event and includes all expenses associated with an
operational loss event except for opportunity costs, forgone revenue, and costs related to risk
management and control enhancements implemented to prevent future operational losses. Some
examples of operational loss events that BHCs may consider are losses related to improper business
practices (including class action lawsuits), execution errors, and fraud. Operational risk loss projections
should be included in the PPNR Projections worksheet in line 29, Operational Risk Expense, and should
not be included as reserves. The following should be considered when completing each operational risk
schedule in the FR Y-14A:
Support for Sponsored Funds
Stress on asset markets can jeopardize the unit value of certain sponsored funds and asset management
products. Firms that offer these vehicles should anticipate this kind of duress and factor it into their
forecasts and capital planning. In doing so, firms should consider possible outcomes such as:
a. A decision against providing support for products which have traditionally carried unit asset
values may initiate client flight, and force the liquidation of assets into falling and illiquid
markets. Client flight may not be confined to the product in question but may also involve
withdrawal from other profitable relationships within the BHC. In addition, firms may be
exposed to client litigation based on the represented risk of these products.
b. A decision in favor of supporting the product, thus limiting reputational risk, will involve a direct
cost represented by the decline of the fund’s asset values. In addition, this choice may trigger
the consolidation of the product with the bank’s core balance sheet, which would increase riskweighted assets and subsequently increase capital requirements.
In either event, the impact on the BHC could be substantial. When assessing capital adequacy under
stress, management should estimate the impact conservatively, model the exposure, and include the
results in the loss projections. Recently, large BHCs have provided a notable amount of non-contractual
support to affiliated funds. Consideration should be given to the number and size of these funds, as well
as how the supervisory macroeconomic scenarios would impact the value of these funds and the firm’s
propensity to support a particular fund or set of funds. Although cash amounts paid to support funds are
not within the generally accepted definition of operational risk events, each event can significantly and
directly impact the capital of the sponsoring BHC and should be considered as an event in a capital
planning context.
Legal Reserves and Provisions
25

BHCs should report operational risk loss projections that include significant amounts paid to prevent or
mitigate an operational loss settlement with clients to prevent future legal action. Each of the
Operational Risk loss projections in each of the required scenarios should include all projected
settlements, make‐whole payments, and payouts that comply with adverse legal rulings if they are not
covered on the PPNR Projections Worksheet under lines 14N and 30 (Provisions to Repurchase Reserve /
Liability for Residential Mortgage Representations and Warranties). If specifically linked to operational
risk, please also include all legal consultation fees, retainer fees, and provisions to the legal reserve
within the Operational Risk loss projections.
Unrelated Professional Services
The cost of outside consulting, routine “business as usual” legal expenses, external audit, and other
professional services unrelated to operational risk should be included in line 31 (Professional and
Outside Services Expenses) on the PPNR Projections Worksheet.
Definitions
Refer to the following definitions when completing the Op Risk Scenario Inputs worksheet, the Projected
Quarterly Op Risk Losses worksheet, and the Historical Op Risk Capital worksheet:
1. Event Types: The event type is one of seven industry standard categories that reflect the nature
of the underlying operational loss. The seven categories are:
• Internal Fraud: Losses due to acts of a type which involve at least one internal party and are
intended to defraud; misappropriate property; or circumvent regulations, the law, or
company policy, excluding diversity and discrimination events.
• External Fraud: Losses due to acts of a type intended to defraud, misappropriate property
or circumvent the law, by a third party.
• Employment Practices and Workplace Safety: Losses arising from acts inconsistent with
employment, health or safety laws or agreements, from payment of personal injury claims,
or from diversity / discrimination events.
• Clients, Products and Business Practices: Losses arising from an unintentional or negligent
failure to meet a professional obligation to specific clients (including fiduciary and suitability
requirements), or from the nature or design of a product.
• Damage to Physical Assets: Losses arising from loss or damage to physical assets from
natural disaster or other events.
• Business Disruption and System Failure: Losses arising from disruption of business or
system failures.
• Execution, Delivery and Process Management: Losses from failed transaction processing or
process management, from relations with trade counterparties and vendors.
2. Type of Data:
• External data: Historical operational losses that have been experienced by other BHCs.
• Internal data: Historical operational losses that have been experienced by the BHC.
• Operational Risk Scenario Analysis: A systematic process of obtaining expert opinions from
business managers and risk management experts to derive reasoned assessments of the
likelihood and loss impact of plausible high severity operational losses.
• Model Output: Output generated by an internal or external model, such as a factor model
3. Brief Description: Description of operational loss event or other factor considered.
4. Unit of Measure: The level at which the BHC's quantification model generates a separate
distribution for estimating potential operational losses (e.g., organizational unit, operational loss
event type, risk category).
26

5. Dollar Contribution to Operational Loss Estimate: For each row of operational risk data
considered in the operational loss projections, indicate the dollar amount that was used in the
operational loss projection included in PPNR in millions of dollars.
Worksheets
A. BHC Operational Risk Scenario Inputs Worksheet
The Op Risk Scenario Inputs worksheet collects information about the composition of the operational
risk loss projections. Each reporting institution should gather data using a number of tools, including
external data, internal data, scenario analysis, risk assessment, and so on. Each data tool produces an
input to the overall loss projection. The Unit of Measure (“UOM”) is used to capture the data from these
tools in a uniform manner. Although an institution can develop idiosyncratic UOMs, in general reporting
institutions utilize the Basel II Event Types and Business Lines (or combinations of these) to categorize
the data into specific inputs to the loss projection models. Reporting institutions, therefore, are
expected to provide the type of data, a brief description of the loss event, how it was categorized
(UOM), and the contribution the data made to the loss projection. The sum of the OpRisk Scenario
Inputs Worksheet should equal the total of the losses projected on the OpRisk Projected Losses
worksheet.
B. BHC Operational Risk Projected Losses Worksheet
The sum of the quarterly data provided should equal the total of the scenarios listed in the OpRisk
Scenario Inputs worksheet.
C. Supporting Documentation and Independent Review
The supporting document should be titled BHCRSSD_BHCMNEMONIC_OP_METHODOLOGY_YYMMDD.
BHCs may submit separate documents for different models and/or methodologies. In this case, title the
documents: BHCRSSD_BHCMNEMONIC_OP_METHODOLOGY_MODELTYPE_YYMMDD.
Documentation
Generally, a BHC should have robust internal controls governing its operational risk loss projection
methodology and process components, including sufficient documentation, model validation and
independent review. Supporting documentation should cover all models, loss and resource forecasting
methodologies and processes. Adequate documentation includes comprehensive and clear policies and
procedures. For models, adequate documentation includes specific delineation of all key assumptions
for projecting operational losses under each scenario, a description of the underlying operational risk
data used to determine projected losses and the approach for translating the data into loss projections.
If a budgeting process was used, the BHC should describe the budgeting process and provide specific
detail on how operational losses are estimated. Adequate documentation includes articulating the
models’ vulnerability to error, and estimates of an error’s impact should parameter specifications prove
inaccurate. Documentation of all models should clearly identify the exact statistical process employed
by the BHC including:
1. How the current set of explanatory factors was chosen, what variables were tested and then
discarded, and how often the set of possible explanatory factors is reviewed and, if appropriate,
revised;
2. A description of work the BHC has done to assess relationships between macroeconomic factors
and operational risk losses, including relationships that were found to have the highest level of
27

3.
4.
5.
6.
7.

8.
9.

dependency, a summary of statistical results, and how these results were incorporated in the
estimates;
A discussion of how pending litigation and reserves for litigation were incorporated into
operational loss projections for all requested scenarios;
A narrative describing the methodology and process for assessing and forecasting losses
associated with supporting sponsored funds;
A description of the methodology for allocating an operational loss amount to a particular
quarter;
An explanation summarizing the reasonableness of results, how they differ from expectations,
and what the BHC does when the results are deemed "unreasonable";
A description of internal controls that ensure the integrity of reported results and that all
material changes to the process and its components are appropriately reviewed and approved.
BHCs should ensure that change control principles apply to forecasting models used in the stress
scenario analysis program, including processes that rely on management judgment;
An assessment of how effective or accurate the model is---preferably utilizing an out-of-sample
testing and analysis framework;
Identification of possible drawbacks and limitations of the selected approach.

Model Validation
Models employed by BHCs should be independently validated or otherwise reviewed in line with model
risk management expectations presented in SR 11-7 issued in April 2011, which provides a clear outline
of expectations surrounding model risk management. Specifically, management should provide
supporting documentation demonstrating that an independently executed verification of CCAR models,
whether purchased or developed in-house, has been implemented and that the models perform as
expected and align with design and business use. Model validation should be performed independently
of designers, developers, and users. Validators should comprehensively evaluate inputs, processing,
outputs, and reports to ensure that models are conceptually sound and that potential limitations have
been identified and conveyed to senior management. Management should also implement ongoing
monitoring processes to track known limitations and to identify new ones, and should analyze and
backtest outcomes between model forecasts vs. actual results. Validation should be governed by robust
policies, effective procedures, proper allocation of resources for execution, and accurate documentation
of results.
Independent Review
Internal audit should periodically assess and document whether the CCAR process is functioning as
intended. Beyond the detailed analysis of the performance of forecasting models, this includes an end
to end review of the entire capital planning and forecasting process including assessments of process
governance, the detail and quality of reporting, the process through which CCAR deficiencies are
identified, tracked, and remediated, and generally whether the program is functioning in a manner
consistent with established policies.

28

X. Pre-Provision Net Revenue (PPNR)
A. General Technical Details
This document provides general guidance and data definitions for the three PPNR worksheets included
in the Summary Schedule: PPNR Projections worksheet, PPNR Net Interest Income (NII) worksheet, and
PPNR Metrics worksheet. The three worksheets are described in detail below.
Certain commonly used terms and abbreviations, including PPNR, are defined at the end of this section.
Other definitions are embedded in the Schedule. Undefined terms should be assumed to follow FR Y-9C
definitions. In cases where FR Y-9C guidance is unavailable, BHCs should use internal definitions and
include information about the definitions used in the supporting documentation for FR Y-14A
projections.
All line item definitions and identification numbers are consistent between the Y-14A and Y-14Q and
data should be reported accordingly. Where specific FR Y-14 PPNR and/or FR Y-9C guidance exists for
business line and/or other items, provide both historical and projections data consistently throughout
time in accordance with the instructions. If a BHC has not done so in prior filings, restate and resubmit.
If a BHC is unable to consistently adhere to definitions, it can rely on internal definitions at the present
time. Note in such cases which FR Y-14 PPNR items were affected, which quarters were affected,
describe the reasons, and note how the situation may be remedied over time (including estimate of time
required). Where BHCs were instructed or allowed to rely on internal definitions in mapping internal
data to FR Y-14 PPNR schedules (historical and/or projections), they do not need to provide consistency
across different quarters at the present time. However, identify all quarters where major shifts in
mapping have occurred historically or are expected to occur during the projection period, describe such
shifts, and provide pertinent information in the memo supporting the FR Y-14A submission. Such
information may include, but is not limited, to the internal business line relationships to a) major client
segments (and how those are defined e.g. sales thresholds, asset size thresholds, etc.), b) major product
categories, and c) key types of revenues (e.g. equity investment income, brokerage commissions, etc.),
as well as the motivations behind the shifts.
All quarterly figures should be reported on a quarterly basis (not on a year-to-date basis).
Provide data for all non-shaded cells, except where the data requested is optional. The BHC is not
required to populate cells shaded gray.
If there are no data for certain fields, then populate the fields with a zero (0). If the fields are optional
and a BHC chooses not to report data, leave the fields blank.
Materiality Thresholds
BHCs for which deposits comprise less than 25 percent of total liabilities for any period reported in any
FR Y-14Q should complete the PPNR Projections worksheet as well as the Metrics by Business
Segment/Line and “Firm-Wide Metrics: PPNR Submission Worksheet” sections of the PPNR Metrics
worksheet. The Net Interest Income worksheet is optional for these BHCs.
All other BHCs should complete all three worksheets, including the Net Interest Income worksheet and
the Net Interest Income worksheet section of the PPNR Metrics worksheet.

29

Report data for all quarters for a given business segment in the PPNR Projections and PPNR Metrics
worksheets if the total revenue of that business segment (calculated as the sum of net interest income
and non interest income for that segment), relative to total revenue of the BHC exceeded 5 percent in
any of the most recent four actual quarters as provided by the BHC in the FR Y-14Q. BHCs have the
option to report less material business segment revenue in separate line items “Optional Immaterial
Business Segments”. The reported total optional immaterial business segment revenue relative to total
revenue cannot exceed 10 percent. If the total immaterial business segment revenue relative to total
revenue would be greater than 10 percent in any of the most recent four actual quarters as provided by
the BHC in the FR Y-14Q, report data for the largest business segment among the immaterial business
segments for all quarters in the PPNR Projections and PPNR Metrics worksheets such that the amount
reported in the Optional Immaterial Business segments line items does not exceed 10 percent. BHCs
should provide comprehensive information in the supporting documentation on which business
segments are included in the Optional Immaterial Business segments line items in both FR Y-14Q and FR
Y-14A schedules, their relative contribution to the totals reported in both schedules and the manner in
which the revenues were projected for FR Y-14A purposes.
If international revenue exceeded 5 percent of total revenue in any of the most recent four actual
quarters as provided by the BHC in the FR Y-14Q, provide regional breakouts (PPNR Metrics worksheet,
line items 46A-46D) for all quarters in the PPNR Metrics worksheet.
If International Retail and Small Business revenues exceeded 5 percent of Total Retail and Small Business
Segment revenue and Total Retail and Small Business Segment revenues were material based on an
applicable 5 percent threshold in any of the most recent four actual quarters as provided by the BHC in
the FR Y-14Q, provide related metrics data for all quarters (PPNR Metrics worksheet, line item 10).
Net Interest Income: Primary and Supplementary Designation
BHCs are expected to report all line items for all worksheets subject to applicable thresholds as detailed
in the instructions. In addition, for all BHCs that are required to complete the PPNR Net Interest Income
worksheet, the PPNR Net Interest Income worksheet should be designated as “Primary Net Interest
Income.” The PPNR Submission worksheet for such BHCs will be “Supplementary Net Interest Income”
by default. For BHCs that are not required to complete the PPNR Net Interest Income worksheet the
PPNR Submission/Projections worksheet should be designated as “Primary Net Interest Income.” PPNR
Net Interest Income Worksheet will be “Supplementary Net Interest Income” for such BHCs by default,
but is optional. Note that this designation would refer only to the net interest income portion of the
worksheets.
B. PPNR Projections Worksheet
The PPNR Projections worksheet is based on standardized reporting of each component of PPNR, using
business segment/line views as discussed below. Data reflecting a BHC view of PPNR revenues and
expenses should be provided separately, accompanying the memo required with the FR Y-14A
Projections.
Revenue Components
Revenue items are divided into net interest income and non-interest income, with totals expected to
reconcile with what would be reported in the FR Y-9C when adjusted for Valuation Adjustment for firm's
own debt under fair value option (FVO), loss resulting from trading shock exercise (if applicable), and
operational risk expense adjustments required for PPNR purposes. For related items, reference PPNR
30

Projections worksheet and related instructions for the line items 29, 40, and 42. In the documentation
supporting the FR Y-14A PPNR submission, BHCs are encouraged to discuss operational risk losses
reported as contra-revenues for FR Y-9C purposes and their reallocation to Operational Risk expense in
accordance with the PPNR instructions. Do not report gains and losses on AFS and HTM securities,
including other than temporary impairments (OTTI) estimates, as a component of PPNR.
Report all items either in the segments that generated them and/or segments that they were allocated
to through funds transfer pricing (FTP). Net interest income allocation to the defined segments should
be based on the cost of funds applicable to those segments as determined by the BHC. Supporting
documentation regarding methodology used should be provided in the memo required with the FR Y14A Projections. Business segments and related sub-components do not have to correspond to but may
include certain line items on the FR Y-9C schedule. The Business segment structure of the worksheet is
defined by product/service (e.g. credit cards, investment banking) and client type (e.g. retail, medium
size businesses); it is not defined by client relationship.
BHCs are encouraged to note which line items contain Debit Valuation Adjustments (DVA) and/or Credit
Valuation Adjustments (CVA) (note: these are different from fair value adjustment on the BHC's own
debt under the Fair Value Option (FVO) which is excluded from PPNR by definition), including amounts if
available, and whether these are generated with the purpose to generate profit.
All revenue and expenses related to mortgage servicing rights (MSRs) and the associated non-interest
income and non-interest expense line items should be evolved over the nine quarter projection
horizons, and reported in the pre provision net revenue (PPNR) schedules.
Business Segment Definitions
Subject to applicable thresholds, reporting of net interest income and non-interest income items is
requested based on a business segment/line view, with business segments/lines defined as follows 8:
•

Retail and Small Business Banking and Lending Services: Report in the appropriate sub-item all
revenues related to retail and small business banking and lending, including both ongoing as
well as run-off and liquidating businesses 9. Exclude any revenues related to Wealth
Management/Private Banking (WM/PB) clients. BHCs may include such revenues in WM/PB line
items instead. In case of WM/PB mortgage repurchase contra-revenues, if any, report them as
outlined in the PPNR Submission worksheet.
As general guidance, small business clients are those with annual sales of less than $10 million.
Business, government, not-for-profit, and other institutional entities of medium size are those
with annual sales between $10 million and $2 billion. Large business and institutional entities
are those with annual sales of more than $2 billion. If a BHC’s internal reporting for these client
segments deviates from this general guidance, continue to report according to internal
definitions and describe how the BHC defined these or similar client segments and the scope of

8

As noted earlier, data reflecting a BHC view should be provided separately, accompanying the memo
required with the FR Y-14A Projections.
9
See “Commonly Used Terms and Abbreviations” for the definition.

31

related business segments/lines (internal and those defined in the FR Y-14 PPNR worksheets) in
the memo supporting the FR Y-14A submission.
Business lines are defined as follows:
Domestic:
•
•
•
•

•

Credit Cards: Domestic credit and charge cards offered to retail customers. Exclude
other unsecured borrowing and debit cards. May include revenue that is generated on
domestic accounts due to foreign exchange transactions.
Mortgages: Domestic residential mortgage loans offered to retail customers.
Home Equity: Domestic Home Equity Loans and Lines of Credit (HELOANs/HELOCs)
provided to retail customers.
Retail and Small Business Deposits: Domestic branch banking and deposit-related
products and services provided to retail and small business customers. Include debit
card revenues in this line. May include revenue that is generated on domestic accounts
due to foreign exchange transactions.
Other Retail and Small Business Lending: Other Domestic Retail and Small Business
lending products and services. These include but are not limited to small business loans,
auto loans, student loans, or personal unsecured credit.

International Retail and Small Business:
Includes, but is not limited to, all revenues from credit/charge/debit cards, mortgages, home
equity, branch and deposit services, auto, student, and small business loans generated outside
of the US and Puerto Rico.
•

•

•
•

Commercial Lending: Report revenues from lending products and services provided to business,
government, not-for-profit, and other institutional entities of medium size, as well as to
commercial real estate investors and owners. Exclude treasury, deposit, and investment
banking services provided to commercial lending clients.
Investment Banking: Report in the appropriate sub-item all revenues generated from
investment banking services provided to business and institutional entities of both medium and
large size. Include revenues from new issue securitizations for third parties. Business lines are
defined as follows:
• Advisory: Corporate strategy and financial advisory, such as services provided for
mergers and acquisitions (M&A), restructuring, financial risk management, among
others.
• Equity Capital Markets: Equity investment banking services (e.g. IPOs or secondary
offerings).
• Debt Capital Markets: Generally non-loan debt investment banking services.
• Syndicated/Corporate Lending: Lending commitments to larger corporate clients,
including event or transaction-driven lending (e.g. to finance M&A, leveraged buyouts,
bridge loans). Generally, all syndicated lending origination activity should be included
here (not in Commercial Lending).
Merchant Banking/ Private Equity: Report revenues from private equity (PE), real estate,
infrastructure, and principal investments in hedge funds. May include principal investment
related to merchant banking activities.
Sales and Trading: Report in the appropriate sub-item all revenues generated from sales and
trading activities. Any interest income from carry should be included in Sales & Trading net
32

•

•

•
•

interest income. May include short-term trading made for positioning or profit generation
related to the Sales & Trading activities in this line item. Business lines are defined as follows:
• Equities: Commissions, fees, dividends, and trading gains and losses on equity products.
Exclude prime brokerage services.
• Fixed Income: Commissions, fees, and trading gains and losses on rates, credit, and
other fixed income products. Exclude prime brokerage services.
• Rates: Generally U.S. Treasury, investment grade sovereign, U.S. agency bonds,
and interest rate swaps. Rates revenues related to trading activities outside of
the Sales & Trading division need not be included into the Rates trading in this
section, but describe where they are allocated in the BHC’s documentation
supporting the FR Y-14A submission.
• Credit: Generally corporate bonds, loans, ABS, muni, emerging markets, CDS. If
a BHC classifies some of the credit related trading (such as distressed debt) in
segments other than “Sales & Trading,” it can continue to report it as in its
internal financial reports but indicate where they are reported in the
documentation supporting FR Y-14A submission.
• Other: e.g. FX/Currencies if not included above.
• Commodities: Commissions, fees, and trading gains and losses on commodity products.
Exclude prime brokerage services.
• Prime Brokerage: Securities financing, securities lending, custody, clearing, settlement,
and other services for hedge funds and other prime brokerage clients. Include all prime
brokerage revenues in this line and not in any other business segments/lines.
Investment Management: Report in the appropriate sub-item all revenues generated from
investment management activities. Business lines are defined as follows:
• Asset Management: Professional management of mutual funds and institutional
accounts. Institutional clients may include endowments, not-for-profit entities,
governments, and others.
• Wealth Management/Private Banking (WM/PB): Professional portfolio management
and advisory services for individuals. Individual clients may be defined as mass market,
affluent, and high net worth. Activities may also include tax planning, savings,
inheritance, and wealth planning, among others. May include deposit and lending
services to WM/PB clients here. Also include retail brokerage services. May report
retail brokerage revenues for both WM/PB and non WM/PB clients. here
Investment Services: Report in the appropriate sub-item all revenues generated from
investment servicing. Exclude prime brokerage revenues. Business lines are defined as follows:
• Asset Servicing: Custody, fund services, securities lending, liquidity services, collateral
management; and other asset servicing. Include record keeping services for 401K and
employee benefit plans, but exclude funding or guarantee products offered to such
clients.
• Issuer Services: Corporate trust, shareowner services, depository receipts, and other
issuer services.
• Other Investment Services: Clearing and other investment services.
Treasury Services: Report cash management, global payments, working capital solutions,
deposit services, and trade finance from business and institutional entities of both medium and
large size. Include wholesale and commercial cards.
Insurance Services: Report revenues from insurance activities including, but not limited to,
individual (e.g. life, health), auto and home (property and casualty), title insurance and surety
33

•

•

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

A BHC may include public funds in the segment reporting based on the type of the relationship that
exists between the public funds and the BHC. For example, if the BHC acts in a custodial or
administrative capacity, the BHC may report public funds in Investor Services. If a BHC is involved in the
management of funds, the BHC may report the public funds in “Investment Management.”
Non-Interest Expense Components
Non‐Interest Expense figures are to be broken out as detailed on the worksheet. The total is expected
to reconcile with what would be reported in the FR Y-9C when adjusted for certain items. As presented
on the PPNR worksheets, the adjustments include exclusions of goodwill impairment and adjustments
related to operational risk expense required for PPNR purposes. For the related items, reference PPNR
Projections worksheet and related instructions for the line items 29 and 41.
Expense data on the PPNR Submission worksheet are only intended to be reported as firm-wide BHC
expenses, with exception of line item 34A, i.e. Marketing Expense for Domestic Credit Cards. This line
item is for Domestic Credit Cards business line only. See the description of the Domestic Credit Card
business line in the Business Segment Definitions section of the document.

10

See “Commonly Used Terms and Abbreviations” for the definition.

34

C. PPNR Net Interest Income (NII) Worksheet
BHCs for which deposits comprise 25 percent or more of total liabilities for any period reported in any
FR Y-14Q are required to submit the Net Interest Income worksheet. This worksheet requires BHCs to
provide average asset and liability balances and average yields to calculate net interest income. The
total net interest income calculated should equal the total net interest income reported using a business
segment/line view in the PPNR Projections worksheet.
The average balances and rates are meant to reflect the average over each quarter as best as possible.
The Federal Reserve understands that because of changes in balances over the period, the simple
multiplication of average loan rates and balances may not yield the actual interest income. In these
cases, the BHCs may report the average loan rate so that it equals a weighted average rate over the
period and the interest income total for each quarter reflects historical results or the BHC's projection,
as applicable. If the average rates are materially impacted by large shifts in balances over the period,
highlight this in documentation supporting the FR Y-14A submission.
Average Interest Bearing Assets
BHCs should reference FR Y-9C and other definitions provided in the PPNR Net Interest Income
worksheet when completing this section. Align the asset categories definitions, where no FR Y9C code is
provided, with those on the Balance Sheet worksheet of the FR Y-14A Summary Schedule. In the case of
loans, align definitions with the “total loans” section of the Balance Sheet worksheet. Note that the
definitions for Large Commercial Credits and Small Business (Graded) are too aligned with Balance Sheet
definitions (e.g. in the current reports, consistent with CCAR 2012 Balance Sheet worksheet). However,
on the Net Interest Income worksheet, exclude from the balances reported loans that are classified as
nonaccrual. The aggregate total of all nonaccrual loans should be reported on the PPNR Metrics
worksheet instead (line item 55). Although the metric aggregates all nonaccruals for reporting
purposes, BHCs are encouraged to provide details on the nonaccrual loans by Balance Sheet worksheet
definition, if available, in the documentation supporting their FR Y-14A submission.
Average Interest Bearing Liabilities
For the classification of liabilities, BHCs should report based on internal definitions (those deemed to
best represent the behavior characteristics of deposits).
D. PPNR Metrics worksheet
The PPNR Metrics worksheet requests information on certain metrics relevant for the assessment of
various components of PPNR. Elements in Section C of the PPNR Metrics worksheet (line items 55-85B)
are required only for BHCs that must complete the Net Interest Income worksheet. All other metrics are
required of all BHCs, subject to applicable thresholds.
Metrics in Section A, "Metrics by Business Segment/Line," correspond to Business Segments/Lines on
PPNR Submission worksheet. This means that each metric is reflective of revenues reported on the
PPNR Submission worksheet for a given business segment/line, unless explicitly stated otherwise (e.g.
line item 2). In contrast, Sections B and C are both for firm-wide metrics.
In providing industry market size information, BHCs can use third party data and are not required to
independently derive these metrics. Any supporting information should be described in detail, including
the data source, and corresponding data should be provided in the worksheet.
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BHCs should use internal definitions of proprietary trading and clearly describe the covered activities
and transactions in methodology narratives.
If a BHC is unable to provide a metric on PPNR Metrics worksheet, it should offer a data series for
alternative metrics that are considered by the BHC in projecting the relevant component(s) of PPNR and
include in the documentation memo required with the FR-14A Projections a discussion of why the
standard metric could not be provided.
E. Commonly Used Terms and Abbreviations
•
•
•

•
•

Domestic Revenues: Revenues from the US and Puerto Rico only.
International Revenues: Revenues from regions outside the US and Puerto Rico.
Pre-provision Net Revenue (PPNR): Sum of net interest income and non-interest income net of
non-interest expense, with components expected to reconcile with those reported in the FR Y9C when adjusted for certain items. As presented on the PPNR schedules, the adjustments
include exclusions of Valuation Adjustment for BHC’s debt under fair value option (FVO),
goodwill impairment, loss resulting from trading shock exercise (if applicable), as well as
adjustments related to operational risk expense required for PPNR purposes. For the related
items, reference the PPNR Projections worksheet and related instructions for the line items 29,
40-42. Gains and losses on AFS and HTM securities, including other than temporary
impairments (OTTI) estimates, are not a component of PPNR. All revenue and expenses related
to mortgage servicing rights (MSRs) are components of PPNR to be reported in the associated
noninterest income and non-interest expense line items on the PPNR schedules.
Run-Off or Liquidating Businesses: operations that do not meet an accounting definition of
“discontinued operations” but which the BHC intends to exit.
Revenues: Sum of net interest income and non-interest income adjusted for selected exclusions,
as reported on line item 27 of the PPNR Projections worksheet.

F. Supporting Documentation
PPNR Documentation
The supporting document should be titled
BHCRSSD_BHCMNEMONIC_PPNR_METHODOLOGY_YYMMDD. Separate documents may be submitted
for different models and/or methodologies. In this case, title the documents:
BHCRSSD_BHCMNEMONIC_PPNR_METHODOLOGY_MODELTYPE_YYMMDD.
Each methodological memo should clearly describe how a BHC approached the PPNR projection process
and translated macro‐economic factors into the reported projections.
Projected Outcomes
1) Provide an explanation summarizing the reasonableness of projected outcomes relative to the
stated macroeconomic scenario, business profile, as well as regulatory and competitive
environment. Especially in the more adverse scenario(s), include substantial supporting
evidence for PPNR estimates materially exceeding recently realized values.
2) BHCs should discuss linkages between PPNR projections and the balance sheet as well as other
exposure assumptions used for related loss projections.

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3) Include discussion of PPNR outcomes by component (i.e. Net Interest Income, Non Interest
Income, and Non Interest Expense) and by major source of each component (e.g. by major
balance/rate category, type of revenue/expense, and/or business activity).
4) Consideration should be given to how changes in regulation will impact the BHC’s revenues and
expenses over the projection period. The memo should include a section that addresses how
recent or pending regulatory changes have impacted projected figures and business strategies
and in which line items these adjustments are reflected.
Models and Methodology
1) The documentation should include a full list of all models and parameters used to generate
projections of PPNR components for CCAR purposes and whether these models are also used as
part of other existing processes (e.g. the business-as-usual budgeting and forecasting process).
Where existing processes are leveraged, discuss how these are deemed appropriate for stress
testing purposes, including any modifications that were necessary to fit a stressful scenario.
Also discuss those items that are particularly challenging to project and identify limitations and
weaknesses in the process.
2) Thorough discussion of use of management/expert judgment, including information about
rationale and process involved in translation of macroeconomic scenario variables into
projections of various PPNR components should be provided. Where a combination of a
modeled approach and management judgment was used to project an item, quantify the impact
of qualitative adjustments to modeled output.
3) Provide support for all key assumptions used to derive PPNR estimates, with a focus on the link
of these assumptions to projected outcomes and whether the assumptions are consistent with
the stated macroeconomic scenario, regulatory and competitive environment as well as
business strategies for each of major business activities. Document the impact of assumptions
concerning new growth, divestitures or other substantial changes in business profile on PPNR
estimates. In cases where there is a high degree of uncertainty surrounding assumptions,
discuss and reference sensitivity of projections to these assumptions. Also ensure that all
relevant macro-economic factors used for PPNR projections are also reported on the firm
submitted Scenario Schedule.
4) In addition to broad macro‐economic assumptions that will guide the exercise, it is expected
that more specific assumptions will be used by BHCs in projections of PPNR, including
macro‐economic factors other than those provided by the Federal Reserve System as well as
BHC specific assumptions. Such assumptions and their link to reported figures, standardized
and/or BHC business segments and lines should be discussed in the methodology memo.
5) Where historical relationships are relied upon (e.g. ratios of compensation expense to total
revenues), BHCs are expected to document the historical data used and describe why these
relationships are expected to hold true in each scenario, particularly under adverse conditions.
6) Projecting future business outcomes inevitably relies on the identification of key relationships
between business metrics and other explanatory variables. Key limitations and difficulties
encountered by the BHC in the process to model these relationships should be identified and
discussed in the memo.
7) Highlight changes in various aspects of BHC’s PPNR forecasting models and methodology,
primarily focusing on the changes that occurred since the last CCAR submission.
Projections Governance and Data
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1) BHCs are asked to describe governance aspects for the PPNR projections development. This
includes but is not limited to a description of:
a. The roles of various business lines and management teams involved in the process
b. How the projections are generated. Particular attention should be given to how the
BHC ensures that assumptions are consistent across different business line
projections, how assumptions are translated into projections of revenue and
expenses, and the process of aggregating and reporting the results.
c. Senior management’s involvement of the process and the process in which the
assumptions are vetted and challenged.
Also note whether established policies and procedures are in place related to this process.
2) Also include a separate section devoted to any divergence from the instructions in
completing the PPNR worksheets in the FR Y-14A and FR Y-14Q Schedules. Use this section to
explain any data that is missing or not provided as requested. Use this section to discuss
major instances where judgment was used to interpret PPNR instructions.
3) Discuss general data validation and reconciliation practices here as they pertain to FR Y14Q/A submissions. PPNR is defined as the sum of net interest income and non-interest
income net of non-interest expense, with components expected to reconcile with those
reported in the FR Y-9C when adjusted for certain items (see “Commonly Used Terms and
Abbreviations” section of FR Y14-Q/A PPNR instructions for guidance for such items). BHCs
are encouraged to include information allowing confirmation that the data were reported per
the PPNR definition.Documentation should discuss consistency of a given schedule with the
BHC’s external reporting and internal reporting and forecasting. Provide a description of
broadly-defined types of business models currently used (e.g. Asset/Liability, Relationship,
Business Product/Services/Activity as defined or named by the BHC). Provide reconciliation
between BHC reporting used to manage and forecast operations and a standardized business
segment/line view required for FR Y-14A reporting. Note if allocation methodologies were
used when providing data for PPNR worksheets in FR Y-14A/Q Schedules.
4) Highlight changes in various aspects of BHC’s PPNR forecasting governance and data,
primarily focusing on the changes that occurred since the last CCAR submission.
Other
1) BHCs are also expected to address items requested in the Supporting Documentation portion
of the Overview section (I.C, p.p. 6-9) as applicable to PPNR if not already addressed per PPNR
documentations guidance as stated above.
2) Other sections of the FR Y-14A and FR Y-14Q PPNR Instructions request additional information
and supporting documentation. Please ensure that these items are also referenced and
described in this memo. For example, include a discussion of small/medium/large business
segmentation, as noted in section “B. PPNR Projections Worksheet.”
3) BHCs are encouraged to submit any other information and documentation (including data
series)that would support of the BHC’s PPNR projections. One example of such information
would be identification and discussion of major deviations of BHC historical performance from
forecasted figures, focusing on the last four quarters and noting items that the BHC regards as
non-recurring and/or non-core. Where applicable, it would be useful to reference this
additional supporting information in the memo outlined above.
MSR Projection Documentation
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The supporting document should be titled
BHCRSSD_BHCMNEMONIC_MSR_METHODOLOGY_YYMMDD. Separate documents may be submitted
for different models and/or methodologies. In this case, title the documents:
BHCRSSD_BHCMNEMONIC_MSR_METHODOLOGY_MODELTYPE_YYMMDD. The documentation
should address the questions outlined below.
1. Models and Methodologies
 Describe the models and related submodels that were used to complete the submission, and
please state whether the model is a third-party vendor or proprietary model.
o Income/Expense/Valuation Engine
o Prepayment Model
o Default Model
o Delinquency Model
o Hedging Simulation
 If a vendor model was used, please provide the name of the vendor model. If a vendor model
was used, has the BHC performed an independent review of the vendor model?
 Has the model undergone rigorous model validation, with results reviewed independently of the
business line?
 Has any performance testing been conducted on the model? If so, what type of performance
testing has been conducted?
 What data sources were used to calibrate each model?
 What were the key inputs/variables and how were these determined?
 How did the model (whether vendor or proprietary) incorporate macroeconomic assumptions?
2. Assumptions
 For each quarter, what new loan capitalizations and amortizations are assumed over both the
baseline and supervisory stress scenarios?
- How were the new loan capitalization forecast assumptions developed?
- What excess spread assumptions were made with respect to new loan capitalizations in
each scenario and how was this assumption derived (e.g., historical buy-up/buy-down grids,
etc.)?
- How were HARP assumptions, if any, estimated?
- What market share is assumed, and does this change within the stress scenario?
- Does the submission include any MSR sales or purchases under the supervisory stress? If
yes, please provide detail.
 What is the composition of the underlying portfolio of loans serviced for others with respect to
the following, and how does this composition change (if at all) during the supervisory stress
scenario?
i. Loan type
ii. Geographical region
iii. FICO score
 How were macroeconomic assumptions as prescribed under the supervisory baseline and stress
scenarios used to determine the respective projected loan prepayment, delinquency, and
default experience for each quarter?
 How were macroeconomic assumptions that were not prescribed under the supervisory
baseline and stress scenarios (for example, interest rate volatility, option adjusted spreads,
primary to secondary spreads) used to determine the respective projected loan prepayment,
delinquency, and default experience for each quarter?
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














What are the voluntary prepayment speeds (e.g., conditional prepayment rates (CPRs)
associated with refinancing) assumed for each quarter in the respective baseline and
supervisory stress scenarios? Do not include constant default rates (CDRs).
What are the factors that drive or explain the level and trend in prepayment speeds through the
nine quarters over the baseline and supervisory stress scenarios?
What are the default rates assumed for each quarter in the respective baseline and supervisory
stress scenarios?
What are the factors that drive or explain the level and trend in default rates through the nine
quarters over the baseline and supervisory stress scenarios?
How were the assumptions regarding cost of service with respect to both the baseline and
stressed scenarios derived?
Was inflation incorporated into the projection?
What is the servicing cost structure on a per loan basis on a base and incremental basis for each
level of delinquency? What are the foreclosure costs per loan?
Does the cost structure per loan stay the same throughout the nine quarters with the number of
delinquent loans changing, or do both change?
What foreclosure time frames are used in the baseline scenario? Do these lengthen or contract
in the supervisory stress?
Is late fee income included in the submission?
- If so, what is the BHC’s actual late fee income structure, as well as waiver policy if
applicable?
- What is the late fee income assumed in the baseline and stress scenarios?
- Is it assumed that late fees are 100% collectable in the stress scenario?
Are earnings on escrow and other balances included in the submission?
- If yes, how are the balances forecasted, and what is the crediting rate?
Is cost to finance advances to investors relating to delinquent loans incorporated in the
submission?
- If yes, how is the borrowing rate determined?

3. Hedging and Rebalancing
 Are MSR hedges assumed to be rebalanced or rolled-over at any time during the nine quarter
CCAR horizon? How often are hedges assumed to be rebalanced or rolled-over? What is the
timing of such rebalancing or roll-over trades?
 What are the hedge rebalancing and/or roll-over rules applied during the baseline and stress
scenarios?
 Are the hedge rebalancing and/or roll-over rules applied in the baseline and stress scenarios
consistent with the firm’s risk appetite statement and Board/management approved limit
structure?
 To what degree does hedge effectiveness decline in the stress scenarios? How was this
estimated?
 How is the impact of hedging instrument bid-ask spreads captured in the submission? To what
degree does the bid-ask spread widen in the stress scenario? How was this estimated?
 How does the firm account for the liquidity risk from concentrated hedge positions?
 What is assumed regarding collateral requirements?
 What are the current risk tolerance limits with respect to MSR hedging?

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