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pdfSummary Submission Cover Sheet
All BHCs are expected to complete a version of the Summary template for each required scenario ‐ BHC Baseline, BHC Stress, Supervisory Baseline, and Supervisory Stress ‐ and additional scenarios that are named accordingly.
BHCs should complete all relevant cells in the corresponding worksheets, including this cover page. BHCs should not complete any shaded cells.
Please ensure that the data submitted in this Summary Template match what was submitted in other data templates.
Please do not change the structure of this workbook.
Please note that unlike FR Y‐9C reporting, all actual and projected income statement figures should be reported on a quarterly basis, and not on a cumulative basis.
Any questions should be directed to [email protected].
Institution Name:
RSSD ID:
Source:
Submission Date (MM/DD/YYYY):
When Received:
As of (MM/DD/YY):
BHC XYZ, Inc.
1234567
BHC
4/18/13 8:43 AM
Please indicate the scenario associated with this submission using the following drop‐down menu:
BHC Baseline
Briefly describe the scenario below:
BHC Income Statement Worksheet: BHC XYZ, Inc. in BHC Baseline
Notes
Item
1
2
3
4
5
6
7
8
9
10
11
12
13
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19
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21
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23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
ACCRUAL LOAN LOSSES
Real Estate Loans (in Domestic Offices)
First Lien Mortgages
First Lien Mortgages
First Lien HELOAN
Second / Junior Lien Mortgages
Closed‐End Junior Liens
HELOCs
CRE Loans
Construction
Multifamily
Nonfarm, Non‐residential
Owner‐Occupied
Non‐Owner‐Occupied
Loans Secured by Farmland
Real Estate Loans (Not in Domestic Offices)
First Lien Mortgages
Second / Junior Lien Mortgages
CRE Loans
Construction
Multifamily
Nonfarm, Non‐residential
Owner‐Occupied
Non‐Owner‐Occupied
Loans Secured by Farmland
C&I Loans
C&I Graded
Small Business (Scored/Delinquency Managed)
Business and Corporate Card
Credit Cards
Other Consumer
Auto Loans
Student Loans
Other loans backed by securities (non‐purpose lending)
Other
Other Loans
Loans to Foreign Governments
Agricultural Loans
Loans for purchasing or carrying securities (secured or unsecured)
Loans to Depositories and Other Financial Institutions
All Other Loans and Leases
All Other Loans (exclude consumer loans)
All Other Leases
Total Loans and Leases
44
45
46
47
48
49
50
51
52
53
54
55
56
57
LOSSES ASSOCIATED WITH HELD FOR SALE LOANS AND LOANS ACCOUNTED FOR UNDER THE FAIR VALUE OPTION
Real Estate Loans (in Domestic Offices)
Sum of items 45, 46, 47, and 48
First Lien Mortgages
Second / Junior Lien Mortgages
CRE Loans
Loans Secured by Farmland
Real Estate Loans (Not in Domestic Offices)
Sum of items 50, 51, and 52
Residential Mortgages
CRE Loans
Loans Secured by Farmland
C&I Loans
Credit Cards
Other Consumer
All Other Loans and Leases
Sum of items 44, 49, 53, 54, 55, and 56
Total Loans Held for Sale and Loans Accounted for under the Fair Value Option
58
59
60
61
62
63
TRADING ACCOUNT
Trading MTM Losses
Trading Incremental Default Losses (Trading IDR)
Counterparty Credit MTM Losses (CVA losses)
Counterparty Incremental Default Losses (CCR IDR)
Other CCR losses
Total Trading and Counterparty
64
65
66
67
OTHER LOSSES
Goodwill impairment
Valuation Adjustment for firm's own debt under fair value option (FVO)
Other losses (describe in supporting documentation)
Total Other Losses
68
Total Losses
69
70
71
72
73
74
75
ALLOWANCE FOR LOAN and LEASE LOSSES
ALLL, prior quarter
Real Estate Loans (in Domestic Offices)
Residential Mortgages
First Lien Mortgages
Closed‐End Junior Liens
HELOCs
CRE Loans
Actual in
$Millions
as of date
Sum of items 2, 5, 8, and 14
Sum of items 3 and 4
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Sum of items 6 and 7
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Sum of items 9, 10, and 11
PQ 1
PQ 2
PQ 3
PQ 4
Projected in $Millions
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
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Sum of items 12 and 13
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Sum of items 16, 17, 18, and 24
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Sum of items 19, 20, and 21
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Sum of items 22 and 23
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Sum of items 26 to 28
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PQ 2 ‐ PQ 5
Sums in $Millions
PQ 6 ‐ PQ 9
9‐Quarter
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Sum of items 31, 32, 33, and 34
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Sum of items 36 to 40
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Sum of items 41 and 42
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Sum of items 1, 15, 25, 29, 30, and 35
Item 10 on Trading Worksheet (flipped sign)
Item 1 on Counterparty Risk Worksheet
Item 2 on Counterparty Risk Worksheet
Item 3 on Counterparty Risk Worksheet
Item 4 on Counterparty Risk Worksheet
Sum of items 58, 59, 60, 61, and 62
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bhckc216
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Sum of items 43, 57, 63, and 67
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Sum of items 71, 75, and 79
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Income Statement Worksheet
BHC Income Statement Worksheet: BHC XYZ, Inc. in BHC Baseline
Item
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
Actual in
$Millions
as of date
Notes
Construction
Multifamily
Nonfarm, Non‐residential
Loans Secured by Farmland
Real Estate Loans (Not in Domestic Offices)
Residential Mortgages
CRE Loans
Farmland
C&I Loans
C&I Graded
Small Business (Scored/Delinquency Managed)
Corporate and Business Cards
Credit Cards
Other Consumer
All Other Loans and Leases
Unallocated
Provisions during the quarter
Real Estate Loans (in Domestic Offices)
Residential Mortgages
First Lien Mortgages
Closed‐End Junior Liens
HELOCs
CRE Loans
Construction
Multifamily
Nonfarm, Non‐residential
Loans Secured by Farmland
Real Estate Loans (Not in Domestic Offices)
Residential Mortgages
CRE Loans
Farmland
C&I Loans
C&I Graded
Small Business (Scored/Delinquency Managed)
Corporate and Business Cards
Credit Cards
Other Consumer
All Other Loans and Leases
Unallocated
Net charge‐offs during the quarter
Other ALLL Changes
ALLL, current quarter
118
119
120
121
PRE‐PROVISION NET REVENUE
Net interest income
Noninterest income
Noninterest expense
Pre‐Provision Net Revenue
122
123
124
125
126
127
128
129
CONDENSED INCOME STATEMENT
Pre‐Provision Net Revenue
Provisions during the quarter
Total Trading and Counterparty Losses
Total Other Losses
Other I/S items ‐ describe in supporting documentation
Realized Gains (Losses) on available‐for‐sale securities (forecast = OTTI)
Realized Gains (Losses) on held‐to‐maturity securities (forecast = OTTI)
Income (loss) before taxes and extraordinary items
PQ 1
PQ 2
PQ 3
PQ 4
Projected in $Millions
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
Sum of items 81, 82, and 83
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Sum of items 85, 86, and 87
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bhck4230
Sum of items 94, 98, and 102
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Sum of items 104, 105, and 106
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Sum of items 108, 109, and 110
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Item 41
bhckc233 less bhck 5523
Items 69, 92, and 116 less item 115 = bhct3123
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PPNR Projections Worksheet Item 13
PPNR Projections Worksheet Item 26
PPNR Projections Worksheet Item 38
Items 118 and 119 less item 120
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Item 121
Item 92 = bhck4230
Item 63
Sum of items 57 and 67
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bhck3196
bhck3521
Sum of items 122, 126, 128, and 127, less items 123, 124, and 125
=bhck4301
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PQ 2 ‐ PQ 5
Sums in $Millions
PQ 6 ‐ PQ 9
9‐Quarter
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130
131
Applicable income taxes (foreign and domestic)
Income (loss) before extraordinary items and other adjustments
bhck4302
Item 129 less item 130 =bhck4300
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132
133
Extraordinary items and other adjustments, net of income taxes
Net income (loss) attributable to BHC and minority interests
bhck4320
Sum of items 131 and 132 = bhckg104
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134
135
Net income (loss) attributable to minority interests
Net income (loss) attributable to BHC
bhckg103
Item 133 less item 134 = bhck4340 (must match item 4 on the
Capital Worksheet)
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136
137
138
139
140
Effective Tax Rate (%)
REPURCHASE RESERVE/LIABILITY FOR MORTGAGE REPS AND WARRANTIES
Reserve, prior quarter
Provisions during the quarter
Net charges during the quarter
Reserve, current quarter
Item 130 divided by item 129, multiplied by 100
Items 137 and 138 less item 139
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Income Statement Worksheet
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BHC Balance Sheet Worksheet: BHC XYZ, Inc. in BHC Baseline
Item
Actual in
$Millions
as of date
Notes
PQ 1
PQ 2
PQ 3
PQ 4
Projected in $Millions
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
Assets
1
2
3
SECURITIES
Held to Maturity (HTM)
Available for Sale (AFS)
Total Securities
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
Total Loans and Leases
Real Estate Loans (in Domestic Offices)
First Lien Mortgages
First Lien Mortgages
First Lien HELOAN
Second / Junior Lien Mortgages
Closed‐End Junior Liens
HELOCs
CRE Loans
Construction
Multifamily
Nonfarm, Non‐residential
Owner‐Occupied
Non‐Owner‐Occupied
Loans Secured by Farmland
Real Estate Loans (Not in Domestic Offices)
First Lien Mortgages
Second / Junior Lien Mortgages
CRE Loans
Construction
Multifamily
Nonfarm, Non‐residential
Owner‐Occupied
Non‐Owner‐Occupied
Loans Secured by Farmland
C&I Loans
C&I Graded
Small Business (Scored/Delinquency Managed)
Corporate Card
Business Card
Credit Cards
Charge Card
Bank Card
Other Consumer
Auto Loans
Student Loans
Other loans backed by securities (non‐purpose lending)
Other
Other Loans and Leases
Loans to Foreign Governments
Agricultural Loans
Loans for purchasing or carrying securities (secured or unsecured)
Loans to Depositories and Other Financial Institutions
All Other Loans and Leases
All Other Loans (exclude consumer loans)
All Other Leases
Total Loans and Leases
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
ACCRUAL LOANS
Real Estate Loans (in Domestic Offices)
First Lien Mortgages
First Lien Mortgages
First Lien HELOAN
Second / Junior Lien Mortgages
Closed‐End Junior Liens
HELOCs
CRE Loans
Construction
Multifamily
Nonfarm, Non‐residential
Owner‐Occupied
Non‐Owner‐Occupied
Loans Secured by Farmland
Real Estate Loans (Not in Domestic Offices)
First Lien Mortgages
Second / Junior Lien Mortgages
CRE Loans
Construction
Multifamily
Nonfarm, Non‐residential
Owner‐Occupied
Non‐Owner‐Occupied
Loans Secured by Farmland
C&I Loans
C&I Graded
Small Business (Scored/Delinquency Managed)
Business and Corporate Card
Credit Cards
Other Consumer
Auto Loans
Student Loans
Other loans backed by securities (non‐purpose lending)
Other
Other Loans and Leases
Loans to Foreign Governments
Agricultural Loans
Loans for purchasing or carrying securities (secured or unsecured)
Loans to Depositories and Other Financial Institutions
All Other Loans and Leases
All Other Loans (exclude consumer loans)
All Other Leases
bhck1754
bhck1773
Sum of items 1 and 2
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Sum of items 5, 8, 11, and 17
Sum of items 6 and 7 = bhdm5367
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Sum of items 9 and 10
= bhdm5368
= bhdm1797
Sum of items 12, 13, and 14
= sum of bhckf158 and bhckf159
= bhdm1460
Sum of items 15 and 16
= bhckf160
= bhckf161
= bhdm1420
Sum of items 19, 20, 21, and 27
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Sum of items 22, 23, and 24
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Sum of items 25 and 26
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Sum of items 29 to 32
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Sum of items 34 and 35
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Sum of items 37, 38, 39, and 40
= bhckk137
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Sum of items 42 to 46
= bhck2081
= bhck1590
= bhck1545
= bhck1292 + bhck1296 + bhckj454
Sum of items 47 and 48
= bhckj451
= bhckf163
Sum of items 4, 18, 28, 33, 36, and 41
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Sum of items 51, 54, 57, and 63
Sum of items 52 and 53
Sum of items 58, 59, and 60
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Sum of items 61 and 62
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Sum of items 65, 66, 67, and 73
Sum of items 68, 69, and 70
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Sum of items 71 and 72
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Sum of items 75, 76, and 77
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‐
Sum of items 85 to 89
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‐
‐
‐
‐
‐
‐
‐
‐
‐
Sum of items 90 and 91
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
Sum of items 55 and 56
Sum of items 80, 81, 82, and 83
Balance Sheet Worksheet
BHC Balance Sheet Worksheet: BHC XYZ, Inc. in BHC Baseline
Item
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
Total Loans and Leases
Loans Held for Sale and Loans Accounted for under the Fair Value Option
Real Estate Loans (in Domestic Offices)
First Lien Mortgages
Second / Junior Lien Mortgages
CRE Loans
Loans Secured by Farmland
Real Estate Loans (Not in Domestic Offices)
Residential Mortgages
CRE Loans
Loans Secured by Farmland
C&I Loans
Credit Cards
Other Consumer
Other Loans and Leases
Total Loans Held for Sale and Loans Accounted for under the Fair Value Option
Unearned Income on Loans
Allowance for Loan and Lease Losses
Loans and Leases (Held for Investment and Held for Sale), Net of Unearned Income and
Allowance for Loan and Lease Losses
Actual in
$Millions
as of date
PQ 1
PQ 2
PQ 3
PQ 4
Projected in $Millions
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
Notes
Sum of items 50, 64, 74, 78, 79, and 84
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
Sum of items 94, 95, 96, and 97
Item 5 less 51
Item 8 less 54
Item 11 less 57
Item 17 less 63
Sum of items 99, 100, and 101
Items 19 and 20 less 65 and 66
Item 21 less 67
Item 27 less 73
Item 28 less 74
Item 33 less 78
Item 36 less 79
Item 41 less 84
Sum of items 93, 98, 102, 103, 104, and 105
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‐
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‐
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‐
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‐
bhck2123
bhck3123
‐
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‐
‐
‐
‐
‐
‐
Item 49 less items 107 and 108 = bhckb529
‐
‐
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‐
‐
‐
‐
‐
‐
110
TRADING
Trading Assets
bhck3545
111
112
113
114
115
INTANGIBLES
Goodwill
Mortgage Servicing Rights
Purchased Credit Card Relationships and Nonmortgage Servicing Rights
All Other Identifiable Intangible Assets
Total Intangible Assets
bhck3163
bhck3164
bhckb026
bhck5507
Sum of items 111 to 114
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
116
117
118
119
120
121
122
123
124
OTHER
Premises and Fixed Assets
OREO
Commercial
Residential
Farmland
Collateral Underlying Operating Leases for Which the Bank is the Lessor (1)
Autos
Other
Other Assets
bhck2145
Sum of items 118 to 120 = bhck2150
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
Sum of items 122 and 123
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
Sum of items 116 and 124
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
Sum of items 3, 109, 110, 115, and 125 = bhck2170
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
bhck3283
bhck3230
bhck3240
bhck3247
bhckb530
bhcka130
Sum of items 133 to 138 = bhck3210 (must equal item 17 of the
HI‐A section on the CCAR Capital Worksheet)
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
bhck3000
Sum of items 139 and 140 = bhckg105
‐
‐
‐
‐
‐
‐
‐
‐
‐
TRUE
TRUE
TRUE
TRUE
125
126
Total Other
TOTAL ASSETS
bhck0081 + bhck0395 + bhck0397 + bhdmb987 + bhckb989 +
bhck2130 + bhck3656 + bhck2160 less item 121
Liabilities
127
128
bhdm6631 + bhdm6636 + bhfn6631 + bhfn6636
bhck3548
129
Deposits
Trading Liabilities
Subordinated Notes Payable to Unconsolidated Trusts Issuing TruPS and TruPS Issued by
Consolidated Special Purpose Entities
bhckc699
130
131
132
Other Liabilities
Memo: Allowance for off‐balance sheet credit exposures
Total Liabilities
bhdmb993 + bhckb995 + bhck3190 + bhck4062 + bhck2750
bhckb557
Sum of items 127 to 130 = bhck2948
Equity Capital
133
134
135
136
137
138
139
140
141
Perpetual Preferred Stock and Related Surplus
Common Stock (Par Value)
Surplus (Exclude All Surplus Related to Preferred Stock)
Retained Earnings
Accumulated Other Comprehensive Income (AOCI)
Other Equity Capital Components
Total BHC Equity Capital
Noncontrolling (Minority) Interests in Consolidated Subsidiaries
Total Equity Capital
‐
Other
142
Unused Commercial Lending Commitments and Letters of Credit
bhck3816 + bhckj457 + bhckj458 + bhcj459 + bhck6566 +
bhck6550 + bhck6570 + bhck3411
The following cells provide checks of the internal consistency of the projected schedules. Please ensure that these cells are all "TRUE" before the worksheet is submitted.
BHC Equity Capital
TRUE
Balance Sheet
TRUE
Footnotes to the Balance Sheet Worksheet
(1)
Refers to the balance sheet carrying amount of any equipment or other asset rented to others
under operating leases, net of accumulated depreciation. The total should correspond to the
amount provided in Y‐9C Schedule HC‐F Line 6, item 13 in the instructions. The amount included
should only reflect collateral rented under operating leases and not include collateral subject to
capital/ financing type leases.
Balance Sheet Worksheet
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
BHC CCAR Capital Worksheet: BHC XYZ, Inc. in BHC Baseline
Notes
Item
Schedule HI‐A—Changes in Bank Holding Company Equity Capital
Total bank holding company equity capital most recently reported for the end of previous QUARTER
Effect of changes in accounting principles and corrections of material accounting errors
Balance end of previous QUARTER as restated (sum of items 1 and 2)
Net income (loss) attributable to bank holding company
1
2
3
4
Sale of perpetual preferred stock (excluding treasury stock transactions):
Sale of perpetual preferred stock, gross
Conversion or retirement of perpetual preferred stock
Sale of common stock:
Sale of common stock, gross
Conversion or retirement of common stock
Sale of treasury stock
Purchase of treasury stock
Changes incident to business combinations, net
Cash dividends declared on preferred stock
Cash dividends declared on common stock
Other comprehensive income
Change in the offsetting debit to the liability for Employee Stock Ownership Plan (ESOP) debt guaranteed by the bank
holding company
Other adjustments to equity capital (not included above)*
Total bank holding company equity capital end of current period (sum of items 3, 4, 5, 6, 7, 8, 9, 11, 14, 15, 16, less
items 10, 12, 13)
5
6
7
8
9
10
11
12
13
14
15
16
17
Schedule HC‐R—Regulatory Capital
Tier 1 capital
18 Total bank holding company equity capital
19 Net unrealized gains (losses) on available‐for‐sale securities (if a gain, report as a positive value; if a loss, report as a
negative value)
20 Net unrealized loss on available‐for‐sale equity securities (report loss as a positive value)
21
Accumulated net gains (losses) on cash flow hedges (if a gain, report as a positive value; if a loss, report as a negative value)
22 Nonqualifying perpetual preferred stock
23 Qualifying Class A noncontrolling (minority) interests in consolidated subsidiaries
24 Qualifying restricted core capital elements (other than cumulative perpetual preferred stock)
25 Qualifying mandatory convertible preferred securities of internationally active bank holding companies
26 Disallowed goodwill and other disallowed intangible assets
27 Cumulative change in fair value of all financial liabilities accounted for under a fair value option that is included in retained
earnings and is attributable to changes in the bank holding company's own creditworthiness (if a net gain, report as a
positive value; if a net loss, report as a negative value)
28 Subtotal (sum of items 18, 23, 24, 25, less items 19, 20, 21, 22, 26, 27)
29 Disallowed servicing assets and purchased credit card relationships
30 Disallowed deferred tax assets
31 Other additions to (deductions from) Tier 1 capital**
32
Tier 1 capital (sum of items 28 and 31, less items 29 and 30)
33 Total risk‐weighted assets
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
REGULATORY CAPITAL AND RATIOS
Tier 1 Common Capital***
Tier 1 Capital
Total Risk‐Based Capital
Risk‐Weighted Assets
Average Total Assets for Leverage Capital Purposes
Tier 1 Common Ratio (%)
Tier 1 Ratio (%)
Total Risk‐Based Capital Ratio (%)
Tier 1 Leverage Ratio (%)
Schedule HC‐R — Memoranda
Preferred stock (including related surplus) eligible for inclusion in Tier 1 capital:
Noncumulative perpetual preferred stock
Other noncumulative preferred stock eligible for inclusion in Tier 1 capital (e.g., REIT preferred securities)
Other cumulative preferred stock eligible for inclusion in Tier 1 capital (excluding TruPS)
Treasury stock (including offsetting debit to the liability for ESOP debt):
In the form of perpetual preferred stock
In the form of common stock
Restricted core capital elements included in Tier 1 capital:
Qualifying Class B noncontrolling (minority) interest
Qualifying Class C noncontrolling (minority) interest)
Qualifying cumulative perpetual preferred stock
Qualifying TruPS
Goodwill net of any associated deferred tax liability
bhck3217
bhckb507
bhckb508
Must match item 135 on the Income
Statement Worksheet = bhct4340
Actual in
$Millions
as of date
PQ 1
PQ 2
PQ 3
PQ 4
Projected in $Millions
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
PQ 2 ‐ PQ 5
Sums in $Millions
PQ 6 ‐ PQ 9
9‐Quarter
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
bhck3577
bhck3578
‐
‐
‐
‐
‐
‐
bhck3579
bhck3580
bhck4782
bhck4783
bhck4356
bhck4598
bhck4460
bhckb511
bhck4591
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
bhck3581
Must match item 139 on the Balance
Sheet Worksheet = bhct3210
‐
‐
‐
‐
‐
‐
‐
‐
‐
Item 17 =bhcx3210
‐
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‐
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‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
bhck8434
bhcka221
bhck4336
bhckb588
bhckg214
bhckg215
bhckg216
bhckb590
bhckf264
bhckc227
bhckb591
bhck5610
bhckb592
bhck8274
bhcka223
bhck8274
bhck3792
Item 33 = bhcka223
bhcka224
Tier 1 Common/RWA*100
Tier 1 Capital/RWA*100
Total Risk‐Based Capital/RWA*100
Tier 1 Capital/Average Total Assets*100
bhck5479
bhckc498
bhcka507
bhck5483
bhck5484
bhckg219
bhckg220
bhck5990
bhckc502
bhckg221
Schedule HC‐F—Other Assets
53 Net deferred tax assets
bhck2148
Schedule HC‐G—Other Liabilities
54 Net deferred tax liabilities
bhck3049
Capital Worksheet ‐ CCAR
BHC CCAR Capital Worksheet: BHC XYZ, Inc. in BHC Baseline
Notes
Item
Schedule HC‐M—Memoranda
55 Total number of bank holding company common shares outstanding
Issuances associated with the U.S. Department of Treasury Capital Purchase Program:
56
Senior perpetual preferred stock or similar items
57
Warrants to purchase common stock or similar items
58
59
60
61
62
Disallowed Deferred Tax Assets Calculation (Schedule HC‐R Instructions)
(a) Enter the tier 1 subtotal
(b) Enter 10% of the tier 1 subtotal
(c) Enter the amount of of deferred tax assets to be used when calculating the regulatory capital limit
Enter any optional adjustment made to item 53 in item 60 as allowed in the FR Y‐9C instructions
Actual in
$Millions
as of date
PQ 1
PQ 2
PQ 3
PQ 4
Projected in $Millions
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
PQ 2 ‐ PQ 5
Sums in $Millions
PQ 6 ‐ PQ 9
bhck3459
bhckg234
bhckg235
Item 28
10% of Item 58
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
Item 53 less items 54 and 60
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
min(item 64, item 59)
max(item 63 less item 65, 0)
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
Supplemental Capital Action Information (report in $Millions unless otherwise noted)******
69 Cash dividends declared on common stock
70 Common shares outstanding (Millions)
71
Common dividends per share ($)
Item 69 divided by item 70
‐
‐
‐
‐
‐
‐
‐
‐
‐
72 Issuance of common stock for employee compensation
73 Other issuance of common stock
74
Total issuance of common stock
Sum of items 72 and 73
‐
‐
‐
‐
‐
‐
‐
‐
‐
75 Share repurchases to offset issuance for employee compensation
76 Other share repurchase
77
Total share repurchases
Sum of items 75 and 76
‐
‐
‐
‐
‐
‐
‐
‐
‐
63
64
(d) Enter the amount of taxes previously paid that the bank holding company could recover through loss carrybacks if the
bank holding company’s temporary differences (both deductible and taxable) fully reverse at the report date****
(e) Amount of deferred tax assets that is dependent upon future taxable income
max(item 60 less item 62, 0)
(f) Enter the portion of (e) that the bank holding company could realize within the next 12 months based on its projected
future taxable income. Future taxable income should not include net operating loss carryforwards to be used during the
next 12 months or existing temporary differences that are expected to reverse over the next 12 months
65
66
67
68
(g) Enter minimum of (f) and (b)
(h) Subtract (g) from (e), cannot be less than 0 (must equal item 30)
Future taxes paid used to determine item 64
Future taxable income consistent with item 64*****
(*)
Please break out and explain below other adjustments to equity capital:
(**)
Please break out and explain below other additions to (deductions from) Tier 1 capital:
(***)
Tier 1 common is calculated as Tier 1 capital less non‐common elements, including perpetual preferred stock and related surplus, minority interest in subsidiaries, trust preferred securities and mandatory convertible preferred securities. Specifically, non‐common elements must include the following items captured in the FR Y‐9C: Schedule HC, line
item 23 net of Schedule HC‐R, line item 5; Schedule HC‐R, line items 6a, 6b, and 6c; and Notes to the Balance Sheet ‐ Other as captured in Schedule HC‐R, line item 10.
(****)
The carryback period is the prior two calendar tax years plus any current taxes paid in the year‐to‐date period. Please provide disaggregated data for item 62 as follows:
Taxes paid during fiscal year ended 2010
Taxes paid during fiscal year ended 2011
Taxes paid during the 9 months ended 9/30/12
(*****)
Please provide historical data related to item 68 as follows:
Income (loss) reported to IRS on Schedule M3 (line 30) for fiscal year ended 2009
Income (loss) reported to IRS on Schedule M3 (line 30) for fiscal year ended 2010
(******) Please reconcile the Supplemental Capital Action and HI‐A projections (i.e., allocate the capital actions among the HI‐A buckets):
The following cells provide checks of the internal consistency of the projected schedules. Please ensure that these cells are all "TRUE" before the worksheet is submitted.
HI‐A BHC equity capital vs HC BHC equity capital
Disallowed DTA
TRUE
TRUE
TRUE
TRUE
Capital Worksheet ‐ CCAR
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
9‐Quarter
BHC DFAST Capital Worksheet: BHC XYZ, Inc. in BHC Baseline
Notes
Item
Schedule HI‐A—Changes in Bank Holding Company Equity Capital
Total bank holding company equity capital most recently reported for the end of previous QUARTER
Effect of changes in accounting principles and corrections of material accounting errors
Balance end of previous QUARTER as restated (sum of items 1 and 2)
Net income (loss) attributable to bank holding company
1
2
3
4
Sale of perpetual preferred stock (excluding treasury stock transactions):
Sale of perpetual preferred stock, gross
Conversion or retirement of perpetual preferred stock
Sale of common stock:
Sale of common stock, gross
Conversion or retirement of common stock
Sale of treasury stock
Purchase of treasury stock
Changes incident to business combinations, net
Cash dividends declared on preferred stock
Cash dividends declared on common stock
Other comprehensive income
Change in the offsetting debit to the liability for Employee Stock Ownership Plan (ESOP) debt guaranteed by the bank
holding company
Other adjustments to equity capital (not included above)*
Total bank holding company equity capital end of current period (sum of items 3, 4, 5, 6, 7, 8, 9, 11, 14, 15, 16, less
items 10, 12, 13)
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
39
40
41
42
43
44
45
46
47
48
49
50
51
52
REGULATORY CAPITAL AND RATIOS
Tier 1 Common Capital***
Tier 1 Capital
Total Risk‐Based Capital
Risk‐Weighted Assets
Average Total Assets for Leverage Capital Purposes
Tier 1 Common Ratio (%)
Tier 1 Ratio (%)
Total Risk‐Based Capital Ratio (%)
Tier 1 Leverage Ratio (%)
Schedule HC‐R — Memoranda
Preferred stock (including related surplus) eligible for inclusion in Tier 1 capital:
Noncumulative perpetual preferred stock
Other noncumulative preferred stock eligible for inclusion in Tier 1 capital (e.g., REIT preferred securities)
Other cumulative preferred stock eligible for inclusion in Tier 1 capital (excluding TruPS)
Treasury stock (including offsetting debit to the liability for ESOP debt):
In the form of perpetual preferred stock
In the form of common stock
Restricted core capital elements included in Tier 1 capital:
Qualifying Class B noncontrolling (minority) interest
Qualifying Class C noncontrolling (minority) interest)
Qualifying cumulative perpetual preferred stock
Qualifying TruPS
Goodwill net of any associated deferred tax liability
PQ 1
PQ 2
PQ 3
PQ 4
Projected in $Millions
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
PQ 2 ‐ PQ 5
Sums in $Millions
PQ 6 ‐ PQ 9
9‐Quarter
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
bhck3577
bhck3578
‐
‐
‐
‐
‐
‐
bhck3579
bhck3580
bhck4782
bhck4783
bhck4356
bhck4598
bhck4460
bhckb511
bhck4591
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
bhck3581
bhct3210
Schedule HC‐R—Regulatory Capital
Tier 1 capital
Total bank holding company equity capital
Item 17 =bhcx3210
Net unrealized gains (losses) on available‐for‐sale securities (if a gain, report as a positive value; if a loss, report as a
negative value)
bhck8434
bhcka221
Net unrealized loss on available‐for‐sale equity securities (report loss as a positive value)
Accumulated net gains (losses) on cash flow hedges (if a gain, report as a positive value; if a loss, report as a negative
value)
bhck4336
Nonqualifying perpetual preferred stock
bhckb588
Qualifying Class A noncontrolling (minority) interests in consolidated subsidiaries
bhckg214
bhckg215
Qualifying restricted core capital elements (other than cumulative perpetual preferred stock)
Qualifying mandatory convertible preferred securities of internationally active bank holding companies
bhckg216
Disallowed goodwill and other disallowed intangible assets
bhckb590
Cumulative change in fair value of all financial liabilities accounted for under a fair value option that is included in
retained earnings and is attributable to changes in the bank holding company's own creditworthiness (if a net gain, report
as a positive value; if a net loss, report as a negative value)
bhckf264
Subtotal (sum of items 18, 23, 24, 25, less items 19, 20, 21, 22, 26, 27)
bhckc227
bhckb591
Disallowed servicing assets and purchased credit card relationships
Disallowed deferred tax assets
bhck5610
Other additions to (deductions from) Tier 1 capital**
bhckb592
Tier 1 capital (sum of items 28 and 31, less items 29 and 30)
bhck8274
33 Total risk‐weighted assets
34
35
36
37
38
bhck3217
bhckb507
bhckb508
Must match item 135 on the Income
Statement Worksheet = bhct4340
Actual in
$Millions
as of date
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
bhcka223
bhck8274
bhck3792
Item 33 = bhcka223
bhcka224
Tier 1 Common/RWA*100
Tier 1 Capital/RWA*100
Total Risk‐Based Capital/RWA*100
Tier 1 Capital/Average Total Assets*100
bhck5479
bhckc498
bhcka507
bhck5483
bhck5484
bhckg219
bhckg220
bhck5990
bhckc502
bhckg221
Schedule HC‐F—Other Assets
53 Net deferred tax assets
bhck2148
Schedule HC‐G—Other Liabilities
54 Net deferred tax liabilities
bhck3049
Schedule HC‐M—Memoranda
55 Total number of bank holding company common shares outstanding
bhck3459
Capital Worksheet ‐ DFAST
BHC DFAST Capital Worksheet: BHC XYZ, Inc. in BHC Baseline
Notes
Item
Issuances associated with the U.S. Department of Treasury Capital Purchase Program:
56
Senior perpetual preferred stock or similar items
57
Warrants to purchase common stock or similar items
58
59
60
61
62
Disallowed Deferred Tax Assets Calculation (Schedule HC‐R Instructions)
(a) Enter the tier 1 subtotal
(b) Enter 10% of the tier 1 subtotal
(c) Enter the amount of of deferred tax assets to be used when calculating the regulatory capital limit
Enter any optional adjustment made to item 53 in item 60 as allowed in the FR Y‐9C instructions
Actual in
$Millions
as of date
PQ 1
PQ 2
PQ 3
PQ 4
Projected in $Millions
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
PQ 2 ‐ PQ 5
bhckg234
bhckg235
Item 28
10% of Item 58
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
Item 53 less items 54 and 60
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
min(item 64, item 59)
max(item 63 less item 65, 0)
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
Supplemental Capital Action Information (report in $Millions unless otherwise noted)******
69 Cash dividends declared on common stock
70 Common shares outstanding (Millions)
71
Common dividends per share ($)
Item 69 divided by item 70
‐
‐
‐
‐
‐
‐
‐
‐
‐
72 Issuance of common stock for employee compensation
73 Other issuance of common stock
74
Total issuance of common stock
Sum of items 72 and 73
‐
‐
‐
‐
‐
‐
‐
‐
‐
75 Share repurchases to offset issuance for employee compensation
76 Other share repurchase
77
Total share repurchases
Sum of items 75 and 76
‐
‐
‐
‐
‐
‐
‐
‐
‐
63
64
(d) Enter the amount of taxes previously paid that the bank holding company could recover through loss carrybacks if
the bank holding company’s temporary differences (both deductible and taxable) fully reverse at the report date****
(e) Amount of deferred tax assets that is dependent upon future taxable income
max(item 60 less item 62, 0)
(f) Enter the portion of (e) that the bank holding company could realize within the next 12 months based on its
projected future taxable income. Future taxable income should not include net operating loss carryforwards to be used
during the next 12 months or existing temporary differences that are expected to reverse over the next 12 months
65
66
67
68
(g) Enter minimum of (f) and (b)
(h) Subtract (g) from (e), cannot be less than 0 (must equal item 30)
Future taxes paid used to determine item 64
Future taxable income consistent with item 64*****
(*)
Please break out and explain below other adjustments to equity capital:
(**)
Please break out and explain below other additions to (deductions from) Tier 1 capital:
(***)
Tier 1 common is calculated as Tier 1 capital less non‐common elements, including perpetual preferred stock and related surplus, minority interest in subsidiaries, trust preferred securities and mandatory convertible preferred securities. Specifically, non‐common elements must include the following items captured in the FR Y‐9C:
Schedule HC, line item 23 net of Schedule HC‐R, line item 5; Schedule HC‐R, line items 6a, 6b, and 6c; and Notes to the Balance Sheet ‐ Other as captured in Schedule HC‐R, line item 10.
(****)
The carryback period is the prior two calendar tax years plus any current taxes paid in the year‐to‐date period. Please provide disaggregated data for item 62 as follows:
Taxes paid during fiscal year ended 2010
Taxes paid during fiscal year ended 2011
Taxes paid during the 9 months ended 9/30/12
(*****)
Please provide historical data related to item 68 as follows:
Income (loss) reported to IRS on Schedule M3 (line 30) for fiscal year ended 2009
Income (loss) reported to IRS on Schedule M3 (line 30) for fiscal year ended 2010
(******) Please reconcile the Supplemental Capital Action and HI‐A projections (i.e., allocate the capital actions among the HI‐A buckets):
The following cells provide checks of the internal consistency of the projected schedules. Please ensure that these cells are all "TRUE" before the worksheet is submitted.
HI‐A BHC equity capital vs HC BHC equity capital
TRUE
Disallowed DTA
TRUE
TRUE
TRUE
Capital Worksheet ‐ DFAST
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
Sums in $Millions
PQ 6 ‐ PQ 9
9‐Quarter
BHC Retail Balance and Loss Projection Worksheet: BHC XYZ, Inc. in BHC Baseline
Actual in $Millions
as of date
Item
PQ 1
PQ 2
PQ 3
PQ 4
Projected in $Millions
PQ 5
PQ 6
PQ 7
PQ 8
First Lien Mortgages (in Domestic Offices)
1
Balances
2
New originations
3
Paydowns
4
Asset Purchases
5
Asset Sales
6
Loan Losses
7
8
Cumulative interim loan losses ‐ Non PCI
Cumulative interim loan losses ‐ PCI
First Lien HELOANs (in Domestic Offices)
9
Balances
10
New originations
11
Paydowns
12
Asset Purchases
13
Asset Sales
14
Loan Losses
15
16
Cumulative interim loan losses ‐ Non PCI
Cumulative interim loan losses ‐ PCI
Closed‐End Junior Liens (in Domestic Offices)
17
Balances
18
New originations
19
Paydowns
20
Asset Purchases
21
Asset Sales
22
Loan Losses
23
24
Cumulative interim loan losses ‐ Non PCI
Cumulative interim loan losses ‐ PCI
HELOCs (in Domestic Offices)
25
Balances
26
Paydowns
27
Asset Purchases
28
Asset Sales
29
Loan Losses
30
31
Cumulative interim loan losses ‐ Non PCI
Cumulative interim loan losses ‐ PCI
First Lien Mortgages and HELOANs (International)
32
Balances
33
New originations
34
Paydowns
35
Asset Purchases
36
Asset Sales
37
Loan Losses
38
39
Cumulative interim loan losses ‐ Non PCI
Cumulative interim loan losses ‐ PCI
Closed‐End Junior Liens and HELOCs (International)
40
Balances
41
New originations
42
Paydowns
43
Asset Purchases
44
Asset Sales
45
Loan Losses
46
47
Cumulative interim loan losses ‐ Non PCI
Cumulative interim loan losses ‐ PCI
Corporate Card (Domestic)
48
Balances
49
Paydowns
50
Asset Purchases
51
Asset Sales
52
Loan Losses
Business Card (Domestic)
53
54
55
Balances
Paydowns
Asset Purchases
56
Asset Sales
57
Loan Losses
Charge Card (Domestic)
58
59
60
61
Balances
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
Balance from vintages < 4Q12
Balance from vintage 4Q12‐4Q13
Balance from vintage 2014
62
Paydowns
63
Asset Purchases
64
Asset Sales
65
Loan Losses
66
Balances
Bank Card (Domestic)
67
68
69
Balance from vintages < 4Q12
Balance from vintage 4Q12‐4Q13
Balance from vintage 2014
70
Paydowns
71
Asset Purchases
72
Asset Sales
73
Loan Losses
74
Balances
75
Paydowns
Business and Corporate Card (International)
76
Asset Purchases
77
Asset Sales
78
Loan Losses
Bank and Charge Card (International)
79
Balances
80
Paydowns
81
Asset Purchases
82
Asset Sales
83
Loan Losses
Auto Loans (Domestic)
84
Balances
85
New originations
86
Paydowns
87
Asset Purchases
88
Asset Sales
89
Loan Losses
Auto Loans (International)
90
Balances
91
New originations
92
Paydowns
93
Asset Purchases
94
Asset Sales
95
Loan Losses
Auto Leases (Domestic)
96
Balances
97
New originations
98
Paydowns
99
Asset Purchases
100
Asset Sales
101
Loan Losses
Auto Leases (International)
102
Balances
103
New originations
104
Paydowns
105
Asset Purchases
106
Asset Sales
107
Loan Losses
Student Loan
108
Balances
109
New originations
110
Paydowns
111
Asset Purchases
112
Asset Sales
113
Loan Losses
Small Business Loan ‐ Scored (Domestic)
114
Balances
115
New originations
116
Paydowns
117
Asset Purchases
118
Asset Sales
119
Loan Losses
Small Business Loan ‐ Scored (International)
120
Balances
121
New originations
122
Paydowns
123
Asset Purchases
124
Asset Sales
125
Loan Losses
Other Consumer Loan (Domestic)
126
Balances
127
New originations
128
Paydowns
129
Asset Purchases
130
Asset Sales
131
Loan Losses
Other Consumer Loan (International)
132
Balances
133
New originations
134
Paydowns
135
Asset Purchases
136
Asset Sales
137
Loan Losses
PQ 9
‐
‐
BHC Retail Repurchase Worksheet: BHC XYZ, Inc. in BHC Baseline
Scenarios for which row
should be reported
Table A.1 LOANS SOLD TO FANNIE MAE, BHC ABLE TO REPORT OUTSTANDING UPB AND DELINQUENCY INFORMATION REQUESTED IN TABLE A.1
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Delinquency Status as of 3Q (Excluding Exempt Population)
2005
2006
2007
2008
2009
Vintage
2010
2011
2012
2013
Unallocated
Current
Past due 30 to 89 days
Past due 90 to 179 days
Past due 180+ days
Net Credit Loss Realized to‐date (Excluding Exempt Population)
Repurchase Requests Outstanding (Excluding Exempt Population)
Estimated Lifetime Net Credit Losses (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
Total
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
‐
‐
‐
‐
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
All Scenarios
Total
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
Total
‐
All Scenarios
Total
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
‐
‐
‐
‐
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
All Scenarios
Total
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
Total
‐
All Scenarios
Total
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
Delinquency
Validity Check
TRUE
Table A.2 LOANS SOLD TO FANNIE MAE, BHC UNABLE TO REPORT OUTSTANDING UPB OR DELINQUENCY INFORMATION REQUESTED IN TABLE A.1
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
2005
2006
2007
2008
2009
Vintage
2010
2011
2012
2013
Unallocated
Table A.3 Loss Projections for LOANS SOLD TO FANNIE MAE
$Millions
Projected Future Losses to BHC Charged to Repurchase Reserve
PQ 1
PQ 2
PQ 3
PQ 4
PQ 5
Projected in $Millions
PQ 6
PQ 7
PQ 8
PQ 9
PQ 10 or later
Projection Validity
Check
TRUE
Table B.1 LOANS SOLD TO FREDDIE MAC, BHC ABLE TO REPORT OUTSTANDING UPB AND DELINQUENCY INFORMATION REQUESTED IN TABLE B.1
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Delinquency Status as of 3Q (Excluding Exempt Population)
2005
2006
2007
2008
2009
Vintage
2010
2011
2012
2013
Unallocated
Current
Past due 30 to 89 days
Past due 90 to 179 days
Past due 180+ days
Net Credit Loss Realized to‐date (Excluding Exempt Population)
Repurchase Requests Outstanding (Excluding Exempt Population)
Estimated Lifetime Net Credit Losses (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
Delinquency
Validity Check
TRUE
Table B.2 LOANS SOLD TO FREDDIE MAC, BHC UNABLE TO REPORT OUTSTANDING UPB OR DELINQUENCY INFORMATION REQUESTED IN TABLE B.1
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
2005
2006
2007
2008
2009
Vintage
2010
2011
2012
2013
Unallocated
Table B.3 Loss Projections for LOANS SOLD TO FREDDIE MAC
$Millions
Projected Future Losses to BHC Charged to Repurchase Reserve
PQ 1
PQ 2
PQ 3
PQ 4
PQ 5
Projected in $Millions
PQ 6
PQ 7
PQ 8
PQ 9
PQ 10 or later
Projection Validity
Check
TRUE
Table C.1 LOANS INSURED BY THE US GOVERNMENT (e.g. FHA, VA), BHC ABLE TO REPORT OUTSTANDING UPB AND DELINQUENCY INFORMATION REQUESTED IN TABLE C.1
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Delinquency Status as of 3Q (Excluding Exempt Population)
2005
2006
2007
2008
2009
Vintage
2010
2011
2012
2013
Unallocated
‐
‐
‐
‐
‐
‐
Current
Past due 30 to 89 days
Past due 90 to 179 days
Past due 180+ days
Net Credit Loss Realized to‐date (Excluding Exempt Population)
Repurchase Requests Outstanding (Excluding Exempt Population)
Loss to‐date due to Denied Insurance
Estimated Lifetime Net Credit Losses (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
All Scenarios
Total
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
Total
‐
All Scenarios
Delinquency
Validity Check
TRUE
Table C.2 LOANS INSURED BY THE US GOVERNMENT (e.g. FHA, VA), BHC UNABLE TO REPORT OUTSTANDING UPB OR DELINQUENCY INFORMATION REQUESTED IN TABLE C.1
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
2005
2006
2007
2008
2009
Vintage
2010
2011
2012
2013
Unallocated
Table C.3 Loss Projections for LOANS INSURED BY THE US GOVERNMENT (e.g. FHA, VA)
$Millions
Projected Future Losses to BHC Charged to Repurchase Reserve
PQ 1
PQ 2
PQ 3
PQ 4
PQ 5
Projected in $Millions
PQ 6
PQ 7
PQ 8
PQ 9
PQ 10 or later
Projection Validity
Check
TRUE
Table D.1 LOANS SECURITIZED WITH MONOLINE INSURANCE, BHC ABLE TO REPORT OUTSTANDING UPB AND DELINQUENCY INFORMATION REQUESTED IN TABLE D.1
2005
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Delinquency Status as of 3Q (Excluding Exempt Population)
2006
2007
2008
2009
Vintage
2010
2011
2012
2013
Unallocated
Total
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
‐
‐
‐
‐
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
All Scenarios
Total
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
Total
‐
All Scenarios
Total
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
‐
‐
‐
‐
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
All Scenarios
Total
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
Total
‐
All Scenarios
Total
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
‐
‐
‐
‐
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
All Scenarios
Total
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
Total
‐
All Scenarios
PQ 10 or later
Total
‐
‐
All Scenarios
Current
Past due 30 to 89 days
Past due 90 to 179 days
Past due 180+ days
Net Credit Loss Realized to‐date (Excluding Exempt Population)
Repurchase Requests Outstanding (Excluding Exempt Population)
Estimated Lifetime Net Credit Losses (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
Delinquency
Validity Check
TRUE
Table D.2 LOANS SECURITIZED WITH MONOLINE INSURANCE, BHC UNABLE TO REPORT OUTSTANDING UPB OR DELINQUENCY INFORMATION REQUESTED IN TABLE D.1
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
2005
2006
2007
2008
2009
Vintage
2010
2011
2012
2013
Unallocated
Table D.3 Loss Projections for LOANS SECURITIZED WITH MONOLINE INSURANCE
PQ 1
$Millions
Projected Future Losses to BHC Charged to Repurchase Reserve
PQ 2
PQ 3
PQ 4
PQ 5
Projected in $Millions
PQ 6
PQ 7
PQ 8
PQ 9
PQ 10 or later
Projection Validity
Check
TRUE
Table E.1 LOANS SECURITIZED WITHOUT MONOLINE INSURANCE, BHC ABLE TO REPORT OUTSTANDING UPB AND DELINQUENCY INFORMATION REQUESTED IN TABLE E.1
2005
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Delinquency Status as of 3Q (Excluding Exempt Population)
2006
2007
2008
2009
Vintage
2010
2011
2012
2013
Unallocated
Current
Past due 30 to 89 days
Past due 90 to 179 days
Past due 180+ days
Net Credit Loss Realized to‐date (Excluding Exempt Population)
Repurchase Requests Outstanding (Excluding Exempt Population)
Estimated Lifetime Net Credit Losses (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
Delinquency
Validity Check
TRUE
Table E.2 LOANS SECURITIZED WITHOUT MONOLINE INSURANCE, BHC UNABLE TO REPORT OUTSTANDING UPB OR DELINQUENCY INFORMATION REQUESTED IN TABLE E.1
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
2005
2006
2007
2008
2009
Vintage
2010
2011
2012
2013
Unallocated
Table E.3 Loss Projections for LOANS SECURITIZED WITHOUT MONOLINE INSURANCE
PQ 1
$Millions
Projected Future Losses to BHC Charged to Repurchase Reserve
PQ 2
PQ 3
PQ 4
PQ 5
Projected in $Millions
PQ 6
PQ 7
PQ 8
PQ 9
PQ 10 or later
Projection Validity
Check
TRUE
Table F.1 WHOLE LOANS SOLD, BHC ABLE TO REPORT OUTSTANDING UPB AND DELINQUENCY INFORMATION REQUESTED IN TABLE F.1
2005
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Delinquency Status as of 3Q (Excluding Exempt Population)
2006
2007
2008
2009
Vintage
2010
2011
2012
2013
Unallocated
Current
Past due 30 to 89 days
Past due 90 to 179 days
Past due 180+ days
Net Credit Loss Realized to‐date (Excluding Exempt Population)
Repurchase Requests Outstanding (Excluding Exempt Population)
Estimated Lifetime Net Credit Losses (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
Delinquency
Validity Check
TRUE
Table F.2 WHOLE LOANS SOLD, BHC UNABLE TO REPORT OUTSTANDING UPB OR DELINQUENCY INFORMATION REQUESTED IN TABLE F.1
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
2005
2006
2007
2008
2009
Vintage
2010
2011
2012
2013
Unallocated
Table F.3 Loss Projections for WHOLE LOANS SOLD
$Millions
Projected Future Losses to BHC Charged to Repurchase Reserve
PQ 1
PQ 2
PQ 3
PQ 4
PQ 5
Projected in $Millions
PQ 6
PQ 7
PQ 8
PQ 9
PQ 10 or later
Table G.3 TOTAL Loss Projections
$Millions
Projected Future Losses to BHC Charged to Repurchase Reserve
PQ 1
‐
PQ 2
‐
PQ 3
‐
PQ 4
‐
PQ 5
‐
Projected in $Millions
PQ 6
PQ 7
‐
‐
PQ 8
‐
PQ 9
‐
Projection Validity
Check
TRUE
BHC ASC 310‐30 Worksheet: BHC XYZ, Inc. in BHC Baseline
Yes
No
Clarifications Regarding PCI Allowance:
Is item 8 (Provision to Allowance) included in Income Statement Item 92?
If no, please list Income Statement line on which item is included:
Actual in
$Millions
Item
First Lien Mortgages
Data Clarifications:
1
2
3
Carry Value
Allowance
Net Carry Value
Input as Positive
Input as Positive
Calculated
4
Unpaid Principal Balance
Input as Positive
5
Initial Day 1 Non‐Accretable Difference (NAD) to Absorb Cash Flow Shortfalls on PCI
Input as Positive
Loans
6
Quarter Ending Non Accretable Difference (NAD)
Input as Positive
7
8
Cumulative Charge‐offs to Date (to NAD)
Cumulative Charge‐offs to Date (to Allowance)
Input as Negative
Input as Negative
9
Provisions to Allowance
Prov/(Reverse)
10
11
Quarterly Charge‐offs to NAD
Quarterly Charge‐offs to Allowance
Input as Negative
Input as Negative
12
Accretable Yield Remaining
Input as Positive
13
Accretable Yield Accreted to Income
Input as Negative
14
Effective Yield (%)
Input as Percentage
Second Lien HELOANs
Data Clarifications:
1
2
3
Carry Value
Allowance
Net Carry Value
Input as Positive
Input as Positive
Calculated
4
Unpaid Principal Balance
Input as Positive
5
Initial Day 1 Non‐Accretable Difference (NAD) to Absorb Cash Flow Shortfalls on PCI
Input as Positive
Loans
6
Quarter Ending Non Accretable Difference (NAD)
Input as Positive
7
8
Cumulative Charge‐offs to Date (to NAD)
Cumulative Charge‐offs to Date (to Allowance)
Input as Negative
Input as Negative
Item
9
Provisions to Allowance
Prov/(Reverse)
10
11
Quarterly Charge‐offs to NAD
Quarterly Charge‐offs to Allowance
Input as Negative
Input as Negative
12
Accretable Yield Remaining
Input as Positive
13
Accretable Yield Accreted to Income
Input as Negative
14
Effective Yield (%)
Input as Percentage
as of date
‐
Actual in
$Millions
as of date
‐
Projected in $Millions
PQ 1
PQ 2
PQ 3
PQ 4
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
‐
‐
‐
‐
‐
‐
‐
‐
‐
PQ 1
PQ 2
PQ 3
Projected in $Millions
PQ 4
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
‐
‐
‐
‐
‐
‐
‐
‐
‐
Item
HELOCs
Data Clarifications:
1
2
3
Carry Value
Allowance
Net Carry Value
Input as Positive
Input as Positive
Calculated
4
Unpaid Principal Balance
Input as Positive
5
Initial Day 1 Non‐Accretable Difference (NAD) to Absorb Cash Flow Shortfalls on PCI
Input as Positive
Loans
6
Quarter Ending Non Accretable Difference (NAD)
Input as Positive
7
8
Cumulative Charge‐offs to Date (to NAD)
Cumulative Charge‐offs to Date (to Allowance)
Input as Negative
Input as Negative
9
Provisions to Allowance
Prov/(Reverse)
10
11
Quarterly Charge‐offs to NAD
Quarterly Charge‐offs to Allowance
Input as Negative
Input as Negative
12
Accretable Yield Remaining
Input as Positive
13
Accretable Yield Accreted to Income
Input as Negative
14
Effective Yield (%)
Input as Percentage
Actual in
$Millions
as of date
‐
PQ 2
PQ 3
‐
‐
‐
‐
PQ 1
PQ 2
PQ 3
PQ 4
PQ 5
‐
‐
‐
‐
‐
Actual in
$Millions
Item
Other (specify in documentation)
Data Clarifications:
1
2
3
Carry Value
Allowance
Net Carry Value
Input as Positive
Input as Positive
Calculated
4
Unpaid Principal Balance
Input as Positive
5
Initial Day 1 Non‐Accretable Difference (NAD) to Absorb Cash Flow Shortfalls on PCI
Input as Positive
Loans
6
Quarter Ending Non Accretable Difference (NAD)
Input as Positive
7
8
Cumulative Charge‐offs to Date (to NAD)
Cumulative Charge‐offs to Date (to Allowance)
Input as Negative
Input as Negative
9
Provisions to Allowance
Prov/(Reverse)
10
11
Quarterly Charge‐offs to NAD
Quarterly Charge‐offs to Allowance
Input as Negative
Input as Negative
12
Accretable Yield Remaining
Input as Positive
13
Accretable Yield Accreted to Income
Input as Negative
14
Effective Yield (%)
Input as Percentage
as of date
‐
Projected in $Millions
PQ 4
PQ 5
PQ 6
PQ 1
‐
PQ 7
PQ 8
PQ 9
‐
‐
‐
PQ 6
PQ 7
PQ 8
PQ 9
‐
‐
‐
‐
‐
Projected in $Millions
Item
Portfolio to be acquired (specify in documentation)
Data Clarifications:
1
2
3
Carry Value
Allowance
Net Carry Value
Input as Positive
Input as Positive
Calculated
4
Unpaid Principal Balance
Input as Positive
5
Initial Day 1 Non‐Accretable Difference (NAD) to Absorb Cash Flow Shortfalls on PCI
Input as Positive
Loans
6
Quarter Ending Non Accretable Difference (NAD)
Input as Positive
7
8
Cumulative Charge‐offs to Date (to NAD)
Cumulative Charge‐offs to Date (to Allowance)
Input as Negative
Input as Negative
9
Provisions to Allowance
Prov/(Reverse)
10
11
Quarterly Charge‐offs to NAD
Quarterly Charge‐offs to Allowance
Input as Negative
Input as Negative
12
Accretable Yield Remaining
Input as Positive
13
Accretable Yield Accreted to Income
Input as Negative
14
Effective Yield (%)
Input as Percentage
Actual in
$Millions
as of date
‐
PQ 1
PQ 2
PQ 3
‐
‐
‐
Projected in $Millions
PQ 4
PQ 5
PQ 6
‐
‐
‐
PQ 7
PQ 8
PQ 9
‐
‐
‐
BHC Projected OTTI for AFS Securities and HTM Securities by CUSIP: BHC XYZ, Inc. in BHC Baseline
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 $Millions.
Identifier Value
(CUSIP/ISIN)
GRAND TOTAL
Actual
MM/DD/YYYY
Amortized Cost
‐
Credit Loss
Portion
‐
Non‐ Credit
Loss Portion
‐
Securities OTTI by CUSIP
Total OTTI
‐
BHC High‐Level OTTI Methodology and Assumptions for AFS and HTM Securities by Portfolio: BHC XYZ, Inc. in BHC Baseline
High‐Level OTTI Methodology and Assumptions for AFS and HTM Securities by Portfolio
Please complete the unshaded cells in the table provided.
Discount Rate Methodology
Threshold for Determining OTTI
(please provide one of the following responses: price‐
based threshold, ratings‐based threshold, cash flow
model‐based threshold, or other threshold)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
Aggregate Cumulative Lifetime Loss on Underlying
Collateral
(% Original Balance)
(please state whether a market‐based or accounting‐
based (e.g., book price/purchase price) discount rate
is used)
AFS and HTM Securities
Agency MBS
Auction Rate Securities
CDO
CLO
CMBS
Common Stock (Equity)
Auto ABS
Credit Card ABS
Student Loan ABS
Other Consumer ABS (excl HEL ABS)
Corporate Bond
Domestic Non‐Agency RMBS (incl HEL ABS)
Alt‐A (Option ARM)
Alt‐A FRM
Alt‐A ARM
Closed‐End Second
HELOC
Scratch & Dent
Subprime
Prime Fixed
Prime ARM
Foreign RMBS
Municipal Bond
Mutual Fund
Preferred Stock (Equity)
Sovereign Bond
US Treasuries & Agencies
Other*
*For 'Other' AFS and HTM securities, please provide name of security type in row 28 above (currently labeled "Other"). Please add additional rows if necessary.
Securities OTTI Methodology
Please provide the name(s) of any vendor(s) and any
vendor model(s) that are used
Were all securities reviewed for potential OTTI
(yes/no) for stress testing?
BHC Projected OTTI for AFS and HTM Securities by Portfolio: BHC XYZ, Inc. in BHC Baseline
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 below. Responses should be provided in $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 below. 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.
PQ 1
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
AFS Securities
Agency MBS
Auction Rate Securities
CDO
CLO
CMBS
Common Stock (Equity)
Auto ABS
Credit Card ABS
Student Loan ABS
Other Consumer ABS (excl HEL ABS)
Corporate Bond
Domestic Non‐Agency RMBS (incl HEL ABS)
Alt‐A (Option ARM)
Alt‐A FRM
Alt‐A ARM
Closed‐End Second
HELOC
Scratch & Dent
Subprime
Prime Fixed
Prime ARM
Foreign RMBS
Municipal Bond
Mutual Fund
Preferred Stock (Equity)
Sovereign Bond
US Treasuries & Agencies
Other*
GRAND TOTAL
Actual MM/DD/YYYY
Amortized Cost
Credit Loss
Portion
Non‐ Credit
Loss Portion
PQ 2
Total OTTI
Credit Loss
Portion
Non‐ Credit
Loss Portion
PQ 3
Total OTTI
Credit Loss
Portion
Non‐ Credit
Loss Portion
PQ 4
Total OTTI
Credit Loss
Portion
Non‐ Credit
Loss Portion
PQ 5
Total OTTI
Credit Loss
Portion
Non‐ Credit
Loss Portion
PQ 6
Total OTTI
Credit Loss
Portion
Non‐ Credit
Loss Portion
PQ 7
Total OTTI
Credit Loss
Portion
Non‐ Credit
Loss Portion
PQ 8
Total OTTI
Credit Loss
Portion
Non‐ Credit
Loss Portion
PQ 9
Total OTTI
Credit Loss
Portion
Non‐ Credit
Loss Portion
Total OTTI
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
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‐
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‐
‐
‐
‐
‐
‐
‐
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‐
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‐
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‐
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‐
‐
‐
‐
‐
‐
‐
‐
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‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
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‐
‐
‐
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‐
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‐
‐
‐
‐
‐
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‐
‐
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‐
‐
‐
‐
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‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
0
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
*For 'Other' AFS securities, please provide name of security type in row 28 above (currently labeled "Other"). Please add additional rows if necessary. If adding additional rows, please ensure that grand totals sum appropriately.
PQ 1
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
HTM Securities
Agency MBS
Auction Rate Securities
CDO
CLO
CMBS
Common Stock (Equity)
Auto ABS
Credit Card ABS
Student Loan ABS
Other Consumer ABS (excl HEL ABS)
Corporate Bond
Domestic Non‐Agency RMBS (incl HEL ABS)
Alt‐A (Option ARM)
Alt‐A FRM
Alt‐A ARM
Closed‐End Second
HELOC
Scratch & Dent
Subprime
Prime Fixed
Prime ARM
Foreign RMBS
Municipal Bond
Mutual Fund
Preferred Stock (Equity)
Sovereign Bond
US Treasuries & Agencies
Other
GRAND TOTAL
Actual MM/DD/YYYY
Amortized Cost
Credit Loss
Portion
Non‐ Credit
Loss Portion
PQ 2
Total OTTI
Credit Loss
Portion
Non‐ Credit
Loss Portion
PQ 3
Total OTTI
Credit Loss
Portion
Non‐ Credit
Loss Portion
PQ 4
Total OTTI
Credit Loss
Portion
Non‐ Credit
Loss Portion
PQ 6
PQ 5
Total OTTI
Credit Loss
Portion
Non‐ Credit
Loss Portion
Total OTTI
Credit Loss
Portion
Non‐ Credit
Loss Portion
PQ 7
Total OTTI
Credit Loss
Portion
Non‐ Credit
Loss Portion
PQ 8
Total OTTI
Credit Loss
Portion
Non‐ Credit
Loss Portion
PQ 9
Total OTTI
Credit Loss
Portion
Non‐ Credit
Loss Portion
Total OTTI
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
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‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
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‐
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‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
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‐
‐
‐
‐
‐
‐
‐
‐
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‐
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‐
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‐
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‐
‐
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‐
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‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
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‐
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‐
‐
‐
‐
‐
‐
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‐
‐
‐
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‐
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‐
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‐
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‐
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‐
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‐
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‐
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‐
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‐
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‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
0
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
*For 'Other' AFS securities, please provide name of security type in row 28 above (currently labeled "Other"). Please add additional rows if necessary. If adding additional rows, please ensure that grand totals sum appropriately.
Securities OTTI by Portfolio
BHC Post‐Trading Shock Market Values for AFS Securities: BHC XYZ, Inc. in BHC Baseline
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 positions held on the reporting date.
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
AFS Securities
Estimated Post‐Trading Shock Fair Market Value
Agency MBS
Auction Rate Securities
CDO
CLO
CMBS
Common Stock (Equity)
Auto ABS
Credit Card ABS
Student Loan ABS
Other Consumer ABS (excl HEL ABS)
Corporate Bond
Domestic Non‐Agency RMBS (incl HEL ABS)
‐
Alt‐A (Option ARM)
Alt‐A FRM
Alt‐A ARM
Closed‐End Second
HELOC
Scratch & Dent
Subprime
Prime Fixed
Prime ARM
Foreign RMBS
Municipal Bond
Mutual Fund
Preferred Stock (Equity)
Sovereign Bond
US Treasuries & Agencies
Other*
GRAND TOTAL
‐
* For 'Other' AFS securities, please provide name of security type in row 28 above (currently labeled "Other"). Please add additional rows if necessary.
Securities AFS Market Shock
BHC Actual AFS and HTM Fair Market Value Sources by Portfolio: BHC XYZ, Inc. in BHC Baseline
Actual AFS and HTM Fair Market Value Sources by Portfolio
Please provide information on actual fair market values as of the reporting date.
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
AFS and HTM Securities
Agency MBS
Auction Rate Securities
CDO
CLO
CMBS
Common Stock (Equity)
Auto ABS
Credit Card ABS
Student Loan ABS
Other Consumer ABS (excl HEL ABS)
Corporate Bond
Domestic Non‐Agency RMBS (incl HEL ABS)
Alt‐A (Option ARM)
Alt‐A FRM
Alt‐A ARM
Closed‐End Second
HELOC
Scratch & Dent
Subprime
Prime Fixed
Prime ARM
Foreign RMBS
Municipal Bond
Mutual Fund
Preferred Stock (Equity)
Sovereign Bond
US Treasuries & Agencies
Other*
Principal Market Value Source
Please state whether a vendor or proprietary model is used. If using a 3rd In general, how often are securities normally marked (e.g., daily, weekly,
party vendor, please provide the name(s) of the 3rd party vendor(s).
quarterly, etc.)?
*For 'Other' AFS and HTM securities, please provide name of security type in row 28 above (currently labeled "Other"). Please add additional rows if necessary.
Securities Market Value Sources
BHC Trading Worksheet: BHC XYZ, Inc. in BHC Baseline
Effective date: TBD
(A)
P/L Results in $Millions
Firmwide
Total
1
2
3
4
5
6
7
8
9
10
Equity
FX
Rates
Commodities
Securitized Products
Other Credit
Private Equity
Other Fair Value Assets
Cross‐Asset Terms
Total
(B)
(C)
Contributions from:
Higher‐
Order Risks CVA Hedges
‐
1‐6) The categories above (Equities, FX, Rates, etc.) are NOT meant to denote lines of business
or desks, but rather firmwide totals by risk stripe.
5) "Securitized Products" is defined as the contribution to P/L from exposures detailed on the
Securitized Products and Agencies worksheets.
6) "Other Credit" is defined as the contribution from all credit products other than those
specified on the "Securitized Products" or "Agencies" worksheets.
9) Cross‐Asset Terms are those intra‐asset risks attributable to the co‐movement of mulitple asset classes.
For example, an equity option paying off in a foreign currency would have both Equity and FX risk. The
P/L due to this co‐dependence would be entered into row 9.
(B) Higher order risks are those inter‐asset risks attributable to terms not represented in the FR‐Y14Q.
The highest order term represented in the 14Q will vary based on the specific asset class. For example,
the commodity spot vol grids do not capture risks attributable to the co‐movement of multiple
underlying commodities.
When reporting P/L numbers above, report profits as positive numbers and losses as negative numbers.
Printed: 4/18/2013
24
BHC Counterparty Risk Worksheet: BHC XYZ, Inc. in BHC Baseline
$Millions
Losses should be reported as a positive value.
1 Trading Incremental Default Losses (Trading IDR)
1a
Trading Incremental Default losses from securitized products
1b
Trading Incremental Default losses from other credit sensitive instruments
‐
2 Counterparty Credit MTM Losses (CVA losses)
2a
Counterparty CVA losses
2b
Offline reserve CVA losses
‐
3 Counterparty Incremental Default Losses (CCR IDR)
3a
Impact of CCR IDR hedges (as defined in the Instructions)
4 Other CCR losses
BHC Op Risk Scenario Input Worksheet: BHC XYZ, Inc. in BHC Baseline
For the inputs into each scenario, provide the type of data, a brief description of the loss events (including events from an operational risk scenario analysis process), the unit of measure (UOM), and the contribution of those
events to the operational loss projection.
Type of Data
Brief Description
Contribution ($millions)
Unit of Measure (UOM)
Total $ ‐
TOTAL
TOTAL SHOULD AGREE TO THE PROJECTED "OPERATIONAL RISK
EXPENSE" AMOUNT INCLUDED IN LINE 29 IN THE PPNR
PROJECTIONS WORKSHEET
Page 26
BHC Op Risk Projected Losses Worksheet: BHC XYZ, Inc. in BHC Baseline
Provide any supporting information including statistical results, data, summary tables, and additional descriptions in a separate document
and cross reference the document to the respective question/item.
The sum of the quarterly data provided must equal the total of the scenarios in the Op Risk Scenario Inputs Worksheet.
Projected Operational Risk Losses
$Millions
PQ 1
PQ 2
PQ 3
PQ 4
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
BHC PPNR Projections Worksheet: BHC XYZ, Inc. in BHC Baseline
Instructions: Bank Holding Company (BHC) to complete non shaded cells only; all shaded cells with embedded formulas will self populate. Quarterly items should be reported by quarter, and not on a year‐to‐date basis.
Please indicate if deposits are 25% or more of total liabilities
Net Interest Income Designation Field ‐ Populated Automatically
$Millions
Retail and Small Business
Domestic (11)
Credit Cards (10)
Mortgages
1D
1E
1F
1G
2
3
4
5
5A
5B
6
7
8
9
10
11
12
Home Equity
Retail and Small Business Deposits
Other Retail and Small Business Lending
International Retail and Small Business (16)
Commercial Lending
Investment Banking
Merchant Banking / Private Equity
Sales and Trading
Prime Brokerage
Other
Investment Management
Investment Services
Treasury Services
Insurance Services
Retirement / Corporate Benefits Products
Corporate / Other
Optional Immaterial Business Segments (7)
13
Total Net Interest Income (1)
14
14A
14B
14C
14D
14E
14F
14G
14H
14I
14J
14K
Non Interest Income by Business Segment: (17)
Retail and Small Business
Domestic
Credit Cards (10)
Credit Card Interchange Revenues ‐ Gross (exclude charge cards)
Other
Mortgages and Home Equity
Production
Gains/(Losses) on Sale (18)
Other
Servicing
Servicing & Ancillary Fees
MSR Amortization (20)
14L
14M
14N
14O
14P
14Q
14R
14S
14T
15
16
16A
16B
16C
16D
17
17A
17B
17C
18
18A
18B
18C
18D
18E
18F
18G
18H
18I
18J
18K
18L
18M
19
19A
19B
20
20A
20B
20C
20D
20E
21
22
23
24
25
Projected in $Millions
FR Y9C Codes
PQ 1
Net Interest Income by Business Segment: (17)
1
1A
1B
1C
PQ 2
PQ 3
PQ 4
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
PQ 2 ‐ PQ 5 PQ 6 ‐ PQ 9 9‐Quarter
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‐
‐
‐
‐
‐
‐
MSR Value Changes due to Changes in Assumptions/Model Inputs/Other Net of
Hedge Performance (19)(21)
‐
‐
‐
Other
‐
‐
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‐
‐
‐
‐
‐
Provisions to Repurchase Reserve / Liability for Residential Mortgage Representations
and Warranties (contra‐revenue) (12)
Retail and Small Business Deposits
Non Sufficient Funds / Overdraft Fees ‐ Gross
Debit Interchange ‐ Gross
Other (22)
Other Retail and Small Business Lending
International Retail and Small Business (16)
Commercial Lending
Investment Banking
Advisory
Equity Capital Markets
Debt Capital Markets
Syndicated / Corporate Lending
Merchant Banking / Private Equity
Net Investment Mark‐to‐Market
Management Fees
Other
Sales and Trading
Equities
Commission and Fees
Other (23)
Fixed Income
Rates
Credit
Other
Commodities
Commission and Fees
Other
Prime Brokerage
Commission and Fees
Other
Investment Management
Asset Management
Wealth Management / Private Banking
Investment Services
Asset Servicing
Securities Lending
Other
Issuer Services
Other
Treasury Services
Insurance Services
Retirement / Corporate Benefits Products
Corporate / Other
Optional Immaterial Business Segments (7)
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
26
Total Non‐Interest Income (2) (26)
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
27
Total Revenues
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
28
28A
28B
28C
28D
28E
29
30
31
32
33
34
34A
34B
35
36
37
Non Interest Expense:
Compensation Expense
‐
Salary (14)
Benefits (14)
Commissions (6)
Stock Based Compensation
Cash Variable Pay
Operational Risk Expense (8)
‐
Provisions to Repurchase Reserve / Liability for Residential Mortgage
Representations and Warranties (12)
Professional and Outside Services Expenses (13)
Expenses of Premises and Fixed Assets
BHCK4217
BHCKC232
Amortization Expense and Impairment Losses for Other Intangible Assets
Marketing Expense
‐
Domestic Credit Cards (10)(15)(17)
Other
Other Real Estate Owned Expense
Provision for Unfunded Off‐Balance Sheet Credit Exposures (to build/decrease item 134 (BHCKB557) in Balance Sheet)
Other Non‐Interest Expense (4)
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
38
Total Non‐Interest Expense (3)
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
39
Projected PPNR (5)
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
40
41
42
Valuation Adjustment for firm's own debt under fair value option (FVO) (9)
Goodwill Impairment
Loss resulting from trading shock exercise (if applicable) (24) (25)
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
BHCKC216
Footnotes to the PPNR Projections Worksheet
(1) Amount should equal item 45 of the PPNR NII Worksheet, if completed.
(2) Excludes Valuation Adjustment for firm's own debt under fair value option (FVO) in item 40.
(3) Excludes Goodwill Impairment included in item 41.
(4) Provide a further break out of significant items included in Other Non‐Interest Expense such that no more than 5% of Non Interest
Expense are reported without further breakout:
(5)
(6)
(7)
By definition, PPNR will calculate as Net Interest Income plus Non‐Interest Income less Non‐Interest Expense, excluding items broken out in items 40‐41.
Report commissions only in "Commissions" line item 28C; do not report commissions in any other compensation line items.
See instructions for guidance on related thresholds. List segments included in this line item.
(8)
All operational loss items, including operational losses that are contra revenue amounts or cannot be separately identified, should
be reported in the operational risk expense. Any legal consultation or retainer fees specifically linked to an operational risk event
should be included in the Operational Risk Expense. Include all Provisions to Litigation Reserves / Liability for Claims related to Sold
Residential Mortgages and all Litigation Settlements & Penalties in this line item and not any other items.
(9)
List segments from which item was excluded:
(10) Include domestic BHC issued credit and charge cards including those that result from a partnership agreement.
(11) Applies to line items 1A‐1F; US and Puerto Rico only.
(12) Provisions to build any non‐litigation reserves/accrued liabilities that have been established for losses related to sold or
government‐insured residential mortgage loans (first or second lien). Do not report such provisions in any other items; report
them only in line items 14N or 30, as applicable.
(13) Include routine legal expenses (i.e legal expenses not related to operational losses) here.
(14) Do not report stock based and cash variable pay compensation here.
(15) Include both direct and allocated expenses. Report any expenses that are made to expand the company’s card member and/or merchant base, facilitate greater
segment penetration, enhance the perception of the company’s credit card brand, and/or increase the utilization of the existing card member base across the
spectrum of marketing and advertising mediums.
(16) Revenues from regions outside the US and Puerto Rico.
(17) See Instructions for description of standardized Business Segments/Lines. Unless specified otherwise, all numbers are global.
(18) Gains/(Losses) from the sale of mortgages and home equity originated through all production channels (retail, broker, correspondent, etc.) with the intent to sell.
Such gains/losses should include deferred fees and costs that are reported as adjustments to the carrying balance of the sold loan, fair value changes on loan
commitments with rate locks that are accounted for as derivatives, fair value changes on mortgage loans held‐for‐sale designated for fair value treatment, lower‐of‐
cost or market adjustments on mortgage loans held‐for‐sale not designated for fair value treatment, fair value changes on derivative instruments used to hedge
loan commitments and held‐of‐sale mortgages, and value associated with the initial capitalization of the MSR upon sale of the loan.
(19)
(20)
(21)
(22)
Report changes in the MSR value here and not in any other items. Report changes in the MSR hedges here and not in any other items.
Include economic amortization or scheduled and unscheduled payments, net of defaults under both FV and LOCOM accounting methods.
Include MSR changes under both FV and LOCOM accounting methods.
Among items included here are debit card contra‐revenues, as applicable. The reporting of debit card contra‐revenues and expenses should be consistent with the
BHC’s Y‐9C methodology.
(23) Report all Non‐Interest Income for Equities Sales and Trading, excluding Prime Brokerage (to be reported as a separate line item) and excluding Commissions and
Fees. This includes trading profits and other non‐interest non‐commission income.
(24) BHCs should not report changes in value of the MSR asset or hedges within the trading book.
(25) List segments from which item was excluded:
(26) Exclude result of trading shock exercise (where applicable), as it is reported in item 42.
The following cells provide checks of the internal consistency of the PPNR Template schedules. Please ensure that these cells are all "TRUE," or "N/A" before the worksheet is submitted.
Net Interest Income agrees between worksheets
Immaterial revenues are less than or equal to 10% of total revenue
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
BHC PPNR Net Interest Income Worksheet: BHC XYZ, Inc. in BHC Baseline
Instructions: All BHCs for which deposits comprise 25% or more of total liabilities for any reported period in any FR Y‐14Q must complete this worksheet. BHCs to complete non shaded cells only; all shaded cells with embedded formulas will self populate. Quarterly
items should be reported by quarter, and not on a year‐to‐date basis.
Please indicate if deposits are 25% or more of total liabilities
Net Interest Income Designation Field ‐ Populated Automatically
Projected in $Millions
PQ 5
FR Y9C Codes (5)
1
2
2A
2B
3
4
5
6
7
7A
7B
7C
Average Interest‐Bearing Asset Balances ($Millions) (1)
First Lien Residential Mortgages (in Domestic Offices)
Second / Junior Lien Residential Mortgages (in Domestic Offices)
Closed‐End Junior Liens
Home Equity Lines Of Credit (HELOCs)
C&I Loans, excl. Small Business (Scored/Delinquency Managed) (7)
Small Business (Scored/Delinquency Managed)
CRE Loans (in Domestic Offices)
Credit Cards
Other Consumer
Auto Loans
Student Loans
Real Estate Loans (Not in Domestic Offices)
8A
8B
9
10
11
12
13
Residential Mortgages (First and Second Lien)
Other
Other Loans & Leases (10)
Interest‐Bearing Securities (AFS and HTM)
Trading Assets
Deposits with Banks & Other
Other (2)
Average Rates Earned (%) (9)
First Lien Residential Mortgages (in Domestic Offices)
Second / Junior Lien Residential Mortgages (in Domestic Offices)
Closed‐End Junior Liens
HELOCs
C&I Loans, excl. Small Business (Scored/Delinquency Managed)
Small Business (Scored/Delinquency Managed)
CRE Loans (in Domestic Offices)
Credit Cards
Other Consumer
Auto Loans
Student Loans
Other, incl. loans backed by securities (non‐purpose lending)
Real Estate Loans (Not in Domestic Offices)
Residential Mortgages (First and Second Lien)
Other
Other Loans & Leases
Interest‐Bearing Securities (AFS and HTM)
Trading Assets
Deposits with Banks & Other
Other
28
Total Interest Income
29
29A
29B
29C
29D
29E
30
30A
30B
31
31A
31B
31C
32
Average Deposit and Interest‐Bearing Non‐Deposit Liability Balances ($Millions)
Customer Deposits‐Domestic (6)
Non‐Interest‐Bearing Demand
Money Market Accounts
Savings
NOW, ATS, and other Transaction Accounts
Time Deposits
Customer Deposits‐Foreign (6)
Foreign Deposits
Foreign Deposits‐Time
Fed Funds, Repos, & Other Short Term Borrowing
Fed Funds
Repos
Other Short Term Borrowing
Trading Liabilities
36
PQ 3
PQ 4
PQ 6
PQ 7
PQ 8
PQ 9
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
BHDM5368
BHDM1797
BHCKF158+BHCKF159+BHD
M1460+BHCKF160+BHCKF1
61
BHCKB538
BHCKK137
BHCK1410 less items 1, 2, 5,
and BHDM1420
BHCK1754+BHCK1773
BHCK3401
Total Average Interest‐Bearing Asset Balances
15
16
16A
16B
17
18
19
20
21
21A
21B
21C
22
22A
22B
23
24
25
26
27
33
34
35
PQ 2
Other, incl. loans backed by securities (non‐purpose lending)
8
14
PQ 1
BHDM5367
Subordinated Notes Payable to Unconsolidated Trusts Issuing Trust Preferred
Securities (TruPS) and TruPS Issued by Consolidated Special Purpose Entities
All Other Long Term Debt
Other (3)
Total Average Deposit and Interest‐Bearing Non‐Deposit Liability Balances
41
42
43
Average Liability Rates (%) (9)
Customer Deposits‐Domestic (6)
Non‐Interest‐Bearing Demand (8)
Money Market Accounts
Savings
Negotiable Order of Withdrawal (NOW), Automatic Transfer Service (ATS), and
other Transaction Accounts
Time Deposits
Customer Deposits‐Foreign (6)
Foreign Deposits
Foreign Deposits‐Time
Fed Funds, Repos, & Other Short Term Borrowing
Fed Funds
Repos
Other Short Term Borrowing
Trading Liabilities
Subordinated Notes Payable to Unconsolidated Trusts Issuing TruPS and TruPS
Issued by Consolidated Special Purpose Entities
All Other Long Term Debt
Other
44
Total Interest Expense
‐
‐
‐
‐
‐
‐
‐
‐
‐
45
Total Net Interest Income (4)
‐
‐
‐
‐
‐
‐
‐
‐
‐
37
37A
37B
37C
37D
37E
38
38A
38B
39
39A
39B
39C
40
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
Footnotes to the Net Interest Income Worksheet
(1) Exclude nonaccrual loans, reporting these balances in item 55 of the PPNR Metrics Worksheet . Include purchased credit impaired loans.
(2) Break out and explain nature of significant items included in Other Average Interest‐Bearing Asset Balances such that no more 5% of total Average Interest‐Bearing Asset Balances are reported without a further breakout.
(3) Break out and explain nature of significant items included in Other Average Deposit and Interest‐Bearing Non‐Deposit Liability Balances such that no more than 5% of total Average Deposit and Interest‐Bearing Non‐Deposit Liability Balances are reported without a furth
(4)
(5)
(6)
(7)
(8)
(9)
(10)
Amount should equal item 13 of the PPNR Projections Worksheet.
All requested balance items are averages. FR Y9C code references are intended only to provide guidance for the types of items to be included or exluded; but NOT the type of balance to be provided.
A sum of average domestic and foreign customer deposits should be equal to a sum of average BHDM6631, BHDM6636, BHFN6631, and BHFN6636.
Report Large Commercial Credits and Small Business (Graded) Loans.
Rates are equal to zero by definition.
All rates are annualized.
Include loans secured by farmland here (BHDM1420) and other loans not accounted for in the other categories.
Are Other Average Interest‐Bearing Asset Balances more than 5% of Total Average Interest‐Bearing Asset Balances?
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
Are Other Average Deposit and Interest‐Bearing Non‐Deposit Liability Balances more
than 5% of Total Average Interest‐Bearing Liability Balances?
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
BHC PPNR Metrics Worksheet: BHC XYZ, Inc. in BHC Baseline
Instructions: BHCs to complete non shaded cells only; all shaded cells with embedded formulas will self populate. Quarterly items should be reported by quarter, and not on a year‐to‐date basis. Annual and 9‐Quarter numbers for all averages should be reported only if the annual averages are not equal to a simple average of the four quarters for a given year.
FR Y9C Codes
1
2
3
4
5
A. Metrics by Business Segment/Line (9)
Retail and Small Business Segment
Domestic (24)
Credit Cards
Total Open Accounts – End of Period
Credit Card Purchase Volume (exclude charge cards)
Credit Card Rewards/Partner Sharing Expense (23)
Mortgages and Home Equity
Average Third‐Party Residential Mortgages Serviced (3)
Residential Mortgage Originations Industry Market Size – Volume (25)
6
Mortgages and Home Equity Sold during the quarter (26)
7
Servicing Expenses (8)
Retail and Small Business Deposits
Total Open Checking and Money Market Accounts – End of Period
Debit Card Purchase Volume
International Retail and Small Business (12)
Credit Card Revenues (1)
Investment Banking Segment
Number of Employees (15)
Compensation ‐ Total (8)
Stock Based Compensation and Cash Variable Pay (8)
Advisory
Deal Volume
Industry Market Size ‐ Fees
Industry Market Size ‐ Completed Deal Volume
Backlog (30)
Equity Capital Markets
Deal Volume
Industry Market Size ‐ Fees
Industry Market Size ‐ Volume
Debt Capital Markets
Deal Volume
Industry Market Size ‐ Fees
Industry Market Size ‐ Volume
Syndicated Lending
Deal Volume
Industry Market Size ‐ Fees
Industry Market Size ‐ Volume
Merchant Banking / Private Equity
AUM (10)
Sales and Trading Segment
Number of Employees (15)
Total Proprietary Trading Revenue
Compensation ‐ Total (8)
Stock Based Compensation and Cash Variable Pay (8)
Equities
Average Asset Balance
Fixed Income
Average Asset Balance
Commodities
Average Asset Balance
Prime Brokerage
Average Client Balances (13)
Transaction Volume
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
44
Investment Management Segment
Asset Management
AUM ‐ Total (10)
AUM ‐ Equities
AUM ‐ Fixed Income
AUM ‐ Other
Net Inflows/Outflows
Wealth Management/Private Banking
AUM ‐ Total (10)
AUM ‐ Equities
AUM ‐ Fixed Income
AUM ‐ Other
Net Inflows/Outflows
Number of Financial Advisors (11)
Investment Services Segment
Asset Servicing
Assets under Custody and Administration
Issuer Services
Corporate Trust Deals Administered
45
46
46A
46B
46C
46D
47
48
49
49A
49B
50
50A
50B
50C
B. Firm Wide Metrics: PPNR Projections Worksheet
Number of Employees
Revenues ‐ International
Revenues ‐ APAC (2) (16)
Revenues ‐ EMEA (2) (17)
Revenues ‐ LatAm (2) (18)
Revenues ‐ Canada (2)
Revenues ‐ Domestic
Severance Costs (14)
Collateral Underlying Operating Leases for Which the Bank is the Lessor (22)
Auto
Other
OREO Balance
Commercial
Residential
Farmland
38
38A
38B
38C
39
BHCKF070+BHCKF071+BH
DMF674+BHDMF675
Units
PQ 1
PQ 2
PQ 3
PQ 4
Projected
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
PQ 2 ‐ PQ 5
PQ 6 ‐ PQ 9
9‐Quarter
#
$Millions
$Millions
‐
‐
‐
‐
‐
‐
N/A
‐
‐
$Millions
$Millions
‐
‐
‐
$Millions
$Millions
‐
‐
‐
‐
‐
‐
#
$Millions
‐
‐
‐
‐
N/A
‐
$Millions
‐
‐
‐
#
$Millions
$Millions
‐
‐
‐
‐
‐
‐
N/A
‐
‐
$Millions
$Millions
$Millions
$Millions
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
$Millions
$Millions
$Millions
‐
‐
‐
‐
‐
‐
‐
‐
‐
$Millions
$Millions
$Millions
‐
‐
‐
‐
‐
‐
‐
‐
‐
$Millions
$Millions
$Millions
‐
‐
‐
‐
‐
‐
‐
‐
‐
$Millions
‐
‐
N/A
#
$Millions
$Millions
$Millions
‐
‐
‐
‐
‐
‐
‐
‐
N/A
‐
‐
‐
‐
‐
‐
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
N/A
N/A
N/A
N/A
‐
$Millions
$Millions
$Millions
$Millions
$Millions
#
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
N/A
N/A
N/A
N/A
‐
N/A
$Millions
‐
‐
N/A
#
‐
‐
‐
#
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
N/A
‐
‐
‐
‐
‐
‐
‐
N/A
N/A
N/A
N/A
N/A
N/A
N/A
$Millions
$Millions
$Millions
$Millions
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
55
56
57
C. Firm Wide Metrics: Net Interest Income Worksheet (Required only for BHCs that were required to complete the Net Interest Income Worksheet)
Nonaccrual Loan Balance
BHCK5526 less BHCK3507
$Millions
Carrying Value of Purchased Credit Impaired (PCI) Loans
BHCKC780
$Millions
Net Accretion of discount on PCI Loans included in interest Revenues
$Millions
‐
‐
‐
‐
‐
‐
N/A
N/A
N/A
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
Quarter End Weighted Average Life of Assets (4) (6)
First Lien Residential Mortgages (in Domestic Offices)
Closed‐End Junior Residential Liens (in Domestic Offices)
Home Equity Lines Of Credit (HELOCs)
C&I Loans, excl. Small Business (Scored/Delinquency Managed)
Small Business (Scored/Delinquency Managed)
CRE Loans (in Domestic Offices)
Credit Cards
Auto Loans
Student Loans
Other, incl. loans backed by securities (non‐purpose lending) (7)
Residential Mortgages (First and Second Lien, Not in Domestic Offices)
Other Real Estate Loans (Not in Domestic Offices)
Other Loans & Leases
Interest‐Bearing Securities (AFS and HTM)
Trading Assets
40
40A
40B
40C
41
42
43
51
52
53
54
Non Interest Income
Trading Revenue
Net Gains/(Losses) on Sales of Other Real Estate Owned (19)
Net Gains/(Losses) on Sales of Other Assets (excluding securities) (20)
Extinguishment of Debt and Preferred Exchange Benefits Revenue (21)
79
80
Quarter End Weighted Average Life of Liabilities (4) (6)
Domestic Deposits ‐ Time
Foreign Deposits‐Time
Fed Funds
Repos
Other Short Term Borrowing
Trading Liabilities
Subordinated Notes Payable to Unconsolidated Trusts Issuing TruPS and TruPS Issued by
Consolidated Special Purpose Entities
All Other Long Term Debt
81
82
83
84
85
85A
85B
Average Retail Deposit Repricing Beta in a 'Normal Environment' (5)
Money Market Accounts
Savings
NOW, ATS, and other Transaction Accounts
Time Deposits
New Business Pricing for Time Deposits (27)
Curve (if multiple terms assumed) (28)
Index rate (if single term assumed) (29)
73
74
75
76
77
78
BHCK4150
BHCK2150
BHCKA220
BHCK8561
BHCKB496
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
For upward rate
movements
basis points
basis points
basis points
basis points
basis points
basis points
basis points
For downward rate
movements
Assumed Floor
(1)
(2)
(3)
(4)
Footnotes to the PPNR Metrics Worksheet
Provide metrics data for all quarters, but only if International Retail and Small Business Segment revenues exceeded 5% of Total Retail and Small Business Segment and Total Retail and Small Business revenue
exceeded 5% of total revenues in any of the last four actual quarters requested in the PPNR schedule.
Provide regional breakouts for all quarters but only if international revenue exceeded 5% of the total revenue in any of the last four actual quarters requested in the PPNR schedule.
Average oustanding principal balance fo residential mortgage loans the BHC services for others.
The Weighted Average Life should reflect the current position, the impact of new business activity, as well as the impact of behavioral assumptions such as prepayments or defaults, based on the expected
remaining lives, inclusive of behavioral assumptions. It should reflect the weighted average of time to principal actual repayment (as modeled) for all positions in that portfolio, rounded to the nearest monthly
term. For revolving products, the WAL should reflect the underlying repayment behavior assumptions assumed by the institution, which would include contractual repayments, any assumed excess payments or
prepayments, and defaults. The WAL for the FR Y‐14Q disclosures should reflect the spot balance sheet position for each time period. For the FR Y‐14A, given that it covers forecasted time periods, the WAL should
be forward‐looking which incorporates the changes to the projected WAL, including new business activity.
(5)
A rate movement in an environment where the repricing assumption assumed by each of the major deposit products is not restricted by a cap, floor, or zero. Beta should be reported as a balance‐weighted average
of the betas of the line items that contribute to the roll up point requested, with an as‐of date equal to the reporting date.
(6)
(7)
(8)
(9)
Reference PPNR Net Interest Income worksheet for product definitions.
Corresponds to line item 7C on the Net Interest Income worksheet
Include both direct and allocated expenses.
"Metrics by Business Segment/Line" correspond to Business Segments/Lines on PPNR Submission worksheet, unless explicitly stated otherwise (e.g. line item 2). See Instructions for defintions of standardized
Business Segments/Lines. Unless specified otherwise, all numbers are global.
(10)
(11)
Assets under Management
Provide a relevant headcount number (e.g. financial advisors, portfolio managers) to facilitate the assessment of revenue productivity in the Wealth Management/Private Banking business line.
(12)
(13)
(14)
Regions outside the US and Puerto Rico.
Report the grossed up "interest balances" that result from prime brokerage activities.
List items on PPNR Projections worksheet that include this item if any:
(15)
(16)
(17)
(18)
(19)
Full‐time equivalent employees at end of current period (BHCK4150) for a given segment only.
Asia and Pacific region (incl. South Asia, Australia, and New Zealand)
Europe, Middle East, and Africa
Latin America, including Mexico
List Business Segments reported on PPNR Projections Worksheet that include this item if any:
(20)
List Business Segments reported on PPNR Projections Worksheet that include this item if any:
(21)
List Business Segments reported on PPNR Projections Worksheet that include this item if any:
(22)
Refers to the balance sheet carrying amount of any equipment or other asset rented to others under operating leases, net of accumulated depreciation. The total in line item
49 should correspond to the amount provided in Y‐9C Schedule HC‐F Line 6, item 13 in the instructions. The amount included should only reflect collateral rented under
operating leases and not include collateral subject to capital/ financing type leases.
(23)
Credit cards (including charge cards). List which line item(s) on PPNR Submission worksheet contain(s) the Cards Rewards/Partner Sharing contra‐revenues and/or expenses.
(24)
(25)
(26)
(27)
Applies to line items 1‐9; US and Puerto Rico only.
Total domestic mortgages originated during the quarter.
FR Y‐9C name is "Residential Mortgages Sold During the Quarter"; this metric need not be limited to Mortgages and Home Equity business line.
New business pricing for time deposits refers to the anticipated average rate on newly issued time deposits, including renewals. Given that time deposits have a stated maturity, all time deposits issued for that
time period are considered new business. The worksheet is requesting re‐pricing beta under normal rate scenarios for both an upward and downward rate movement
(28)
The term “curve” refers to the reference rate used to price time deposits. Given that the pricing of time deposits is dependent on the term, the institution should provide the overall curve used to price time
deposits.
If the institution only assumes a single maturity term for new issuance, then the institution should provide the relative index and spread used to estimate new business pricing in lieu of the curve
(29)
(30)
A backlog should be based on probability weighted fees. The data should be consistent with historical internal reporting, not by market measurement. The last quarter should
be the BHC’s latest backlog estimate.
Do international revenues exceed 5% of total revenues?
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
FR Y-14A: Summary Schedule Instructions
Table of Contents
I.
Overview ................................................................................................................................. 4
A.
Summary .......................................................................................................................... 4
B.
Technical Details.............................................................................................................. 4
C.
Supporting Documentation .............................................................................................. 5
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 ....................................... 15
F.
Supporting Documentation ................................................................................................ 15
OTTI Methodology................................................................................................................ 16
Validation and Independent Review...................................................................................... 16
Fair Market Value Determination.......................................................................................... 16
Post-Trading Shock Market Values for AFS Securities ........................................................ 17
VII.
Trading ............................................................................................................................... 17
A.
Trading worksheet.......................................................................................................... 17
B.
Supporting Documentation ............................................................................................ 17
VIII.
Counterparty Credit Risk (CCR).................................................................................... 19
A.
Counterparty Risk Worksheet ........................................................................................ 19
B.
Supporting Documentation ............................................................................................ 20
Trading IDR........................................................................................................................... 20
CVA....................................................................................................................................... 21
CCR IDR ............................................................................................................................... 23
Other CCR Losses ................................................................................................................. 24
IX.
Operational Risk ................................................................................................................ 24
Support for Sponsored Funds ................................................................................................ 25
Legal Reserves and Provisions .............................................................................................. 25
Unrelated Professional Services ............................................................................................ 25
Definitions ............................................................................................................................. 25
Worksheets ............................................................................................................................ 26
A.
BHC Operational Risk Scenario Inputs Worksheet ....................................................... 26
B.
BHC Operational Risk Projected Losses Worksheet ..................................................... 26
C.
Supporting Documentation and Independent Review.................................................... 27
Documentation....................................................................................................................... 27
Model Validation ................................................................................................................... 27
Independent Review .............................................................................................................. 28
X.
Pre-Provision Net Revenue (PPNR) .................................................................................. 28
A.
General Technical Details .............................................................................................. 28
B.
PPNR Projections Worksheet ........................................................................................ 30
Revenue Components ............................................................................................................ 30
Non-Interest Expense Components ....................................................................................... 33
C.
PPNR Net Interest Income (NII) Worksheet.................................................................. 34
Average Interest Bearing Assets............................................................................................ 34
Average Interest Bearing Liabilities ...................................................................................... 34
Page 2 of 39
D.
PPNR Metrics worksheet ............................................................................................... 34
E. Commonly Used Terms and Abbreviations....................................................................... 35
F.
Supporting Documentation ................................................................................................ 35
PPNR Documentation............................................................................................................ 35
MSR Projection Documentation............................................................................................ 37
Page 3 of 39
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:
•
•
•
•
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.
•
•
•
•
•
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 2012 to fourth quarter of 2014).
• Many column headings refer to PQ 1 through PQ 9. PQ stands for projected quarter. PQ 1
through PQ 9 are nine quarterly projections over which the planning horizon extends. In some
cases the projected quarters will extend beyond the nine-quarter planning horizon (as in the case
of projected future losses charged to the repurchase reserve), necessitating PQ 10 or more.
• 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.
4
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 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
5
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
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
6
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
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.
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.
7
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’
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 worksheets collect 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
Two worksheets are provided, labeled “Capital Worksheet – CCAR” and “Capital Worksheet – DFAST.”
BHCs should fill out the first worksheet (CCAR) using assumptions about capital distributions as outlined
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).
8
in the “Comprehensive Capital Analysis and Review 2013 Summary Instructions and Guidance.” 5 BHCs
should fill out the second (DFAST) using assumptions about capital distributions as outlined in the final
rule “Supervisory and Company-Run Stress Test Requirements for Covered Companies.”6 BHCs should
only fill out the worksheets for each scenario as specified by the CCAR instructions and final rule; the
worksheets should be left blank if not required for that scenario.
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.
•
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.
5
Available at http://www.federalreserve.gov/bankinforeg/ccar.htm.
See 77 Federal Register 62378 (October 12, 2012).
66
9
•
•
•
•
•
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 nonaccretable 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:
•
•
•
•
•
•
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.
10
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.
The row variables for each table should be filled out as follows:
•
•
•
•
•
•
•
•
•
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.
11
C. ASC 310-30 worksheet
The Retail ASC 310-307 worksheet collects information and projections on the BHCs’ retail purchased
credit impaired (PCI) portfolio. Provide actual information 8 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
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
7
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”).
8
Required only in the baseline scenario
12
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
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
13
•
•
•
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,
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
14
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
09/30/2012 positions under the trading shock scenario.
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
15
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
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
16
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
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
17
•
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. 9 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.
•
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.
a. Impact of hedges: The decrease in CCR IDR losses due to the gains from single name
CDS hedges of defaulting counterparties.
•
9
Other CCR losses: Other CCR losses not associated with Trading IDR, CVA, or CCR IDR.
Available at http://www.bis.org/publ/bcbs159.pdf.
19
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,
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,
20
2.
3.
4.
5.
6.
7.
8.
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,
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.
21
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_Y14A_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 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
22
3.
4.
5.
6.
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
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.
2. PD methodology
a. How is the severity of default risk treated? Is a stressed expected PD used, or is it an
outcome in the tail of the default distribution? If an outcome in the tail is used, what is
the tail percentile?
b. How is default risk represented over the horizon of the stress test? Is a cumulative twoyear PD or a one-year PD used as a model input? How is migration risk captured?
c. What data sources and related time periods are used to generate the assumptions on
23
3.
4.
5.
6.
7.
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.
what review if any has occurred? Elaborate in the documentation where appropriate.
Other CCR Losses
1) Data and systems
a. What types of CCR losses are included in the "Other CCR Losses" Counterparty Risk
Worksheet of the SUMMARY_SCHEDULE? What are the loss amounts for each major
category of "Other CCR Losses"? For any material losses, discuss the methodology and
rationale in the documentation.
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 Interagency 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:
24
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
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.
25
•
2.
3.
4.
5.
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.
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
Brief Description: Description of operational loss event or other factor considered.
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).
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.
26
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
dependency, a summary of statistical results, and how these results were incorporated in the
estimates;
3. A discussion of how pending litigation and reserves for litigation were incorporated into
operational loss projections for all requested scenarios;
4. A narrative describing the methodology and process for assessing and forecasting losses
associated with supporting sponsored funds;
5. A description of the methodology for allocating an operational loss amount to a particular
quarter;
6. An explanation summarizing the reasonableness of results, how they differ from expectations,
and what the BHC does when the results are deemed "unreasonable";
7. 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;
8. An assessment of how effective or accurate the model is---preferably utilizing an out-of-sample
testing and analysis framework;
9. 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
27
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.
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.
28
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 Projections 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.
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
29
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
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 10:
•
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 11. Exclude any revenues related to Wealth
10
As noted earlier, data reflecting a BHC view should be provided separately, accompanying the memo required with
the FR Y-14A Projections.
11
See “Commonly Used Terms and Abbreviations” for the definition.
30
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
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.
31
•
•
•
•
•
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
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 Y14A 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.
32
•
•
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
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 12 (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.
12
See “Commonly Used Terms and Abbreviations” for the definition.
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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. BHCs should use internal
definitions of proprietary trading and clearly describe the covered activities and transactions in
methodology narratives.
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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.
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
35
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
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
36
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 (beginning on page 4) 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
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
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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?
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?
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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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| File Type | application/pdf |
| File Title | FR_Y-14A_Summary_template.xlsx |
| Author | m1jas00 |
| File Modified | 2013-04-18 |
| File Created | 2013-04-18 |