Macro Scenario - Semi-annual
Capital Assessment and Stress Testing
FR Y-14AinstructionsFinal_redlined
Macro Scenario - Semi-annual
OMB: 7100-0341
OMB No. 7100-0341
Expiration Date: October 31, 2015
Instructions for the
Capital Assessments and Stress Testing information collection
(Reporting Form FR Y-14A)
This Report is required by law: section 165 of the Dodd-Frank Act (12 U.S.C. § 5365) and section 5 of the Bank Holding Company Act (12 U.S.C. § 1844). Public reporting burden for this information collection is estimated to vary from 907 to 1,289 hours per response, with an average of 983 hours per response, including time to gather and maintain data in the required form and to review instructions and complete the information collection. Comments regarding this burden estimate or any other aspect of this information collection, including suggestions for reducing the burden, may be sent to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, and to the Office of Management and Budget, Paperwork Reduction Project (7100-0341), Washington, DC 20503.
1. Income Statement, Balance Sheet, and Capital 11
A.1.c—Risk-Weighted Assets (RWA) 39
2. Retail 76
A.2.a—Retail Balance and Loss Projections 76
3. AFS/HTM Securities 89
A.3.a—Projected OTTI for AFS Securities and HTM Securities by CUSIP 89
A.3.b—High-Level OTTI Methodology and Assumptions for AFS and HTM Securities by Portfolio 89
A.3.c—Projected OTTI for AFS and HTM Securities by Portfolio 89
A.3.d— Projected OCI and Fair Value for AFS Securities 90
A.3.e—Actual AFS and HTM Fair Market Value Sources by Portfolio 90
4. Trading 91
5. Counterparty Credit Risk (CCR) 93
6. BHC Operational Risk Scenario Inputs and Projections 95
7. Pre-Provision Net Revenue (PPNR) 97
A.7.a—PPNR Projections Worksheet 100
A.7.b—PPNR Net Interest Income (NII) Worksheet 114
B.1—Supervisory Baseline Scenario 135
B.2—Supervisory Adverse Scenario 135
B.3—Supervisory Severely Adverse Scenario 135
B.6+ —Additional Scenario #1/#2/etc. 135
Schedule C—Regulatory Capital Instruments 137
Schedule D—Regulatory Capital Transitions 142
D.2—Exception Bucket Calculator 153
D.3—Risk-Weighted Assets – Advanced 156
D.4—Risk-Weighted Assets – General 161
Schedule E—Operational Risk 170
E.1—BHC Operational Risk Historical Capital (BHC Baseline Scenario Only) 170
E.2—BHC Legal Reserves Reporting 170
Schedule F— Counterparty Credit Risk 171
F.1.a—Top counterparties comprising 95% of firm CVA, ranked by CVA 175
F.1.b—Top 20 counterparties ranked by applicable Stressed CVA 175
F.1.c—Top 20 counterparties ranked by Net CE 175
F.1.d—Top 20 collateralized counterparties ranked by Gross CE 175
F.1.e— Aggregate CVA by ratings and collateralization 176
F.2—EE profile by counterparty: Top counterparties ranked by CVA comprising 95% of firm CVA 176
F.3—Credit Quality by Counterparty comprising 95% of firm CVA 177
F.5— Securities Financing Transactions Profile by Counterparty and Aggregate 180
F.6— Notes to the CCR Schedule 181
Appendix A: Supporting Documentation 182
A.1 – Income Statement, Balance Sheet, and Capital 184
A.4 – Loans Held for Sale and Loans Accounted for Under the Fair Value Option 185
A.7 – Counterparty Credit Risk 189
A.9 – Pre-Provision Net Revenue (PPNR) 195
A.10 – MSR Projection Documentation 198
Schedule C – Regulatory Capital Instruments 200
Schedule D – Regulatory Capital Transitions 200
INSTRUCTIONS FOR PREPARATION OF
Capital Assessments and Stress Testing Report
FR Y-14A
The Capital Assessments and Stress Testing Report (FR Y-14A report) collects detailed data on bank holding companies’ (BHCs) quantitative projections of balance sheet assets and liabilities, income, losses, and capital across a range of macroeconomic scenarios and qualitative information on methodologies used to develop internal projections of capital across scenarios.
The FR Y-14A report is comprised of a Summary, Macro Scenario, Regulatory Capital Instruments, Regulatory Capital Transitions,Basel III and Dodd-Frank, Operational Risk and Counterparty Credit Risk (CCR)schedules, each with multiple supporting worksheets. The number of schedules a BHC must complete is subject to materiality thresholds and certain other criteria. BHCs report projections on the FR Y-14A schedules across supervisory scenarios provided by the Federal Reserve (supervisory baseline, adverse and severely adverse), as well as BHC defined scenarios (BHC baseline and BHC adverse). One or more of the macroeconomic scenarios includes a market risk shock that the BHCs will assume when making trading and counterparty loss projections. The Federal Reserve will provide details about the macroeconomic scenarios to the BHCs.
BHCs are also required to submit qualitative information supporting their projections, including descriptions of the methodologies used to develop the internal projections of capital across scenarios and other analyses that support their comprehensive capital plans. Further information regarding the qualitative and technical requirements of required supporting documentation is provided in individual schedules as appropriate, as well as in Appendix A: Supporting Documentation.
Who Must Report
A. Reporting Criteria
BHCs with total consolidated assets of $50 billion or more, as defined by the capital plan rule (12 CFR 225.8), are required to submit the Capital Assessment and Stress Testing report (FR Y-14A/Q/M) to the Federal Reserve. The capital plan rule defines total consolidated assets as the average of the company’s total consolidated assets over the course of the previous four calendar quarters, as reflected on the BHC’s Consolidated Financial Statement for Bank Holding Companies (FR Y–9C). Total assets shall be calculated based on the due date of the bank holding company’s most recent FR Y–9C. If the BHC has not filed an FR Y-9C for each of the four most recent quarters, the average of the BHC’s total consolidated assets in the most recent consecutive quarters as reported quarterly on the BHC’s FR Y-9C should be used in the calculation.
Separate annual schedules must be reported for each scenario as required, unless otherwise specified in the schedule or worksheet instructions (for example for historical data collections on the Retail Repurchase worksheet, for which only the baseline scenario is required). Certain data elements within the annual schedules are subject to materiality thresholds. The instructions to these data schedules provide details on how to determine whether a BHC must submit a specific schedule, worksheet, or data element.
All annual schedules are required to be reported by all BHCs with the exception of the CCR schedule, and the Trading and CCR worksheets of the Summary schedule, which should be filed as described below:
CCR schedule and Trading and CCR worksheets (Summary Schedule): BHCs with greater than $500 billion in total consolidated assets who are subject to the amended market risk rule (12 CFR Parts 208, Appendix E and 225 Appendix E) must submit this schedule and worksheets. Additionally, the Board or the Director of the Division of Banking Supervision and Regulation of the Federal Reserve Board, acting under delegated authority, may require any company to complete the CCR schedule and worksheet under 12 CFR 252.144(b)(2).and any company that the Board or the Director of the Division of Banking Supervision and Regulation, acting under delegated authority, may require to complete these schedules under 12 CFR 252.144(b)(2) must submit this schedule and worksheets.
B. Exemptions
BHCs that do not meet the reporting criteria listed above are exempt from reporting. The following institutions are also exempt:
BHCs, savings and loan holding companies (SLHCs) and state member banks (SMBs) with average total consolidated assets of greater than $10 billion but less than $50 billion subject to the final rule on annual company-run stress tests (12 CFR 252(h)) are not required to file this report. However, institutions meeting this threshold should review the reporting requirements and instructions for the Annual Company-Run Stress Test Projections (FR Y-16) on the Board’s public website.
SLHCs are currently not required to comply with FR Y-14A reporting requirements. Further information regarding reporting for SLHCs will be provided in the future.1
Where to Submit the Reports
All BHCs subject to these reporting requirements must submit completed reports electronically via the IntraLinks website. BHCs will be provided information on how to transmit data to the FR Y-14 IntraLinks Collaboration website. Requests for access to the Intralinks site should be sent to [email protected].
For requirements regarding the submission of qualitative supporting information, please see Appendix A: Supporting Documentation, in addition to instructions associated with each schedule for which supporting documentation might be required.
When to Submit the Reports
BHCs must file the FR Y-14A schedules annually or semi-annually according to the appropriate time schedules described below. All schedules will be due on or before the end of the submission date (unless that day falls on a weekend (subject to timely filing provisions)). Early submission, including submission of schedules on a flow basis prior to the due date, aids the Federal Reserve in reviewing and processing data and is encouraged.
If the submission date falls on a weekend or holiday, the data must be received on the first business day after the weekend or holiday. No other extensions of time for submitting reports will be granted.
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Schedules and Sub-Worksheets
Data as-of-date
Submission Date
to Federal Reserve
Semi-annual Schedules
Macro Scenario schedule,
Summary schedule
Income Statement
Balance Sheet
Income Statement
CapitalGeneral RWI
Advanced RWI
Capital
Retail Risk
Operational Risk
Securities Risk
Pre-Provision Net Revenue (PPNR)
Data as-of September 30th
Data as-of March 31s
Data are due January 5th of the following year
Data are due July 5th of the same year
Annual Schedules
Basel III/Dodd-Frank schedule,
Regulatory Capital Instruments, Regulatory Capital Transitions, and Operational Risk schedule
Data as-of September 30th
Data are due January 5th of the following year
CCAR Market Shock exercise.
Summary schedule
Trading Risk
CCR
CCR Annual schedule
Data as-of a specified date in the fourth quarter. As-of-date would be communicated by Federal Reserve2
Data are due January 5th of the following year
How to Prepare the Reports:
Applicability of GAAP
BHCs are required to prepare and file the FR Y-14A schedules in accordance with U.S. generally accepted accounting principles (GAAP) and these instructions. The financial records of the BHCs should be maintained in such a manner and scope to ensure the FR Y-14A is prepared in accordance with these instructions and reflects a fair presentation of the BHCs' financial condition and assessment of performance under stressed scenarios.
Rules of Consolidation
Please reference the FR Y-9C General Instructions for a discussion regarding the rules of consolidation.
Projections
Many schedules collect data on a “projection horizon”, which includes one quarter of actual data followed by at least nine quarters of projected data. Where projections are required, the following applies:
The “projection horizon” refers to the nine quarters starting with the fourth quarter of the reporting year (e.g. from the fourth quarter of 2013 through the fourth quarter of 2015).
Column headings refer to PQ1 through PQ9. PQ stands for projected quarter. PQ1 through PQ9 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 is the case of projected future losses charged to the repurchase reserve), necessitating PQ10 or more.
Technical Details
The following instructions apply generally to the FR Y-14A schedules, unless otherwise specified. For further information on the technical specifications for this report, please see the Technical Instructions.
Do not enter any information in gray highlighted or shaded cells, including those with embedded formulas. Only non-shaded cells should be completed by institutions.
Ensure that any internal consistency checks are complete prior to submission.
Report dollar values in millions of US dollars (unless specified otherwise).
Dates should be entered in an YYYYMMDD format (unless otherwise indicated).
Report negative numbers with a minus (-) sign.
An amount, zero or null should be entered for all items, except in those cases where other options such as “not available” or “other” are specified. If information is not available or not applicable and no such options are offered, the field should be left blank.
Report income and loss data on a quarterly basis, and not on a cumulative or year‐to‐date basis.
Other Instructional Guidance
BHCs should review the following published documents (in the order listed below) when determining the precise definition to be used in completing the schedules. Where applicable, references to the FR Y-9C have been provided in the FR Y-14A instructions and templates noting associations between the reporting series.
The FR Y-14A instructions;
The FR Y-14 Q/M instructions;
The latest available FR Y-9C instructions published on the Federal Reserve’s public web site: http://www.federalreserve.gov/reportforms
For purposes of completing certain FR Y-14A schedules, BHCs should also consult the following references for relevant guidance:
CapPR 2013 Instructions available at: http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20121109b2.pdf
CCAR 2013 Instructions available at: http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20121109b1.pdf
Confidentiality
As these data will be collected as part of the supervisory process, they are subject to confidential treatment under exemption 8 of the Freedom of Information Act. 5 U.S.C. 552(b)(8). In addition, commercial and financial information contained in these information collections may be exempt from disclosure under Exemption 4.5 U.S.C. 552(b)(4). Disclosure determinations would be made on a case-by-case basis.
Amended Reports
The Federal Reserve will require the filing of amended reports if previous submissions contain significant errors. In addition, a reporting institution must file an amended report when it or the Federal Reserve discovers significant errors or omissions subsequent to submission of a report. Failure to file amended reports on a timely basis may subject the institution to supervisory action.
If resubmissions are required, institutions should contact the appropriate Reserve Bank, as well as the FR Y-14 mailbox at [email protected], and resubmit data via the Intralinks website.
Questions and Requests for Interpretations
BHCs should submit any questions or requests for interpretations by e-mail to [email protected].
This document contains instructions for the FR Y-14A Summary schedule. The schedule includes data collection worksheets related to the following:
1. Income, Balance Sheet, and Equity/Capital Statements;
2. Retail;
3. Securities;
4. Trading;
5. Counterparty Credit Risk;
6. Operational Risk; and
7. 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 institutions.). 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.
A BHC that decides the supervisory baseline scenario is appropriate for its BHC baseline scenario should still submit an FR Y-14A for each scenario. The two workbooks would differ in that the supervisory baseline FR Y-14A would contain a completed Capital Worksheet - CCAR and Capital Worksheet - DFAST, with the Balance Sheet Worksheet tying to Capital Worksheet - DFAST; the BHC baseline submission would not contain a completed Capital Worksheet - DFAST, and the Balance Sheet Worksheet would tie to Capital Worksheet - CCAR.
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 PQ1 through PQ9. PQ stands for projected quarter. PQ1 through PQ9 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 PQ10 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.
Supporting Documentation
Please refer to Appendix A: Supporting Documentation for guidance on providing supporting documentation.
Worksheet A.1.a—Income Statement
The Income Statement worksheet collects projections for the main components of the income statement. Federal Reserve Micro Data Reference Manual (MDRM) codes are provided in the ‘Notes’ column for many of the line items.3 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 held for investment loans accounted for at amortized cost should be reported in the appropriate line items under the “Losses Associated With Loans Held for Investment Accounted for at Amortized Cost” 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 government- insured 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.
Line items 1 through 43 LOSSES ASSOCIATED WITH LOANS HELD FOR INVESTMENT AT AMORTIZED COST:
Line item 1 Real estate loans (in domestic offices)
This item is a shaded cell and is derived from the sum of items 2, 5, 8 and 14.
Line item 2 First lien mortgages (including HELOANS)
This item is a shaded cell and is derived from the sum of items 3 and 4.
Line item 3 First lien mortgages
Report losses associated with loans held for investment accounted for at amortized cost on all closed-end loans secured by first liens on 1 to 4 family residential properties, excluding closed-end first lien home equity loans (reported in item 4).
Line item 4 First lien home equity loans (HELOANS)
Report losses associated with loans held for investment accounted for at amortized cost on all closed-end first lien home equity loans.
Line item 5 Second/junior lien mortgages
This item is a shaded cell and is derived from the sum of items 6 and 7.
Line item 6 Closed-end junior loans
Report losses associated with loans held for investment accounted for at amortized cost on all closed-end loans secured by junior (i.e., other than first) liens on 1 to 4 family residential properties.
Line item 7 Home equity lines of credit (HELOCS)
Report losses associated with loans held for investment accounted for at amortized cost on the amount outstanding under revolving, open-end lines of credit secured by 1 to 4 family residential properties.
Line item 8 Commercial real estate (CRE) loans
This item is a shaded cell and is derived from the sum of items 9, 10, and 11.
Line item 9 Construction
Report losses associated with loans held for investment accounted for at amortized cost on construction, land development, and other land loans, as defined in the FR Y-9C, Schedule HC-C, items 1(a)(1) and 1(a)(2).
Line item 10 Multifamily
Report losses associated with loans held for investment accounted for at amortized cost on loans secured by multifamily (5 or more) residential properties, as defined in the FR Y-9C, Schedule HC-C, item 1(d).
Line item 11 Nonfarm, nonresidential
This item is a shaded cell and is derived from the sum of items 12 and 13.
Line item 12 Owner-occupied
Report losses associated with loans held for investment accounted for at amortized cost on loans secured by owner-occupied nonfarm nonresidential properties, as defined in the FR Y-9C, Schedule HC-C, item 1(e)(1).
Line item 13 Non-owner-occupied
Report losses associated with loans held for investment accounted for at amortized cost on nonfarm nonresidential real estate loans that are not secured by owner-occupied nonfarm nonresidential properties, as defined in the FR Y-9C, Schedule HC-C, item 1(e)(2).
Line item 14 Loans secured by farmland
Report losses associated with loans held for investment accounted for at amortized cost on all loans secured by farmland, as defined in the FR Y-9C, Schedule HC-C, item 1(b).
Line item 15 Real estate loans (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 16, 17, 18 and 24.
Line item 16 First lien mortgages (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on all closed-end loans secured by first liens on 1 to 4 family residential properties, not held in domestic offices.
Line item 17 Second/junior lien mortgages (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on all loans secured by second/junior (i.e., other than first) liens on 1 to 4 family residential properties, not held in domestic offices.
Line item 18 Commercial real estate (CRE) loans (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 19, 20, and 21.
Line item 19 Construction (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on construction, land development, and other land loans, as defined in the FR Y-9C, Schedule HC-C, items 1(a)(1) and 1(a)(2), not held in domestic offices.
Line item 20 Multifamily (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on loans secured by multifamily (5 or more) residential properties, as defined in the FR Y-9C, Schedule HC-C, item 1(d), not held in domestic offices.
Line item 21 Nonfarm, nonresidential (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 22 and 23.
Line item 22 Owner-occupied (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on loans secured by owner-occupied nonfarm nonresidential properties, as defined in the FR Y-9C, Schedule HC-C, item 1(e)(1), not held in domestic offices.
Line item 23 Non-owner-occupied (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on nonfarm nonresidential real estate loans that are not secured by owner-occupied nonfarm nonresidential properties, as defined in the FR Y-9C, Schedule HC-C, item 1(e)(2), not held in domestic offices.
Line item 24 Loans secured by farmland (Not in domestic offices)
Report losses associated with loans held for investment accounted for at amortized cost on all loans secured by farmland, as defined in the FR Y-9C, Schedule HC-C, item 1(b), not held in domestic offices.
Line item 25 C&I Loans
This item is a shaded cell and is derived from the sum of items 26, 27 and 28.
Line item 26 C&I Graded
Report losses associated with loans held for investment accounted for at amortized cost on all graded commercial and industrial (C&I) loans. Report only loans “graded” or “rated” using the reporting entity’s commercial credit rating system, as it is defined in the reporting entity’s normal course of business. This includes losses associated with domestic and international business and corporate credit card or charge card loans for which a commercially graded corporation is ultimately responsible for repayment of credit losses incurred.
Line item 27 Small Business (Scored/Delinquency Managed)
Report losses associated with loans held for investment accounted for at amortized cost on small business loans. Report all "scored" or "delinquency managed" U.S. small business loans for which a commercial internal risk rating is not used or that uses a different scale than other corporate loans reported on lines 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.1, 9.b.2, 10.b of schedule HC-C of the FR Y-9C excluding corporate and small business credit card loans included on line 4.a of schedule HC-C of the FR Y-9C.
Line item 28 Business and Corporate Card
Report losses associated with loans held for investment accounted for at amortized cost on loans extended under business and corporate credit cards. Business cards include small business credit card accounts where the loan is underwritten with the sole proprietor or primary business owner as applicant. Report at the control account level or the individual pay level (not at the sub-account level). Corporate cards include employer-sponsored credit cards for use by a company's employees. Exclude losses associated with corporate card or charge card loans included in Line item 26 (C&I Graded Loans).
Line item 29 Credit Cards
Report losses associated with loans held for investment accounted for at amortized cost on loans extended under consumer general purpose or private label credit cards. General purpose credit cards are credit cards that can be used at a wide variety of merchants, including any who accept MasterCard, Visa, American Express or Discover credit cards. Include affinity, co-brand cards in this category, and student cards if applicable. Private label credit cards are credit cards, also known as proprietary credit cards, tied to the retailer issuing the card and can only be used in that retailer's stores. Include oil & gas cards in this loan type, and student cards if applicable.
Line item 30 Other Consumer
This item is a shaded cell and is derived from the sum of items 31, 32, 33 and 34.
Line item 31 Auto Loans
Report losses associated with loans held for investment accounted for at amortized cost on auto loans, as defined in the FR Y-9C, Schedule HC-C, item 6(c).
Line item 32 Student Loans
Report losses associated with loans held for investment accounted for at amortized cost on student loans.
Line item 33 Other (consumer) loans backed by securities (non-purpose lending)
Report losses associated with loans held for investment accounted for at amortized cost on other consumer loans that are backed by securities (i.e., non-purpose lending).
Line item 34 Other (consumer)
Report losses associated with loans held for investment accounted for at amortized cost on all other consumer loans not reported in items 31, 32 or 33.
Line item 35 Other Loans
This item is a shaded cell and is derived from the sum of items 36, 37, 38, 39 and 40.
Line item 36 Loans to Foreign Governments
Report losses associated with loans held for investment accounted for at amortized cost on loans to foreign governments, as defined in the FR Y-9C, Schedule HC-C, item 7. Exclude losses associated with loans to foreign governments included in Line item 27 (Small Business Loans).
Line item 37 Agricultural Loans
Report losses associated with loans held for investment accounted for at amortized cost on agricultural loans, as defined in the FR Y-9C, Schedule HC-C, item 3. Exclude losses associated with agricultural loans included in Line item 27 (Small Business Loans).
Line item 38 Loans for Purchasing or Carrying Securities (secured or unsecured)
Report losses associated with loans held for investment accounted for at amortized cost on loans for purchasing or carrying securities (secured or unsecured), as defined in the FR Y-9C, Schedule HC-C, item 9.b.(1). Exclude losses associated with loans for purchasing or carrying securities included in Line item 27 (Small Business Loans).
Line item 39 Loans to Depositories and Other Financial Institutions
Report losses associated with loans held for investment accounted for at amortized cost on loans to depositories and other financial Institutions (secured or unsecured), as defined in the FR Y-9C, Schedule HC-C, items 2.a, 2.b, and 9.a. Exclude losses associated with loans to depositories and other financial institutions included in Line item 27 (Small Business Loans).
Line item 40 All Other Loans and Leases
This item is a shaded cell and is derived from the sum of items 41 and 42.
Line item 41 All Other Loans (exclude consumer loans)
Report losses associated with loans held for investment accounted for at amortized cost on all other loans (excluding consumer loans), as defined in the FR Y-9C, Schedule HC-C, item 9.b.(2). Exclude losses associated with all other loans included in Line item 27 (Small Business Loans).
Line item 42 All Other Leases
Report losses associated with loans held for investment accounted for at amortized cost on all other leases (excluding consumer leases), as defined in the FR Y-9C, Schedule HC-C, item 10.b. Exclude losses associated with all other leases included in Line item 27 (Small Business Loans).
Line item 43 Total Loans and Leases
Report the sum of items 1, 15, 25, 29, 30 and 35.
Line items 44 through 57 LOSSES ASSOCIATED WITH HELD FOR SALE LOANS AND LOANS ACCOUNTED FOR UNDER THE FAIR VALUE OPTION:
Line item 44 Real estate loans (in domestic offices)
This item is a shaded cell and is derived from the sum of items 45, 46, 47 and 48.
Line item 45 First Lien Mortgages
Report losses associated with held for sale loans and loans accounted for under the fair value option on all closed-end loans secured by first liens on 1 to 4 family residential properties, including closed-end first lien home equity loans.
Line item 46 Second/Junior Lien Mortgages
Report losses associated with held for sale loans and loans accounted for under the fair value option on all loans secured by junior (i.e., other than first) liens on 1 to 4 family residential properties.
Line item 47 Commercial real estate (CRE) loans
Report losses associated with held for sale loans and loans accounted for under the fair value option on all construction, multifamily, and nonfarm nonresidential loans, as defined in the FR Y-9C, Schedule HC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1) and 1.e.(2).
Line item 48 Loans secured by farmland
Report losses associated with held for sale loans and loans accounted for under the fair value option on all loans secured by farmland, as defined in the FR Y-9C, Schedule HC-C, item 1(b).
Line item 49 Real estate loans (not in domestic offices)
This item is a shaded cell and is derived from the sum of items 50, 51 and 52.
Line item 50 Residential Mortgages (not in domestic offices)
Report losses associated with held for sale loans and loans accounted for under the fair value option on all loans secured by 1 to 4 family residential properties, including both first lien and second/junior lien loans, not held in domestic offices.
Line item 51 Commercial real estate (CRE) loans (not in domestic offices)
Report losses associated with held for sale loans and loans accounted for under the fair value option on all construction, multifamily, and nonfarm nonresidential loans, as defined in the FR Y-9C, Schedule HC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1) and 1.e.(2), not held in domestic offices.
Line item 52 Loans secured by farmland (not in domestic offices)
Report losses associated with held for sale loans and loans accounted for under the fair value option on all loans secured by farmland, as defined in the FR Y-9C, Schedule HC-C, item 1(b), not held in domestic offices.
Line item 53 C&I Loans
Report losses associated with held for sale loans and loans accounted for under the fair value option on all commercial and industrial loans, as defined in items 26, 27 and 28.
Line item 54 Credit Cards
Report losses associated with held for sale loans and loans accounted for under the fair value option on loans extended under consumer general purpose or private label credit cards. General purpose credit cards are credit cards that can be used at a wide variety of merchants, including any who accept MasterCard, Visa, American Express or Discover credit cards. Include affinity, co-brand cards in this category, and student cards if applicable. Private label credit cards are credit cards, also known as proprietary credit cards, tied to the retailer issuing the card and can only be used in that retailer's stores. Include oil & gas cards in this loan type, and student cards if applicable.
Line item 55 Other Consumer
Report losses associated with held for sale loans and loans accounted for under the fair value option on all other consumer loans, as defined in items 31, 32, 33 and 34.
Line item 56 All Other Loans and Leases
Report losses associated with held for sale loans and loans accounted for under the fair value option on all other loans and leases, as defined in items 36, 37, 38, 39, 41 and 42.
Line item 57 Total Loans and Leases
This item is a shaded cell and is derived from the sum of items 44, 49, 53, 54, 55 and 56.
Line items 58 through 63 TRADING ACCOUNT:
Line item 58 Trading Mark-to-market (MTM) Losses
Line item 58 must equal item 10 on the Trading Schedule, with the sign reversed.
Line item 59 Trading Incremental Default Losses (Trading IDR)
Line item 59 must equal item 1 on the Counterparty Risk Schedule.
Line item 60 Counterparty Credit MTM Losses (CVA losses)
Line item 60 must equal item 2 on the Counterparty Risk Schedule.
Line item 61 Counterparty Incremental Default Losses (CCR IDR)
Line item 61 must equal item 3 on the Counterparty Risk Schedule.
Line item 62 Other CCR losses
Line item 62 must equal item 4 on the Counterparty Risk Schedule.
Line item 63 Total Trading and Counterparty losses
This item is a shaded cell and is derived from the sum of items 58, 59, 60, 61 and 62.
Line items 64 through 68 OTHER LOSSES:
Line item 64 Goodwill Impairment
Report losses associated with goodwill impairment, as defined in the FR Y-9C, Schedule HC, item 10(a).
Line item 65 Valuation Adjustment for firm’s own debt under fair value option (FVO)
Report losses associated with the valuation adjustment for the firm’s own debt under the fair value option (FVO).
Line item 66 Other losses
Report all other losses not reported in items 1 through 65. Describe these losses in the supporting documentation.
Line item 67 Total Other Losses
Report the sum of all other losses included in items 64, 65, and 66.
Line item 68 Total Losses
Report the sum of items 43, 57, 63 and 67.
Line items 69 through 117 ALLOWANCE FOR LOAN AND LEASE LOSSES (ALLL):
Line item 69 ALLL prior quarter
Report the total allowance for loan and lease losses as of the end of the prior quarter.
Line item 70 Real Estate Loans (in Domestic Offices)
Report the sum of items 71, 75 and 79.
Line item 71 Residential Mortgages (in Domestic Offices)
Report the sum of the allowance for loan and lease losses included in items 72, 73 and 74.
Line item 72 First Lien Mortgages (in Domestic Offices)
Report the allowance for loan and lease losses for all loans secured by first liens on 1 to 4 family residential properties, including first lien home equity loans, held in domestic offices.
Line item 73 Closed-end Junior Liens (in Domestic Offices)
Report the allowance for loan and lease losses for all closed-end loans secured by junior (i.e., other than first) liens on 1 to 4 family residential properties, held in domestic offices.
Line item 74 HELOCs (in Domestic Offices)
Report the allowance for loan and lease losses for revolving, open-end lines of credit secured by 1 to 4 family residential properties, held in domestic offices.
Line item 75 CRE Loans (in Domestic Offices)
Report the sum of the allowance for loan and lease losses included in items 76, 77 and 78.
Line item 76 Construction (in Domestic Offices)
Report the allowance for loan and lease losses for construction, land development, and other land loans (as defined in the FR Y-9C, Schedule HC-C, items 1(a)(1) and 1(a)(2)), held in domestic offices.
Line item 77 Multifamily (in Domestic Offices)
Report the allowance for loan and lease losses for loans secured by multifamily (5 or more) residential properties (as defined in the FR Y-9C, Schedule HC-C, item 1(d)), held in domestic offices.
Line item 78 Nonfarm, Non-residential (in Domestic Offices)
Report the allowance for loan and lease losses for loans secured by nonfarm nonresidential properties (as defined in the FR Y-9C, Schedule HC-C, items 1(e)(1) and 1(e)(2), held in domestic offices.
Line item 79 Loans Secured by Farmland (in Domestic Offices)
Report the allowance for loan and lease losses for loans secured by farmland (as defined in the FR Y-9C, Schedule HC-C, item 1(b)), held in domestic offices.
Line item 80 Real Estate Loans (Not in Domestic Offices)
Report the sum of items 81, 82 and 83.
Line item 81 Residential Mortgages (Not in Domestic Offices)
Report the allowance for loan and lease losses for all loans secured by 1 to 4 family residential properties, including both first lien and second/junior lien loans, not held in domestic offices.
Line item 82 CRE Loans (Not in Domestic Offices)
Report the allowance for loan and lease losses for all construction, multifamily, and nonfarm nonresidential loans (as defined in the FR Y-9C, Schedule HC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1) and 1.e.(2)), not held in domestic offices.
Line item 83 Farmland (Not in Domestic Offices)
Report the allowance for loan and lease losses for all loans secured by farmland (as defined in the FR Y-9C, Schedule HC-C, item 1(b)), not held in domestic offices.
Line item 84 C&I Loans
Report the sum of items 85, 86 and 87.
Line item 85 C&I Graded
Report the allowance for loan and lease losses for all graded commercial and industrial (C&I) loans. Report the associated allowance only for loans “graded” or “rated” using the reporting entity’s commercial credit rating system, as it is defined in the reporting entity’s normal course of business. This includes the allowance for loan and lease losses for all domestic and international business and corporate credit card or charge card loans for which a commercially graded corporation is ultimately responsible for repayment of credit losses incurred.
Line item 86 Small Business (Scored/Delinquency Managed)
Report the allowance for loan and lease losses for small business loans. Report the associated allowance for all "scored" or "delinquency managed" U.S. small business loans for which a commercial internal risk rating is not used or that uses a different scale than other corporate loans reported on lines 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.1, 9.b.2, 10.b of schedule HC-C of the FR Y-9C excluding corporate and small business credit card loans included on line 4.a of schedule HC-C of the FR Y-9C.
Line item 87 Business and Corporate Card
Report the allowance for loan and lease losses for loans extended under business and corporate credit cards. Business cards include small business credit card accounts where the loan is underwritten with the sole proprietor or primary business owner as applicant. Report at the control account level or the individual pay level (not at the sub-account level). Corporate cards include employer-sponsored credit cards for use by a company's employees. Exclude the allowance for loan and lease losses related to corporate card or charge card loans included in Line item 85 (C&I Graded Loans).
Line item 88 Credit Cards
Report the allowance for loan and lease losses for loans extended under consumer general purpose or private label credit cards. General purpose credit cards are credit cards that can be used at a wide variety of merchants, including any who accept MasterCard, Visa, American Express or Discover credit cards. Include affinity, co-brand cards in this category, and student cards if applicable. Private label credit cards are credit cards, also known as proprietary credit cards, tied to the retailer issuing the card and can only be used in that retailer's stores. Include oil & gas cards in this loan type, and student cards if applicable.
Line item 89 Other Consumer
Report the allowance for loan and lease losses for all other consumer loans, as defined in items 31, 32, 33 and 34.
Line item 90 All Other Loans and Leases
Report the allowance for loan and lease losses for all other loans and leases, as defined in items 36, 37, 38, 39, 41 and 42.
Line item 91 Unallocated
Report any unallocated portion of the allowance for loan and lease losses.
Line item 92 Provisions during the quarter
Report the provision for loan and lease losses during the quarter, as defined in the FR Y-9C, Schedule HI, item 4.
Line item 93 Real Estate Loans (in Domestic Offices)
Report the sum of items 94, 98 and 102.
Line item 94 Residential Mortgages (in Domestic Offices)
Report the sum of the provision for loan and lease losses included in items 95, 96 and 97.
Line item 95 First Lien Mortgages (in Domestic Offices)
Report the provision for loan and lease losses for all loans secured by first liens on 1 to 4 family residential properties, including first lien home equity loans, held in domestic offices.
Line item 96 Closed-end Junior Liens (in Domestic Offices)
Report the provision for loan and lease losses for all closed-end loans secured by junior (i.e., other than first) liens on 1 to 4 family residential properties, held in domestic offices.
Line item 97 HELOCs (in Domestic Offices)
Report the provision for loan and lease losses for revolving, open-end lines of credit secured by 1 to 4 family residential properties, held in domestic offices.
Line item 98 CRE Loans (in Domestic Offices)
Report the sum of the provision for loan and lease losses included in items 99, 100 and 101.
Line item 99 Construction (in Domestic Offices)
Report the provision for loan and lease losses for construction, land development, and other land loans (as defined in the FR Y-9C, Schedule HC-C, items 1(a)(1) and 1(a)(2)), held in domestic offices.
Line item 100 Multifamily (in Domestic Offices)
Report the provision for loan and lease losses for loans secured by multifamily (5 or more) residential properties (as defined in the FR Y-9C, Schedule HC-C, item 1(d)), held in domestic offices.
Line item 101 Nonfarm, Non-residential (in Domestic Offices)
Report the provision for loan and lease losses for loans secured by nonfarm nonresidential properties (as defined in the FR Y-9C, Schedule HC-C, items 1(e)(1) and 1(e)(2), held in domestic offices.
Line item 102 Loans Secured by Farmland (in Domestic Offices)
Report the provision for loan and lease losses for loans secured by farmland (as defined in the FR Y-9C, Schedule HC-C, item 1(b)), held in domestic offices.
Line item 103 Real Estate Loans (Not in Domestic Offices)
Report the sum of items 104, 105 and 106.
Line item 104 Residential Mortgages (Not in Domestic Offices)
Report the provision for loan and lease losses for all loans secured by 1 to 4 family residential properties, including both first lien and second/junior lien loans, not held in domestic offices.
Line item 105 CRE Loans (Not in Domestic Offices)
Report the provision for loan and lease losses for all construction, multifamily, and nonfarm nonresidential loans (as defined in the FR Y-9C, Schedule HC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1) and 1.e.(2)), not held in domestic offices.
Line item 106 Farmland (Not in Domestic Offices)
Report the provision for loan and lease losses for all loans secured by farmland (as defined in the FR Y-9C, Schedule HC-C, item 1(b)), not held in domestic offices.
Line item 107 C&I Loans
Report the sum of items 108, 109 and 110.
Line item 108 C&I Graded
Report the provision for loan and lease losses for all graded commercial and industrial (C&I) loans. Report the associated provision only for loans “graded” or “rated” using the reporting entity’s commercial credit rating system, as it is defined in the reporting entity’s normal course of business. This includes the provision for loan and lease losses for all domestic and international business and corporate credit card or charge card loans for which a commercially graded corporation is ultimately responsible for repayment of credit losses incurred.
Line item 109 Small Business (Scored/Delinquency Managed)
Report the provision for loan and lease losses for small business loans. Report the associated provision for all "scored" or "delinquency managed" U.S. small business loans for which a commercial internal risk rating is not used or that uses a different scale than other corporate loans reported on lines 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.1, 9.b.2, 10.b of schedule HC-C of the FR Y-9C excluding corporate and small business credit card loans included on line 4.a of schedule HC-C of the FR Y-9C.
Line item 110 Business and Corporate Cards
Report the provision for loan and lease losses for loans extended under business and corporate credit cards. Business cards include small business credit card accounts where the loan is underwritten with the sole proprietor or primary business owner as applicant. Report at the control account level or the individual pay level (not at the sub-account level). Corporate cards include employer-sponsored credit cards for use by a company's employees. Exclude the provision for loan and lease losses related to corporate card or charge card loans included in Line item 108 (C&I Graded Loans).
Line item 111 Credit Cards
Report the provision for loan and lease losses for loans extended under consumer general purpose or private label credit cards. General purpose credit cards are credit cards that can be used at a wide variety of merchants, including any who accept MasterCard, Visa, American Express or Discover credit cards. Include affinity, co-brand cards in this category, and student cards if applicable. Private label credit cards are credit cards, also known as proprietary credit cards, tied to the retailer issuing the card and can only be used in that retailer's stores. Include oil & gas cards in this loan type, and student cards if applicable.
Line item 112 Other Consumer
Report the provision for loan and lease losses for all other consumer loans, as defined in items 31, 32, 33 and 34.
Line item 113 All Other Loans and Leases
Report the provision for loan and lease losses for all other loans and leases, as defined in items 36, 37, 38, 39, 41 and 42.
Line item 114 Unallocated
Report any unallocated portion of the provision for loan and lease losses.
Line item 115 Net charge-offs during the quarter
Report charge-offs net of recoveries during the quarter, as defined in the FR Y-9C, Schedule HI-B, Part I, item 9, Column A minus Column B.
Line item 116 Other ALLL Changes
Report other changes to the allowance for loan and lease losses, as defined in the FR Y-9C, Schedule HI-B, Part II, item 6, minus Schedule HI-B, Part II, item 4.
Line item 117 ALLL, current quarter
Report the sum of items 69, 92 and 116, minus item 115.
Line items 118 through 121 PRE-PROVISION NET REVENUE (PPNR):
Line item 118 Net interest income
Line item 118 must equal item 13 on the PPNR Submission WorksheetSchedule.
Line item 119 Noninterest income
Line item 119 must equal item 26 on the PPNR Submission WorksheetSchedule.
Line item 120 Noninterest expense
Line item 120 must equal item 38 on the PPNR Submission WorksheetSchedule.
Line item 121 Pre-provision Net Revenue
Report the sum of items 118 and 119, minus item 120.
Line items 122 through 136 CONDENSED INCOME STATEMENT:
Line item 122 Pre-provision Net Revenue
Report the value for item 121.
Line item 123 Provisions during the quarter
Report the value for item 92.
Line item 124 Total Trading and Counterparty Losses
Report the value for item 63.
Line item 125 Total Other Losses
Report the sum of items 57 and 67.
Line item 126 Other Income Statement (I/S) Items
Report other income statement items that the institution chooses to disclose. Describe these items in the supporting documentation.
Line item 127 Realized Gains (Losses) on available-for-sale securities (forecast = OTTI)
Report realized gains (losses) on available-for-sale securities, as defined in the FR Y-9C, Schedule HI, item 6.b. For the projected quarters, this amount represents projected other-than-temporary impairment losses on available-for-sale securities.
Line item 128 Realized Gains (Losses) on held-to-maturity securities (forecast = OTTI)
Report realized gains (losses) on held-to-maturity securities, as defined in the FR Y-9C, Schedule HI, item 6.a. For the projected quarters, this amount represents projected other-than-temporary impairment losses on held-to-maturity securities.
Line item 129 Income (loss) before taxes and extraordinary items
Report the sum of items 122, 126, 127, and 128, minus items 123, 124, and 125.
Line item 130 Applicable income taxes (foreign and domestic)
Report all applicable income taxes, both foreign and domestic, as defined in the FR Y-9C, Schedule HI, item 9.
Line item 131 Income (loss) before extraordinary items and other adjustments
Report the amount of item 129 minus item 130.
Line item 132 Extraordinary items and other adjustments, net of income taxes
Report all extraordinary items and other adjustments, net of income taxes, as defined in the FR Y-9C, Schedule HI, item 11.
Line item 133 Net income (loss) attributable to BHC and minority interests
Report the sum of item 131 and item 132.
Line item 134 Net income (loss) attributable to minority interests
Report net income (loss) attributable to minority interests, as defined in the FR Y-9C, Schedule HI, item 13.
Line item 135 Net income (loss) attributable to BHC
Report the amount of item 133 minus item 134.
Line item 136 Effective Tax Rate (%)
Report the amount of item 133 divided by item 134, multiplied by 100.
Line items 137 through 140 REPURCHASE RESERVE/LIABILITY FOR MORTGAGE REPS AND WARRANTIES:
Line item 137 Reserve, prior quarter
Report the amount of any reserve or accrued liability that was established in the prior quarter for losses related to sold or government-insured mortgage loans (first or second lien).
Line item 138 Provisions during the quarter
Report the amount of provisions during the quarter to the repurchase reserve/liability for mortgage representations and warranties.
Line item 139 Net charges during the quarter
Report the amount of net charges (charges less recoveries) during the quarter to the repurchase reserve/liability for mortgage representations and warranties. 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.
Line item 140 Reserve, current quarter
Report the sum of items 137 and 138 minus item 139.
For each scenario used, input the loan balance projections in the various line items in this worksheet. Balance projections for loans held in the loans held for investment portfolio should be reported in the appropriate line items in the “Loans Held for Investment at Amortized Cost” 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.)
Line items 1 through 3 SECURITIES
Line item 1 Held to Maturity (HTM)
Report the amount of held-to-maturity securities, as defined in the FR Y-9C, Schedule HC, item 2.a.
Line item 2 Available for Sale (AFS)
Report the amount of available-for-sale securities, as defined in the FR Y-9C, Schedule HC, item 2.b.
Line item 3 Total Securities
This item is a shaded cell and is derived from the sum of items 1 and2.
Line item 4 Securitizations (investment grade)
Investment grade is defined that the entity to which the banking organization is exposed through a loan or security, or the reference entity with respect to a credit derivative, has adequate capacity to meet financial commitments for the projected life of the asset or exposure. Such an entity or reference entity has adequate capacity to meet financial commitments if the risk of its default is low and the full and timely repayment of principal and interest is expected.
Line item 5 Securitizations (non-investment grade)
Securitizations that do not meet the investment grade definition above.
Line items 6 through 51 TOTAL LOANS AND LEASES
Line item 6 Real estate loans (in domestic offices)
This item is a shaded cell and is derived from the sum of items 7, 10, 13 and 19.
Line item 7 First lien mortgages (including HELOANS)
This item is a shaded cell and is derived from the sum of items 8 and 9.
Line item 8 First lien mortgages
Report loans secured by first liens on 1 to 4 family residential properties, excluding closed-end first lien home equity loans (reported in item 7).
Line item 9 First lien home equity loans (HELOANS)
Report all closed-end first lien home equity loans.
Line item 10 Second/junior lien mortgages
This item is a shaded cell and is derived from the sum of items 11 and 12.
Line item 11 Closed-end junior loans
Report all closed-end loans secured by junior (i.e., other than first) liens on 1 to 4 family residential properties, as defined in the FR Y-9C, Schedule HC-C, item 1.c.(2)(b).
Line item 12 Home equity lines of credit (HELOCS)
Report the amount outstanding under revolving, open-end lines of credit secured by 1 to 4 family residential properties, as defined in the FR Y-9C, Schedule HC-C, item 1.c.(1).
Line item 13 Commercial real estate (CRE) loans
This item is a shaded cell and is derived from the sum of items 14, 15, and 16.
Line item 14 Construction
Report construction, land development, and other land loans, as defined in the FR Y-9C, Schedule HC-C, items 1(a)(1) and 1(a)(2).
Line item 15 Multifamily
Report loans secured by multifamily (5 or more) residential properties, as defined in the FR Y-9C, Schedule HC-C, item 1(d).
Line item 16 Nonfarm, nonresidential
This item is a shaded cell and is derived from the sum of items 17 and 18.
Line item 17 Owner-occupied
Report loans secured by owner-occupied nonfarm nonresidential properties, as defined in the FR Y-9C, Schedule HC-C, item 1(e)(1).
Line item 18 Non-owner-occupied
Report nonfarm nonresidential real estate loans that are not secured by owner-occupied nonfarm nonresidential properties, as defined in the FR Y-9C, Schedule HC-C, item 1(e)(2).
Line item 19 Loans secured by farmland
Report all loans secured by farmland, as defined in the FR Y-9C, Schedule HC-C, item 1(b).
Line item 20 Real estate loans (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 21, 22, 23 and 29.
Line item 21 First lien mortgages (Not in domestic offices)
Report all closed-end loans secured by first liens on 1 to 4 family residential properties, not held in domestic offices.
Line item 22 Second/junior lien mortgages (Not in domestic offices)
Report all loans secured by second/junior (i.e., other than first) liens on 1 to 4 family residential properties, not held in domestic offices.
Line item 23 Commercial real estate (CRE) loans (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 24, 25, and 26.
Line item 24 Construction (Not in domestic offices)
Report construction, land development, and other land loans, as defined in the FR Y-9C, Schedule HC-C, items 1(a)(1) and 1(a)(2), not held in domestic offices.
Line item 25 Multifamily (Not in domestic offices)
Report loans secured by multifamily (5 or more) residential properties, as defined in the FR Y-9C, Schedule HC-C, item 1(d), not held in domestic offices.
Line item 26 Nonfarm, nonresidential (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 27 and 28.
Line item 27 Owner-occupied (Not in domestic offices)
Report loans secured by owner-occupied nonfarm nonresidential properties, as defined in the FR Y-9C, Schedule HC-C, item 1(e)(1), not held in domestic offices.
Line item 28 Non-owner-occupied (Not in domestic offices)
Report nonfarm nonresidential real estate loans that are not secured by owner-occupied nonfarm nonresidential properties, as defined in the FR Y-9C, Schedule HC-C, item 1(e)(2), not held in domestic offices.
Line item 29 Loans secured by farmland (Not in domestic offices)
Report all loans secured by farmland, as defined in the FR Y-9C, Schedule HC-C, item 1(b), not held in domestic offices.
Line item 30 C&I Loans
This item is a shaded cell and is derived from the sum of items 31, 32, 33 and 34.
Line item 31 C&I Graded
Report all graded commercial and industrial (C&I) loans. Report only loans “graded” or “rated” using the reporting entity’s commercial credit rating system, as it is defined in the reporting entity’s normal course of business. This includes domestic and international business and corporate credit card or charge card loans for which a commercially graded corporation is ultimately responsible for repayment of credit losses incurred.
Line item 32 Small Business (Scored/Delinquency Managed)
Report all "scored" or "delinquency managed" U.S. small business loans for which a commercial internal risk rating is not used or that uses a different scale than other corporate loans reported on lines 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.1, 9.b.2, 10.b of schedule HC-C of the FR Y-9C excluding corporate and small business credit card loans included on line 4.a of schedule HC-C of the FR Y-9C.
Line item 33 Corporate Card
Report loans extended under corporate credit cards. Report at the control account level or the individual pay level (not at the sub-account level). Corporate cards include employer-sponsored credit cards for use by a company's employees. Exclude corporate card loans included in Line item 31 (C&I Graded Loans.
Line item 34 Business Card
Report loans extended under business credit cards. Business cards include small business credit card accounts where the loan is underwritten with the sole proprietor or primary business owner as applicant. Report at the control account level or the individual pay level (not at the sub-account level).
Line item 35 Credit Cards
This item is a shaded cell and is derived from the sum of items 36 and 37.
Line item 36 Charge Cards
Report loans extended under consumer general purpose or private label credit cards that have terms and conditions associated with a charge card. Instead of having a stated interest rate, charge cards have an annual fee and an interchange fee. Also customers must pay off the loan within the billing cycle, which is typically one month. General purpose charge cards are credit cards that can be used at a wide variety of merchants, including any who accept MasterCard, Visa, American Express or Discover credit cards. Include affinity, co-brand cards in this category, and students card if applicable. Private label charge cards are credit cards, also known as proprietary credit cards, tied to the retailer issuing the card and can only be used in that retailer's stores. Include oil & gas cards in this loan type, and student cards if applicable.
Line item 37 Bank Cards
Report loans extended under consumer general purpose or private label credit cards that have terms and conditions associated with a bank card. A bank card will have a stated interest rate and a minimum payment amount due within the billing cycle. General purpose bank cards are credit cards that can be used at a wide variety of merchants, including any who accept MasterCard, Visa, American Express or Discover credit cards. Include affinity, co-brand cards in this category, and student cards if applicable. Private label bank cards are credit cards, also known as proprietary credit cards, tied to the retailer issuing the card and can only be used in that retailer's stores. Include oil & gas cards in this loan type, and student cards if applicable.
Line item 38 Other Consumer
This item is a shaded cell and is derived from the sum of items 39, 40, 41 and 42.
Line item 39 Auto Loans
Report all auto loans, as defined in the FR Y-9C, Schedule HC-C, item 6(c).
Line item 40 Student Loans
Report all student loans.
Line item 41 Other (consumer) loans backed by securities (non-purpose lending)
Report other consumer loans that are backed by securities (i.e., non-purpose lending).
Line item 42 Other (consumer)
Report all other consumer loans not reported in items 39, 40 or 41.
Line item 43 Other Loans
This item is a shaded cell and is derived from the sum of items 44, 45, 46, 47 and 48.
Line item 44 Loans to Foreign Governments
Report all loans to foreign governments, as defined in the FR Y-9C, Schedule HC-C, item 7. Exclude loans to foreign governments included in Line item 32 (Small Business Loans).
Line item 45 Agricultural Loans
Report all agricultural loans, as defined in the FR Y-9C, Schedule HC-C, item 3. Exclude agricultural loans included in Line item 32 (Small Business Loans).
Line item 46 Loans for Purchasing or Carrying Securities (secured or unsecured)
Report all loans for purchasing or carrying securities (secured or unsecured), as defined in the FR Y-9C, Schedule HC-C, item 9.b.(1). Exclude loans for purchasing or carrying securities included in Line item 32 (Small Business Loans).
Line item 47 Loans to Depositories and Other Financial Institutions
Report all loans to depositories and other financial Institutions (secured or unsecured), as defined in the FR Y-9C, Schedule HC-C, items 2.a, 2.b, and 9.a. Exclude loans to depositories and other financial institutions included in Line item 32 (Small Business Loans).
Line item 48 All Other Loans and Leases
This item is a shaded cell and is derived from the sum of items 49 and 50.
Line item 49 All Other Loans (exclude consumer loans)
Report all other loans (excluding consumer loans), as defined in the FR Y-9C, Schedule HC-C, item 9.b.(2). Exclude all other loans included in Line item 32 (Small Business Loans).
Line item 50 All Other Leases
Report all other leases (excluding consumer leases), as defined in the FR Y-9C, Schedule HC-C, item 10.b. Exclude all other leases included in Line item 32 (Small Business Loans).
Line item 51 Total Loans and Leases
Report the sum of items 6, 20, 30, 35, 38 and 43.
Line items 52 through 94 LOANS HELD FOR INVESTMENT AT AMORTIZED COST:
Line item 52 Real estate loans (in domestic offices)
This item is a shaded cell and is derived from the sum of items 53, 56, 59 and 65.
Line item 53 First lien mortgages (including HELOANS)
This item is a shaded cell and is derived from the sum of items 54 and 55.
Line item 54 First lien mortgages
Report loans held for investment accounted for at amortized cost on all closed-end loans secured by first liens on 1 to 4 family residential properties, excluding closed-end first lien home equity loans (reported in item 53).
Line item 55 First lien home equity loans (HELOANS)
Report loans held for investment accounted for at amortized cost on all closed-end first lien home equity loans.
Line item 56 Second/junior lien mortgages
This item is a shaded cell and is derived from the sum of items 57 and 58.
Line item 57 Closed-end junior loans
Report loans held for investment accounted for at amortized cost on all closed-end loans secured by junior (i.e., other than first) liens on 1 to 4 family residential properties.
Line item 58 Home equity lines of credit (HELOCS)
Report loans held for investment accounted for at amortized cost on the amount outstanding under revolving, open-end lines of credit secured by 1 to 4 family residential properties.
Line item 59 Commercial real estate (CRE) loans
This item is a shaded cell and is derived from the sum of items 60, 61, and 62.
Line item 60 Construction
Report loans held for investment accounted for at amortized cost on construction, land development, and other land loans, as defined in the FR Y-9C, Schedule HC-C, items 1(a)(1) and 1(a)(2).
Line item 61 Multifamily
Report loans held for investment accounted for at amortized cost on loans secured by multifamily (5 or more) residential properties, as defined in the FR Y-9C, Schedule HC-C, item 1(d).
Line item 62 Nonfarm, nonresidential
This item is a shaded cell and is derived from the sum of items 61 and 62.
Line item 63 Owner-occupied
Report loans held for investment accounted for at amortized cost on loans secured by owner-occupied nonfarm nonresidential properties, as defined in the FR Y-9C, Schedule HC-C, item 1(e)(1).
Line item 64 Non-owner-occupied
Report loans held for investment accounted for at amortized cost on nonfarm nonresidential real estate loans that are not secured by owner-occupied nonfarm nonresidential properties, as defined in the FR Y-9C, Schedule HC-C, item 1(e)(2).
Line item 65 Loans secured by farmland
Report loans held for investment accounted for at amortized cost on all loans secured by farmland, as defined in the FR Y-9C, Schedule HC-C, item 1(b).
Line item 66 Real estate loans (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 67, 68, 69 and 75.
Line item 67 First lien mortgages (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on all closed-end loans secured by first liens on 1 to 4 family residential properties, not held in domestic offices.
Line item 68 Second/junior lien mortgages (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on all loans secured by second/junior (i.e., other than first) liens on 1 to 4 family residential properties, not held in domestic offices.
Line item 69 Commercial real estate (CRE) loans (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 70, 71, and 72.
Line item 70 Construction (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on construction, land development, and other land loans, as defined in the FR Y-9C, Schedule HC-C, items 1(a)(1) and 1(a)(2), not held in domestic offices.
Line item 71 Multifamily (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on loans secured by multifamily (5 or more) residential properties, as defined in the FR Y-9C, Schedule HC-C, item 1(d), not held in domestic offices.
Line item 72 Nonfarm, nonresidential (Not in domestic offices)
This item is a shaded cell and is derived from the sum of items 73 and 74.
Line item 73 Owner-occupied (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on loans secured by owner-occupied nonfarm nonresidential properties, as defined in the FR Y-9C, Schedule HC-C, item 1(e)(1), not held in domestic offices.
Line item 74 Non-owner-occupied (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on nonfarm nonresidential real estate loans that are not secured by owner-occupied nonfarm nonresidential properties, as defined in the FR Y-9C, Schedule HC-C, item 1(e)(2), not held in domestic offices.
Line item 75 Loans secured by farmland (Not in domestic offices)
Report loans held for investment accounted for at amortized cost on all loans secured by farmland, as defined in the FR Y-9C, Schedule HC-C, item 1(b), not held in domestic offices.
Line item 76 C&I Loans
This item is a shaded cell and is derived from the sum of items 77, 78 and 79.
Line item 77 C&I Graded
Report loans held for investment accounted for at amortized cost on all graded commercial and industrial (C&I) loans. Report only loans “graded” or “rated” using the reporting entity’s commercial credit rating system, as it is defined in the reporting entity’s normal course of business. This includes domestic and international business and corporate credit card or charge card loans for which a commercially graded corporation is ultimately responsible for repayment of credit losses incurred.
Line item 78 Small Business (Scored/Delinquency Managed)
Report loans held for investment accounted for at amortized cost on small business loans. Report all "scored" or "delinquency managed" U.S. small business loans for which a commercial internal risk rating is not used or that uses a different scale than other corporate loans reported on lines 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.1, 9.b.2, 10.b of schedule HC-C of the FR Y-9C excluding corporate and small business credit card loans included on line 4.a of schedule HC-C of the FR Y-9C.
Line item 79 Business and Corporate Card
Report loans held for investment accounted for at amortized cost on loans extended under business and corporate credit cards. Business cards include small business credit card accounts where the loan is underwritten with the sole proprietor or primary business owner as applicant. Report at the control account level or the individual pay level (not at the sub-account level). Corporate cards include employer-sponsored credit cards for use by a company's employees. Exclude corporate card or charge card loans included in Line item 77 (C&I Graded Loans.
Line item 80 Credit Cards
Report loans held for investment accounted for at amortized cost on loans extended under consumer general purpose or private label credit cards. General purpose credit cards are credit cards that can be used at a wide variety of merchants, including any who accept MasterCard, Visa, American Express or Discover credit cards. Include affinity, co-brand cards in this category, and student cards if applicable. Private label credit cards are credit cards, also known as proprietary credit cards, tied to the retailer issuing the card and can only be used in that retailer's stores. Include oil & gas cards in this loan type, and student cards if applicable.
Line item 81 Other Consumer
This item is a shaded cell and is derived from the sum of items 82, 83, 84 and 85.
Line item 82 Auto Loans
Report loans held for investment accounted for at amortized cost on auto loans, as defined in the FR Y-9C, Schedule HC-C, item 6(c).
Line item 83 Student Loans
Report loans held for investment accounted for at amortized cost on student loans.
Line item 84 Other (consumer) loans backed by securities (non-purpose lending)
Report loans held for investment accounted for at amortized cost on other consumer loans that are backed by securities (i.e., non-purpose lending).
Line item 85 Other (consumer)
Report loans held for investment accounted for at amortized cost on all other consumer loans not reported in items 82, 83 or 84.
Line item 86 Other Loans and Leases
This item is a shaded cell and is derived from the sum of items 87, 88, 89, 90 and 91.
Line item 87 Loans to Foreign Governments
Report loans held for investment accounted for at amortized cost on loans to foreign governments, as defined in the FR Y-9C, Schedule HC-C, item 7. Exclude loans to foreign governments included in Line item 78 (Small Business Loans).
Line item 88 Agricultural Loans
Report loans held for investment accounted for at amortized cost on agricultural loans, as defined in the FR Y-9C, Schedule HC-C, item 3. Exclude agricultural loans included in Line item 78 (Small Business Loans).
Line item 89 Loans for Purchasing or Carrying Securities (secured or unsecured)
Report loans held for investment accounted for at amortized cost on loans for purchasing or carrying securities (secured or unsecured), as defined in the FR Y-9C, Schedule HC-C, item 9.b.(1). Exclude loans for purchasing or carrying securities included in Line item 78 (Small Business Loans).
Line item 90 Loans to Depositories and Other Financial Institutions
Report loans held for investment accounted for at amortized cost on loans to depositories and other financial Institutions (secured or unsecured), as defined in the FR Y-9C, Schedule HC-C, items 2.a, 2.b, and 9.a. Exclude loans to depositories and other financial institutions included in Line item 78 (Small Business Loans).
Line item 91 All Other Loans and Leases
This item is a shaded cell and is derived from the sum of items 92 and 93.
Line item 92 All Other Loans (exclude consumer loans)
Report loans held for investment accounted for at amortized cost on all other loans (excluding consumer loans), as defined in the FR Y-9C, Schedule HC-C, item 9.b.(2). Exclude all other loans included in Line item 78 (Small Business Loans).
Line item 93 All Other Leases
Report loans held for investment accounted for at amortized cost on all other leases (excluding consumer leases), as defined in the FR Y-9C, Schedule HC-C, item 10.b. Exclude all other leases included in Line item 78 (Small Business Loans).
Line item 94 Total Loans and Leases
Report the sum of items 52, 66, 76, 80, 81 and 86.
Line items 95 through 111 HELD FOR SALE LOANS AND LOANS ACCOUNTED FOR UNDER THE FAIR VALUE OPTION:
Line item 95 Real estate loans (in domestic offices)
This item is a shaded cell and is derived from the sum of items 96, 97, 98 and 99.
Line item 96 First Lien Mortgages
This item is a shaded cell and is derived as item 7 minus item 53.
Line item 97 Second/Junior Lien Mortgages
This item is a shaded cell and is derived as item 10 minus item 56.
Line item 98 Commercial real estate (CRE) loans
This item is a shaded cell and is derived as item 13 minus item 59.
Line item 99 Loans secured by farmland
This item is a shaded cell and is derived as item 19 minus item 65.
Line item 100 Real estate loans (not in domestic offices)
This item is a shaded cell and is derived from the sum of items 101, 102 and 103.
Line item 101 Residential Mortgages (not in domestic offices)
This item is a shaded cell and is derived as the sum of items 21 and 22 minus items 67 and 68.
Line item 102 Commercial real estate (CRE) loans (not in domestic offices)
This item is a shaded cell and is derived as item 23 minus item 69.
Line item 103 Loans secured by farmland (not in domestic offices)
This item is a shaded cell and is derived as item 29 minus item 75.
Line item 104 C&I Loans
This item is a shaded cell and is derived as item 30 minus item 76.
Line item 105 Credit Cards
This item is a shaded cell and is derived as item 35 minus item 80.
Line item 106 Other Consumer
This item is a shaded cell and is derived as item 38 minus item 81.
Line item 107 All Other Loans and Leases
This item is a shaded cell and is derived as item 41 minus item 84.
Line item 108 Total Loans and Leases Held for Sale and Loans and Leases Accounted for under the Fair Value Option
This item is a shaded cell and is derived from the sum of items 95, 100, 104, 105, 106 and 107.
Line item 109 Unearned Income on Loans
Report all unearned income on loans, as defined in the FR Y-9C, Schedule HC-C, item 11, Column A.
Line item 110 Allowance for Loan and Lease Losses
This item is a shaded cell and is carried over from item 117 of the Income Statement Worksheet.
Line item 111 Loans and Leases (Held for Investent and Held for Sale) Net of Unearned Income and Allowance for Loan and Lease Losses
This item is a shaded cell and is derived as item 51 minus items 109 and 110.
TRADING
Line item 112 Trading Assets
Report trading assets, as defined in the FR Y-9C, Schedule HC, item 5.
Line items 113 through 117 INTANGIBLES:
Line item 113 Goodwill
Report goodwill, as defined in the FR Y-9C, Schedule HC, item 10.a.
Line item 114 Mortgage Servicing Rights
Report all mortgage servicing rights, as defined in the FR Y-9C, Schedule HC-M, item 12.a.
Line item 115 Purchased Credit Card Relationships and Nonmortgage Servicing Rights
Report all purchased credit card relationships and nonmortgage servicing rights, as defined in the FR Y-9C, Schedule HC-M, item 12.b.
Line item 116 All Other Identifiable Intangible Assets
Report all other identifiable intangible assets, as defined in the FR Y-9C, Schedule HC-M, item 12.c.
Line item 117 Total Intangible Assets
This item is a shaded cell and is derived from the sum of items 113, 114, 115 and 116.
Line items 118 through 131 OTHER (Assets):
Line item 118 Cash and cash equivalent
Report cash and cash equivalent, as defined in the FR Y-9C, Schedule HC, items 1.a., 1.b.(1), 1.b.(2).
Line item 119 Federal Funds Sold
Report federal funds sold in domestic offices, as defined in the FR Y-9C, Schedule HC, item 3.a.
Line item 120 Securities Purchased under Agreements to Resell
Report securities purchased under agreements to resell, as defined in the FR Y-9C, Schedule HC, item 3.b.
Line item 121 Premises and Fixed Assets
Report all premises and fixed assets, as defined in the FR Y-9C, Schedule HC, item 6.
Line item 122 Other Real Estate Owned (OREO)
This item is a shaded cell and is derived from the sum of items 12318, 12419 and 1250.
Line item 123 Commercial
Report the net book value of all other real estate owned in the form of, or for which the underlying real estate consists of, commercial real estate.
Line item 124 Residential
Report the net book value of all other real estate owned in the form of, or for which the underlying real estate consists of, residential real estate.
Line item 125 Farmland
Report the net book value of all other real estate owned in the form of, or for which the underlying real estate consists of, farmland.
Line item 126 Collateral Underlying Operating Leases for Which the Bank is the Lessor
This item is a shaded cell and is derived from the sum of items 1272 and 1283.
Line item 127 Autos
Report the carrying amount of automobiles rented to others under operating leases, net of accumulated depreciation. The amount reported should only reflect collateral rented under operating leases and should not include collateral subject to capital/financing type leases.
Line item 128 Other
Report the carrying amount of any equipment or other assets (other than automobiles) rented to others under operating leases, net of accumulated depreciation. The amount reported should only reflect collateral rented under operating leases and should not include collateral subject to capital/financing type leases.
Line item 129 Other assets
Report all other assets, as defined in the FR Y-9C, Schedule HC, sum of items 1.a, 1.b.(1), 1.b.(2), 3.a, 3.b, 8, 9 and 11, minus item 1261 (above).
Line item 130 Total Other (assets)
This item is a shaded cell and is derived from the sum of items 12116 and 1294.
Line item 131 Total Assets
This item is a shaded cell and is derived from the sum of items 3, 11109, 1120, 1175 and 13025.
Line items 132 through 140 LIABILITIES:
Line item 132 Deposits in Domestic Offices
Report all deposits in domestic offices, as defined in the FR Y-9C, Shedule HC, items 13.a.(1) and 13.a.(2).
Line item 133 Deposits in Foreign Offices
Report all deposits in foreign offices, as defined in the FR Y-9C, Schedule HC, items 13.b.(1) and 13.b.(2).
Line item 134 Deposits
This item is a shaded cell and derived from the sum of items 132 and 133.
Line item 135 Federal Funds Purchased and Repurchase Agreements
Report all all federal funds purchased and repurchase agreements, as defined in the FR Y-9C, Schedule HC, items 14.a and 14.b.
Line item 1365 Trading Liabilities
Report all trading liabilities, as defined in the FR Y-9C, Schedule HC, item 15.
Line item 1376 Other Borrowed Money
Report other borrowed money, as defined in the FR Y-9C, Schedule HC, item 16.
Line item 1387 Subordinated Notes and Debentures
Report subordinated notes and debentures, as defined in the FR Y-9C, Schedule HC, item 19.a.
Line item 1398 Subordinated Notes Payable to Uncondolidated Trusts Issuing TruPS and TruPS Issued by Consolidated Special Purpose Entities
Report all subordinated notes payable to unconsolidated trusts issuing trust preferred securities, and trust preferred securities issued by consolidated special purpose entities, as defined in the FR Y-9C, Schedule HC, item 19.b.
Line item 139 Other Liabilities
Report all other liabilities, as defined in the FR Y-9C, Schedule HC, items 14.a, 14.b, 16, 19 and 20.
Line item 140 Other liabilities
Report other liabilities, as defined in the FR Y-9C, Schedule HC, item 20.
Line item 1410 Memo: Allowance for off-balance sheet credit exposures
Report the allowance for off-balance sheet credit exposures, as defined in the FR Y-9C, Schedule HC-G, item 3.
Line item 1421 Total Liabilities
Report the sum of items 134 through 14027, 128, 129 and 130.
Line items 1423 through 1510 EQUITY CAPITAL:
Line item 1432 Perpetual Preferred Stock and Related Surplus
Report all perpetual preferred stock and related surplus, as defined in the FR Y-9C, Schedule HC, item 23.
Line item 1443 Common Stock (Par Value)
Report the par value of common stock, as defined in the FR Y-9C, Schedule HC, item 24.
Line item 1454 Surplus (Exclude All Surplus Related to Preferred Stock)
Report surplus (excluding surplus related to preferred stock), as defined in the FR Y-9C, Schedule HC, item 25.
Line item 1465 Retained Earnings
Report all retained earnings, as defined in the FR Y-9C, Schedule HC, item 26.a.
Line item 1476 Accumulated Other Comprehensive Income (AOCI)
Report accumulated other comprehensive income (AOCI), as defined in the FR Y-9C, Schedule HC, item 26.b.
Line item 1487 Other Equity Capital Components
Report other equity capital components, as defined in the FR Y-9C, Schedule HC, item 26.c.
Line item 1498 Total BHC Equity Capital
Report the sum of items 143 through 14833, 134, 135, 136, 137 and 138.
Line item 15049 Noncontrolling (Minority) Interests in Consolidated Subsidiaries
Report all noncontrolling (minority) interests in consolidated subsidiaries, as defined in the FR Y-9C, Schedule HC, item 27.b.
Line item 1510 Total Equity Capital
Report the sum of items 1439 and 1540.
Line item 1521 Unused Commercial Lending Commitments and Letters of Credit
Report all unused commercial lending commitments and letters of credit, as defined in the FR Y-9C, Schedule HC-L, items 1.c.(1), 1.c.(2), 1.e.(1), 1.e.(2), 1.e.(3), 2, 3, and 4.
A.1.c—Risk-Weighted Assets (RWA)
All BHCs, including advanced approaches BHCs and non-advanced approaches BHCs, must complete the “General RWA” worksheet. Only advanced approaches BHCs that have exited parallel run are required also to complete the “Advanced RWA” worksheet.
All BHCs must complete “General RWA” worksheet including advanced approaches BHCs that have exited parallel run due to the floor requirement per the Collins Amendment under Section 171 of the DFA.
For the purpose of completing the “General RWA” worksheet, all BHCs are required to report credit risk-weighted assets using the methodologies per the current general risk-based capital rules for all projection quarters. in addition, for projection quarters 1Q2015 onward all BHCs are required to report credit risk-weighted assets using the methodologies under the standardized approach of the revised regulatory capital rule (July 2013) within the “Standardized Approach” section of the “General RWA” worksheet.
BHCs that are subject to market risk capital requirements at the as of date are required to complete the market risk-weighted asset section within the worksheet. However, if a BHC projects to meet the trading activity threshold that would require it to be subject to the market risk capital requirements during the forecast period, then the BHC should complete the market risk-weighted asset section within the worksheet. Please refer to the final market risk capital rule released by the U.S. banking agencies (77 Federal Register 53060, August 30, 2012) for details of the requirements of the rule.
Line item 1 General Credit RWA (General risk-based capital rules)
This item is a shaded cell and is derived from item 7.
Line item 2 Credit RWA per Standardized Approach (Revised regulatory capital rule, July 2013)
This item is a shaded cell and is derived from item 18.
Line item 3 Market RWA
This item is a shaded cell and is derived from item 42.
Line item 4 Other RWA and Adjustments
This item is a shaded cell and is derived from item 58 less items 59 or 60 and 61.
Line item 5 Total RWA (General risk-based capital rules)
This item is a shaded cell and is derived from item 62.
Line item 6 Total RWA (Standardized Approach per revised regulatory capital rule, July 2013)
This item is a shaded cell and is derived from item 63.
General Credit Risk (Including counterparty credit risk and non-trading credit risk)
Report credit risk-weighted assets using the methodologies per the current general risk-based capital rules.
Line item 7 General RWA
This item is a shaded cell and is derived from the sum of items 8 through 17.
Line items 8 through 17 Various
Definition of the BHC’s projections should correlate to the definitions outlined by the corresponding MDRM code (shown in column C) of the FR Y-9C report multiplied by the applicable credit conversion factor and/or risk-weight.
Standardized Approach (Revised regulatory capital rule, July 2013)
Credit RWA using methodologies in the standardized approach for the applicable quarter.
Line item 18 RWA per Standardized Approach
This item is a shaded cell and is derived from the sum of items 19 through 41.
Line items 19 to 41 Various
Credit RWA using methodologies under the standardized approach of the revised regulatory capital rule for the applicable quarter. For more guidance on the Standardized Approach refer to the Revised Regulatory Capital Rule for additional information (http://www.federalreserve.gov/bcreg20130702a.pdf).
For line item 34, “Other revised regulatory capital rule risk-weight items,” include RWA of the threshold deduction items (mortgage servicing assets, certain deferred tax assets, and investments in the common equity of financial institutions) that are not deducted and subject to risk weight of 250 percent. In addition, certain high-risk exposures such as credit-enhancing interest only (CEIO) strips that receive 1,250 percent risk weight should be included in this line.
Market Risk
If a BHC does not have a particular portfolio or no trading book at all, risk-weighted assets should be reported as 0.
Line item 42 Market RWA
This item is a shaded cell and is derived from the sum of items 43, 44, 45, 46, 47, 50 and 57.
Line item 43 Value-at-risk (VaR)-based capital requirement
Report the greater of previous day’s VaR-based measure or average of daily VaR-based measure for each of the preceding 60 business days with applicable multiplication factor. VaR-based measure should be inclusive of all sources of risks that are included in the VaR calculation.
Line item 44 Stressed VaR-based capital requirement
Report the greater of most recent stressed VaR-based measure or average of stressed VaR-based measures for the preceding 12 weeks with applicable multiplication factor. Stressed VaR-based measure should be inclusive of all sources of risks that are included in the stressed VaR calculation.
Line item 45 Incremental risk capital requirement
Report the greater of most recent increment risk measure or average of incremental risk measures for the preceding 12 weeks.
Line item 46 Comprehensive risk capital requirement (excluding non-modeled correlation)
Report the greater of most recent comprehensive risk measure or average of comprehensive risk measures for the preceding 12 weeks. RWA equivalent for exposures in the correlation trading portfolio which are subject to the comprehensive risk measurement, inclusive of the application of the 8% surcharge based on the standardized measurement method.
Line item 47 Non-modeled Securitization
This item is a shaded cell and is derived from the maximum of items 48 and 49. The capital charge (or RWA equivalent) for non-modeled traded securitization, including securitization positions that are not correlation trading positions and non-modeled correlation trading positions, is the larger of the net long and net short positions. For purposes of CCAR submission, traded securitization exposures subject to a 1250% risk weight or the equivalent of a deduction should be captured here by including values in lines 48 and 49.
Line item 48 Net Long
Report the RWA equivalent according to the standardized measurement method for net long non-modeled securitization exposures including nth-to-default credit derivatives. For purposes of CCAR submission, traded securitization exposures subject to a 1250% risk weight or the equivalent of a deduction should be included here.
Line item 49 Net Short
Report the RWA equivalent according to the standardized measurement method for net short non-modeled securitization exposures including nth-to-default credit derivatives. For purposes of CCAR submission, traded securitization exposures subject to a 1250% risk weight or the equivalent of a deduction should be included here.
Line item 50 Specific risk add-on (excluding securitization and correlation)
This item is a shaded cell and is derived from sum of items 51 through 56. RWA equivalent for specific risk based on the standardized measurement method as applicable. This should not include RWA according to the standardized measurement method for exposures included in the correlation trading portfolio or the standardized approach for other non-correlation related traded securitization exposures.
Line item 51 Sovereign debt positions
Report specific risk add-ons for sovereign debt positions for which the BHC’s VaR-based measure does not capture all material aspects of specific risk.
Line item 52 Government sponsored entity (GSE) debt positions
Report specific risk add-ons for GSE debt positions for which the BHC’s VaR-based measure does not capture all material aspects of specific risk.
Line item 53 Depository institution, foreign bank, and credit union debt positions
Report specific risk add-ons for depository institutions, foreign banking organization, and credit union debt positions, for which the BHC’s VaR-based measure does not capture all material aspects of specific risk.
Line item 54 Public sector entity (PSE) debt positions
Report total specific risk add-on for PSE debt positions, for which the BHC’s VaR-based measure does not capture all material aspects of specific risk.
Line item 55 Corporate debt positions
Report Specific risk add-on for corporate debt positions, for which the BHC’s VaR-based measure does not capture all material aspects of specific risk.
Line item 56 Equity
Report specific risk add-on for equity positions, for which the BHC’s VaR-based measure does not capture all material aspects of specific risk.
Line item 57 Capital requirement for de minimis exposures
Report the RWA equivalent for de minimis positions that are not captured in the VaR-based measure.
Line item 58 Other RWA
If the BHC is unable to assign RWA to one of the above categories, even on a best-efforts basis, they should be reported in this line.
Line item 59 Excess allowance for loan and lease losses (General risk-based capital rules)
Definition of the BHC’s projections should correlate to the definitions outlined by the corresponding MDRM code (shown in column C) of the FR Y-9C report where applicable.
Line item 60 Excess allowance for loan and lease losses (Revised regulatory capital rule, July 2013)
Report excess allowance for loan and lease losses per the Revised Regulatory Capital Rule.
Line item 61 Allocated transfer risk reserve
Definition of the BHC’s projections should correlate to the definitions outlined by the corresponding MDRM code (shown in column C) of the FR Y-9C report where applicable.
Line item 62 Total RWA (General risk-based capital rules)
This item is a shaded cell and is derived from the sum of items 7, 42, and 58 less items 59 and 61.
Line item 63 Total RWA (Standardized Approach per revised regulatory capital rule, July 2013)
This item is a shaded cell and is derived from the sum of items 18, 42, and 58 less items 60 and 61.
Memoranda for Derivative Contracts
Provide balances (and not in terms of RWA) consistent with FR Y-9C instructions for each MDRM code.
Line items 64 through 72 Various
Definition of the BHC’s projections should correlate to the definitions outlined by the corresponding MDRM code (shown in column C) of the FR Y-9C report.
Only advanced approaches BHCs that have exited parallel run are required to complete the “Advanced RWA" worksheet.
BHCs subject to subpart E of the revised regulatory capital rule that have exited the parallel run process and that have received notification from its primary Federal supervisor under section 121(d) of the advanced approaches rule are required to complete the “Advanced RWA” worksheet.
For the purpose of completing the “Advanced RWA” worksheet, BHCs that have exited parallel run are required to report credit and operational risk-weighted assets using the methodologies in the current advanced approaches capital rules (72 Federal Register 69288, December 7, 2007) for the reporting quarters through 4Q2013. For subsequent quarters, BHCs that have exited parallel run are required to report credit and operational risk-weighted assets using the methodologies under the advanced approaches of the revised regulatory capital rule (July 2013).
MDRM codes have been included in the worksheet (column C) and correspond to the definitions for the FFIEC 101 line items where applicable.
BHCs that are subject to market risk capital requirements at the as of date are required to complete the market risk-weighted asset section within the worksheet. However, if a BHC projects to meet the trading activity threshold that would require it to be subject to the market risk capital requirements during the forecast period, then the BHC should complete the market risk-weighted asset section within the worksheet. Please refer to the final market risk capital rule released by the U.S. banking agencies (77 Federal Register 53060, August 30, 2012) for details of the requirements of the rule.
Advanced Approaches Credit Risk (Including CCR and non-trading credit risk), with 1.06 scaling factor and Operational Risk
Line item 1 Advanced Approaches Credit RWA
This item is a shaded cell and is derived from item 6.
Line item 2 Advanced Approaches Operational RWA
This item is a shaded cell and is derived from item 61.
Line item 3 Market RWA
This item is a shaded cell and is derived from item 63.
Line item 4 Other RWA and Adjustments
This item is a shaded cell and is derived from item 79 less item 80.
Line item 5 Total RWA
This item is a shaded cell and is derived from item 81.
Line items 6 through 62: Advanced Approaches Credit Risk (Including CCR and non-trading credit risk), with 1.06 scaling factor and Operational Risk
Line item 6 Advanced Approaches Credit RWA
This item is a shaded cell and is derived from sum of items 7, 18, 25, 37 or 38, 52, 54, 55, and 60..
Line items 7 through 62 Various
Definition of the BHC’s projections should correlate to the definitions outlined by the corresponding MDRM code (shown in column C) of the FFIEC 101 report per the current advanced approaches capital rules (72 Federal Register 69288, December 7, 2007) for reporting periods through 4Q2013 and per under the advanced approaches of the revised regulatory capital rule (July 2013) for reporting periods 1Q2014 and onward.
Market Risk
If a BHC does not have a particular portfolio or no trading book at all, risk-weighted assets should be reported as 0.
For items 63 through 78, refer to instructions for items 42 through 57, respectively, for market risk under the “General RWA” worksheet.
Line item 79 Other RWA
If the BHC is unable to assign RWA to one of the above categories, even on a best-efforts basis, they should be reported in this line.
Line item 80 Excess eligible credit reserves not included in tier 2 capital
Include excess eligible credit reserves not included in tier 2 capital, consistent with the current advanced approaches capital rules (72 Federal Register 69288, December 7, 2007) for reporting periods through 4Q2013 and the advanced approaches of the revised regulatory capital rule (July 2013) for reporting periods 1Q2014 and onward.
Line item 81 Total RWA
This item is a shaded cell and is derived from sum of items 6, 61, 63, and 79 less item 80.
The Capital worksheets collect projections of the main drivers of equity capital and the key components of the regulatory capital schedule. MDRM 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, HC- F, HC-G), and deferred tax asset items. The projections for 4Q13 should follow the definitions currently used in the FR Y-9C and FFIEC 101 reports and found in the Federal Reserve’s risk based capital guidelines. Thereafter (i.e., beginning in 1Q2014), advanced approaches BHCs must follow the revised regulatory capital rule with regards to capital projections, while non-advanced approaches BHCs will continue to use the existing general risk-based capital rules until 4Q2014. Furthermore, in the event that a BHC has exited parallel run, the BHC must report capital through 4Q2013 consistent with the advanced approaches rule (72 Federal Register 69288), after which the BHC is required to provide projections based on the revised regulatory capital rule. All data collected in the Capital worksheet should be reported on a quarterly basis and not on a year-to-date, cumulative basis. Note that item 156, Total number of bank holding company common shares outstanding, and item 171, Common shares outstanding, should be reported in millions of shares.
BHCs are required to provide projections of tier 1 common capital, tier 1 capital, and total capital based on the general risk-based capital rule for all quarters. Tier 1 common capital is defined as tier 1 capital less non-common elements4, including perpetual preferred stock and related surplus, minority interest in subsidiaries, trust preferred securities, and mandatory convertible preferred securities. In addition, advanced-approaches BHCs are to provide capital projections following the guidance and definitions for common equity tier 1, tier 1 capital, and tier 2 capital in accordance with the revised regulatory capital rule, beginning in 1Q2014. Likewise, non-advanced approaches BHCs are required to provide capital projections following the revised regulatory capital rule guidance starting 1Q2015.
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.
For the purposes of reporting items 1, 2 and 4 through 16, BHCs should report data on a quarter-to-date basis.
For purposes of reporting item 24, “Qualifying restricted core capital elements”, BHCs should treat the phase-out of trust preferred securities (TruPS) in a manner consistent with the final rule. That is, advanced-approaches BHCs should begin to adopt a 50 percent phase-out approach of their non-qualifying tier 1 capital instruments (including TruPS) beginning in 1Q14, 25 percent beginning in 1Q15, and 0 percent as of 1Q16 and thereafter. Non-advanced approaches BHCs must start to adopt the 25 percent phase-out approach starting in 1Q15.
SCHEDULE HI-A—CHANGES IN BANK HOLDING COMPANY EQUITY CAPITAL
Line items 1 through 17: ITEMS RELATED TO SCHEDULE HI-A—CHANGES IN BANK HOLDING COMPANY EQUITY CAPITAL
Line item 1 Total bank holding company equity capital most recently reported for the end of previous QUARTER
Report total bank holding company equity capital most recently reported for the end of previous quarter, as defined in the FR Y-9C, Schedule HI-A, item 1 (except FR Y-9C, Schedule HI-A, item 1, is reported for the end of the previous calendar year).
Line item 2 Effect of changes in accounting principles and corrections of material accounting errors
Report the effect of changes in accounting principles and corrections of material accounting errors, as defined in the FR Y-9C, Schedule HI-A, item 2.
Line item 3 Balance end of previous QUARTER as restated
Report the sum of items 1 and 2.
Line item 4 Net Income (loss) attributable to bank holding company
Report net income (loss) attributable to bank holding company, as defined in the FR Y-9C, Schedule HI-A, item 4.
Line item 5 Sale of perpetual preferred stock, gross
Report the sale of perpetual preferred stock, gross, as defined in the FR Y-9C, Schedule HI-A, item 5.a.
Line item 6 Conversion or retirement of perpetual preferred stock
Report the conversion or retirement of perpetual preferred stock, as defined in the FR Y-9C, Schedule HI-A, item 5.b.
Line item 7 Sale of common stock, gross
Report the sale of common stock, gross, as defined in the FR Y-9C, Schedule HI-A, item 6.a.
Line item 8 Conversion or retirement of common stock
Report the conversion or retirement of common stock, as defined in the FR Y-9C, Schedule HI-A, item 6.b.
Line item 9 Sale of treasury stock
Report the sale of treasury stock, as defined in the FR Y-9C, Schedule HI-A, item 7.
Line item 10 Purchase of treasury stock
Report the purchase of treasury stock, as defined in the FR Y-9C, Schedule HI-A, item 8.
Line item 11 Changes incident to business combinations, net
Report the changes incident to business combinations, net, as defined in the FR Y-9C, Schedule HI-A, item 9.
Line item 12 Cash dividends declared on preferred stock
Report cash dividends declared on preferred stock, as defined in the FR Y-9C, Schedule HI-A, item 10.
Line item 13 Cash dividends declared on common stock
Report cash dividends declared on common stock, as defined in the FR Y-9C, Schedule HI-A, item 11.
Line item 14 Other comprehensive income
Report other comprehensive income, as defined in the FR Y-9C, Schedule HI-A, item 12.
Line item 15 Change in the offsetting debit to the liability for Employee Stock Ownership Plan (ESOP) debt guaranteed by the bank holding company
Report the change in the offsetting debit to the liability for Employee Stock Ownership Plan (ESOP) debt guaranteed by the bank holding company, as defined in the FR Y-9C, Schedule HI-A, item 13.
Line item 16 Other adjustments to equity capital (not included above)
Report other adjustments to equity capital, as defined in the FR Y-9C, Schedule HI-A, item 12. Report amounts separately and provide a text explanation of each type of adjustment to equity capital included in this item in item M.1 at the end of this worksheet.
Line item 17 Total bank holding company equity capital end of current period
Report the sum of items 3, 4, 5, 6, 7, 8, 9, 11, 14, 15 and 16, less items 10, 12 and 13.
SCHEDULE HC-R or FFIEC 101 Schedule A (applicable for advanced approaches BHCs that exit parallel run only) per general risk-based capital rules and 72 Federal Register 69288, December 7, 2007
Line items 18 through 32: ITEMS RELATED TO SCHEDULE HC-R or FFIEC 101 Schedule A (applicable for advanced approaches BHCs that exit parallel run only) per general risk-based capital rules and 72 Federal Register 69288, December 7, 2007
Tier 1 Capital
Line item 18 Total bank holding company equity capital Report the amount from item 17, above.
Line item 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)
Report net unrealized gains (losses) on available-for-sale securities, as defined in the FR Y-9C, Schedule HC-R, item 2, as well as the FFIEC 101 (Schedule A), item 2. If a gain, report as a positive value; if a loss, report as a negative value.
Line item 20 Net unrealized loss on available-for-sale equity securities (report loss as a positive value)
Report net unrealized loss on available-for-sale equity securities, as defined in the FR Y-9C, Schedule HC-R, item 3, as well as the FFIEC 101 (Schedule A), item 3. Report the loss as a positive value.
Line item 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)
Report accumulated net gains (losses) on cash flow hedges, as defined in the FR Y-9C, Schedule HC-R, item 4, as well as the FFIEC 101 (Schedule A), item 4. Include amounts recorded in accumulated other comprehensive income (AOCI) resulting from the initial and subsequent application of FASB ASC 715-20 (former FASB statement No. 158) to defined benefit postretirement plans. If a gain, report as a positive value; if a loss, report as a negative value.
Line item 22 Nonqualifying perpetual preferred stock
Report nonqualifying perpetual preferred stock, as defined in the FR Y-9C, Schedule HC-R, item 5, as well as the FFIEC 101 (Schedule A), item 5.
Line item 23 Qualifying Class A noncontrolling (minority) interests in consolidated subsidiaries
Report qualifying Class A noncontrolling (minority) interests in consolidated subsidiaries, as defined in the FR Y-9C, Schedule HC-R, item 6.a, as well as the FFIEC 101 (Schedule A), item 6a.
Line item 24 Qualifying restricted core capital elements (other than cumulative perpetual preferred stock)
Report qualifying restricted core capital elements (other than cumulative perpetual preferred stock), as defined in the FR Y-9C, Schedule HC-R, item 6.b, as well as the FFIEC 101 (Schedule A), item 6b.
Line item 25 Qualifying mandatory convertible preferred securities of internationally active bank holding companies
Report qualifying mandatory convertible preferred securities of internationally active bank holding companies, as defined in the FR Y-9C, Schedule HC-R, item 6.c, as well as the FFIEC 101 (Schedule A), item 6c.
Line item 26 Disallowed goodwill and other disallowed intangible assets
Report disallowed goodwill and other disallowed intangible assets, as defined in the FR Y-9C, Schedule HC-R, item 7.a, as well as the FFIEC 101 (Schedule A), item 7a.
Line item 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)
Report the 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, as defined in the FR Y-9C, Schedule HC-R, item 7.b, as well as the FFIEC 101 (Schedule A), item 7b. If a net gain, report as a positive value; if a net loss, report as a negative value.
Line item 28 Subtotal
Report the sum of items 18, 23, 24 and 25, less items 19, 20, 21, 22, 26 and 27.
Line item 29 Disallowed servicing assets and purchased credit card relationships
Report disallowed servicing assets and purchased credit card relationships, as defined in the FR Y-9C, Schedule HC-R, item 9.a, as well as the FFIEC 101 (Schedule A), item 9a.
Line item 30 Disallowed deferred tax assets
Report disallowed deferred tax assets, as defined in the FR Y-9C, Schedule HC-R, item 9.b, as well as the FFIEC 101 (Schedule A), item 9b.
Line item 31 Shortfall of eligible credit reserves below total expected credit losses (50% of shortfall plus any Tier 2 carryover) (advanced approaches institutions that exit parallel run only)
Report 50 percent of the amount by which total expected credit losses exceed eligible credit reserves in this item (plus any tier 2 carryover associated with this amount), as defined in the FFIEC 101 (Schedule A), item 9c.
Line item 32 Gain-on-sale associated with securitization exposures (advanced approaches institutions that exit parallel run only)
Report gain-on-sale associated with securitization exposures, as defined in the FFIEC 101 (Schedule A), item 9d.
Line item 33 Certain failed capital markets transactions (50% of deductions plus any Tier 2 carryover) (advanced approaches institutions that exit parallel run only)
Report in this item 50% of the current market value of the deliverables owed to the banking organization for non-delivery versus-payment (non-DvP) and non-payment-versus-payment (non PvP) transactions (with a normal settlement period) where the banking organization has not received the deliverables by the fifth business day after counterparty delivery was due, as defined in the FFIEC 101 (Schedule A), item 9e.
Line item 34 Other securitization deductions (50% of deductions plus any Tier 2 carryover) (advanced approaches institutions that exit parallel run only)
Report in this item 50% of all non-gain-on-sale securitization exposures required to be deducted from capital under the final rule, as defined in the FFIEC 101 (Schedule A), item 9f.
Line item 35 Insurance underwriting subsidiaries’ minimum regulatory capital (advanced approaches institutions that exit parallel run only)
For BHCs with consolidated insurance underwriting subsidiaries that are functionally regulated by a state insurance regulator (or subject to comparable supervision and regulatory capital requirements in a non U.S. jurisdiction), as defined in the FFIEC 101 (Schedule A), item 10a.
Line item 36 Other additions to (deductions from) tier 1 capital
Report other additions to (deductions from) tier 1 capital, as defined in the FR Y-9C, Schedule HC-R, item 10, or the FFIEC 101 (Schedule A), item 10b. Report amounts separately and provide a text explanation of each type of addition to (deduction from) tier 1 capital included in this item in item M.2 at the end of this worksheet.
Line item 37 Tier 1 capital
Report the sum of items 28 and 36, less items 29 through 35.
Tier 2 Capital
Line item 38 Qualifying subordinated debt, redeemable preferred stock, and restricted core capital elements (except Class B noncontrolling (minority) interest) not includable in items 24 or 25
Report the restricted core capital elements, as defined in the FR Y-9C, Schedule HC-R, item 12, or the FFIEC 101 (Schedule A), item 12.
Line item 39 Cumulative perpetual preferred stock included in item 22 and Class B noncontrolling (minority) interest not included in item 24, but includable in tier 2 capital
Report the appropriate tier 2 capital items as defined in the FR Y-9C, Schedule HC-R, item 13, or FFIEC 101 (Schedule A), item 13.
Line item 40 Allowance for loan and lease losses includable in tier 2 capital
Report the allowance for loan and lease losses includible in tier 2 capital as defined in the FR Y-9C, Schedule HC-R, item 14.
Line item 41 Excess of eligible credit reserves over total expected credit loss (up to 0.60% of credit risk-weighted assets) (advanced approaches institutions that exit parallel run only)
If eligible credit reserves exceed total ECL, then report in this item
the amount by which eligible credit reserves exceed ECL, up to a maximum amount of
0.60 percent of credit-risk-weighted assets, as defined in the FFIEC 101 (Schedule A), item 14.
Line item 42 Unrealized gains on available-for-sale equity securities includable in tier 2 capital
Report the Unrealized gains on available-for-sale equity securities includable in tier 2 capital as defined in the FR Y-9C, Schedule HC-R, item 15, and the FFIEC 101 (Schedule A), item 15.
Line item 43 Insurance underwriting subsidiaries’ minimum regulatory capital (advanced approaches institutions that exit parallel run only)
Report in this item 50% of the insurance underwriting subsidiary’s minimum regulatory capital requirement as described in item 10a above. If the amount deductible from tier 2 capital exceeds the BHC’s actual tier 2 capital, the BHC must report the excess in item 10a above, as defined in the FFIEC (Schedule A), item 16a.
Line item 44 Other additions to (deductions from) tier 2 (advanced approaches institutions that exit parallel run only)
Report other tier 2 capital components as defined in the FFIEC 101 (Schedule A), item 16b.
Line item 45 Shortfall of eligible credit reserves below total expected credit losses (up to lower of 50% of the shortfall or amount of Tier 2 capital) (advanced approaches institutions that exit parallel run only)
Report in the item 50 percent of any shortfall of eligible credit reserves below total expected credit losses, as defined in the FFIEC 101 (Schedule A), item 17a.
Line item 46 Certain failed capital markets transactions (up to lower of 50% of deductions from such failed transactions or amount of Tier 2 capital) (advanced approaches institutions that exit parallel run only)
Report in this item 50% of certain failed capital markets transactions, as defined in the FFIEC 101 (Schedule A), item 17b.
Line item 47 Other securitization deductions (up to lower of 50% of deductions or amount of Tier 2 capital) (advanced approaches institutions that exit parallel run only)
Report in this item 50% of all non-gain-on-sale securitization exposures required to be deducted from capital under the final rule, as defined in the FFIEC 101 (Schedule A), item 17c.
Line item 48 Other Tier 2 capital components
Report the amount of any items that qualify for inclusion in Tier 2 capital, as defined in the FR Y-9C, Schedule HC-R, item 16.
Line item 49 Tier 2 capital
This is a shaded cell that is the sum of items 33 through 37.
Line item 50 Allowable tier 2 capital
This is a shaded cell that equals the lesser of item 32 or 38.
Line item 51 Deductions for total risk-based capital
Report deductions for total risk based capital, as defined in the FR Y-9C, Schedule HC-R, item 20 and the FFIEC 101 (Schedule A), item 21.
Line item 52 Total risk-based capital
This is a shaded cell that is the sum of items 32, 39 and 40, less item 41.
Regulatory Capital per Revised Regulatory Capital Rule (July 2013)
Line items 53 through 121 that specify “reflective of transition provisions” means that the transition provisions per the revised regulatory capital rule applies and should be reflected accordingly in the line item.
Line item 53 AOCI opt-out election
Non-advanced approaches BHCs have a one-time election to opt-out of the requirement to include most components of AOCI in common equity tier 1 capital (with the exception of accumulated net gains and losses on cash flow hedges related to items that are not recognized at fair value on the balance sheet). A holding company that makes this AOCI opt-out election must make the same election on the March 31, 2014 FR Y-9C filing. Enter “1” to opt out or “0” to opt in.
Common Equity Tier 1
Line item 54 Common stock and related surplus, net of treasury stock and unearned employee stock ownership plan (ESOP) shares
(1) Common stock: report the amount of common stock reported in FR Y-9C Schedule HC, item 24, provided it meets the criteria for common equity tier 1 capital based on the revised regulatory capital rules of the Federal Reserve. Include capital instruments issued by mutual banking organizations that meet the criteria for common equity tier 1 capital.
(2) PLUS: related surplus: adjust the amount reported in FR Y-9C Schedule HC, item 25 as follows: include the net amount formally transferred to the surplus account, including capital contributions, and any amount received for common stock in excess of its par or stated value on or before the report date; exclude adjustments arising from treasury stock transactions.
(3) LESS: treasury stock, unearned ESOP shares, and any other contra-equity components.
Line item 55 Retained earnings
Report the amount of the holding company’s retained earnings as reported in FR Y-9C Schedule HC, item 26(a).
Line item 56 Accumulated other comprehensive income (AOCI)
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 58 below.
Report the amount of AOCI as reported under generally accepted accounting principles (GAAP) in the U.S. that is included in FR Y-9C Schedule HC, item 26(b).
Line item 57 Common equity tier 1 minority interest includable in common equity tier 1 capital.
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 58 below.
Report the aggregate amount of common equity tier 1 minority interest consistent with section 21 of the revised regulatory capital rules. Common equity tier 1 minority interest means the common equity tier 1 capital of a depository institution or foreign bank that is a consolidated subsidiary of the holding company and that is not owned by the holding company. In addition, the capital instruments issued by the subsidiary must meet all of the criteria for common equity tier 1 capital (qualifying common equity tier 1 capital).
The minority interest limitations apply only to the consolidated subsidiaries that have common equity tier 1 capital in excess of capital necessary to meet the minimum capital requirements plus the capital conservation buffer. For example, a subsidiary with a common equity tier 1 capital ratio of 8 percent that needs to maintain a common equity tier 1 capital ratio of more than 7 percent to avoid limitations on capital distributions and discretionary bonus payments is considered to have “surplus” common equity tier 1 capital. Thus, at the consolidated level, the holding company may not include the portion of such surplus common equity tier 1 capital and is required to phase out this surplus minority interest. The surplus minority interest will be phased out in item 58 therefore; do not apply any transition provision multiplier for item 57.
Line item 58 Common equity tier 1 capital before adjustments and deductions
This line item captures the sum of line items 54 through 57 multiplied by the applicable transition provision for the corresponding calendar year (see table below). The Transition Provision section of the revised capital rule issued on July 2, 2013 outlines these adjustments and deductions. These adjustments are not reflected in the individual line items above but must be reflected in item 58. Apply the transition provisions in accordance with the following schedule:
Calendar year |
Transition Provision: percentage of the amount of surplus or non-qualifying minority interest that can be included in regulatory capital during the transition period |
2014 |
80 |
2015 |
60 |
2016 |
40 |
2017 |
20 |
2018 and thereafter |
0 |
Common equity tier 1 capital: adjustments and deductions
Line item 59 Goodwill net of associated deferred tax liabilities (DTLs)
Report the amount of goodwill included in FR Y-9C Schedule HC, item 10(a).
However, if the holding company has a DTL that is specifically related to goodwill acquired in a taxable purchase business combination that it chooses to net against the goodwill, the amount of disallowed goodwill to be reported in this item should be reduced by the amount of the associated DTL.
If a holding company has significant investments in the capital of unconsolidated financial institutions in the form of common stock, the holding company should report in this item goodwill embedded in the valuation of a significant investment in the capital of an unconsolidated financial institution in the form of common stock (embedded goodwill). Such deduction of embedded goodwill would apply to investments accounted for under the equity method. Under GAAP, if there is a difference between the initial cost basis of the investment and the amount of underlying equity in the net assets of the investee, the resulting difference should be accounted for as if the investee were a consolidated subsidiary (which may include imputed goodwill).
There are no transition provisions for this item.
Line item 60 Intangible assets (other than goodwill and mortgage servicing assets (MSAs)), net of associated DTLs
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 71, below.
Report all intangible assets (other than goodwill and MSAs) net of associated DTLs, included in FR Y-9C Schedule HC-M, items 12.b and 12.c, that do not qualify for inclusion in common equity tier 1 capital under the regulatory capital rules. Generally, all purchased credit card relationships (PCCRs) and non-mortgage servicing rights, reported in FR Y-9C Schedule HC-M, item 12.b, and all other identifiable intangibles, reported in FR Y-9C Schedule HC-M, item 12.c, do not qualify for inclusion in common equity tier 1 capital and should be included in this item.
Further, if the holding company has a DTL that is specifically related to an intangible asset (other than servicing assets and PCCRs) acquired in a nontaxable purchase business combination that it chooses to net against the intangible asset for regulatory capital purposes, the amount of disallowed intangibles to be reported in this item should be reduced by the amount of the associated DTL. However, a DTL that the holding company chooses to net against the related intangible reported in this item may not also be netted against DTAs when the holding company determines the amount of DTAs that are dependent upon future taxable income and calculates the maximum allowable amount of such DTAs for regulatory capital purposes.
If the amount reported for other identifiable intangible assets in FR Y-9C Schedule HC-M, item 12.c, includes intangible assets that were recorded on the reporting holding company's balance sheet on or before February 19, 1992, the remaining book value as of the report date of these intangible assets may be excluded from this item.
Line item 61 Deferred Tax Assets (DTAs) that arise from net operating loss and tax credit carryforwards, net of any related valuation allowances and net of DTLs
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 71, below.
Report the amount of DTAs that arise from net operating loss and tax credit carryforwards, net of any related valuation allowances and net of DTLs.
AOCI-related adjustments
If Item 53 is “1” for “Yes”, complete items 62 through 66 only for AOCI related adjustments.
Line item 62 Net unrealized gains (losses) on available-for-sale securities
Report the amount of net unrealized holding gains (losses) on available-for-sale securities, net of applicable taxes, that is included in FR Y-9C Schedule HC, item 26.b, “Accumulated other comprehensive income.” If the amount is a net gain, report it as a positive value in this item. If the amount is a net loss, report it as a negative value in this item.
Line item 63 Net unrealized loss on available-for-sale preferred stock classified as an equity security under GAAP and available-for-sale equity exposures
Report as a positive value net unrealized loss on available-for-sale preferred stock classified as an equity security under GAAP and available-for-sale equity exposures that is included in FR Y-9C Schedule HC, item 26.b, “Accumulated other comprehensive income.”
Line item 64 Accumulated net gains (losses) on cash flow hedges
Report the amount of accumulated net gains (losses) on cash flow hedges that is included in FR Y-9C Schedule HC, item 26.b, “Accumulated other comprehensive income.” If the amount is a net gain, report it as a positive value in this item. If the amount is a net loss, report it as a negative value in this item.
Line item 65 Amounts recorded in AOCI attributed to defined benefit postretirement plans resulting from the initial and subsequent application of the relevant GAAP standards that pertain to such plans
Report the amounts recorded in AOCI and included in FR Y-9C Schedule HC, item 26.b, “Accumulated other comprehensive income,” resulting from the initial and subsequent application of ASC Subtopic 715-20 (formerly FASB Statement No. 158, “Employers’ Accounting for Defined Benefit Pension and Other Postretirement Plans”) to defined benefit postretirement plans resulting from the initial and subsequent application of the relevant GAAP standards that pertain to such plans. A holding company may exclude this portion related to pension assets deducted in item 36 above. If the amount is a net gain, report it as a positive value in this item. If the amount is a net loss, report it as a negative value in this item.
Line item 66 Net unrealized gains (losses) on held-to-maturity securities that are included in AOCI
Report the amount of net unrealized gains (losses) that are not credit-related on held-to-maturity securities and are included in AOCI as reported in FR Y-9C Schedule HC, item 26.b, “Accumulated other comprehensive income.” If the amount is a net gain, report it as a positive value. If the amount is a net loss, report it as a negative value.
Include (i) the unamortized balance of the unrealized holding gain (loss) that existed at the date of transfer of a debt security transferred into the held-to-maturity category from the available-for-sale category and (ii) the unaccreted portion of other-than-temporary impairment losses on available-for-sale and held-to-maturity debt securities that was not recognized in earnings in accordance with ASC Topic 320, Investments-Debt and Equity Securities (formerly FASB Statement No. 115, “Accounting for Certain Investments in Debt and Equity Securities”).
If Item 53 is “0” for “No”, complete item 67 only for AOCI related adjustments.
Line item 67 Accumulated net gain (loss) on cash flow hedges included in AOCI, net of applicable tax effects, that relate to the hedging of items that are not recognized at fair value on the balance sheet
Report the amount of accumulated net gain (loss) on cash flow hedges included in AOCI, net of applicable tax effects that relate to the hedging of items not recognized at fair value on the balance sheet. If the amount is a net gain, report it as a positive value. If the amount is a net loss, report it as a negative value.
Other deductions from (additions to) common equity tier 1 capital before threshold-based deductions
Line item 68 Unrealized net gain (loss) related to changes in the fair value of liabilities that are due to changes in own credit risk
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 71, below.
Report the amount of unrealized net gain (loss) related to changes in the fair value of liabilities that are due to changes in the holding company’s own credit risk. If the amount is a net gain, report it as a positive value in this item. If the amount is a net loss, report it as a negative value in this item.
Advanced approaches holding companies only: include the credit spread premium over the risk free rate for derivatives that are liabilities.
Line item 69 All other deductions from (additions to) common equity tier 1 capital before threshold-based deductions
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 71, below.
Report the amount of other deductions from (additions to) common equity tier 1 capital that are not included in items above, as described below.
(1) After-tax gain-on-sale in connection with a securitization exposure.
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 71, below.
Include any after-tax gain-on-sale in connection with a securitization exposure. Gain-on-sale means an increase in the equity capital of a holding company resulting from a securitization (other than an increase in equity capital resulting from the holding company’s receipt of cash in connection with the securitization or reporting of a mortgage servicing asset on FR Y-9C Schedule HC).
(2) Defined benefit pension fund assets, net of associated DTLs.
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 71, below.
A holding company must deduct defined benefit pension fund assets, net of associated DTLs, held by a holding company. With the prior approval of the Federal Reserve, this deduction is not required for any defined benefit pension fund net asset to the extent the holding company has unrestricted and unfettered access to the assets in that fund. For an insured depository institution, no deduction is required.
A holding company must risk weight any portion of the defined benefit pension fund asset that is not deducted as if the holding company directly holds a proportional ownership share of each exposure in the defined benefit pension fund.
(3) Investments in the holding company’s own shares to the extent not excluded as part of treasury stock.
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 71, below.
Include the holding company’s investments in (including any contractual obligation to purchase) its own common stock instruments, including direct, indirect, and synthetic exposures to such instruments (as defined in the revised regulatory capital rules), to the extent such instruments are not excluded as part of treasury stock, reported in item 54 above. If a holding company already deducts its investment in its own shares (for example, treasury stock) from its common equity tier 1 capital elements, it does not need to make such deduction twice.
A holding company may deduct gross long positions net of short positions in the same underlying instrument only if the short positions involve no counterparty credit risk. The holding company must look through any holdings of index securities to deduct investments in its own capital instruments.
In addition:
(i) Gross long positions in investments in a holding company’s own regulatory capital instruments resulting from holdings of index securities may be netted against short positions in the same underlying index;
(ii) Short positions in index securities that are hedging long cash or synthetic positions may be decomposed to recognize the hedge; and
(iii) The portion of the index that is composed of the same underlying exposure that is being hedged may be used to offset the long position if both the exposure being hedged and the short position in the index are covered positions under the market risk capital rule, and the hedge is deemed effective by the holding company’s internal control processes which would have been assessed by the Federal Reserve.
(4) Reciprocal cross-holdings in the capital of financial institutions in the form of common stock.
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 71, below.
Include investments in the capital of other financial institutions (in the form of common stock) that the holding company holds reciprocally (this is the corresponding deduction approach). Such reciprocal crossholdings may result from a formal or informal arrangement to swap, exchange, or otherwise intend to hold each other’s capital instruments.
(5) Equity investments in financial subsidiaries.
A holding company must deduct the aggregate amount of its outstanding equity investment, including retained earnings, in its financial subsidiaries (as defined in 12 CFR 208.77) and may not consolidate the assets and liabilities of a financial subsidiary with those of the parent institution. No other deduction is required for these investments in the capital instruments of financial subsidiaries.
(6) Advanced approaches holding companies only that exit parallel run.5
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 71, below.
Include the amount of expected credit loss that exceeds the eligible credit reserves.
Line item 70 Non-significant investments in the capital of unconsolidated financial institutions in the form of common stock that exceed the 10 percent threshold for non-significant investments
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 71, below.
A holding company has a non-significant investment in the capital of an unconsolidated financial institution (as defined in section 2 of the revised regulatory capital rules) if it owns 10 percent or less of the issued and outstanding common shares of that institution.
Report the amount of non-significant investments in the capital of unconsolidated financial institutions in the form of common stock that, in the aggregate, exceed the 10 percent threshold for non-significant investments, calculated as described below. The holding company may apply associated DTLs to this deduction.
Line item 71 Subtotal (item 58 minus items 59 through 70, reflective of transition provisions)
This captures the item 58 less items 59 through 70 plus or minus the applicable adjustments outlined in the Transition Provision section of the revised capital rule issued on July 2, 2013. These transitional adjustments are not reflected in the individual line items above but must be reflected in this item.
To calculate line item 71:
Sum items 60, 61, 68, 69, 70 then multiply this sum by the percent that corresponds with the accurate calendar year (see table below).
Add items 59, 62, 63, 64, 65, 66, 67 and the result of (i) to compute the subtotal
Calendar year |
Percentage of the deductions from common equity tier 1 capital |
2014 |
20 |
2015 |
40 |
2016 |
60 |
2017 |
80 |
2018 and thereafter |
100 |
Line item 72 Significant investments in the capital of unconsolidated financial institutions in the form of common stock, net of associated DTLs, that exceed 10 percent common equity tier 1 capital deduction threshold (item 103)
This item is a shaded cell and is derived from item 103.
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 78, below.
A holding company has a significant investment in the capital of an unconsolidated financial institution when it owns more than 10 percent of the issued and outstanding common shares of that institution.
Report the amount of significant investments in the capital of unconsolidated financial institutions in the form of common stock that exceed the 10 percent common equity tier 1 capital deduction threshold, calculated as follows:
(1) Determine the amount of significant investments in the capital of unconsolidated financial institutions in the form of common stock.
(2) If the amount in (1) is greater than 10 percent of the amount of the subtotal in item 71, report the difference as this line item 13.
(3) If the amount in (2) is less than 10 percent of the amount of the subtotal in item 71, report zero.
If the holding company included embedded goodwill in item 59, to avoid double counting, the holding company may net such embedded goodwill already deducted against the exposure amount of the significant investment. For example, if a holding company has deducted $10 of goodwill embedded in a $100 significant investment in the capital of an unconsolidated financial institution in the form of common stock, the holding company is allowed to net such embedded goodwill against the exposure amount of such significant investment (that is, the value of the investment is $90 for purposes of the calculation of the amount that is subject to deduction).
Line item 73 MSAs, net of associated DTLs, that exceed the 10 percent common equity tier 1 capital deduction threshold (item 108)
This item is a shaded cell and is derived from item 108.
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 78, below.
Report the amount of MSAs included in FR Y-9C Schedule HC-M, item 12(a), net of associated DTLs, that exceed the 10 percent common equity tier 1 capital deduction threshold as follows:
(1) Take the amount of MSAs as reported in FR Y-9C Schedule HC-M, item 12(a), net of associated DTLs.
(2) If the amount in (1) is higher than 10 percent of the amount of the subtotal in item 71, report the difference as this item 73.
(3) If the amount in (1) is lower than 10 percent of the amount of the subtotal in item 71, enter zero.
Line item 74 DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net of DTLs, that exceed the 10 percent common equity tier 1 capital deduction threshold (item 111)
This item is a shaded cell and is derived from item 111.
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 78, below:
(1) Report the amount of DTAs arising from temporary differences that the holding company could not realize through net operating loss carrybacks net of any related valuation allowances and net of associated DTLs (for example, DTAs resulting from the holding company’s ALLL).
(2) If the amount in (1) is higher than 10 percent of the amount the subtotal in item 71, report the difference as this line item.
(3) If the amount in (1) is lower than 10 percent of the amount of the subtotal in item 71, enter zero.
DTAs arising from temporary differences that could be realized through net operating loss carrybacks are not subject to deduction, and instead must be assigned a 100 percent risk weight.
Line item 75 Amount of significant investments in the capital of unconsolidated financial institutions in the form of common stock; MSAs, net of associated DTLs; and DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net of DTLs; that exceeds the 15 percent common equity tier 1 capital deduction threshold (item 117)
This item is a shaded cell and is derived from item 117.
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 78, below.
The aggregate amount of the threshold items (that is, significant investments in the capital of unconsolidated financial institutions in the form of common stock; MSAs, net of associated DTLs; and DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net of DTLs) may not exceed 15 percent of the holding company’s common equity tier 1 capital, net of applicable adjustments and deductions (the 15 percent common equity tier 1 capital deduction threshold).
Line item 76 Deductions applied to common equity tier 1 capital due to insufficient amount of additional tier 1 capital and tier 2 capital to cover deductions
Report the total amount of deductions related to reciprocal cross holdings, non-significant investments in the capital of unconsolidated financial institutions, and non-common stock significant investments in the capital of unconsolidated financial institutions if the holding company does not have a sufficient amount of additional tier 1 capital and tier 2 capital to cover these deductions in items 84 and 94.
Line item 77 Total adjustments and deductions for common equity tier 1 capital (sum of items 72 through 76, reflective of transition provisions)
This captures the sum of line items 72 to 76 after the adjustments outlined in the Transition Provision section of the revised capital rule issued on July 2, 2013. These transitional adjustments are not reflected in the individual line items above but must be reflected in item 77.
To calculate line item 77:
Sum items 72 through 75 and then multiply this sum by the appropriate percent for the corresponding calendar year (see table below).
Add item 76 to the result of (i) to compute item 77
Calendar year |
Percentage of the deductions from common equity tier 1 capital |
2014 |
20 |
2015 |
40 |
2016 |
60 |
2017 |
80 |
2018 and thereafter |
100 |
Line item 78 Common equity tier 1 capital
This item is a shaded cell and is derived from item 71 less item 77. This field will be auto-populated. No calculation is needed.
Additional tier 1 capital
Line item 79 Additional tier 1 capital instruments plus related surplus
Starting on January 1, 2014 for the case of advanced approaches holding companies and on January 1, 2015 for non-advanced holding companies, report the portion of noncumulative perpetual preferred stock and related surplus included in FR Y-9C Schedule HC, item 23, that satisfy all the criteria for additional tier 1 capital in the revised regulatory capital rules of the Federal Reserve.
Include instruments that were (i) issued under the Small Business Job’s Act of 2010, or, prior to October 4, 2010, under the Emergency Economic Stabilization Act of 2008 and (ii) were included in the tier 1 capital under the Federal Reserve’s general risk-based capital rules (12 CFR part 225, appendix A, and, if applicable, appendix E) (for example, tier 1 instruments issued under the TARP program that are grandfathered permanently). Also include additional tier 1 capital instruments issued as part of an ESOP, provided that the repurchase of such instruments is required solely by virtue of ERISA for a banking organization that is not publicly-traded.
Line item 80 Non-qualifying capital instruments subject to phase out from additional tier 1 capital
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 82, below.
Starting on January 1, 2014 for the case of advanced approaches holding companies and on January 1, 2015 for non-advanced holding companies, report the total amount of non-qualifying capital instruments that were included in tier 1 capital and outstanding as of January 1, 2014 as follows:
Depository institution holding companies with total consolidated assets of $15 billion or more as of December 31, 2009 that are not 2010 MHCs must phase out non-qualifying capital instruments (that is, debt or equity instruments that do not meet the criteria for additional tier 1 or tier 2 capital instruments in section 20 of the revised regulatory capital rules, but that were issued and included in tier 1 or tier 2 capital, respectively, prior to May 19, 2010) as set forth in Table 7 starting on January 1, 2014 for an advanced approaches holding company that is not an SLHC and starting January 1, 2015 for a non-advanced approaches holding company.
If non-advanced approaches holding companies have non-qualifying capital instruments that are excluded from tier 1 capital, such non-qualifying capital instruments can be included in tier 2 capital, without limitation, provided the instruments meet the criteria for tier 2 capital set forth in section 20(d) of the revised regulatory capital rules.
For the case of advanced approaches holding companies, non-qualifying capital instruments that are phased out of tier 1 capital under Table 7 are fully includable in tier 2 capital until December 31, 2015. From January 1, 2016, until December 31, 2021, these holding companies are required to phase out such non-qualifying capital instruments from tier 2 capital in accordance with the percentage in Table 8.
Line item 81 Tier 1 minority interest not included in common equity tier 1 capital
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 82, below.
Report the amount of tier 1 minority interest that is includable at the consolidated level, as described below.
For each consolidated subsidiary, perform the calculations in steps (1) through (10) of the worksheet below. Sum up the results from step 10 for each consolidated subsidiary and report the aggregate number in this item.
For tier 1 minority interest, there is no requirement that the subsidiary be a depository institution or a foreign bank. However, the instrument that gives rise to tier 1 minority interest must meet all the criteria for either common equity tier 1 capital or additional tier 1 capital instrument.
Line item 82 Additional tier 1 capital before deductions, reflective of transition provisions
This captures the total of items 79 through 81 plus or minus the applicable adjustments outlined in the Transition Provision section of the revised capital rule issued on July 2, 2013. These transitional adjustments are not reflected in the individual line items above but must be reflected in this item.
To calculate item 82:
Multiply item 80 by the appropriate percent for the corresponding calendar year in Table A (see table below).
Multiply item 81 by the appropriate percent for the corresponding calendar year in Table B (see table below).
Sum item 79, (i) and (ii) to compute line item 82.
Table A
Calendar year |
Percentage of non-qualifying capital instruments includable in additional tier 1 (applicable to BHCs with total consolidated assets of $15 billion or more as of December 31, 2009 |
2014 |
50 |
2015 |
25 |
2016 and thereafter |
0 |
Table B
Calendar year |
Percentage of the amount of surplus or non-qualifying minority interest that can be included in regulatory capital during the transition period |
2014 |
80 |
2015 |
60 |
2016 |
40 |
2017 |
20 |
2018 and thereafter |
0 |
Line item 83 Additional tier 1 capital deductions
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 84, below.
Report additional tier 1 capital deductions as the sum of the following elements:
Note that if an institution does not have a sufficient amount of additional tier 1 capital to reflect these deductions, then the institution must deduct the shortfall from common equity tier 1 capital
a. Investments in own additional tier 1 capital instruments
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 84, below.
Report the holding company’s investments in (including any contractual obligation to purchase)
its own additional tier 1 instruments, whether held directly or indirectly.
A holding company may deduct gross long positions net of short positions in the same underlying instrument only if the short positions involve no counterparty risk.
The holding company must look through any holdings of index securities to deduct investments in its own capital instruments. In addition:
(i) Gross long positions in investments in a holding company’s own regulatory capital instruments resulting from holdings of index securities may be netted against short positions in the same index;
(ii) Short positions in index securities that are hedging long cash or synthetic positions can be decomposed to recognize the hedge; and
(iii) The portion of the index that is composed of the same underlying exposure that is being hedged may be used to offset the long position if both the exposure being hedged and the short position in the index are covered positions under the market risk capital rule, and the hedge is deemed effective by the holding company’s internal control processes.
b. Reciprocal cross-holdings in the capital of financial institutions
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 84, below.
Include investments in the additional tier 1 capital instruments of other financial institutions that the holding company holds reciprocally, where such reciprocal crossholdings result from a formal or informal arrangement to swap, exchange, or otherwise intend to hold each other’s capital instruments. If the holding company does not have a sufficient amount of a specific component of capital to effect the required deduction, the shortfall must be deducted from the next higher (that is, more subordinated) component of regulatory capital.
For example, if a holding company is required to deduct a certain amount from additional tier 1 capital and it does not have additional tier 1 capital, then the deduction should be from common equity tier 1 capital in item 76.
c. Non-significant investments in additional tier 1 capital of unconsolidated financial institutions that exceed the 10 percent threshold for non-significant investments
An institution has a non-significant investment in the capital of an unconsolidated financial institution if it owns 10 percent or less of the issued and outstanding common shares of that institution.
Calculate this amount as follows (similar to the calculation in item 70):
(1) Determine the aggregate amount of non-significant investments in the capital of unconsolidated financial institutions in the form of common stock, additional tier 1, and tier 2 capital.
(2) Determine the amount of non-significant investments in the capital of unconsolidated financial institutions in the form of additional tier 1 capital.
(3) If the amount in (1) is greater than the 10 percent threshold for non-significant investments, then multiply the difference by the ratio of (2) over (1). Report this product in this line item.
(4) If the amount in (1) is less than the 10 percent threshold for non-significant investments, report zero.
d. Significant investments in the capital of unconsolidated financial institutions not in the form of common stock to be deducted from additional tier 1 capital
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 84, below.
Report the total amount of significant investments in the capital of unconsolidated financial institutions in the form of additional tier 1 capital.
e. Other adjustments and deductions
NOTE: Do not apply a transition provision multiplier for this item. The phase-out provisions are only reflected in the subtotal, item 84, below.
Include adjustments and deductions applied to additional tier 1 capital due to insufficient tier 2 capital to cover deductions (related to reciprocal cross holdings, non-significant investments in the tier 2 capital of unconsolidated financial institutions, and significant investments in the tier 2 capital of unconsolidated financial institutions). Also include adjustments and deductions related to the calculation of DTAs, gain-on-sale, deifned benefit pension fund assets, changes in fair value of liabilities due to changes in own credit risk, and expected credit losses during the tranisiton period as described the calculation of item 84 below.
Line item 84 Additional tier 1 capital, reflective of transition provisions
This captures the total of items item 82 and 83 plus or minus the applicable adjustments outlined in the Transition Provision section of the revised capital rule issued on July 2, 2013. These transitional adjustments are not reflected in the individual line items above but must be reflected in this item.
To calculate line item 84:
Sum the amounts for items 83a. through 83d. in the instructions then multiply this sum by the appropriate percent for the corresponding calendar year (see Table A below).
To calculate “Other adjustments and deducitons” under item 83e:
Sum the adjustments and deductions applied to additional tier 1 capital due to insufficient tier 2 capital to cover deductions (related to reciprocal cross holdings, non-significant investments in the tier 2 capital of unconsolidated financial institutions, and significant investments in the tier 2 capital of unconsolidated financial institutions). No transition provisions apply to these amounts.
For adjustments and deductions related to the calculation of DTAs, gain-on-sale, deifned benefit pension fund assets, changes in fair value of liabilities due to changes in own credit risk, and expected credit losses during the tranisiton period, sum these amounts and multiply this sum by the appropriate percent for the corresponding calendar year (see Table B below).
Sum the results of 1) and 2) to calculate item 83e.
Sum (i) and (ii)
For line item 84, report the greater of item 82 minus (iii) or zero “0”.
Table A.
Calendar year |
Percentage of the deduction for additional tier 1 capital |
2014 |
20 |
2015 |
40 |
2016 |
60 |
2017 |
80 |
2018 and thereafter |
100 |
Table B.
Calendar year |
Percentage of the adjustments applied to additional tier 1 capital |
2014 |
80 |
2015 |
60 |
2016 |
40 |
2017 |
20 |
2018 and thereafter |
0 |
Tier 1 capital
Line item 85 Tier 1 capital, reflective of transition provisions (sum of items 78 and 84)
Item 85 is a shaded cell and is derived from the sum of items 78 and 84
This captures the total of items item 78 through 84 which include the applicable adjustments outlined in the Transition Provision section of the revised capital rule issued on July 2, 2013.
Tier 2 capital
Line item 86 Tier 2 capital instruments plus related surplus
Starting on January 1, 2014 for the case of advanced approaches holding companies and on January 1, 2015 for non-advanced holding companies, report tier 2 capital instruments that satisfy all eligibility criteria under the revised regulatory capital rules and related surplus.
Include instruments that were (i) issued under the Small Business Job’s Act of 2010, or, prior to October 4, 2010, under the Emergency Economic Stabilization Act of 2008 and (ii) were included in the tier 2 capital under the Federal Reserve’s general risk-based capital rules.
Line item 87 Non-qualifying capital instruments subject to phase out from tier 2 capital
Report the total amount of non-qualifying capital instruments that were included in tier 2 capital and outstanding as of January 1, 2014, and will be subject to phaseout.
Line item 88 Total Capital minority interest that is now included in tier 1 capital
Report the amount of total capital minority interest that is includable at the consolidated level, as described below. For each consolidated subsidiary, perform the calculations in steps (1) through (10) below. Sum up the results for each consolidated subsidiary and report the aggregate number in this item.
Do not apply any transition provision multiplier for this item. These phase-out provisions are only reflected in the subtotal, item 92 below.
Line item 89 Allowance for loan and lease losses includable in tier 2 capital
Report
the portion
of the
holding
company’s
allowance
for
loan
and
lease
losses
that
are
includable
in tier
2 capital.
None
of the holding
company’s
allocated
transfer
risk
reserve,
if any,
is includable
in tier
2 capital.
The amount reported in this item cannot exceed 1.25 percent of the holding company’s risk- weighted assets, , not including the allowance for loan and lease losses. The allowance for loan and lease losses equals FR Y-9C Schedule HC, item 4.c, “Allowance for loan and lease losses,” less FR Y-9C Schedule HI-B, part II, Memorandum item 1, “Allocated transfer risk reserve included in FR Y-9C Schedule HI-B, part II, item 7, above,” plus FR Y-9C Schedule HC-G, item 3, “Allowance for credit losses on off-balance sheet credit exposures.”
Line item 90 (Advanced approaches holding companies that exit parallel run only): eligible credit reserves includable in tier 2 capital
Report the amount of eligible credit reserves includable in tier 2 capital as reported in FFIEC 101
Schedule A, item 50. Report this line item only after the advanced approaches holding company completes its parallel run process.
Line item 91 Unrealized gains on available-for-sale preferred stock classified as an equity security under GAAP and available-for-sale equity exposures includable in tier 2 capital
(i) Holding companies that entered “1” for “Yes” in item 53:
Report the pretax net unrealized holding gain (i.e., the excess of fair value as reported in FR Y-9C Schedule HC-B, item 7, column D, over historical cost as reported in FR Y-9C Schedule HC-B, item 7, column C), if any, on available-for-sale preferred stock classified as an equity security under GAAP and available-for-sale equity exposures includable in tier 2 capital, subject to the limits specified in the revised regulatory capital rules. The amount reported in this item cannot exceed 45 percent of the holding company’s pretax net unrealized gain on available-for-sale preferred stock classified as an equity security under GAAP and available-for-sale equity exposures.
(ii) Holding companies that entered “0” for “No” in item 53:
Do not apply any transition provision multiplier for this item. These phase-out provisions are only reflected in the subtotal, item 92 below.
Line item 92 Tier 2 capital before deductions, reflective of transition procedures
This captures the sum of items 86, 87, 88, 89 and 91, plus or minus the applicable adjustments outlined in the Transition Provision section of the revised capital rule issued on July 2, 2013. These transitional adjustments are not reflected in the individual line items above but must be reflected in this item only if the Holding companies entered “0” for “No” in item 53.
To calculate line item 92 if the holding companies entered “1” for “Yes” in item 53:
Sum the amounts for items 86, 87, 88, 89, and 91(i).
To calculate line item 92 if the holding companies entered “0” for “No” in item 53:
Sum the amounts for items 86, 87, 88, 89
Multiply item 91(ii) by the appropriate percent for the corresponding calendar year (see Table A below).
Sum (i) and (ii) to compute item 84.
Table A.
Calendar year |
Percentage of unrealized gains on available-for-sale preferred stock classified as an equity security under GAAP and available-for-sale equity exposures that may be included in tier 2 capital |
2014 |
36 |
2015 |
27 |
2016 |
18 |
2017 |
9 |
2018 and thereafter |
0 |
Line item 93 (Advanced approaches holding companies that exit parallel run only): Tier 2 capital before deductions, reflective of transition procedures
This captures the sum of items 86 through 91 plus or minus the applicable adjustments outlined in the Transition Provision section of the revised capital rule issued on July 2, 2013. These transitional adjustments are not reflected in the individual line items above but must be reflected in this item.
Line item 94 Tier 2 capital deductions
Report total tier 2 capital deductions as the sum of the following elements:
If a holding company does not have a sufficient amount of tier 2 capital to reflect these deductions, then the holding company must deduct the shortfall from additional tier 1 capital (item 83) or, if there is not enough additional tier 1 capital, from common equity tier 1 capital (item 76).
In addition, advanced approaches holding companies with insufficient tier 2 capital for deductions will make the following adjustments: an advanced approaches holding company will make deductions on this schedule under the generally applicable rules that apply to all banking organizations. It will use FFIEC 101, Schedule A, to calculate its capital requirements under the advanced approaches. Therefore, in the case of an advanced approaches holding company with insufficient tier 2 capital to make tier 2 deductions, it will use the corresponding deduction approach and the generally applicable rules to take excess tier 2 deductions from additional tier 1 capital in item 83, and if necessary from common equity tier 1 capital in item 76. It will use the advanced approaches rules to take deductions on the FFIEC 101 form.
a. Investments in own additional tier 2 capital instruments.
Do not apply any transition provision multiplier for this item. These phase-out provisions are only reflected in the subtotal, item 95 below.
Report the holding company’s investments in (including any contractual obligation to purchase)
its own tier 2 instruments, whether held directly or indirectly.
A holding company may deduct gross long positions net of short positions in the same underlying instrument only if the short positions involve no counterparty risk.
The holding company must look through any holdings of index securities to deduct investments in its own capital instruments. In addition:
(i) Gross long positions in investments in a holding company’s own regulatory capital instruments resulting from holdings of index securities may be netted against short positions in the same index;
(ii) Short positions in index securities that are hedging long cash or synthetic positions can be decomposed to recognize the hedge; and
(iii) The portion of the index that is composed of the same underlying exposure that is being hedged may be used to offset the long position if both the exposure being hedged and the short position in the index are covered positions under the market risk capital rule, and the hedge is deemed effective by the holding company’s internal control processes.
b. Reciprocal cross-holdings in the capital of financial institutions.
Do not apply any transition provision multiplier for this item. These phase-out provisions are only reflected in the subtotal, item 95 below.
Include investments in the tier 2 capital instruments of other financial institutions that the
holding company holds reciprocally, where such reciprocal crossholdings result from a formal or informal arrangement to swap, exchange, or otherwise intend to hold each other’s capital instruments.
c. Non-significant investments in tier 2 capital of unconsolidated financial institutions that exceed the 10 percent threshold for non-significant investments.
Do not apply any transition provision multiplier for this item. These phase-out provisions are only reflected in the subtotal, item 95 below.
Calculate this amount as follows (similar to item 70):
(1) Determine the aggregate amount of non-significant investments in the capital of unconsolidated financial institutions in the form of common stock, additional tier 1, and tier 2 capital.
(2) Determine the amount of non-significant investments in the capital of unconsolidated financial institutions in the form of tier 2 capital.
(3) If (1) is greater than the 10 percent threshold for non-significant investments, then, multiply the difference by the ratio of (2) over (1). Report this product in this line item.
(4) If (1) is less than the 10 percent threshold for non-significant investments, enter zero.
d. Significant investments in the capital of unconsolidated financial institutions not in the form of common stock to be deducted from tier 2 capital.
Do not apply any transition provision multiplier for this item. These phase-out provisions are only reflected in the subtotal, item 95 below.
Report the total amount of significant investments in the capital of unconsolidated financial institutions in the form of tier 2 capital.
e. Other adjustments and deductions.
Include any other applicable adjustments and deductions applied to tier 2 capital in accordance with the revised regulatory capital rules.
Line item 95 Tier 2 capital, reflective of transition provisions
This captures the difference between items 92 and 94 plus or minus the applicable adjustments outlined in the Transition Provision section of the revised capital rule issued on July 2, 2013.
To calculate line item 95:
Multiply item 94 by the appropriate percent for the corresponding calendar year (see table below).
For line item 95, report the greater of item 92 minus (i) or zero “0”.
Calendar year |
Percentage of the deductions from tier 2 deductions |
2014 |
20 |
2015 |
40 |
2016 |
60 |
2017 |
80 |
2018 and thereafter |
100 |
Line item 96 (Advanced approaches holding companies that exit parallel run): Tier 2 capital, reflective of transition procedures
In projected quarters, this item 96 is a shaded cell and is derived from items 93 and 94.
This captures the sum of items 93 and 94 plus or minus the applicable adjustments outlined in the Transition Provision section of the revised capital rule issued on July 2, 2013.
Total Capital
Line item 97 Total capital, reflective of transition provisions
This item is a shaded cell and is derived from the sum of items 85 and 95.
Line item 98 (Advanced approaches holding companies that exit parallel run only): Total capital, reflective of transition provisions (sum of items 85 and 96)
This item is a shaded cell and is derived from the sum of items 85 and 96.
Line item 99 Gross significant investments in the capital of unconsolidated financial institutions in the form of common stock
Aggregate holdings of capital instruments relevant to significant investments in the capital of unconsolidated financial entities, including direct, indirect and synthetic holdings in both the banking book and trading book.
Line item 100 Permitted offsetting short positions in relation to the specific gross holdings included above
Offsetting positions in the same underlying exposure where the maturity of the short position either matches the maturity of the long position or has a residual maturity of at least one year.
Line item 101 Significant investments in the capital of unconsolidated financial institutions in the form of common stock net of short positions
This item is a shaded cell and is derived from items 99 and 100.
Line item 102 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from item 71.
Line item 103 Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold
This item is a shaded cell and is derived from items 101 and 102.
Line item104 Total mortgage servicing assets classified as intangible
Report the amount of MSAs included in Schedule HC-M, item 12(a), prior to any netting of associated DTLs.
Line item 105 Associated deferred tax liabilities which would be extinguished if the intangible becomes impaired or derecognized under the relevant accounting standards
The amount of mortgage servicing assets to be deducted from common equity tier 1 is to be offset by any associated deferred tax liabilities, with recognition capped at 10% of the bank’s common equity tier 1(after the application of all regulatory adjustments). If the bank chooses to net its deferred tax liabilities associated with mortgage servicing assets against deferred tax assets (in Line 17 of the Capital Composition worksheet), those deferred tax liabilities should not be deducted again here.
Line item 106 Mortgage servicing assets net of related deferred tax liabilities
This item is a shaded cell and is derived from items 104 and 105.
Line item 107 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from item 71.
Line item 108 Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold
This item is a shaded cell and is derived from items 106 and 107.
Line item 109 DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net of DTLs
The amount of DTAs arising from temporary differences that the holding company could not realize through net operating loss carrybacks net of any related valuation allowances and net of associated DTLs.
Line item 110 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from item 71.
Line item 111 Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold
This item is a shaded cell and is derived from items 109 and 110.
Line item 112 Sum of items 101, 106, and 109
This item is a shaded cell and is derived from items 101, 106, and 109.
Line item 113 15 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from item 71.
Line item 114 Sum of items 103, 108, and 111
This item is a shaded cell and is derived from items 103, 108, and 111.
Line item 115 Item 112 minus item 114
This item is a shaded cell and is derived from items 112 less item 114.
Line item 116 Amount to be deducted from common equity tier 1 due to 15 percent deduction threshold, before transition provision
This item is a shaded cell and is derived from items 113 and 115.
Line item 117 Amount to be deducted from common equity tier 1 due to 15 percent deduction threshold multiplied by transition provision
This item is a shaded cell and is derived from items 59, 60, 61, and 68.
Total Assets for the Leverage Ratio
Line item 118 Average total consolidated assets
Report the amount of average total consolidated assets as reported in FR Y-9C HC-K, item 9.
Line item 119 Deductions from common equity tier 1 capital and additional tier 1 capital (sum of items 59, 60, 61, and 68)
This item is a shaded cell and is derived from the sum of items 59, 60, 61, and 68.
Line item 120 Other deductions from (additions to) assets for leverage ratio purposes
Based on the revised regulatory capital rules, report the amount of any deductions from (additions to) total assets for leverage capital purposes that are not included in Item 119. If the amount is a net deduction, report it as a positive value in this item. If the amount is a net addition, report it as a negative value in this item.
Line item 121 Total assets for the leverage ratio (item 118 minus items 119 and 120, reflective of transition provisions)
This item captures the sum of items 118 through 120 plus or minus the applicable adjustments outlined in the Transition Provision section of the revised capital rule issued on July 2, 2013.
REGULATORY CAPITAL AND RATIOS
Line item 122 Tier 1 Common CapitalFor all quarters, BHCs are required to provide projections of tier 1 common capital, which is defined as tier 1 capital less non-common elements6, including perpetual preferred stock and related surplus, minority interest in subsidiaries, trust preferred securities, and mandatory convertible preferred securities
Line item 123 Common Equity Tier 1
This item is a shaded cell and is derived from item 78.
Line item 124 Tier 1 Capital
This item is a shaded cell and is derived from item 37.
Line item 125 Tier 1 Capital
This item is a shaded cell and is derived from item 85.
Line item 126 Total Capital
This item is a shaded cell and is derived from item 52.
Line item 127 Total Capital
This item is a shaded cell and is derived from item 97.
Line item 128 Total Capital (advanced approaches institutions that exit parallel run only)
This item is a shaded cell and is derived from item 98.
Line item 129 Total risk-weighted assets using general risk-based capital rules
This item is a shaded cell and is derived from the FR Y-14a, General RWA worksheet, item 5.
Line item 130 Total risk-weighted assets using standardized approach
This item is a shaded cell and is derived from the FR Y-14a, General RWA worksheet, item 6.
Line item 131 (Advanced approaches holding companies that exit parallel run only): total risk-weighted assets using advanced approaches rules
This item is a shaded cell and is derived from the FR Y-14a, Advanced RWA worksheet, item 5.
Line item 132 Total Assets for the Leverage Ratio per general risk-based capital rules
Report total assets for the leverage ratio, as defined in the FR Y-9C, Schedule HC-R, item 27.
Line item 133 Total Assets for the Leverage Ratio per revised regulatory capital rule
This item is a shaded cell and is derived from item 121.
Line item 134 Tier 1 Common Ratio (%) (based upon generally applicable risk weighted assets)
This Item is a shaded cell and is derived from item 122 divided by 129.
Line item 135 Tier 1 Common Ratio (%) (advanced approaches institutions that exit parallel run only)
This item is a shaded cell and is derived from item 122 divided by 131.
Line item 136 Common Equity Tier 1 Ratio (%)
This item is a shaded cell and is derived from item 123 divided by 129 or 130.
Line item 137 Common Equity Tier 1 Ratio (%) (advanced approaches institutions that exit parallel run only)
This item is a shaded cell and is derived from item 123 divided by 131.
Line item 138 Tier 1 Capital Ratio (%)
This item 138 is a shaded cell and is derived from item 124 or 125 divided by 129 or 130.
Line item 139 Tier 1 Capital Ratio (%) (advanced approaches institutions that exit parallel run only)
This item is a shaded cell and is derived from item 124 or 125 divided by 131.
Line item 140 Total risk-based capital ratio (%)
This item is a shaded cell and is derived from item 126 or 127 divided by 129 or 130.
Line item 141 Total risk-based capital ratio (%) (advanced approaches institutions that exit parallel run only)
This item is a shaded cell and is derived from item 128 divided by 131.
Line item 142 Tier 1 Leverage Ratio (%)
This item is a shaded cell and is derived from item 124 or 125 divided by 132 or 133.
Schedule HC-R — Memoranda (Section only applicable under the general risk-based capital rules)
Preferred stock (including related surplus) eligible for inclusion in Tier 1 capital:
Line item 143 Noncumulative perpetual preferred stock
Report noncumulative perpetual preferred stock, as defined in the FR Y-9C, Schedule HC-R, Memoranda item 3.a.
Line item 144 Other noncumulative preferred stock eligible for inclusion in tier 1 capital (e.g., REIT preferred securities)
Report other noncumulative preferred stock eligible for inclusion in tier 1 capital (e.g., REIT preferred securities), as defined in the FR Y-9C, Schedule HC-R, Memoranda item 3.c.
Line item 145 Other cumulative preferred stock eligible for inclusion in tier 1 capital (excluding TruPS)
Report other cumulative preferred stock eligible for inclusion in tier 1 capital (excluding trust preferred securities (TruPS)), as defined in the FR Y-9C, Schedule HC-R, Memoranda item 3.d.
Treasury stock (including offsetting debit to the liability for ESOP debt):
Line item 146 In the form of perpetual preferred stock
Report Treasury stock in the form of perpetual preferred stock (including the offsetting debit to the liability for ESOP debt), as defined in the FR Y-9C, Schedule HC-R, Memoranda item 5.a.
Line item 147 In the form of common stock
Report Treasury stock in the form of common stock (including the offsetting debit to the liability for ESOP debt), as defined in the FR Y-9C, Schedule HC-R, Memoranda item 5.b.
Restricted core capital elements included in Tier 1 capital:
Line item 148 Qualifying Class B noncontrolling (minority) interest
Report all qualifying Class B noncontrolling (minority) interest, as defined in the FR Y-9C, Schedule HC-R, Memoranda item 8.a.
Line item 149 Qualifying Class C noncontrolling (minority) interest
Report all qualifying Class C noncontrolling (minority) interest, as defined in the FR Y-9C, Schedule HC-R, Memoranda item 8.b.
Line item 150 Qualifying cumulative perpetual preferred stock
Report all qualifying cumulative perpetual preferred stock, as defined in the FR Y-9C, Schedule HC-R, Memoranda item 8.c.
Line item 151 Qualifying TruPS
Report all qualifying trust preferred securities (TruPS), as defined in the FR Y-9C, Schedule HC-R, Memoranda item 8.d.
Line item 152 Goodwill net of any associated deferred tax liability
Report goodwill net of any associated deferred tax liability, as defined in the FR Y-9C, Schedule HC-R, Memoranda item 9.
Line item 153 Is the bank holding company internationally active for purposes of the qualifying restricted core capital limit tests?
Report “Yes” or “No”. An internationally active BHC is a BHC that (1) as of the most recent year-end estimates total consolidated assets equal to $250 billion or more or (2) on a consolidated basis, as of the most recent year-end estimates total on-balance-sheet foreign exposure of $10 billion or more.
Schedule HC-F—Other Assets
Line item 154 Net deferred tax assets
Report net deferred tax assets, as defined in the FR Y-9C, Schedule HC-F, item 2.
Schedule HC-G—Other Liabilities
Line item 155 Net deferred tax liabilities
Report net deferred tax liabilities, as defined in the FR Y-9C, Schedule HC-G, item 2.
Schedule HC-M—Memoranda
Line item 156 Total number of bank holding company common shares outstanding
Report the total number (in millions) of bank holding company common shares outstanding, as defined in the FR Y-9C, Schedule HC-M, item 1.
Issuances associated with the U.S. Department of Treasury Capital Purchase Program
Line item 157 Senior perpetual preferred stock or similar items
Report issuances of senior perpetual preferred stock or similar items associated with the U.S. Department of Treasury capital purchase program, as defined in the FR Y-9C, Schedule HC-M, item 24.a.
Line item 158 Warrants to purchase common stock or similar items
Report issuances of warrants to purchase common stock or similar items associated with the U.S. Department of Treasury capital purchase program, as defined in the FR Y-9C, Schedule HC-M, item 24.b.
Disallowed Deferred Tax Assets Calculation (Schedule HC-R Instructions)
Line item 159 Enter the tier 1 subtotal
Report the amount from item 28 above.
Line item 160 Enter 10% of the tier 1 subtotal
Report the amount from item 159 above multiplied by 0.10.
Line item 161 Enter the amount of deferred tax assets to be used when calculating the regulatory capital limit
Report the amount of deferred tax assets to be used when calculating the regulatory capital limit.
Line item 162 Enter any optional adjustment made to item 73 in item 80 as allowed in the FR Y-9C instructions
Report any optional adjustment made to item 73 in item 80 as allowed in the FR Y-9C instructions, equal to item 73 less items 74 and 80.
Line item 163 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 data.
Report 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. The carryback period is the prior two calendar tax years plus any current taxes paid in the year-to-date period. Report disaggregated data for taxes paid in memorandum items 183 through 185 at the end of this worksheet.
Line item 164 Enter the amount of deferred tax assets that is dependent upon future taxable income
Report the amount of deferred tax assets that is dependent upon future taxable income.
Line item 165 Enter the portion of (e) that the bank holding company could realize within the next 12 months based on its projected future taxable income.
Report the portion of item 83 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.
Line item 166 (g) Enter the minimum of (f) and (b)
Report the amount of the minimum of items 84 and 79.
Line item 167 Subtract (g) from (e), but cannot be less than 0
Report the result of item 83 less item 85. This amount cannot be less than zero and must equal item 30.
Line item 168 Future taxes paid (used to determine item 166)
Report the amount of future taxes paid, as used to determine item 166.
Line item 169 Future taxable income (consistent with item 166)
Report the amount of future taxable income, consistent with the determination of item 84. Report historical data related to item 88 in item M.4 at the end of this worksheet.
Supplemental Capital Action Information
Line item 170 Cash dividends declared on common stock
Report the amount from item 13 above.
Line item 171 Common shares outstanding (Millions)
Report the amount from item 75 above.
Line item 172 Common dividends per share ($)
Report the result of item 89 divided by item 90.
Line item 173 Issuance of common stock for employee compensation
Report the amount (in $millions) of the issuance of common stock for employee compensation.
Line item 174 Other issuance of common stock
Report the amount (in $millions) of other issuance of common stock (other than for employee compensation).
Line item 175 Total issuance of common stock
Report the sum of items 92 and 93.
Line item176 Share repurchases to offset issuance for employee compensation
Report the amount (in $millions) of share repurchases to offset the issuance of stock for employee compensation.
Line item177 Other share repurchases
Report the amount (in $millions) of all other share repurchases.
Line item178 Total share repurchases
Report the sum of items 95 and 96.
Supplemental Information on Trust Preferred Securities Subject to Phase-Out from Tier 1 Capital
Line item 179 Outstanding trust preferred securities
Report outstanding trust preferred securities as defined in the FR Y-9C, Schedule HC, item 19b.
Line item 180 Trust preferred securities included in item 24
Report trust preferred securities qualifying for tier 1 capital and included in item 24 above.
MEMORANDA:
Memoranda Line item 181 Itemized other adjustments to equity capital
Report amounts separately of other adjustments to equity capital included in item 16, and provide a text explanation of each type of adjustment.
Memoranda Line item 182 Itemized other additions to (deductions from) tier 1 capital
Report amounts separately of other additions to (deductions from) tier 1 capital included in item 36, and provide a text explanation of each type of addition or deduction.
Itemized historical data related to taxes paid:
Memoranda Line item 183 Taxes paid during fiscal year ended two years ago
Report the amount of taxes paid during fiscal year ended two years ago, included in item 163.
Memoranda Line item 184 Taxes paid during fiscal year ended one year ago
Report the amount of taxes paid during fiscal year ended one year ago, included in item 163.
Memoranda Line item 185 Taxes paid through the as-of date of the current fiscal year
Report the amount of taxes paid during the 9 months ending on September 30 of the current fiscal year, included in item 163.
Memoranda Line item 186 Reconcile the Supplemental Capital Action and HI-A projections
In this item, reconcile the supplemental capital actions reported in items 170 through 178, with HI-A projections reported in items 1 through 17; that is, allocate the capital actions among the HI-A buckets.
Supporting Documentation
Please refer to Appendix A: Supporting Documentation for guidance on providing supporting documentation.
Loans on the retail schedules should be reported based on the loan's classification on the FR Y-9C, Schedule HC-C (i.e. based on the loans collateral, counterparty, or purpose). Refer to the FR Y-9C instructions for Schedule HC-C for guidance on loan classification. All loans should be reported net of charge-offs.
Throughout the retail-related worksheets, Domestic refers to portfolios held in domestic US offices (as defined in the FR Y-9C glossary), and International refers to portfolios outside of the domestic US offices.
Worksheet A.2.a—Retail Balance and Loss Projections
The Retail Balance and Loss Projections worksheet collects projections of business-line level balances and losses on BHCs’ held for investment loans accounted for at amortized cost (accrual loans). Loans held for sale and loans held for investment under the fair value option should not be included
Retail Loan Categories
First Lien Mortgages (in Domestic Offices)
The loan population includes all domestic first lien mortgage loans directly held on the BHC’s portfolio. Portfolio loans are all loans as defined in the FR Y-9C, Schedule HC-C, item 1.c.2.(a).
First Lien HELOANs (in Domestic Offices)
The Loan population includes all domestic first lien home equity loans directly held on the BHC’s portfolio. Portfolio loans are all loans as defined in the FR Y-9C, Schedule HC-C, item 1.c.(2)(a).
Closed-End Junior Liens (in Domestic Offices)
The loan population includes all domestic loans directly held on the BHC’s portfolio. Portfolio loans are all loans as defined in the FR Y-9C, Schedule HC- C, item 1.(c).(2)(b).
HELOCsome Equity Lines Of Credit (in Domestic Offices)
The loan population includes all first and junior lien domestic lines directly held on the BHC’s portfolio. Portfolio lines are all loans as defined in the FR Y-9C, Schedule HC-C, item 1.c.(1).
First Lien Mortgages and HELOANs (International)
The loan population includes all non-domestic loans directly held on the BHC’s portfolio. Portfolio loans are all loans as defined in the FR Y-9C, Schedule HC-C, item 1.(c).(2)(a).
Closed-End Junior Liens and Home Equity Lines Of Credit (International)
The loan population includes all non-domestic loans/lines directly held on the BHC’s portfolio. Portfolio loans are all loans/lines as defined in the FR Y-9C, Schedule HC –C, item 1.(c).(2)(b), and item 1.c.(1).
Corporate Card (Domestic)
Employer-sponsored domestic credit cards for use by a company’s employees. This includes US corporate credit card loans as defined in the FR Y-9C, Schedule HC-C, item 4.a, and US corporate card loans reported in other FR Y-9C lines.
Only include cards where there is any individual liability associated with the sub-lines such that individual borrower characteristics are taken into account during the underwriting decision, and/or performance on the credit is reported to the credit bureaus.
Loans for which a commercially-graded corporation is ultimately responsible for repayment of credit losses incurred should not be reported in this Worksheet.
Business Card (Domestic)
Small business domestic credit card accounts where the loan is underwritten with the sole proprietor or primary business owner as an applicant. Report at the control account level or the individual pay level (not at the sub-account level). This includes SME credit card loans as defined in the FR Y-9C, Schedule HC-C, item 4.a, and US corporate card loans reported in other FR Y-9C lines.
Only include cards where there is any individual liability associated with the sub-lines such that individual borrower characteristics are taken into account during the underwriting decision, and/or performance on the credit is reported to the credit bureaus.
Loans for which a commercially-graded corporation is ultimately responsible for repayment of credit losses incurred should not be reported in this Worksheet.
Charge Card (Domestic)
Domestic credit cards for which the balance is repaid in full each billing cycle as defined in the FR Y-9C, Schedule HC-C item 6.a or 9.b.
Exclude charge cards to corporations and small businesses (report in Corporate Card or Business Card, as appropriate).
Bank Card (Domestic)
Regular general purpose domestic credit cards as defined in the FR Y-9C, Schedule HC-C, item 6.a or 9.b.
Bank cards include products that can be used at a wide variety of merchants, including any who accept MasterCard, Visa, American Express or Discover credit cards. Include affinity and co-brand cards in this category, and student cards, if applicable. This product type also includes private label or proprietary credit cards, which are tied to the retailer issuing the card and can only be used in that retailer’s stores. Include oil and gas cards in this loan type.
Exclude bank cards to corporations and small businesses (report in Corporate Card or Business Card, as appropriate).
Business and Corporate Card (International)
Report employer-sponsored non-domestic credit cards for use by a company’s employees and small business non-domestic credit card accounts where the loan is underwritten with the sole proprietor or primary business owner as an applicant. Such loans as defined in the FR Y-9C, Schedule HC-C, item 4.b, and International corporate and business card loans reported in other FR Y-9C lines.
For corporate cards, only include cards where there is any individual liability associated with the sub-lines such that individual borrower characteristics are taken into account during the underwriting decision, and/or performance on the credit is reported to the credit bureaus.
For bank cards, only include cards where there is any individual liability associated with the sub-lines such that individual borrower characteristics are taken into account during the underwriting decision, and/or performance on the credit is reported to the credit bureaus.
Loans for which a commercially-graded corporation is ultimately responsible for repayment of credit losses incurred should not be reported in this Worksheet.
Bank and Charge Card (International)
Include both non-domestic credit cards for which the balance is repaid in full each billing cycle and regular general purpose non-domestic credit cards as defined in the in FR Y-9C, Schedule HC-C item 6.a or 9.b.
Bank cards include products that can be used at a wide variety of merchants, including any who accept MasterCard, Visa, American Express or Discover credit cards. Include affinity and co-brand cards in this category, and student cards, if applicable. This product type also includes private label or proprietary credit cards, which are tied to the retailer issuing the card and can only be used in that retailer’s stores. Include oil and gas cards in this loan type.
Exclude bank cards to corporations and small businesses (report in Corporate Card or Business Card, as appropriate).
Auto Loans (Domestic)
Include all domestic as defined in the FR Y-9C, Schedule HC-C, item 6.c and repossessed automobiles as defined in the FR Y-9C, Schedule HC-F, item 6.
Auto Loans (International)
Include all non-domestic as defined in the FR Y-9C, Schedule HC-C, item 6.c and repossessed automobiles as defined in the FR Y-9C, Schedule HC-F, item 6.
Auto Leases (Domestic)
Include domestic auto leases as defined in the FR Y-9C, Schedule HC-C, item 10.a and repossessed automobiles as defined in the FR Y-9C, Schedule HC-F, item 6.
Auto Leases (International)
Include non-domestic auto leases as defined in the FR Y-9C, Schedule HC-C, item 10.a and repossessed automobiles as defined in the FR Y-9C, Schedule HC-F, item 6.
Student Loan
Include student loans as defined byin the FR Y-9C, Schedule HC-C, items 6.b and 6.d.
Small Business Loan - Scored (Domestic)
The loan population of domestic small business loans is dependent on two factors: 1) the classification of the loan as defined in the FR Y-9C, Schedule HC-C (i.e. based on the collateral, counterparty, or purpose of the loan); and(2) whether the method to measure credit risk for the loan is different than that used for ordinary corporate loans.
Reportable loans may include those small business loans that are included in the FR Y-9C, Schedule HC-C, items 2.a, 2.b, 3, 4.a and 4.b (excluding SME credit card loans included on Item 4.a) 7, 9.b.(1), 9,b.(2) and 10.b.
To be classified as a small business loan, the method to measure credit risk must be different than the method used for other corporate loans. Commercial internal risk ratings or grades tend to not be used to assess credit risk for ordinary corporate loans. Meanwhile, small business loans tend to be scored or delinquency managed. Additionally, loans that are nevertheless internally risk weighted but that use a scale different from that used for ordinary corporate loans may also be considered small business loans.
Small Business Loan - Scored (International)
The population of international small business loans includes all non-domestic loans that fit the definition of small business loans (see above).
Other Consumer Loans and Leases (Domestic)
Include all domestic loans as defined byin the FR Y-9C, Schedule HC-C, items 6.b and 6.d excluding student loans and non-purpose based securities loans. Non-purpose based securities loans are loans secured by a portfolio of securities that are used for the purpose of something other than purchasing securities.
Include domestic non-auto leases loans as defined byin the FR Y-9C, Schedule HC-C, item 10.a.
Other Consumer Loans and Leases (International)
Include all non-domestic loans as defined byin the FR Y-9C, Schedule HC-C, items 6.b and 6.d excluding student loans and non-purposebased securities based loans. Non-purpose based securities based loans are loans secured by a portfolio of securities that are used for the purpose of something other than purchasing securities.
Include non-domestic non-auto leases loans as defined byin the FR Y-9C, Schedule HC-C, item 10.a.
For Sections A through U- T: Report line items 1 through 8 for the current quarter (CQ) and nine subsequent projected quarters (PQ1 through PQ9). Reporting of projections for credit cards should be based on all open accounts (active and inactive), but not charged-off accounts
Line item 1 Balances
Report according to FR Y-9C definitions (end of quarter levels). Report end of quarter levels for each Section. Where requested, please segment the total balances reported by age. For those lines, balances should be classified according to the origination date of the account with which the balance is associated.
Line item 2 New Originations
Report the total dollar amount of new originations net of sales to Agencies. Report only originations for those loans and leases that the bank holding company has the intent and ability to hold for the foreseeable future or until maturity or payoff.
Line item 3 Paydowns
Report the total dollar of repayments received in the given quarter.
Line item 4 Asset Purchases
Report the total dollar of assets purchased in the given quarter. Include mortgages repurchased from GNMA, GSEs, and private securitizations that are put back into the accrual book.
Line item 5 Asset Sales
Report the total dollar of assets sold in the given quarter, net of sales to Agencies.
Line item 6 Loan Losses
Report the total dollar of net charge-offs recognized in the given quarter.
Line item 7 Cumulative Interim Loan Losses – Non-PCI
Report the total unpaid principal balance that has been charged-off on loans in the segment through quarter-end of the reporting period on non-Purchased Credit-Impaired (PCI)loans. Interim charge-offs include all cumulative partial charge-offs/write-downs for loan that have not been fully charged‐off or otherwise liquidated.
Line item 8 Cumulative Interim Loan Losses – PCI
Report the total interim losses through quarter-end of the reporting period that have been or are expected to be covered by the non-accretable mark or the reserve set up post-mark (ALLL) to cover additional shortfalls in expected cash flows on Purchased Credit-Impaired (PCI) loans. . This measure should not include liquidated loans. 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.
For more information on purchased credit-impaired loans, refer to the FR Y-9C, Schedule HC-N, Memorandum item 9.
Worksheet A.2.b—Retail Repurchase
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, as defined in the FR Y-9C, Schedule HC-P, item 6. It also collects data on loans insured by the US Government for which the insurance coverage could be denied or indemnification required if loan defects are identified.
Table Information:
Information reported in this schedule will be collected in Tables A through G. Please report information aggregated by Vintage for each table and corresponding data fields below. The Vintage of each column refers to the calendar year that the loan was sold (i.e., 2004 through 2013).
There are ten possible Vintages to report:
Column PY8: Current reporting year minus eight
Column PY7: Current reporting year minus seven
Column PY6: Current reporting year minus six
Column PY5: Current reporting year minus five
Column PY4: Current reporting year minus four
Column PY3: Current reporting year minus three
Column PY2: Current reporting year minus two
Column PY1: Current reporting year minus one
Column Current: Current reporting year
Column K: Unallocated
Column L: Total
In cases where the data may not be available by Vintage, report the data in the Unallocated column. Loans sold prior to PY82004 should be excluded from all data fields with the exception of Projected Future Losses to BHC Charged to Repurchase Reserve. Projected Future Losses to BHC Charged to Repurchase Reserve associated with Vintages prior to PY82004 should be included in the Unallocated column. It is expected that use of the Unallocated column will be very limited. Any loans sold 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.
Tables A through F: For Tables A through F, data will be represented in three sections.
Section 1: Report in Section 1 loans for which the outstanding unpaid principal balance (UPB) and delinquency information requested is available.
For row variables described 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. Firms should provide detailed explanations for all exempted populations in the supporting documentation, detailing the amounts and reasons for exemption (i.e. settlement, previously repurchased), and specifics of any finalized settlements (including exposures and timeframes covered by these settlements and the date the settlements were finalized). The firm should also explain any material changes in historical vintage exposure compared to prior year. Only finalized settlements should be considered Exempt; any loans subject to a pending settlement should be included on this worksheet. Loans for which a repurchase request has been made and subsequently rescinded should also be considered Exempt. Loans paid in full are not part of the exempt population unless they satisfy the exemption criteria defined above.
The row variables for Section 1 identified in Tables A through F should be completed using the following categories:
Original UPB:
Report the original UPB of all of the loans, including closed loans.
Original UPB (Excluding Exempt Population):
Report the original UPB of the loans, including closed loans but excluding the exempt population.
Outstanding UPB (Excluding Exempt Population):
Report the outstanding UPB as of September 30 of the reporting year, excluding the exempt population.
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 table collects delinquency categories as defined above. The sum of the four delinquency categories listed below should equal the outstanding UPB reported for that age.
As part of Section 1 for Tables A through F, when reporting the row variable for this item, the following delinquency categories will be utilized:
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):
Report cumulative net credit losses realized by investors in the loans through September 30 of the reporting year, excluding the exempt population as defined above. Cumulative net credit losses are defined as cumulative collateral loss incurred to date. Refer to the FR Y-9C, Schedule HC-P, item 6 for a further definition of "credit loss".
Repurchase Requests Outstanding (Excluding Exempt Population):
Report Repurchase Requests Outstanding, which is the total UPB of the loans which the investor has requested a repurchase of the loan or indemnification for any losses but a resolution had not been reached as of September 30 of the reporting year. Note that this variable is by definition exclusive of the exempt population as defined above.
Loss to-date Due to Denied Insurance and/or Indemnification (applicable to Table C.1 only):
Report 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. Also include any losses incurred due to indemnification agreements that were established with the US Government on loans with identified defects.
Estimated Lifetime Net Credit Losses (Excluding Exempt Population):
Report 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):
Report 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. Refer to the FR Y-9C, Schedule HC-P, item 7 for a further definition of “repurchase reserve”. Any amount of projected future losses associated with Vintages prior to PY82004 should be highlighted in the supporting documentation and included in the Unallocated column.
Section 2: Report in Section 2 loans for which the outstanding UPB or delinquency information is not available. Due to the missing data associated with loans reported in Section 2, loans in this population will be treated with conservative assumptions.
The row variables for Section 2 identified in Tables A through F should be completed using the following categories:
Original UPB:
Report the original UPB of all of the loans, including closed loans.
Original UPB (Excluding Exempt Population):
Report the original UPB of the loans, including closed loans but excluding the exempt population.
Outstanding UPB (Excluding Exempt Population):
Report the outstanding UPB as of September 30 of the reporting year, excluding the exempt population.
For row variables described 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. Note: Only exclude finalized settlements; any loans subject to a pending settlement should be included on this worksheet.
Loans for which a repurchase request has been made and subsequently rescinded. Note: Loans paid in full are not part of the exempt population unless they satisfy the exemption criteria defined above.
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population):
Report 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.
Data collected in Sections 1 and 2 should be mutually exclusive.
Section 3: Report in Section 3 the projected future lifetime losses that would be charged-off through the repurchase reserve under each scenario, as defined in Part III of these instructions.
The row variable for Section 3 identified in Tables A through F should be completed using the following category:
Projected Future Losses to BHC Charged to Repurchase Reserve:
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.
As part of Section 3 for Tables A through F, please distribute the projected future lifetime losses that would be charged-off through the repurchase reserve under each scenario, as defined in Table Instructions below, over the quarters displayed defined in each column header (i.e., PQ1 through PQ9, and PQ10 or later).
Column headers are defined as:
Column B: Current reporting year Q4
Column C: Current reporting year plus one – Q1
Column D: Current reporting year plus one – Q2
Column E: Current reporting year plus one – Q3
Column F: Current reporting year plus one – Q4
Column G: Current reporting year plus two – Q1
Column H: Current reporting year plus two – Q2
Column I: Current reporting year plus two – Q3
Column J: Current reporting year plus two – Q4
Column K: Current reporting year plus three or later
Column L: Total
For Tables A through F, the sum of the projected future losses in Sections A.3 – F.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 Sections A.1 – F.1 and A.2 – F.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 Sections A.3 - F.3 is calculated in Section 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 FR Y-14A summary workbook.
Table Instructions
Tables A—Loans Sold to Fannie Mae (FNMA)
Tables B—Loans Sold to Freddie Mac (FHLMC)
Tables C—Loans Insured by the US Government
Loans insured by the US Government include loans insured by the Federal Housing Administration (FHA) or the Farmers Home Administration (FmHA) or guaranteed by the Veterans Administration (VA) that back Government National Mortgage Association (GNMA) securities, i.e., ‘‘GNMA loans.” Include all loans insured by the US Government including those on balance sheet (including any GNMA buyouts or on-balance sheet FHA exposures) or sold into a GNMA security.
Tables D—Loans Securitized with Monoline Insurance
Include 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
Include loans packaged into a securitization but not wrapped with monoline insurance;
Tables F—Whole Loans Sold
Include 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.
Table G – —Total Loss Projections
The Retail ASC 310‐30 worksheet (Accounting Standards Codification (ASC) Subtopic 310‐30, 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”) collects information and projections on the BHCs’ retail purchased credit impaired (PCI) portfolio reported as held for investment on the FR Y-9C, Schedule HC-C, Items 1 through 9. Do not report PCI loans that are either (1) loans held for sale; or (2) loans held for investment accounted for under the fair value option. Provide actual information (required only in the baseline scenarios) for the third quarter of the reporting period and projected information for the future quarters (where applicable).
Submit the information requested by product loan type, 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.
The FR Y-9C Glossary entry for “Purchased Impaired Loans and Debt Securities” contains further information on the carrying value, the nonaccretable difference, and the accretable yield.
For Sections A through, E, report line items 1 through 14 for the current quarter (CQ) and nine subsequent projected quarters (PQ1 through PQ9). Information reported on this schedule will be collected in Sections A through E, as follows:
First Lien Mortgages
The term “first lien mortgages” is defined as all loans meeting the definition of FR Y-9C, Schedule HC-C, item 1.(c).(2)(a). The loan population includes all loans directly held in the BHC’s portfolio.
Junior Lien HELOANs
The term “junior lien HELOANs” is defined as all loans meeting the definition of FR Y-9C, Schedule HC-C, Item 1.(c).(2)(b). The loan population includes all loans directly held in the BHC’s portfolio.
HELOCs
The term “HELOCs” (home equity line of credit) is defined as all loans meeting the definition of FR Y-9C, Schedule HC-C, Item 1.(c).(1). The active loan population includes all loans directly held in the BHC’s portfolio
Other (specify in documentation)
Provide information on all other PCI retail loans that do not meet the definition of first lien mortgages, junior lien HELOANs, or HELOCs (see above for definitions). Categorize “other loans” according to their classification on the Retail Balance and Loss Projections worksheet. Specify the applicable loan category(s), and report items 1 through 14 (e.g. Carry Value, Allowance, Net Carry Value, etc.) for the current quarter and nine subsequent projected quarters for each loan category.
Portfolio to be Acquired (specify in documentation)
Provide information on all PCI loans that are to be acquired. Classify PCI loans to be acquired according to the ASC 310-30 loan categories provided in Sections A through D (e.g. first lien mortgages, junior lien HELOANS, HELOCs, corporate cards, etc.). Specify the applicable loan category(s), and report items 1 through 14 (e.g. Carry Value, Allowance, Net Carry Value, etc.) for the current quarter and nine subsequent projected quarters for each loan category on the worksheet. In supporting documentation, provide details on the composition of the portfolio(s) of PCI loans to be acquired and on the deals related to the acquisition of these PCI loans.
Line item 1 Carry Value
Report the carrying value of the ASC 310-30 PCI loans held for investment as they are reported on the balance sheet. Carrying value does not reflect any allowance for loan losses, but includes purchase accounting adjustments (including the nonaccretable difference and the accretable yield). The reported amount should be consistent with the amount reported on the FR Y-9C, Schedule HC-C, Memoranda Item M.5(b).
Line item 2 Allowance
Report the amount of any allowance for loan losses that has been established for the PCI loans. The FR Y-9C, Glossary entries for “Allowance for Loan and Lease Losses” and “Purchase Impaired Loans and Debt Securities” contain further information.
Line item 3 Net Carry Value
Report the carry value less any allowance. This field is automatically calculated.
Line item 4 Unpaid Principal Balance
Report the total contractual unpaid principal balance of ASC 310‐30 (SOP 03‐3) PCI loans as of quarter‐end.
Line item 5 Initial Day 1 Nonaccretable Difference to Absorb Cash Flow Shortfalls on PCI Loans
Report the initial Day 1 nonaccretable difference, which is the estimate at the date of acquisition of contractual cash flows not expected to be collected. Specify whether this includes principal only or principal plus interest. On the reporting form, this field only needs to be completed with data from the third quarter of the current year (i.e. the first column). In Supporting Documentation, specify whether this includes principal only or principal plus interest.
Line item 6 Quarter Ending Non Accretable Difference (NAD)
Report the amount of the Day 1 NAD remaining (see Item 5, above), net of (1) the amount allocated to offset ‘Charge Offs to Date’ (provided in Item 7) and (2) any amounts reclassified to accretable yield under ASC 310-30.
Line items 7 and 8 Cumulative “Charge-Offs” to Date
Report the amount of cumulative charge-offs that would have been recognized through the quarter to date based upon contractual amounts due from the borrower under the firm's charge-off policy. In other words, for these items, charge-offs should be calculated based upon the contractual amount due from the borrower rather than the carrying amount recorded on the balance sheet, considering the firm's charge-off policy. Report the cumulative amount of charge-offs to date, if any, that have been charged against the nonaccretable difference (Item 7) and/or the allowance (Item 8). In supporting documentation, Report the amount of cumulative charge-offs to date that have been charged against the nonaccretabe difference and/or the allowance. Refer to the Supporting Documentation Instructions for guidance on providing supporting documentation.
Line item 9 Provisions to Allowance
Report the amount of provisions to the allowance recognized in the income statement in the quarter due to changes in expected cash flows for PCI loans. Provide increases to the allowance as a positive number and reversals of the allowance as a negative number.
Line items 10 and 11 Quarterly “Charge-Offs”
Report the amount of charge-offs for the quarter to date that would have been recognized based upon contractual amounts due from the borrower under the firm's charge-off policy. In other words, for these items, charge-offs should be calculated based upon the contractual amount due from the borrower rather than the carrying amount recorded on the balance sheet, considering the firm's charge-off policy. In Supporting Documentation, report the amount of charge-offs for the quarter, if any, that have been charged against the nonaccretable difference and/or the allowance.
Line item 12 Accretable Yield Remaining
Report the accretable yield remaining as of the quarter-end.
Line item 13 Accretable Yield Accreted to Income
Report the amount of accretable yield recognized as income in the quarter.
Line item 14 Effective Yield (%)
Report the effective interest rate at which income is recognized in the quarter.
Supporting Documentation
Please refer to Appendix A: Supporting Documentation for guidance on providing supporting documentation.
General Instructions
High-Level OTTI Methodology and Assumptions for AFS and HTM Securities by Portfolio, Projected OTTI for AFS and HTM Securities by Portfolio, Post-Trading Shock Market Values for AFS Securities, and Actual AFS and HTM Fair Market Value Sources by Portfolio collect data on the following types of securities: 1) government agency mortgage-backed securities (MBS); 2) auction rate securities; 3) collateralized debt obligations (CDOs); 4) collateralized loan obligations (CLOs); 5) commercial mortgage-backed securities (CMBS); 6) common stock (equity); 7) auto asset-backed securities (ABS); 8) Credit Card ABS; 9) Student Loan ABS; 10) Other ABS (excluding home equity loan ABS); 11) corporate bonds; 12) domestic non-government agency residential mortgage-backed securities (RMBS, includes home equity loan ABS) such as Alt-A (option ARM), Alt-A FRM, Alt-A ARM, closed-end second, HELOC, Scratch & Dent, Subprime, Prime Fixed, and Prime ARM securities; 13) Foreign RMBS; 14) municipal bonds; 15) mutual funds; 16) preferred stock (equity); 17) sovereign bonds; 18) U.S. Treasuries & other government agency non-mortgage-backed securities; and 19) other securities (for "other" AFS and HTM securities, please provide the security type in row 28, currently labeled "Other", adding extra rows below as necessary. If using additional rows, BHCs should ensure that the totals sum appropriately) as defined in the FR Y-14Q, Schedule B, Securities.
WorksheetA. 3.a—Projected OTTI for AFS Securities and HTM Securities by CUSIP
For each position that incurred a loss in P&L, 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.
Worksheet A.3.b—High-Level OTTI Methodology and Assumptions for AFS and HTM Securities by Portfolio
Complete the unshaded cells in the table provided. In the “Threshold for Determining OTTI” column, report either the price-based threshold, the ratings-based threshold, the cash flow model-based threshold, or other threshold. Report the aggregate cumulative lifetime loss on underlying collateral (% original balance) as the total undiscounted loss amount (including both historical and projected losses) for the underlying collateral as a percentage of original principal balance of the securities aggregated by portfolio. In the “discount rate methodology” column, state whether a market-based or accounting-based (e.g., book /purchase price) discount is used. In the final three columns: provide the name(s) of any vendor(s) and any vendor models that are used, indicate whether all securities were reviewed for potential OTTI for stress testing and provide the macro-economic and financial variables used in loss estimation.
Worksheet A.3.c—Projected OTTI for AFS and HTM Securities by Portfolio
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. 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. Amortized Cost should represent all Securities held, regardless of if they are impaired or not. Only securities projected to experience an other-than-temporary impairment loss in the P&L should be reported in the "Credit Loss Portion" and "Non-Credit Loss Portion" columns. 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 these columns. OTTI values should be stated as positive values.
Worksheet A.3.d— Projectedost- OCI and Fair Shock Market Values for AFS Securities
BHCs should estimate and provide fair values of AFS securities based on a re-pricing of 09/30 positions held on the reporting date. All BHCs should estimate results using the conditions specified in the macroeconomic scenario. The “Total Actual Fair Market Value” column is the end-of-quarter fair value of the portfolio assets for the reporting quarter. The “Projected OCI” in Columns D - L each represent the pre-tax incremental change in Accumulated Other Comprehensive Income during the period due to changes in the fair value of the securities in the portfolio and may also reflect changes in amortized cost, including changes due to amortization and accretion, or any other anticipated factors affecting the amortized cost amounts of AFS holdings. These columns, including the “Total Projected OCI in all Quarters”, may be affected by changes in a securities' amortized cost due to a projected experience of OTTI and estimate of OTTI write-down for a given quarter.
BHCs should estimate and provide fair market values of AFS securities based on a re-pricing of 09/30 positions held on the reporting date. BHCs with substantial trading and counterparty exposures, and that are therefore subject to the global market shock component of the adverse and severely adverse scenarios, must use the set of hypothetical risk factor shocks the Federal Reserve provides to estimate results, while all other BHCs should estimate results using the conditions specified in the macroeconomic scenario.
Worksheet A.3.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. In the “Principal Market Value Source” column, state whether a vendor or proprietary model is used. If using a third party vendor, provide the name of the vendor. BHCs should also indicate how often securities are normally marked to market (e.g., daily, weekly, quarterly, etc.).
Supporting documentation:
Please refer to Appendix A: Supporting Documentation for guidance on providing supporting documentation.
Only the BHCs subject to the market shock scenario are required to complete this worksheet.
The Trading worksheet collects firm-wide trading profit and loss (P/L) results decomposed into the various categories listed (e.g., Equities, FX, Rates) as of a date specified by the Federal Reserve or another recent reporting date prior to the supplied as-of date as appropriate (see When to Report section of the General Instructions for additional detail). These categories are not meant to denote lines of business or desks, but rather firm-wide totals by risk. The decomposition of losses into risk areas should sum to equal the total trading mark-to-market (MTM) loss reported on the income statement. Report total P/L for the entire scenario horizon. When reporting P/L numbers, report profits as positive numbers and losses as negative numbers.
Column Instructions
Column A Firmwide Total
Report firm-wide total trading profit and loss for the entire scenario horizon.
Column B Contributions from Higher-Order Risks
Report contributions to P/L included in Column A from higher-order risks. Higher order risks are those inter-asset risks attributable to terms not represented in the FR Y-14Q. The highest order term represented in the FR Y-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.
Column C Contributions from CVA Hedges
Report contributions to P/L included in column A from Credit Value Adjustment (CVA) hedges.
Line item Instructions
The categories are not meant to denote lines of business or desks, but rather firmwide totals by risk. Categorization matches that on the FR Y-14Q. See FR Y-14Q Trading Schedule instructions for additional detail.
Line item 1 Equity
Report the contribution to P/L from exposures associated with firmwide Equity risk.
Line item 2 FX
Report the contribution to P/L from exposures associated with firmwide FX risk.
Line item 3 Rates
Report the contribution to P/L from exposures associated with firmwide Rates risk.
Line item 4 Commodities
Report the contribution to P/L from exposures associated with firmwide Commodities risk.
Line item 5 Securitized Products
Report the contribution to P/L from exposures detailed on the Securitized Products and Agencies worksheets of the FR Y-14Q Trading Schedule.
Line item 6 Other Credit
Report the contribution to P/L from all credit products other than those specified on the Securitized Products or Agencies worksheets of the FR Y-14Q.
Line item 7 Private Equity
Report the contribution to P/L from exposures detailed on the Private Equity Worksheet of the FR Y-14Q Trading Schedule.
Line item 8 Other Fair Value Assets
Report the contribution to P/L from exposures detailed on the Other Fair Value Assets Worksheet of the FR Y-14Q Trading Schedule.
Line item 9 Cross-Asset Terms
Report the contribution to P/L from intra-asset risks attributable to the co-movement of multiple 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.
Line item 10 Total
Report the total of lines 1 through 9. This total must equal line 58, Trading mark-to-market (MTM) loss, reported on the Income Statement worksheet of this Schedule.
Supporting Documentation
Please refer to Appendix A: Supporting Documentation for guidance on providing supporting documentation.
Only the BHCs subject to the market shock scenario are required to complete this Worksheet.
The CCR worksheet collects projected counterparty credit losses as of a date specified by the Federal Reserve. Losses should be reported as positive values.
Line item 1 Trading Incremental Default Losses (Trading IDR)
Report incremental default risk (IDR) of credit sensitive assets in the trading book over the projection horizon. Trading IDR represents the additional losses incurred from default of underlying securities (obligors) in the trading book, beyond the MTM losses already captured by the MTM trading book shocks. To estimate Trading IDR, firms can leverage calculations under the Basel methodology as defined in Basel Committee on Banking Supervision (BCBS) Guidelines for Computing Capital for Incremental Risk in the Trading Book.7 Alternatively, BHCs may use an existing internal methodology/process for IDR. Default risk should be consistent with the macroeconomic scenario. Where separate methodologies are used to calculate CCR IDR and Trading IDR, provide separate data results and supporting details. BHCs should not reflect diversification benefits between Trading IDR and CCR IDR in their calculations.
Line item 1a Trading Incremental Default losses from securitized products
Report 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.
Line item 1b Trading Incremental Default losses from other credit sensitive instruments
Report 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.
Line item 2 Counterparty Credit MTM Losses (CVA Losses)
Report Counterparty Credit MTM Losses. Report total losses as equivalent to the BHC's calculation of aggregate stressed CVA less unstressed CVA for each scenario. This figure, the sum of items 2a and 2b should correspond to the difference between aggregate stressed CVA and aggregate unstressed CVA, as reported in Schedule F – Counterpart Credit Risk, Worksheet 1.e, for all scenarios.
Line item 2a Counterparty CVA losses
Report Counterparty CVA losses.
Line item 2b Offline Reserve CVA losses
Report CVA losses that result from offline/additional CVA reserve.
Line item 3 Counterparty Incremental Default Losses (CCR IDR)
Report incremental default risk (IDR) over the projection horizon of over-the- counter (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 and severely adverse scenarios provided by the Federal Reserve and severely 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 data 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.
Line item 3a Impact of CCR IDR Hedges
Report the reduction to CCR IDR losses reported in item 3 due to the gains from single name CDS hedges of defaulting counterparties.
Line item 4 Other CCR losses
Report other CCR losses, such as jump to default (JTD) losses, as required by CCAR instructions not reported in items 1, 2 or 3 above.
Supporting Documentation
Please refer to Appendix A: Supporting Documentation for guidance on providing supporting documentation.
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. Boundary events are 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. An operational loss event is defined as an event that results in loss and is associated with operational loss event type categories as outlined in the definition section of these instructions. 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 item 29, Operational Risk Expense, and should be excluded from reserves.
See Schedule E – Operational Risk for additional operational risk reporting requirements.
Definitions
Refer to the following definitions when completing the Operational Risk Scenario Inputs and Projections worksheet, and the BHC Operational Risk Historical Capital worksheet:
1. Event Types: The event type is one of seven industry standard categories that reflect the nature of the underlying operational loss. The seven categories are:
Internal Fraud: Losses due to acts of a type which involve at least one internal party and are intended to defraud; misappropriate property; or circumvent regulations, the law, or company policy, excluding diversity and discrimination events.
External Fraud: Losses due to acts of a type intended to defraud, misappropriate property or circumvent the law, by a third party.
Employment Practices and Workplace Safety: Losses arising from acts inconsistent with employment, health or safety laws or agreements, from payment of personal injury claims, or from diversity / discrimination events.
Clients, Products and Business Practices: Losses arising from an unintentional or negligent failure to meet a professional obligation to specific clients (including fiduciary and suitability requirements), or from the nature or design of a product.
Damage to Physical Assets: Losses arising from loss or damage to physical assets from natural disaster or other events.
Business Disruption and System Failure: Losses arising from disruption of business or system failures.
Execution, Delivery and Process Management: Losses from failed transaction processing or process management, from relations with trade counterparties and vendors.
2. Type of Data:
External data: Historical operational losses that have been experienced by other BHCs.
Internal data: Historical operational losses that have been experienced by the BHC.
Operational Risk Scenario Analysis: A systematic process of obtaining expert opinions from business managers and risk management experts to derive reasoned assessments of the likelihood and loss impact of plausible high severity operational losses
Business Environment and Internal Control Factors (BEICFs): Risk and control assessments, key risk indicators, and other factors useful in identifying the level of risk within an organization.
Model Output: Output generated by an internal or external model, such as a factor model
Other: Data types unique to an organization’s operational risk framework
3. Brief Description: Description of operational loss event or other factor considered.
4. Unit of Measure: The level at which the BHC's quantification model generates a separate distribution for estimating potential operational losses (e.g., organizational unit, operational loss event type, risk category).
5. Dollar Contribution to Operational Loss Estimate: For each row of operational risk data considered in the operational loss projections, indicate the dollar amount that was used in the operational loss projection included in PPNR. Total should agree to the projected “Operational risk expense” amount included in Line 29 in the PPNR Projections worksheet.
Worksheet Instructions
The BHC Operational Risk Scenario Inputs and Projections 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, quantitative methods, 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 generally 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 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.
Loss Projections based on Legal Reserves and Settlements
As part of the overall Operational Risk loss projections, BHCs should report the potential impact of significant amounts that may be paid to prevent or mitigate an operational loss settlement with clients, or 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, payouts that comply with adverse legal rulings, and other legal losses if they are not covered on the PPNR Projections Worksheet under items 14N and 30 (Provisions to Repurchase Reserve / Liability for Residential Mortgage Representations and Warranties). If specifically linked to operational risk, BHCs should 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 that are unrelated to operational risk should be included in item 31 (Professional and Outside Services Expenses) on the PPNR Projections Worksheet.
Supporting documentation:
Please refer to Appendix A: Supporting Documentation for guidance on providing supporting documentation.
A. General Technical Details
This section 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 Instructions for FR Y-14A projections.
All line item definitions and identification numbers are consistent between the FR Y-14A and FR 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 request an exemption.
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 numerical 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. For numerical fields requesting information in percent (e.g. average rates earned), use standard format where .01 = 1%. Do not use non numerical characters in numerical fields.
If there is no information for certain descriptive fields, then populate the fields with “N/A.” Do not leave descriptive fields blank.
The BHCs need to ensure that (a) revenues and expenses reported always reconcile on a net basis to FR Y-9C, Schedule HI, item 3 plusminus item 5.m minus 7.e plus item 7.c.(1) minus item 40 of PPNR Submission/Projections worksheet (note that this does not include losses resulting from the trading shock exercise), (b) Net Interest Income is equal between the PPNR Submission/Projections and PPNR Net Interest Income worksheets, and that (c) Average balances reported for the purposes of the PPNR Net Interest Income worksheet equal FR Y-9C, Schedule HC-K, item 5 for average assets and an average of FR Y-9C, Schedule HC, item 21 for average liabilities. BHCs should follow the same guidance when restating data to correct any errors either internally identified or identified by the Federal Reserve.
Materiality Thresholds
BHCs for which deposits comprise less than 25 percent of total liabilities for any period reported in any of the four most recent 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 noninterest 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.
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, items 465A-465D) 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, item 1110).
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/Projections wWorksheet 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 wWorksheet should be designated as “Primary Net Interest Income.” PPNR Net Interest Income Worksheet will be “Supplementary Net Interest Income” for such BHCs by default, but is optional. Note that this designation would refer only to the net interest income portion of the worksheets.
B. Commonly Used Terms and Abbreviations
Credit cards: Unless specified otherwise, use the same definitions as provided in the FR Y-14M Credit Card schedule
Domestic Revenues: Revenues from the US and Puerto Rico only. Note that this differs from the definition of domestic on the FR Y-9C.
International Revenues: Revenues from regions outside the US and Puerto Rico.
Pre-provision Net Revenue (PPNR): Sum of net interest income and noninterest income net of noninterest expense, with components expected to reconcile with those reported in the FR Y-9C 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 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 noninterest expense line items on the PPNR schedules. Total Loans Held for Sale and Loans Accounted for under the Fair Value Option (item 57 of the Income Statement worksheet) are excluded only if they are a result of a market shock exercise. Other Losses (item 66) are excluded as applicable and are expected to be infrequent.
Revenues: Sum of net interest income and noninterest income adjusted for selected exclusions, as reported on line item 27 of the PPNR Projections worksheet.
Run-Off or Liquidating Businesses: operations that do not meet an accounting definition of “discontinued operations” but which the BHC intends to exit. In order to facilitate the calculation of the proper net interest income on the Net Interest Income worksheet, report total balances related to discontinued operations as a negative number in “Other” in items 15 and 38 and the corresponding average rates earned in items 31 and 46. BHCs should provide a detailed listing of the type (by corresponding line item on the Net Interest Income worksheet) of such balances reported as negative items in “Other” and the corresponding rates in the submission documentation.
Worksheet A.7.a—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. If there is a difference between the FR Y-14 standardized reporting requirements and the BHCs’ internal view used for internal capital planning purposes, the BHCs should report data in the PPNR worksheets only per the standardized FR Y-14 requirements. The BHCs are encouraged to provide data consistent with their own internal view in supporting documentation, accompanying the FR Y-14A Projections and discuss data differences. If the BHCs are unable to comply with the requirements, they can request a temporary exemption. This guidance applies to PPNR Submission/Projections and PPNR Net Interest Income worksheets. Please see guidance for PPNR Metrics in the PPNR Metrics section of the instructions.
Revenue Components
Revenue items are divided into net interest income and noninterest 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 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 instructions regarding methodology used should be provided in the memo required with the FR Y-14A 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 noninterest income and noninterest 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 noninterest income items is requested based on a business segment/line view, with business segments/lines defined as follows8:
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.
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.”
Net Interest Income by Business Segment (unless specified otherwise, all numbers are global).
Line item 1 Retail and Small Business
This item is a shaded cell and is derived, per column, from the sum of items 1A and 1G. For items 1A through 1F, domestic includes U.S. and Puerto Rico only.
Report in the appropriate sub-item all net interest income related to retail and small business banking and lending, including both ongoing as well as run-off and liquidating businesses9. Exclude any revenues related to Wealth Management/Private Banking (WM/PB) clients even if they are internally classified as retail. 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 Projection worksheet.
Line item 1A Domestic
This item is a shaded cell and is derived, per column, from the sum of items 1B through 1F.
Line item 1B Credit and Charge Cards
Report interest income from domestic BHC issued credit and charge cards to retail customers including those that result from partnership agreements. May include revenue that is generated on domestic accounts due to foreign exchange transactions and corporate cards. Exclude the following:
other unsecured borrowing and debit cards;
small business cards (report in Other Retail and Small Business Lending, item 1F);
wholesale and commercial cards (report in Treasury Services, item 8).
Cards to Wealth Management/Private Banking clients (report in Wealth Management/Private Banking, line 19B)
Line item 1C Mortgages
Report interest income from domestic residential mortgage loans offered to retail customers.
Line item 1D Home Equity
Report interest income from domestic home equity loans and lines of credit (HELOANs/HELOCs) provided to retail customers.
Line item 1E Retail and Small Business Deposits
Report interest income from 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. This item does not include any lending revenues.
Line item 1F Other Retail and Small Business Lending
Report interest income from other domestic retail and small business lending products and services. These include, but are not limited to, small business cards, loans, auto loans, student loans, or personal unsecured credit. All domestic lending revenues not captured in Credit Cards, Mortgages, and Home Equity should be reported here.
Line item 1G International Retail and Small Business
Report interest income from retail and small business generated outside of the U.S. and Puerto Rico. Includes, but is not limited to, all international revenues from credit/charge/debit cards, mortgages, home equity, branch and deposit services, auto, student, and small business loans.
Line item 2 Commercial Lending
Report interest income 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.
Line item 3 Investment Banking
Report in the appropriate sub-item all interest income generated from investment banking services provided to business and institutional entities of both medium and large size. Include revenues from new issue securitizations for third parties. Business lines are defined as follows:
Advisory: Corporate strategy and financial advisory, such as services provided for mergers and acquisitions (M&A), restructuring, financial risk management, among others.
Equity Capital Markets: Equity investment banking services (e.g., IPOs or secondary offerings).
Debt Capital Markets: Generally non-loan debt investment banking services.
Syndicated/Corporate Lending: Lending commitments to larger corporate clients, including event or transaction-driven lending (e.g., to finance M&A, leveraged buyouts, bridge loans). Generally, all syndicated lending origination activity should be included here (not in Commercial Lending).
Line item 4 Merchant Banking/ Private Equity
Report interest income from private equity (PE), real estate, infrastructure, and principal investments in hedge funds. May include principal investment related to merchant banking activities.
Line item 5 Sales and Trading
This item is a shaded cell and is derived, per column, from the sum of items 5A and 5B.
Report in the appropriate sub-item all interest income 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.
Line item 5A Prime Brokerage
Report interest income generated from 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.
Line item 5B Other
Report interest income from all other Sales & Trading activities. These include, but are not limited to:
Equities: Commissions, fees, dividends, and trading gains and losses on equity products. Exclude prime brokerage services.
Fixed Income: Commissions, fees, and trading gains and losses on rates, credit, and other fixed income products. Exclude prime brokerage services.
Rates: Generally U.S. Treasury, investment grade sovereign, U.S. agency bonds, and interest rate swaps. Rates revenues related to trading activities outside of the Sales & Trading division need not be included into the Rates trading in this section, but describe where they are allocated in the BHC’s documentation supporting the FR Y-14A submission.
Credit: Generally corporate bonds, loans, ABS, muni, emerging markets, CDS. If a BHC classifies some of the credit related trading (such as distressed debt) in segments other than “Sales & Trading,” it can continue to report it as in its internal financial reports but indicate where they are reported in the documentation supporting FR Y-14A submission.
Other: e.g., FX/Currencies if not included above.
Commodities: Commissions, fees, and trading gains and losses on commodity products. Exclude prime brokerage services.
Line item 6 Investment Management
Report all interest income 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 and retail brokerage services for both WM/PB and non WM/PB clients.
Line item 7 Investment Services
Report all interest income generated from investment servicing. Exclude prime brokerage revenues. Business lines are defined as follows:
Asset Servicing: Custody, fund services, securities lending, liquidity services, collateral management; and other asset servicing. Include record keeping services for 401K and employee benefit plans, but exclude funding or guarantee products offered to such clients.
Issuer Services: Corporate trust, shareowner services, depository receipts, and other issuer services.
Other Investment Services: Clearing and other investment services.
Line item 8 Treasury Services
Report all interest income from 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/corporate and commercial cards.
Line item 9 Insurance Services
Report all interest income 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.
Line item 10 Retirement/Corporate Benefit Products
Report premiums, fees, and other interest income 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.
Line item 11 Corporate/Other
Report interest income 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 businesses10 (but exclude retail and small business run- off/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).
Line item 12 Optional Immaterial Business Segments
BHCs have the option to report less material business segment revenue in 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 Instructions 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. List segments included in this line item in Footnote 7.
Line item 13 Total Net Interest Income
This item is a shaded cell and is derived, per column, from the sum of items 1, 2 through 5, and 6 through 12. Line item 13, per column, should equal item 495 on PPNR NII Worksheet, if completed.
Noninterest Income by Business Segment (unless specified otherwise, all numbers are global).
Line item 14 Retail and Small Business
This item is a shaded cell and is derived, per column, from the sum of items 14A and 14T.
Line item 14A Domestic
This item is a shaded cell and is derived, per column, from the sum of items 14B, 14E, 14O, and 14S.
Report in the appropriate sub-item all domestic revenues related to retail and small business banking and lending, including both ongoing as well as run-off and liquidating businesses11. Exclude any revenues related to Wealth Management/Private Banking (WM/PB) clients even if they are internally classified as retail. 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 Projection worksheet.
Line item 14B Credit and Charge Cards
This item is a shaded cell and is derived, per column, from the sum of items 14C and 14D.
Report in the appropriate sub-item all noninterest income generated from domestic BHC issued credit and charge cards to retail customers including those that result from a partnership agreements. May include revenue that is generated on domestic accounts due to foreign exchange transactions and corporate cards. Exclude the following:
other unsecured borrowing and debit cards;
small business cards (report in Other Retail and Small Business Lending, item 1F);
wholesale and commercial cards (report in Treasury Services, item 8);
Cards to Wealth Management/Private Banking clients (report in Wealth Management/Private Banking, line 19B)
Line item 14C Credit and Charge Card Interchange Revenues - Gross
Report interchange revenues from all domestic BHC issued credit and charge cards including those that result from a partnership agreement.
Line item 14D Other
Report all other fee income and revenue earned from credit and charge cards not captured in item 14C.
Line item 14E Mortgage and Home Equity
This item is a shaded cell and is derived, per column, from the sum of items 14F, 14I and 14N. Report in the appropriate sub-item noninterest income generated from domestic residential mortgage loans offered to retail customers and domestic home equity loans and lines of credit (HELOANs/HELOCs) provided to retail customers.
Line item 14F Production
This item is a shaded cell and is derived, per column, from the sum of items 14G and 14H.
Line item 14G Gains/Losses on Sale
Report gains/(losses) from the sale of domestic 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.
Line item 14H Other
Report all other fee income and revenue earned from mortgage production not captured in item 14G.
Line item 14I Servicing
This item is a shaded cell and is derived, per column, from the sum of items 14J, 14K, 14L, and 14M.
Line item 14J Servicing & Ancillary Fees
Report fees received from activities relating to the servicing of mortgage loans, including (but not limited to) the collection principal, interest, and escrow payments from borrowers; payment of taxes and insurance from escrowed funds; monitoring of delinquencies; execution of foreclosures; temporary investment of funds pending distribution; remittance of fees to guarantors, trustees, and others providing services; and accounting for and remittance of principal and interest payments to the holders of beneficial interests in the financial assets.
Line item 14K MSR Amortization
Include economic amortization or scheduled and unscheduled payments, net of defaults under both FV and LOCOM accounting methods.
Line item 14L MSR Value Changes due to Changes in Assumptions/Model Inputs/Other Net of Hedge Performance
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 MSR changes under both FV and LOCOM accounting methods.
Line item 14M Other
Report all other revenue earned from servicing activities not captured in lines 14J through 14L.
Line item 14N Provisions to Repurchase Reserve/Liability for Residential Mortgage Representations and Warranties (contra-revenue)
Report 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. Exclude all provisions to litigation reserves/liability for claims related to sold residential mortgages (report in item 29).
Line item 14O Retail and Small Business Deposits
This item is a shaded cell and is derived, per column, from the sum of items 14P, 14Q and 14R. Report in the appropriate sub-item noninterest income from 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.
Line item 14P Non-Sufficient Funds/Overdraft Fees – Gross
Report noninterest income from fees earned from insufficient fund deposit balances and overdrawn client deposit accounts. Report before any contra-revenues (e.g., waivers, etc.).
Line item 14Q Debit Interchange – Gross
Report noninterest income from interchange fees earned on debit cards. Report before any contra-revenues (e.g., rewards, etc.).
Line item 14R Other
Among items included here are debit card contra-revenues, and overdraft waivers, as applicable. The reporting of debit card contra-revenues and expenses should be consistent with the BHC’s FR Y-9C methodology.
Line item 14S Other Retail and Small Business Lending
Report noninterest income from other domestic retail and small business lending products and services. These include, but are not limited to, small business cards, other small business loans, auto loans, student loans, or personal unsecured credit.
Line item 14T International Retail and Small Business
Report noninterest income from retail and small business generated outside of the US and Puerto Rico. 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.
Line item 15 Commercial Lending
Report noninterest income 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.
Line item 16 Investment Banking
This item is a shaded cell and is derived, per column, from the sum of items 16A through 16D. Report in the appropriate sub-item noninterest income 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.
Line item 16A Advisory
Corporate strategy and financial advisory, such as services provided for mergers and acquisitions (M&A), restructuring, financial risk management, among others.
Line item 16B Equity Capital Markets
Equity investment banking services (e.g., IPOs or secondary offerings).
Line item 16C Debt Capital Markets
Generally non-loan debt investment banking services.
Line item 16D 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).
Line item 17 Merchant Banking/ Private Equity
This item is a shaded cell and is derived, per column, from the sum of items 17A through 17C.
Report in the appropriate sub-item revenues from the sponsorship of, management of, or from investing in, distinct long-term investment vehicles, such as real estate funds, private equity funds, hedge funds or similar vehicles. Also include direct long-term investments in securities and assets made primarily for capital appreciation, or investments where the BHC is likely to participate directly in corporate governance. Do not include revenues from sales & trading operations, corporate lending outside of a fund structure, investing in a HTM or AFS securities portfolio, brokerage or mutual fund operations.
Line item 17A Net Investment Mark-to-Market
Report the net gain or loss from sale or from the periodic marking to market of Merchant Banking/Private Equity investments.
Line item 17B Management Fees
Report fees and commissions paid by third parties to the BHC in connection with sale, placement or the management of above described investment activities.
Line item 17C Other
Report any noninterest income items not included in items 17A and 17B. Also include the BHC’s proportionate share of the income or other adjustments from its investments in equity method investees.
Line item 18 Sales and Trading
This item is a shaded cell and is derived, per column, from the sum of items 18A, 18D, 18H, and 18K. Report in the appropriate sub-item noninterest income generated from sales and trading activities. Any interest income from carry should be included in Sales & Trading under net interest income. May include short-term trading made for positioning or profit generation related to the Sales & Trading activities in this line item.
Line item 18A Equities
This item is a shaded cell and is derived, per column, from the sum of items 18B and 18C.
Line item 18B Commission and Fees
Report commissions, fees, and dividends on equity products. Exclude prime brokerage services.
Line item 18C Other
Report all noninterest 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 noninterest non-commission income.
Line item 18D Fixed Income
This item is a shaded cell and is derived, per column, from the sum of items 18E, 18F, and 18G.
Report in the appropriate sub-item commissions, fees, and trading gains and losses on rates, credit, and other fixed income products. Exclude prime brokerage services.
Line item 18E Rates
Generally U.S. Treasury, investment grade sovereign, U.S. agency bonds, and interest rate swaps. Rates revenues related to trading activities outside of the Sales & Trading division need not be included into the Rates trading in this section, but describe where they are allocated in the BHC’s documentation supporting the FR Y-14A submission.
Line item 18F 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.
Line item 18G Other
Report other fixed income products if not included above (e.g., FX/Currencies).
Line item 18H Commodities
This item is a shaded cell and is derived, per column, from the sum of items 18I and 18J.
Line item 18I Commission and Fees
Report commissions, fees, and trading gains and losses on commodity products. Exclude prime brokerage services.
Line item 18J Other
Report other noninterest income generated from commodity products, excluding prime brokerage services.
Line item 18K Prime Brokerage
This item is a shaded cell and is derived, per column, from the sum of items 18L and 18M. Report in the appropriate sub-item noninterest income from 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.
Line item 18L Commission and Fees
Report commissions and fees on prime brokerage services.
Line item 18M Other
Report other noninterest income generated from prime brokerage services.
Line item 19 Investment Management
This item is a shaded cell and is derived, per column, from the sum of items 19A and 19B. Report in the appropriate sub-item all noninterest income generated from investment management activities.
Line item 19A Asset Management
Professional management of mutual funds and institutional accounts. Institutional clients may include endowments, not-for-profit entities, governments, and others.
Line item 19B 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 and retail brokerage services for both WM/PB and non WM/PB clients.
Line item 20 Investment Services
This item is a shaded cell and is derived, per column, from the sum of items 20A, 20D, and 20E. Report in the appropriate sub-item all noninterest income generated from investment servicing. Exclude prime brokerage revenues.
Line item 20A Asset Servicing
This item is a shaded cell and is derived, per column, from the sum of items 20B and 20C. Report in the appropriate sub-item all noninterest income from 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.
Line item 20B Securities Lending
Report noninterest income generated from securities lending.
Line item 20C Other
Report all other noninterest income asset servicing, excluding securities lending.
Line item 20D Issuer Services
Corporate trust, shareowner services, depository receipts, and other issuer services.
Line item 20E Other
Report noninterest income from clearing and other investment services not included above.
Line item 21 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.
Line item 22 Insurance Services
Report all noninterest income 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.
Line item 23 Retirement/Corporate Benefit Products
Report premiums, fees, and other noninterest income 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.
Line item 24 Corporate/Other
Report noninterest income 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 businesses12 (but exclude retail and small business run- off/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).
Line item 25 Optional Immaterial Business Segment.
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 Supportig Documendation 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. List segments included in this line item in Footnote 7.
Line item 26 Total Noninterest Income.
This item is a shaded cell and is derived, per column, from the sum of items 14, 15, 16, 17, 18, 19, 20, and 21 through 25. Excludes Valuation Adjustment for firm's own debt under fair value option (FVO) reported in item 40 and the result of trading shock exercise (where applicable), as it is reported in item 42.
Line item 27 Total Revenues
This item is a shaded cell and is derived, per column, from the sum of items 13 and 26.
Noninterest Expense Components
Noninterest 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.
Line item 28 Compensation Expense
This item is a shaded cell and is derived, per column, from the sum of items 28A through 28E.
Line item 28A Salary
Exclude stock based and cash variable pay compensation and report in items 28D and 28E, respectively.
Line item 28B Benefits
Exclude stock based and cash variable pay compensation and report in items 28D and 28E, respectively.
Line item 28C Commissions.
Report commissions only in "Commissions" line item 28C; do not report commissions in any other compensation line items.
Line item 28D Stock Based Compensation
Report all expenses related to stock based compensation as defined by ASC Topic 718, Compensation-Stock Compensation (formerly FASB Statement No. 123(R), Shared-Based Payment).
Line item 28E Cash Variable Pay
Report expenses related to all discretionary variable compensation paid (or to be paid) in the form of cash. Include deferred variable compensation plans not associated with BHC stock.
Line item 29 Operational Risk Expense
This item is a shaded cell and is derived, per column, from the item on the OpRisk Projected Losses Worksheet. 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 and penalties in this line item and not in any other line item . The reporting of the operational risk expense item will not necessarily be consistent with FR Y-9C reporting.
Line item 30 Provisions to Repurchase Reserve/Liability for Residential Mortgage Representations and Warranties
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. Exclude all provisions to litigation reserves/liability for claims related to sold residential mortgages (report in item 29).
Line item 31 Professional and Outside Services Expenses
Among items included are routine legal expenses (i.e., legal expenses not related to operational losses), audit and consulting fees, and other fees for professional services here.
Line item 32 Expenses of Premises and Fixed Assets
Report expenses of premises and fixed assets, as defined in the FR Y-9C, Schedule HI, item 7.b.
Line item 33 Amortization Expense and Impairment Losses for Other Intangible Assets
Report amortization expense and impairment losses for other intangible assets, as defined in the FR Y-9C, Schedule HI, item 7.c.(2).
Line item 34 Marketing Expense
This item is a shaded cell and is derived, per column, from the sum of items 34A and 34B.
Line item 34A Domestic Credit and Charge Cards Marketing Expense
Include domestic BHC issued credit and charge cards, as defined in item 1B, including those that result from a partnership agreement. 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.
See Instructions for description of standardized Business Segments/Lines. Unless specified otherwise, all numbers are global.
Line item 34B Other
Report all marketing expenses not related to domestic credit and charge cards captured in line 34A.
Line item 35 Other Real Estate Owned Expense
All expenses associated with other real estate owned that would normally be reported in the FR Y-9C, Schedule HI, item 7.d., ‘‘Other noninterest expense’’.
Line item 36 Provision for Unfunded Off-Balance Sheet Credit Exposures (to build/decrease item 13934 (BHCKB557) in Balance Sheet)
Report the provision for credit losses on off-balance sheet credit exposures normally reported as one of the items in FR Y-9C, Schedule HI, item 7.d.
Line item 37 Other Noninterest Expense
Provide a further break out of significant items included in Other Noninterest Expense in footnote 4, such that no more than 5% of Noninterest Expense are reported without further breakout.
Report the line item breakout for the combined 9 quarters of projected “Other noninterest expense” (line item 37). A quarterly breakout of these data should be included in the Supporting Documentation Instructions.
Line item 38 Total Noninterest Expense
This item is a shaded cell and is derived, per column, from the sum of items 28, 29 through 34, and 35 through 37. Excludes Goodwill Impairment included in item 41.
Line item 39 ProjectedProjected PPNR
This item is a shaded cell and is derived, per column, from item 27 less 38. By definition, PPNR will calculate as net interest income plus noninterest income less noninterest expense, excluding items broken out in items 40 and 41.
Line item 40 Valuation Adjustment for Firm’s Own Debt Under Fair Value Option (FVO)
List segments from which item was excluded in Footnote 9. In footnote 27, Llist FR Y-9C, Schedule HC-I items in which this amount is normally reported and has been from which this item is excluded in Footnote 27from in this reporting view.
Line item 41 Goodwill Impairment
Report amortization expense and impairment losses for goodwillother intangible assets, as defined in the FR Y-9C, Schedule HI, item 7.c.(1).
Line item 42 Loss Resulting from Trading Shock Exercise (if applicable)
This item is a shaded cell and is derived, per column, from the sum of items 58 through 62 on the Worksheet 1.a, Income Statement. BHCs should not report changes in value of the MSR asset or hedges within the trading book. List segments from which item was excluded in Footnote 25.
Worksheet A.7.b—PPNR Net Interest Income (NII) Worksheet
General Instructions
BHCs for which deposits comprise 25 percent or more of total liabilities for any period reported in any of the four most recent FR Y-14Q are required to submit the Net Interest Income worksheet. BHCs should only complete non-shaded cells only; all shaded cells with embedded formulas will self-populate.
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.
Rates on this worksheet are intended to provide a product level view exclusive of transfer pricing activity and should be reported on a gross basis. The reporting of net interest income on the PPNR Projections and PPNR Submission wWorksheets provide a business line view and should be reported net of transfer pricing adjustments.
Average 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. The FR Y-9C code references are intended only to provide guidance for the types of items to be included or excluded; but NOT the type of balance to be provided. All requested balance items are averages.
In the case of loans, align definitions with the “total loans” section of the Balance Sheet worksheet. Include purchased credit impaired loans PCI loan balances and the interest income recognized on these loans. However, report the aggregate of all nonaccrual loans as line item 9, rather than including them in each loan type. Although nonaccrual loans are reported in aggregate 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.
Line item 1 First Lien Residential Mortgages (in domestic offices)
Report the average balance of first lien residential mortgages in domestic offices (as defined in the FR Y-9C, Schedule HC-C, item 1.c.(2)(a), column B).
Line item 2 Second/Junior Lien Residential Mortgages (in domestic offices)
This item is a shaded cell and is derived, per column, from the sum of items 2A and 2B.
Line item 2A Closed-End Junior Liens
Report the average balance of second/junior lien residential mortgages in domestic offices (as defined in the FR Y-9C, Schedule HC-C, item 1.c.(2)(b), column B).
Line item 2B Home Equity Lines of Credit (HELOCs)
Report the average balance of home equity lines of credit in domestic offices (as defined in the FR Y-9C, Schedule HC-C, item 1.c.(1), column B).
Line item 3 C&I Loans
Report the average balance of C&I Graded, Small Business (Scored/Delinquency Managed), Corporate Card, and Business Card loans.
Line item 4 CRE Loans (in domestic offices)
Report the average balance of CRE loans in domestic offices as defined in the FR Y-9C, Schedule HC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1), and 1.e.(2), column B.
Line item 5 Credit Cards
Report the average balance of credit cards (as defined in the FR Y-9C, Schedule HC-C, item 6.a, column A).
Line item 6 Other Consumer
This item is a shaded cell and is derived, per column, from the sum of items 6A through 6C.
Line item 6A Auto Loans
Report the average balance of auto loans as defined in the FR Y-9C, Schedule HC-C, item 6.c, column A.
Line item 6B Student Loans
Report the average balance of student loans.
Line item 6C Other (including loans backed by securities (non-purpose lending))
Report the average balance of other loans.
Line item 7 Real Estate Loans (not in domestic offices)
This item is a shaded cell and is derived, per column, from sum of items 87A and 87B. (Also, defined as FR Y-9C, Schedule HC-C, item 1, column A, less above items 1, 2, 5, and FR Y-9C, Schedule HC-C, item 1.b, column B.)
Line item 7A Residential Mortgages (first and second lien)
Report the average balance of first and second lien residential mortgages not in domestic offices.
Line item 7B Other
Report the average balance of other real estate loans not in domestic offices.
Line item 8 Other Loans and Leases
Report the average balance of other loans and leases. Include loans secured by farmland as defined in FR Y-9C, Schedule HC-C, item 1.b, column B, and other loans not accounted for in the above categories. If total net interest income does not reconcile to FR Y-9C total per PPNR definition using fair value average balances for AFS securities, use “Other” balances (line items 15 and 38) and corresponding rates (line items 31 and 46) to offset the difference.
Line item 9 Nonaccrual Loans
Report the average balance of nonaccrual loans, as defined in the FR Y-9C, Schedule HC-N, item item 10 (Column C) less Schedule HC-N, item9 (Column C). A breakout of nonaccrual loans by major category is expected to be provided in supporting documentation Institutions are to provide additional details within the supporting documentation; the composition of the non-accrual loans by key loan type over the reported time periods for each of the scenarios.
Line item 10 Securities (AFS and HTM) – Treasuries and Agency Debentures
Report the average balance of AFS/HTM balances in Treasury and Agency debentures, as defined in the FR Y-9C, Schedule HC-B, items 1, 2.a and 2.b, columns A and D.
Line item 11 Securities (AFS and HTM) – Agency RMBS (both CMOs and pass-throughs)
Report the average balance of AFS/HTM balances in Agency RMBS, as defined in the FR Y-9C, Schedule HC-B, items 4.a.(1), 4.a.(2), 4.b.(1) and 4.b.(2), columns A and D.
Line item 12 Securities (AFS and HTM) - Other
Report the average balance of all AFS/HTM investments not reported in items 10 and 11, defined in the FR Y-9C, Schedule HC, items 2.a and 2.b less Net II Worksheet items 10 & 11.
Line item 13 Trading Assets.
Report the average balance of trading assets as defined in the FR Y-9C, Schedule HC-K, item 4.a.
Line item 14 Deposits with Banks and Other
Report the average balance of deposits with banks.
Line item 15 Other Interest/Dividend-BearingEarning Assets
Report the average balance of other interest/dividend-bearing asset not accounted for in the above categories. In Footnote 2, breakout 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.
Line item 16 Other Assets
Report the average balance of all non-interest bearingearning assets.
Line item 17 Total Average Asset Balances
This item is a shaded cell and is derived, per column, from sum of items 1, 2, 3 through 6, 7, and 8 through 165, as defined in the FR Y-9C, Schedule HC-K, item 5.
Average Rates Earned
All rates are annualized.
Line item 18 First Lien Residential Mortgages (in domestic offices)
Report the earned average rate of first lien residential mortgages in domestic offices as defined in the FR Y-9C, Schedule HC-C, item 1.c.(2)(a), column B.
Line item 19 Second/Junior Lien Residential Mortgages (in domestic offices)
This item is a shaded cell and is derived, per column, from sum of items 19A and 19B.
Line item 19A Closed-End Junior Liens
Report the earned average rate of second/junior lien residential mortgages in domestic offices as defined in the FR Y-9C, Schedule HC-C, item 1.c.(2)(b), column B.
Line item 19B Home Equity Lines of Credit (HELOCs)
Report the earned average rate of home equity lines of credit in domestic offices as defined in the FR Y-9C, Schedule HC-C, item 1.c.(1), column B.
Line item 20 C&I Loans (excluding small business (scored/delinquency managed)
Report earned average rate of large commercial credits and small business (graded) loans. Note that the definitions for Large Commercial Credits and Small Business (Graded) are aligned with Balance Sheet definitions (e.g., in the current reports, consistent with CCAR 2012 Balance Sheet worksheet).
Line item 21 CRE Loans (in domestic offices)
Report the earned average rate of CRE loans in domestic offices as defined in the FR Y-9C, Schedule HC-C, items 1.a.(1), 1.a.(2), 1.d, 1.e.(1), and 1.e.(2), column B.
Line item 22 Credit Cards
Report earned average rate of credit cards as defined in the FR Y-9C, Schedule HC-C, item 6.a, column A.
Line item 23 Other Consumer
This item is a shaded cell and is derived, per column, from the sum of items 23A through 23C.
Line item 23A Auto Loans
Report earned average rate of auto loans as defined in the FR Y-9C, Schedule HC-C, item 6.c, column A.
Line item 23B Student Loans
Report earned average rate of student loans.
Line item 23C Other, incl. loans backed by securities (non-purpose lending)
Report earned average rate of other loans.
Line item 24 Real Estate Loans (not in domestic offices)
Item 24 is a shaded cell and is derived, per column, from sum of items 24A and 24B. (Also, defined as FR Y-9C, Schedule HC-C, item 1, column A, less above items 18, 19, 21, and FR Y-9C, Schedule HC-C, item 1.b, column B.)
Line item 24A Residential Mortgages (first and second lien)
Report the earned average rate of first and second lien residential mortgages not in domestic offices.
Line item 24B Other
Report the earned average rate of other real estate loans not in domestic offices.
Line item 25 Other Loans and Leases
Report the earned average rate of other loans and leases. Include loans secured by farmland as defined in Schedule HC-C, FR Y-9C, Schedule HC-C, item 1.b, column B, and other loans not accounted for in the above categories. If total net interest income does not reconcile to FR Y-9C total per PPNR definition using fair value average balances for AFS securities, use “Other” balances (line items 15 and 38) and corresponding rates (line items 27 and 43) to offset the difference.
Line item 26 Nonaccrual Loans
Report the earned average rate of nonaccrual loans. Interest income earned on nonaccrual balances is generally expected to be small.
Line item 276 Securities (AFS and HTM) – Treasuries and Agency Debentures
Report the earned average rate earned on AFS/HTM balances in Treasury and Agency debentures.
Line item 287 Securities (AFS and HTM) – Agency RMBS (both CMOs and pass-throughs)
Report the earned average rate earned on AFS/HTM balances in Agency RMBS.
Line item 298 Securities (AFS and HTM) - Other
Report the earned average rate earned on all other AFS/HTM balances.
Line item 3029 Trading Assets
Report the earned average rate of trading assets as defined in the FR Y-9C, Schedule HC-K, item 4.a.
Line item 310 Deposits with Banks and Other
Report the earned average rate of deposits with banks.
Line item 321 Other Interest/Dividend-EarnBearing Assets
Report the earned average rate of other interest/dividend-bearing asset not accounted for in the above categories.
Line item 332 Total Interest Income
This item is a shaded cell and is derived, per column, from sum of the products of items 1 and 18, 2 and 19, 2A and 19A, 2B and 19B, 3 and 20, 4 and 21, 5 and 22, , 6 and 23, 6A and 23A, 6B and 23B, 6C and 23C, 7 and 24, 7A and 24A, 7B and 24B, 8 and 25, 9 and 26, 10 and 276, 11 and 287, 12 and 298, 13 and 2930, 14 and 310, & 15 and 321 annualized.
Average Liability Balances
For the classification of domestic and foreign deposit liabilities, BHCs should report based on internal definitions (those deemed to best represent the behavior characteristics of deposits). For all other liabilities, BHC should reference FR Y-9C and other definitions provided in the PPNR Net interest Income worksheet when completing this section.
Line item 343 Deposits-Domestic
This item is a shaded cell and is derived, per column, from sum of items 343A through 343E.
A sum of average domestic and foreign deposits should be equal to a sum of average FR Y-9C, Schedule HC, items 13.a.(1), 13.a.(2), 13.b.(1), and 13.b.(2).
Line item 343A Noninterest-bearing Demand
Report balances using internal definitions.
Line item 343B Money Market Accounts
Report balances using internal definitions.
Line item 343C Savings
Report balances using internal definitions.
Line item 343D Negotiable Order of Withdrawal (NOW), Automatic Transfer Service (ATS), and other Transaction Accounts
Report balances using internal definitions.
Line item 343E Time Deposits
Report balances using internal definitions.
Line item 354 Deposits-Foreign
This item is a shaded cell and is derived, per column, from the sum of items 354A and 354B.
A sum of average domestic and foreign deposits should be equal to a sum of average FR Y-9C, Schedule HC, items 13.a.(1), 13.a.(2), 13.b.(1), and 13.b.(2).
Line item 345A Foreign Deposits
Report balances using internal definitions.
Line item 354B Foreign Deposits-Time
Report balances using internal definitions.
Line item 365 Fed Funds, Repos, & Other Short Term Borrowing
This item is a shaded cell and is derived, per column, from the sum of items 365A through 365C.
Line item 365A Fed Funds
Report the average balance of Fed Funds purchased in domestic offices as defined in the FR Y-9C, Schedule HC, item 14.a.
Line item 365B Repos
Report the average balance of Securities sold under agreement to repurchase as defined in the FR Y-9C, Schedule HC, item 14.b.
Line item 365C Other Short Term Borrowing
Report the average balance of liabilities reported as other borrowed money and subordinated notes and debentures (as defined in the FR Y-9C, Schedule HC, items 16 and items 19.a. which the firm would define as short term borrowings). A sum of line items 365C &and 398 equals FR Y-9C, Schedule HC, sum of items 16 & 19.a., less item 20.
Line item 376 Trading Liabilities
Report the average balance of Trading Liabilities as defined in the FR Y-9C, Schedule HC, item 15.
Line item 387 Subordinated Notes Payable to Unconsolidated Trusts Issuing Trust Preferred Securities (TruPS) and TruPS Issued by Consolidated Special Purpose Entities
Report the average balance of Preferred Securities (TruPS) and TruPS Issued by Consolidated Special Purpose Entities as defined in the FR Y-9C, Schedule HC, item 19b.
Line item 398 Other Interest-Bearing Liabilities
Report the average balance of liabilities reported as Other Borrowed Money and Subordinated Notes and Debentures as defined in the FR Y-9C, Schedule HC, items 16 and items 19a which are not already reported in line item 35c Other Short Term Borrowing. This includes all long-term debt not included in line item 38 above.
Line item 4039 Other Liabilities
Report the average balance of liabilities reported as Other Liabilities as defined in the FR Y-9C, Schedule HC, item 20.
Line item 410 Total Average Liability Balances
This item is a shaded cell and is derived, per column, from sum of items 343, 345, 356, and 367 to 4039.
Average Liability Rates
All rates are annualized.
Line item 421 Deposits—Domestic
This item is a shaded cell and is derived, per column, from sum of items 421A through 421E.
Line item 421A Noninterest-bearing Demand
This item is a shaded cell; rates are equal to zero by definition.
Line item 421B Money Market Accounts
Report the earned average rate of Money Market Accounts reported in item 34B3b.
Line item 421C Savings
Report the earned average rate of Savings Accounts reported in item 34C3c.
Line item 421D Negotiable Order of Withdrawal (NOW), Automatic Transfer Service (ATS), and other Transaction Accounts
Report the earned average rate of Negotiable Order of Withdrawal (NOW), Automatic Transfer Service (ATS), and other Transaction Accounts reported in item 34D3d.
Line item 421E Time Deposits
Report the earned average rate of Time Deposits reported in item 343E.
Line item 432 Deposits-Foreign
This item is a shaded cell and is derived, per column, from the sum of items 423A and 432B.
Line item 432A Foreign Deposits
Report the earned average rate of Foreign Deposits reported in item 354A.
Line item 432B Foreign Deposits-Time
Report the earned average rate of Foreign Deposits—Time reported in item 354B.
Line item 443 Fed Funds, Repos, & Other Short Term Borrowing
This Iitem 43 is a shaded cell and is derived, per column, from the sum of items 443A through 443C.
Line item 443A Fed Funds
Report the average rate paid for Fed Funds purchased in domestic offices as defined in the FR Y-9C, Schedule HC, item 14a.
Line item 443B Repos
Report the average rate paid for Securities Sold under agreements to repurchase as defined in the FR Y-9C, Schedule HC, item 14b.
Line item 443C Other Short Term Borrowing
Report the average rate paid on liabilities reported as other borrowed money and subordinated notes and debentures as defined in the FR Y-9C, Schedule HC, items 16 and items 19a which the firm defined as short term borrowings.
Line item 454 Trading Liabilities
Report the average rate of Trading Liabilities as defined in the FR Y-9C, Schedule HC, item 15.
Line item 465 Subordinated Notes Payable to Unconsolidated Trusts Issuing Trust Preferred Securities (TruPS) and TruPS Issued by Consolidated Special Purpose Entities
Report the average rate of Preferred Securities (TruPS) and TruPS Issued by Consolidated Special Purpose Entities as defined in the FR Y-9C, Schedule HC, item 19b.
Line item 476 Other Interest-Bearing Liabilities
Report the average rate paid on the liabilities reported as other borrowed money and subordinated notes and debentures as defined in the FR Y-9C, Schedule HC, items 16 and 19a which the firm defined as Other Interest Bearing Liabilities.
Line item 47 Other Liabilities
Report the average rate paid on liabilities reported as Other Liabilities as defined in the FR Y-9C, Schedule HC, item 20.
Line item 48 Total Interest Expense
This item is a shaded cell and is derived, per column, from sum of the products of items 33 and 41, 343A and 412A, 343B and 421B, 343C and 421C, 343D and 421D, 343E and 421E, 34 and 42, 354A and 432A, 354B and 432B, 35 and 43, 365A and 443A, 365B and 443B, 365C and 443C, 376 and 454, 387 and 465, and 398 and 476, & 39 and 47, annualized.
Line item 49 Total Net Interest Income
This item is a shaded cell and is derived, per column, from item 332 minus item 48. Amount should equal Worksheet 7.a, PPNR SubmissionProjections Worksheet, item 13.
General Instructions
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 53 through 87 and either 884A or 88B&C) 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. 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. A BHC, if relying upon third party data for building projections, should still be cognizant of how their estimates would be appropriate across the range of assumed macro-economic conditions in various scenarios or if some adjustment may be appropriate.
BHCs should use internal definitions of proprietary trading and clearly describe the covered activities and transactions in methodology narratives.
If a BHC is unable to provide a metric on the 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 Supporting Documentation required with the FR-14A Projections a discussion of why the standard metric could not be provided.
Section A. Metrics by Business Segment/Line (unless specified otherwise, all numbers are global).
"Metrics by Business Segment/Line" correspond to Business Segments/Lines on the 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.
Retail and Small Business Segment
Domestic
For line items 1 through 9, domestic includes U.S. and Puerto Rico only.
Credit and Charge Cards
Line item 1 Total Open Accounts – End of Period
Report number of total open accounts at the end of period for credit and charge cards.
Line item 2 Credit and Charge Card Purchase Volume
Report credit and charge card purchase volume, net of returns. Exclude cash and balance transfer volumes.
Line item 3 Credit and Charge Card Rewards/Partner Sharing Expense
Report credit card rewards/partner sharing expense for credit and charge cards.
In Footnote 23, list which line item(s) on PPNR Submission Worksheet contain(s) the Cards Rewards/Partner Sharing contra-revenues and/or expenses.
Note if this item includes any contra-revenues other than Rewards/Partner Sharing (e.g. Marketing Expense Amortization) in footnote 34.
Mortgages and Home Equity
Line item 4 Average Third-Party Residential Mortgages Serviced
Report the average outstanding principal balance for residential mortgage loans the BHC services for others.
Line item 5 Residential Mortgage Originations Industry Market Size – Volume
Report total volume of domestic mortgages that originated during the quarter.
Line item 6 Mortgages and Home Equity Sold During the Quarter
Report first and junior lien mortgages and home equity loans sold during the quarter as defined in FR Y-9C, Schedule HC-P, items 3.a, 3.b, 3.c.(1), 3.c.(2). FR Y-9C name is "Residential Mortgages Sold During the Quarter"; this metric need not be limited to Mortgages and Home Equity business line.
Line item 7 Servicing Expenses
Report expenses for servicing first and junior lien mortgages and home equity loans. Include both direct and allocated expenses.
Retail and Small Business Deposits
Line item 8 Total Open Checking and Money Market Accounts – End of Period
Report only the number of checking and money market accounts that are deposit accounts under FR Y-9C guidance and are consistent with the definitions provided for “Retail and small business banking and lending services” segment and “Retail and small business deposits” business line within this segment in the PPNR instructions.
Line item 9 Debit Card Purchase Transactions
Report number of transactions (not dollar value).
International Retail and Small Business
International retail and small business located in regions outside the U.S. and Puerto Rico.
Line item 10 Credit and Charge Card Revenues
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.
Investment Banking Segment
Line item 11 Number of Employees
Report the number of full-time equivalent employees at end of current period as defined in the FR Y-9C, Schedule HI, Memorandum item 5, for investment banking segment.
Line item 12 Compensation – Total
Include both direct and allocated expenses for investment banking segment.
Line item 13 Stock Based Compensation and Cash Variable Pay
Include both direct and allocated expenses for investment banking segment.
Advisory
Line item 14 Deal Volume
Report the dollar volume of all completed deals for the reporting BHC.
Line item 15 Industry Market Size - Fees
Report fees earned by all relevant industry participants in this area.
Line item 16 Industry Market Size - Completed Deal Volume
Report the dollar volume of completed deals for all relevant industry participants.
Line item 17 Backlog
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.
Equity Capital Markets
Line item 18 Deal Volume
Report the dollar volume of all deals for the reporting BHC.
Line item 19 Industry Market Size – Fees
Report fees earned by all relevant industry participants in this area.
Line item 20 Industry Market Size - Volume
Report dollar volume of completed deals for all relevant industry participants.
Debt Capital Markets
Line item 21 Deal Volume
Report the dollar volume of all deals for the reporting BHC.
Line item 22 Industry Market Size – Fees
Report fees earned by all relevant industry participants in this area.
Line item 23 Industry Market Size – Volume
Report the dollar volume of completed deals for all relevant industry participants.
Syndicated Lending
Line item 24 Deal Volume
Report the dollar volume of all deals for the reporting BHC.
Line item 25 Industry Market Size - Fees
Report fees earned by all relevant industry participants in this area.
Line item 26 Industry Market Size - Volume
Report the dollar volume of completed deals for all relevant industry participants.
Merchant Banking/Private Equity
Line item 27 Assets Under Management (AUM)
Report total assets under management for this division.
Sales and Trading Segment
Line item 28 Number of Employees
Report the number of full-time equivalent employees at end of current period as defined in the FR Y-9C, Schedule HI, Memorandum item 5, for sales and trading segment.
Line item 29 Total Proprietary Trading Revenue
Report total proprietary trading revenue.
Line item 30 Compensation – Total
Include both direct and allocated expenses for sales and trading segment.
Line item 31 Stock Based Compensation and Cash Variable Pay
Include both direct and allocated expenses for sales and trading segment.
Equities
Line item 32 Average Asset Balance
Report average asset balance for the quarter of all mark-to-market assets associated directly with the equity sales and trading businesses.
Fixed Income
Line item 33 Average Asset Balance
Report average asset balance for the quarter of all mark-to-market assets associated directly with the fixed income sales and trading businesses.
Commodities
Line item 34 Average Asset Balance
Report average asset balance for the quarter of all mark-to-market assets associated directly with the commodities sales and trading businesses.
Prime Brokerage
Line item 35 Average Client Balances
Report the grossed up "interest balances" that result from prime brokerage activities.
Line item 36 Transaction Volume
Report total dollar volume of all transactions during the quarter.
Investment Management Segment
Asset Management
Line item 37 AUM – Total
This item is a shaded cell and is derived, per column, from the sum of items 37A through 37C.
Line item 37A AUM – Equities
Report total assets under management for which the investment mandate/strategy is primarily equities.
Line item 37B AUM – Fixed Income
Report total assets under management for which the investment mandate/strategy is primarily fixed income.
Line item 37C AUM – Other
Report total assets under management for which the investment mandate/strategy cannot be classified as either Equities or fixed income. For example, include alternative investments, currency products, etc.
Line item 38 Net Inflows/Outflow
Report impact of net inflows/outflows on assets under management.
Wealth Management/Private Banking
Line item 39 AUM – Total
This item is a shaded cell and is derived, per column, from the sum of items 40A through 40C.
Line item 39A AUM – Equities
Report total assets under management for which the investment mandate/strategy is primarily equities.
Line item 39B AUM – Fixed Income
Report total assets under management for which the investment mandate/strategy is primarily fixed income.
Line item 39C AUM – Other
Report total assets under management for which the investment mandate/strategy cannot be classified as either Equities or fixed income. For example, include alternative investments, currency products, etc.
Line item 40 Net Inflows/Outflow
Report impact of net inflows/outflows on assets under management.
Line item 41 Number of Financial Advisors
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.
Investment Services Segment
Asset Servicing
Line item 42 Assets under Custody and Administration
Report total assets under custody and administration as of the end of the quarter.
Issuer Services
Line item 43 Corporate Trust Deals Administered
Report total number of deals administered during the quarter.
Section B. Firm Wide Metrics: PPNR Projections Worksheet
Line item 44 Number of Employees
Report the number of full-time equivalent employees at end of current period as defined in the FR Y-9C, Schedule HI, Memorandum item 5.
Line item 45 Revenues – International
This item is a shaded cell and is derived, per column, from the sum of items 45A through 45D.
Line item 45A Revenues - APAC
Provide Asia and Pacific (includes South Asia, Australia, and New Zealand) region 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.
Line item 45B Revenues - EMEA
Provide Europe, Middle East, and Africa region 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.
Line item 45C Revenues - LatAm
Provide Latin America, including Mexico region 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.
Line item 45D Revenues - Canada
Provide Canada region 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.
Line item 46 Revenues – Domestic
This item is a shaded cell and is derived, per column, from PPNR Submission Worksheet item 27 less item 45.
Line item 47 Severance Costs
In Footnote 14, list items on PPNR Submission worksheet that include this item if any.
Line item 48 Collateral Underlying Operating Leases for Which the Bank is the Lessor
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 126.
Refers to the balance sheet carrying amount of any equipment or other asset rented to others under operating leases, net of accumulated depreciation. This item should correspond to the amount provided in the FR Y-9C, Schedule HC-F item 6 (see 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.
Line item 48A Auto
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 127.
Line item 48B Other
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 128.
Line item 49 OREO Balance
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 122, as defined in the FR Y-9C, Schedule HC, item 7.
Line item 49A Commercial
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 123.
Line item 49B Residential
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 124.
Line item 49C Farmland
This item is a shaded cell and is derived, per column, from Balance Sheet Worksheet item 125.
Line item 50 Non-Recurring PPNR Items
Report the total income statement impact of all material non-recurring and infrequent items. Examples of such items include gains or losses on sales of business lines, gains or losses on extinguishment of debt, gains or losses on mergers / joint ventures, etc. Break out and explain these excluded items in footnote 32.
Line item 51 Trading Revenue
Report trading revenue as defined in the FR Y-9C, Schedule HI, item 5.c.
Line item 52 Net Gains/(Losses) on Sales of Other Real Estate Owned
Report trading revenue as defined in the FR Y-9C, Schedule HI, item 5.j.
In Footnote 19, list business segments reported on PPNR Submission Worksheet that include this item, if any.
Section C. Firm Wide Metrics: Net Interest Income Worksheet (Required only for BHCs that were required to complete the Net Interest Income Worksheet)
Line item 53 Carrying Value of Purchased Credit Impaired (PCI) Loans
Report trading revenue as defined in the FR Y-9C, Schedule HC-C, memorandum item M.5.b.
Line item 54 Net Accretion of discount on PCI Loans included in interest Revenues
Report the net accretion of discount on PCI loans included in net interest income as included on the PPNR Submission Worksheet and Net Interest Income Worksheet.
Line item 55 Loans Held for Sale – First Lien Residential Liens in Domestic Offices (Average Balances)
Report average balance of first lien residential loans held for sale as included in the Net Interest Income Worksheet.
Line item 56 Average Rate on Loans Held for Sale – First Lien Residential Liens in Domestic Offices
Report average rate paid on first lien residential loans held for sale as included in the Net Interest Income Worksheet.
Quarter End Weighted Average Life of Assets
The Weighted Average Life (WAL) 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. Reference the PPNR Net Interest Income worksheet for product definitions.
Line item 57 First Lien Residential Mortgages (in Domestic Offices)
Report the quarter end weighted average life of domestic first lien residential mortgages (as defined in the FR Y-9C, Schedule HC-C, item 1.c.(2)(a), column B).
Line item 58 Closed-End Junior Residential Liens (in Domestic Offices)
Report the quarter end weighted average life of domestic closed-end junior residential liens (as defined in the FR Y-9C, Schedule HC-C, item 1.c.(2)(b), column B).
Line item 59 Home Equity Lines Of Credit (HELOCs)
Report the quarter end weighted average life of domestic home equity lines of credit (as defined in the FR Y-9C, Schedule HC-C, item 1.c.(1), column B).
Line item 60 C&I Loans
Report the quarter end weighted average life of C&I Graded, Small Business (Scored/Delinquency Managed), Corporate Card, and Business Card loans.
Line item 61 CRE Loans (in Domestic Offices)
Report the quarter end weighted average life of domestic CRE loans (as defined in the FR Y-9C, Schedule HC-C, the sum of items 1.a.(1), 1.a.(2), 1.d., 1.e.(1) 1.e.(2)), Column B.
Line item 62 Credit Cards
Report the quarter end weighted average life of credit cards (as defined in the FR Y-9C, Schedule HC-C, item 6.a., column A).
Line item 63 Auto Loans
Report the quarter end weighted average life of auto loans (as defined in the FR Y-9C, Schedule HC-C, item 6.c., column A).
Line item 64 Student Loans
Report the quarter end weighted average life of student loans.
Line item 65 Other, incl. loans backed by securities (non-purpose lending)
Report the quarter end weighted average life of Other Consumer Loans, incl. loans backed by securities (non-purpose lending).
Line item 66 Residential Mortgages (First and Second Lien, Not in Domestic Offices)
Report the quarter end weighted average life of all residential mortgages (first and second lien) not in domestic offices.
Line item 67 Other Real Estate Loans (Not in Domestic Offices)
Report the quarter end weighted average life of other real estate loans not in domestic offices.
Line item 68 Other Loans & Leases
Report the quarter end weighted average life of other loans and leases. Include loans secured by farmland (as defined in the FR Y-9C, Schedule HC-C, item 1.b, column B), and other loans not accounted for in the above categories.
Line item 69 Securities (AFS and HTM) - Treasuries and Agency Debentures
Report the quarter end weighted average life of AFS/HTM balances in Treasury and Agency Debentures (as defined in the FR Y-9C, Schedule HC-B, items 1, 2.a and 2.b, columns A and D).
Line item 70 Securities (AFS and HTM) - Agency RMBS (both CMOs and pass-throughs)
Report the quarter end weighted average life of AFS/HTM balances in Agency RMBS (as defined in the FR Y-9C, Schedule HC-B, items 4.a.(1), 4.a.(2), 4.b.(1) and 4.b.(2), columns A and D).
Line item 71 Securities (AFS and HTM) - Other
Report the quarter end weighted average life of all other AFS/HTM (defined in the FR Y-9C, Schedule HC, as items 2.a and 2.b less PPNR Metrics Worksheet line items 69 & 70).
Line item 72 Trading Assets
Report the quarter end weighted average life of trading assets (as defined in the FR Y-9C, Schedule HC-K, item 4.a.). For trading assets, WAL should be reflective of the timing assumed by the institutions for those assets to be held on the balance sheet and not necessarily the duration of the underlying positions.
Line item 73 All Other Earning Assets
Report the quarter end weighted average life of all other interest-bearing assets not accounted for in the above categories.
Quarter End Weighted Average Life of Liabilities
The Weighted Average Life (WAL) 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. Reference PPNR Net Interest Income worksheet for product definitions.
Line item 74 Domestic Deposits – Time
Report the quarter end weighted average life for Domestic Time Deposits (using internal definitions).
Line item 75 Foreign Deposits – Time
Report the quarter end weighted average life of Foreign Time Deposits (using internal definitions).
Line item 76 Fed Funds
Report the quarter end weighted average life of Fed Funds purchased in domestic offices (as defined in the FR Y-9C, Schedule HC, item 14.a.).
Line item 77 Repos
Report the quarter end weighted average life of Securities sold under agreement to repurchase (as defined in the FR Y-9C, Schedule HC, item 14.b.).
Line item 78 Other Short Term Borrowing
Report the quarter end weighted average life of liabilities reported as other borrowed money and subordinated notes and debentures (as defined in the FR Y-9C, Schedule HC, items 16. and 19.a., of which the firm would define as short term borrowings).
Line item 79 Trading Liabilities
Report the weighted average life of Trading Liabilities (as defined in the FR Y-9C, Schedule HC, item 15). For trading liabilities, WAL should be reflective of the timing assumed by the institutions for those assets to be held on the balance sheet and not necessarily the duration of the underlying positions.
Line item 80 Subordinated Notes Payable to Unconsolidated Trusts Issuing TruPS and TruPS Issued by Consolidated Special Purpose Entities
Report the quarter end weighted average life of Preferred Securities (TruPS) and TruPS Issued by Consolidated Special Purpose Entities (as defined in the FR Y-9C, Schedule HC, item 19.b.).
Line item 81 All Other Interest Bearing Liabilities
Report the quarter end weighted average life of all long-term debt not included in line item 80 above.
Average Domestic Deposit Repricing Beta in a “Normal Environment”
Domestic deposit repricing is 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.
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. For the balance-weighted average beta, each deposit category should be reported using a blend of brokered and retail deposits. Beta refers to the average repricing response rate the firm projects for each of the deposit products relative to movements in interest rates.
The beta ratios for line items 82 through 85should be reported in basis points (bp) movement in the yield curve, either up or down.
Line item 82 Money Market Accounts
Report (in basis points) the balance-weighted average beta of domestic money market accounts (using internal definitions for this product).
Line item 83 Savings
Report (in basis points) the balance-weighted average beta of domestic savings accounts (using internal definitions for this product).
Line item 84 NOW, ATS, and other Transaction Accounts
Report (in basis points) the balance-weighted average beta of Negotiable Order of Withdrawal (NOW), Automatic Transfer Service (ATS), and other transaction accounts (using internal definitions for these products).
Line item 85 Time Deposits
Report (in basis points) the balance-weighted average beta of time deposits (using internal definitions for this product).
Average Foreign Deposit Repricing Beta in a “Normal Environment”
Foreign deposit repricing is 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.
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. For the balance-weighted average beta, each deposit category should be reported using a blend of brokered and retail deposits. Beta refers to the average repricing response rate the firm projects for each of the deposit products relative to movements in interest rates.
The beta ratios for line items 86 through 88C should be reported in basis points (bp) movement in the yield curve, either up or down.
Line item 86 Foreign Deposits
Report (in basis points) the balance-weighted average beta of foreign deposits (using internal definitions for this product).
Line item 87 Foreign Deposits-Time
Report (in basis points) the balance-weighted average beta of foreign time deposits (using internal definitions for this product).
Line item 88 New Domestic Business Pricing for Time Deposits
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.
Line item 88A Curve (if multiple terms assumed)
Report the primary reference curve used by the firm for pricing time deposits.
If more than one curve for the pricing of time deposits is used, the curve used to price the majority of the time deposits should be noted on the schedule and additional pricing information should be provided in the supplementary information. If the institution only assumes a single maturity term for new issuance, then the institution should provide the relative index (line item 88B) and spread used to estimate new business pricing in lieu of the curve (line item 88C).
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.
Line item 88B Index Rate (if single term assumed)
Report the index (e.g., 30 day LIBOR) used to price time deposits when a single maturity term for new issuances is assumed. The index should be the one to which the beta in line item 85 is applied.
Line item 88C Spread (Relative to the Index Rate)
Report the weighted average spread used to price time deposits above the index rate when a single maturity term for new issuances is assumed.
Introduction
These instructions provide guidance for reporting the variables used in the firm-defined macroeconomic scenarios underlying the projections of losses, revenue, and capital. These scenarios include the supervisory baseline scenario, supervisory adverse scenario, supervisory severely adverse, BHC baseline scenario, and BHC stress scenario, as well as, any additional scenarios generated by the firm or supplied by the Federal Reserve. (Additional Scenario #1; Additional Scenario #2; etc.)
The template consists of three worksheets that each BHC must complete. Additional worksheets are provided if the BHC generated additional variables for the supervisory scenarios or reported additional scenarios beyond the BHC baseline and BHC stress scenarios. The worksheets in the template are:
Scenario Variable Definitions: This worksheet should be used to list and define the variables included in the BHC baseline and BHC stress scenarios, as well as, any additional BHC scenarios reported.
• The worksheet provides space for the supervisory baseline scenario, supervisory adverse scenario, supervisory severely adverse scenario, BHC baseline scenario, and BHC stress scenario, as well as, space for an additional scenario. The sections for the BHC baseline and BHC stress scenarios must be completed. If no additional scenarios are provided, then this section of the worksheet may be left blank. If one or more additional scenarios are provided, then a section should be created for each additional scenario and labeled accordingly (Additional Scenario #1; Additional Scenario #2; etc.)
• For each scenario, list the variables included in the scenario in the column titled "Variable Name."
• Variable definitions should be provided in the column titled "Variable Definition." Variable definitions should include a description of the variable and the denomination and/or frequency of the variable (e.g., "Billions of 2005 dollars" or "in percent, average of monthly values").
The forecasts and historical data for all the scenario variables are constructed on the same basis. Thus, if a variable is, over history, constructed as an average, its forecast should be interpreted as an average as well. For reference, below are the definitions (i.e. period-average or period-end) of the financial market variables in the scenario:
U.S. 3-month Treasury yield: Quarterly average of 3-month Treasury bill secondary market rate discount basis.
U.S. 10-year Treasury yield: Quarterly average of the yield on 10-year U.S. Treasury bonds.
U.S. BBB corporate yield: Quarterly average of the yield on 10-year BBB-rated corporate bonds.
U.S. mortgage rate: Quarterly average of weekly series of Freddie Mac data.
U.S. Dow Jones Total Stock Market Index: End of quarter value, Dow Jones.
U.S. Market Volatility Index (VIX): Chicago Board Options Exchange converted to quarterly by using the maximum value in any quarter.
• For convenience, the worksheet provides space for 10 variables per scenario, but any number of variables may be reported, depending on the variables actually used in the scenario. Extra lines may be created as needed. The same variables do not necessarily have to be included in each scenario.
• Firms should include all economic and financial market variables that were important in projecting results, including those that affect only a subset of portfolios or positions. For example, if asset prices had a meaningful impact, the assumed level of the equity market and interest rates should be included, or if bankruptcy filings affect credit card loss estimates, then the assumed levels of these should be reported.
• For additional variables generated for the supervisory adverse scenario or supervisory severely adverse scenario, BHCs should set the paths to be as consistent as possible with the paths of the variables already specified in the scenario.
• Firms should also include any variables capturing regional or local economic or asset value conditions, such as regional unemployment rates or housing prices, if these were used in the projections.
• Firms should include historical data, as well as projections, for any macroeconomic, regional, local, or financial market variables that are not generally available. Historical data for these variables can be included in a separate worksheet.
Worksheet B.1—Supervisory Baseline Scenario
This worksheet should be used to report the values of any additional variables generated for the supervisory baseline scenario.
Worksheet B.2—Supervisory Adverse Scenario
This worksheet should be used to report the values of any additional variables generated for the supervisory adverse scenario.
Worksheet B.3—Supervisory Severely Adverse Scenario
This worksheet should be used to report the values of any additional variables generated for the supervisory severely adverse scenario.
Worksheet B.4—BHC Baseline Scenario
This worksheet should be used to report the values of the variables included in the BHC baseline scenario.
Worksheet B.5—BHC Adverse Scenario
This worksheet should be used to report the values of the variables included in the
BHC stress scenario.
Worksheets B.6+ —Additional Scenario #1/#2/etc.
These worksheets should be used to report the values of the variables included in any additional scenarios.
Please create a separate worksheet (tab) for each additional scenario. Name the worksheets
“Additional Scenario #1;” “Additional Scenario #2;” etc.
All Scenarios: The following applies to all of the Scenario tabs:
The variables should be the same (and have the same names) as the variables listed in the corresponding sections of the Scenario Variable Definitions Worksheet.
List quarterly values for the variables starting with the last realized value (3Q 2012) through the end of the forecast horizon (4Q 2014).
If a BHC needs to infer a monthly (instead of quarterly) progression of variables, it should smooth or prorate the variables, rather than holding the quarterly value constant over the quarter months.
Please enter all variables as levels rather than as changes or growth rates (for instance, the dollar value of real GDP rather than the GDP growth rate).
Schedule C—Regulatory Capital Instruments
General guidance
The Regulatory Capital Instruments annual (FR Y-14A) schedule collects historical data and projections of BHCs’ balances of the funded instruments that are included in regulatory capital. The schedule collects data on the historical balances and projected balances of funded regulatory capital instruments by instrument type, in addition to projections for issuances and redemptions that contribute to changes in balances under the BHC baseline scenario.
The Projected Capital Actions and Balances Worksheet of the schedule collects the total balances of capital instruments and planned redemptions and issuances at an aggregate instrument-type level (e.g., common stock, non-cumulative perpetual preferred, subordinated debt, etc.).
The instructions for the worksheet should be read in conjunction with the regulatory capital guidelines issued by the Federal Reserve, the FR Y-9C report and instructions and the revised regulatory capital rule issued in July 2013.
Projected Capital Actions and Balances Worksheet
This worksheet collects information on the current and projected balances of regulatory capital instruments aggregated by instrument type over the nine quarter horizon. BHCs are to report information on both a notional basis and on the basis of the dollar amount included in regulatory capital. BHCs may use the “Comments” fields to provide identification of individual instruments that have changed in value or other characteristics.
General risk-based capital rules treatment section – For both the “Notional amount” and “Amount recognized in regulatory capital” input the actual and projected aggregate dollar amounts ($Millions) for each item number under this regulatory capital regime. If there is no actual or projected value for a specific line item under this capital regulatory regime please fill in a “0” (zero).
Revised regulatory capital treatment section – For both the “Notional amount” and “Amount recognized in regulatory capital” input the projected aggregate dollar amounts ($Millions) for each item number starting with the period your firm becomes subject to the capital rule released on July 2, 2013. Under this section, for all projection periods where your firm is not subject to the capital rule released on July 2, 2013, please fill in “0” (zero) for all line item values. If there is no projected value for a specific line item under this capital regulatory regime please fill in a “0” (zero).
Notional Amount – Report the total notional amount of each instrument.
Amount Recognized in Regulatory Capital – Report the portion of the notional amount that is recognized in regulatory capital.
Quarterly Redemption/Repurchase Activity – Report the actual and projected aggregate dollar amount ($Millions) of planned redemptions/repurchases to be conducted in each quarter for each type of capital instrument. All redemptions/repurchases should be reported as negative values. For any instrument type that the BHC does not include in its reported regulatory capital or for which there is no actual/planned redemption/repurchase activity during a particular quarter, please enter “0” (zero).
Quarterly Issuance Activity – Report the actual and projected aggregate dollar amount ($Millions) of planned issuances to be conducted in each quarter for each type of capital instrument. For any instrument type that the BHC does not include in its reported regulatory capital or for which there is no planned issuance activity during a particular quarter, please enter “0” (zero).
Conversion of preferred stock to common stock should be reported as a redemption of preferred stock and an issuance of common stock in the same quarter.
Capital Balances – Input the actual and projected aggregate balances ($Millions) of each type of capital instrument for the relevant quarter, reflecting the impact of planned capital actions For any instrument type the BHC does not include in its reported regulatory capital, please enter “0” (zero).
For Common Stock (Items 37 and 111), please report this value as the sum of “Common Stock (par value)” (BHCK 3230) plus “Surplus” (BHCK 3240) LESS “Treasury Stock in the form of Common Stock” (BHCK 5484) and LESS “Issuances associated with the U.S. Department of Treasury Capital Purchase Program: Warrants to Purchase Common Stock” (BHCK G235).
Items |
Description |
General risk-based capital rules treatment |
Instruction |
||
1 |
19 |
37 |
Common Stock (CS) |
Tier 1 |
As defined in the FR Y-9C, Schedule HC, item 24. |
2 |
20 |
38 |
CS Warrants |
Tier 1 |
Warrants to issue common stock (as defined in the FR Y-9C, Schedule HC, item 23). |
3 |
21 |
39 |
CS USG Investment |
Tier 1 |
Warrants to issue common stock (as defined in the FR Y-9C, Schedule HC, item 23). |
4 |
22 |
40 |
Non-Cumulative Perpetual Preferred (NCPP) |
Tier 1 |
As defined in the FR Y-9C, Schedule HC-R, item 5. |
5 |
23 |
41 |
NCPP Convertible |
Tier 1 |
As defined in the FR Y-9C, Schedule HC-R, item 5. |
6 |
24 |
42 |
Cumulative Perpetual Preferred (CPP) |
Tier 1 |
As defined in the FR Y-9C, Schedule HC-R, item 5. |
7 |
25 |
43 |
CPP TARP Preferred |
Tier 1 |
As defined in the FR Y-9C, Schedule HC-R, item 5. |
8 |
26 |
44 |
Mandatory Convertible Preferred (MCP) |
Tier 1 |
As defined in the FR Y-9C, Schedule HC-R, item 6(c). |
9 |
27 |
45 |
MCP USG Preferred |
Tier 1 |
As defined in the FR Y-9C, Schedule HC-R, item 6(c). |
10 |
28 |
46 |
Cumulative Dated Preferred (TRUPS) |
Tier 1 |
As defined in the FR Y-9C, Schedule HC-R, item 6(b). |
11 |
29 |
47 |
USG Preferred TRUPS |
Tier 1 |
As defined in the FR Y-9C, Schedule HC-R, item 6(b). |
12 |
30 |
48 |
REIT Preferred |
Tier 1 |
As defined in the FR Y-9C, Schedule HC-R, item M3(c). |
13 |
31 |
49 |
Other Tier 1 Instruments |
Tier 1 |
As defined in the FR Y-9C, Schedule HC-R, item 10. |
14 |
32 |
50 |
Cumulative Perpetual Preferred (CPP) |
Tier 2 |
As defined in the FR Y-9C, Schedule HC-R, item 13. |
15 |
33 |
51 |
Mandatory Convertible Preferred (MCP) |
Tier 2 |
As defined in the FR Y-9C, Schedule HC-R, item 13. |
16 |
34 |
52 |
Cumulative Dated Preferred (TRUPS) |
Tier 2 |
As defined in the FR Y-9C, Schedule HC-R, item 12. |
17 |
35 |
53 |
Subordinated Debt |
Tier 2 |
As defined in the FR Y-9C, Schedule HC-R, item 12. |
18 |
36 |
54 |
Other Tier 2 Instruments |
Tier 2 |
As defined in the FR Y-9C, Schedule HC-R, item 16. |
Items |
Description |
Revised regulatory capital rule (July 2013) treatment |
Instruction |
||
55 |
83 |
111 |
Common Stock (CS) |
Common Equity Tier 1 |
As defined in the revised regulatory capital rule (July 2013). |
56 |
84 |
112 |
CS Warrants |
Common Equity Tier 1 |
As defined in the revised regulatory capital rule (July 2013). |
57 |
85 |
113 |
CS USG Investment |
Common Equity Tier 1 |
As defined in the revised regulatory capital rule (July 2013). |
58 |
86 |
114 |
Capital Instrument Issued by Subsidiary |
Common Equity Tier 1 |
As defined in the revised regulatory capital rule (July 2013). |
59 |
87 |
115 |
Other Common Equity Tier 1 Instruments |
Common Equity Tier 1 |
As defined in the revised regulatory capital rule (July 2013). |
60 |
88 |
116 |
Non-Cumulative Perpetual Preferred (NCPP) |
Additional Tier 1 |
As defined in the revised regulatory capital rule (July 2013). |
61 |
89 |
117 |
NCPP Convertible |
Additional Tier 1 |
As defined in the revised regulatory capital rule (July 2013). |
62 |
90 |
118 |
Mandatory Convertible Preferred (MCP) |
Additional Tier 1 |
As defined in the revised regulatory capital rule (July 2013). |
63 |
91 |
119 |
MCP USG Preferred |
Additional Tier 1 |
As defined in the revised regulatory capital rule (July 2013). |
64 |
92 |
120 |
Capital Instrument Issued by Subsidiary |
Additional Tier 1 |
As defined in the revised regulatory capital rule (July 2013). |
65 |
93 |
121 |
Other Additional Tier 1 Instruments |
Additional Tier 1 |
As defined in the revised regulatory capital rule (July 2013). |
66 |
94 |
122 |
Cumulative Perpetual Preferred (CPP) |
Non-qualifying Instrument in Tier 1 |
As defined in the revised regulatory capital rule (July 2013). |
67 |
95 |
123 |
CPP TARP Preferred |
Non-qualifying Instrument in Tier 1 |
As defined in the revised regulatory capital rule (July 2013). |
68 |
96 |
124 |
Mandatory Convertible Preferred (MCP) |
Non-qualifying Instrument in Tier 1 |
As defined in the revised regulatory capital rule (July 2013). |
69 |
97 |
125 |
MCP USG Preferred |
Non-qualifying Instrument in Tier 1 |
As defined in the revised regulatory capital rule (July 2013). |
70 |
98 |
126 |
Cumulative Dated Preferred (TRUPS) |
Non-qualifying Instrument in Tier 1 |
As defined in the revised regulatory capital rule (July 2013). |
71 |
99 |
127 |
USG Preferred TRUPS |
Non-qualifying Instrument in Tier 1 |
As defined in the revised regulatory capital rule (July 2013). |
72 |
100 |
128 |
Other Non-qualifying Instruments in Tier 1 |
Non-qualifying Instrument in Tier 1 |
As defined in the revised regulatory capital rule (July 2013). |
73 |
101 |
129 |
Subordinated Debt |
Tier 2 |
As defined in the revised regulatory capital rule (July 2013). |
74 |
102 |
130 |
Capital Instrument Issued by Subsidiary |
Tier 2 |
As defined in the revised regulatory capital rule (July 2013). |
75 |
103 |
131 |
Other Tier 2 Instruments |
Tier 2 |
As defined in the revised regulatory capital rule (July 2013). |
76 |
104 |
132 |
Cumulative Perpetual Preferred (CPP) |
Non-qualifying Instrument in Tier 2 |
As defined in the revised regulatory capital rule (July 2013). |
77 |
105 |
133 |
CPP TARP Preferred |
Non-qualifying Instrument in Tier 2 |
As defined in the revised regulatory capital rule (July 2013). |
78 |
106 |
134 |
Mandatory Convertible Preferred (MCP) |
Non-qualifying Instrument in Tier 2 |
As defined in the revised regulatory capital rule (July 2013). |
79 |
107 |
135 |
MCP USG Preferred |
Non-qualifying Instrument in Tier 2 |
As defined in the revised regulatory capital rule (July 2013). |
80 |
108 |
136 |
Cumulative Dated Preferred (TRUPS) |
Non-qualifying Instrument in Tier 2 |
As defined in the revised regulatory capital rule (July 2013). |
81 |
109 |
137 |
USG Preferred TRUPS |
Non-qualifying Instrument in Tier 2 |
As defined in the revised regulatory capital rule (July 2013). |
82 |
110 |
138 |
Other Non-qualifying Instruments in Tier 2 |
Non-qualifying Instrument in Tier 2 |
As defined in the revised regulatory capital rule (July 2013). |
Schedule D—Regulatory Capital Transitions
For the purposes of the Regulatory Capital Transitions Schedule, BHCs must reflect the revised regulatory capital rules on a fully phased-in basis (e.g., BHCs should apply 100% of all capital deductions, not assuming the transition provisions for implementation of changes to the capital composition as in the revised regulatory capital rule).
The Regulatory Capital Transitions FR Y-14A annual schedule collects actual (historical) data for the as-of date and projected fourth quarter data for six years. All projections in the FR Y-14A Regulatory Capital Transitions schedule should be based under the Supervisory Baseline scenario through the end of Projected Year 6. BHCs should report planned capital actions as included under the Supervisory Baseline scenario. For reporting periods beyond the quarters projected in the BHC’s FR-Y-14A Summary schedule, BHCs should adopt assumptions necessary to make reasonable projections of capital ratios, including forecasts of macroeconomic factors and potential earnings through projected year 6. All forecasts must be well-developed and well-documented, consistent with the relevant baseline scenario, and internally consistent with the BHC’s planned capital actions.
BHCs should provide projections of capital composition, exceptions bucket calculation, risk-weighted assets, and leverage exposures through projected year 6 even if the BHC anticipates complying with the proposed fully phased- in 7% Common Equity Tier 1, 8.5% Tier 1 capital, 4% Tier 1 leverage, and 3% supplementary leverage target ratios (inclusive the capital conservation buffer, where applicable) plus any applicable surcharge for systemically important financial institutions (SIFI surcharge) by an earlier date.
Each CCAR Capital Plan must include management’s best estimate of a BHC’s likely SIFI surcharge. In the process of assessing a BHC’s transition path toward Basel III compliance, supervisors will evaluate the methodology and assumptions used by BHCs in determining the SIFI surcharge, and may adjust such estimates as necessary when evaluating the transition path. See Appendix A: Supporting Documentation for more details about the associated information that must be submitted in addition to this report template.
Relevant References
On July 2, 2013, the Federal Reserve finalized the regulatory capital rules that were proposed on August 30, 2012 and also issued the market risk NPR. All BHCs are required to follow the methodologies outlined in the revised regulatory capital rule (July 2013), the final market risk capital rule (77 Federal Register 53060, August 30, 2012), and market risk NPR (July 2013) for purposes of completing the Regulatory Capital Transitions schedules for the entire forecast period. BHCs should reflect the revised regulatory capital framework on a fully phased-in basis.
Links to these reference documents are listed below:
• Basel global systemically important banks: updated assessment methodology and the higher loss absorbency requirement (July 2013): http://www.bis.org/publ/bcbs255.pdf
• Revised Regulatory Capital Rule (July 2013) including Preamble: http://www.federalreserve.gov/bcreg20130702a.pdf
• Final Market Risk Rule (77 Federal Register 53060, August 30, 2012):
Market Risk NPR (July 2013):
Completing the Schedule
All data should be provided in the non-shaded cells in all worksheets; grey shaded cells include embedded formulas and will be automatically populated.
All BHCs, including advanced approaches BHCs and non-advanced approaches BHCs must complete the “RWA_General” worksheet for all reporting periods. For the purpose of completing the “RWA_General” worksheet, BHCs are required to report credit risk-weighted assets using the methodologies under the standardized approach of the revised regulatory capital rule. Advanced approaches BHCs, including the BHCs that are considered mandatory advanced approaches institutions or that have opted-in voluntarily as an advanced approaches institution, are also required to complete the “RWA_Advanced” worksheet for all reporting periods.
Note that for purposes of completing the FR Y-14A Regulatory Capital Transitions schedule, BHCs that have received comprehensive risk model approval should base their projections on the comprehensive risk measure plus the surcharge for the entire planning horizon. BHCs should not assume that the surcharge will be replaced by the floor approach in the schedule or as part of planned actions.
If a BHC does not have an exposure relevant to any particular line item in the worksheets (except for the Planned Action worksheet); it should enter zero (0) in those cells. In order for the embedded formulas to automatically populate the shaded cells in the schedule with calculated numbers, BHCs must complete all unshaded cells in the schedule with a value. In addition, BHCs should ensure that the version of Microsoft Excel they use to complete the schedule is set to automatically calculate formulas. This is achieved by setting “Calculation Options” (under the Formulas function) to “Automatic” within Microsoft Excel.
The “Capital Composition” worksheet and the “Exceptions Bucket Calculator” worksheet collect the data necessary to calculate the composition of capital under the guidelines set forth by the Revised Regulatory Capital Rule (July 2013). Please provide all data on a fully phased-in basis (i.e., not assuming any transitional or phase- out arrangements included in the revised regulatory capital rule (July 2013).
Common Equity Tier 1
Line item 1 AOCI opt-out election
Non-advanced approaches BHCs have the option to select either 1 for opt-out, or 0 for opt-in. Note that there are no transition provisions if a BHC makes an AOCI opt-out election.
Those BHCs who elect to opt-out must do so on the holding company’s March 31, 2015 FR Y-9C report
Common equity tier 1 capital
Line item 2 Common stock and related surplus (net of treasury stock and unearned employee stock ownership plan (ESOP) shares
Report common shares and the related surplus issued by BHCs that meet the criteria of the final rules. This should be net of treasury stock and other investments in own shares to the extent that these are already not recognized on the balance sheet under the relevant accounting standards. This line item should reflect the impact of share repurchases or issuances projected in the CCAR forecast horizon. This line should also reflect the netting of any treasury stock, unearned ESOP shares, and any other contra-equity components.
Line item 3 Retained earnings
Retained earnings reported by BHCs. This should reflect the impact of dividend pay-outs projected in the CCAR forecast horizon.
Line item 4 Accumulated other comprehensive income (AOCI)
Report the amount of AOCI as reported under generally accepted accounting principles (GAAP) in the U.S. that is included in Schedule HC, item 26.b.
Line item 5 Common equity tier 1 minority interest includable in common equity tier 1 capital (report this on a fully phased-in basis)
Report the aggregate amount of common equity tier 1 minority interest that is consistent with section 21 of the revised regulatory capital rules. Common equity tier 1 minority interest means the common equity tier 1 capital of a depository institution or foreign bank that is a consolidated subsidiary of the holding company and that is not owned by the holding company. In addition, the capital instruments issued by the subsidiary must meet all of the criteria for common equity tier 1 capital (qualifying common equity tier 1 capital).
Line item 6 Common equity tier 1 capital before adjustments and deductions
This captures the sum of line items 2 through 5.
Common equity tier 1 capital: adjustments and deductions
Line item 7 Goodwill net of associated deferred tax liabilities (DTLs)
Report the amount of goodwill included in Schedule HC, item 10(a).
However, if a BHC has a DTL that is specifically related to goodwill acquired in a taxable purchase business combination that it chooses to net against the goodwill, the amount of disallowed goodwill to be reported in this item should be reduced by the amount of the associated DTL.
If a holding company has significant investments in the capital of unconsolidated financial institutions in the form of common stock, the holding company should report in this item goodwill embedded in the valuation of a significant investment in the capital of an unconsolidated financial institution in the form of common stock (embedded goodwill). Such deduction of embedded goodwill would apply to investments accounted for under the equity method. Under GAAP, if there is a difference between the initial cost basis of the investment and the amount of underlying equity in the net assets of the investee, the resulting difference should be accounted for as if the investee were a consolidated subsidiary (which may include imputed goodwill).
Line item 8 Intangible assets (other than goodwill and mortgage servicing assets (MSAs)), net of associated DTLs
Report all intangible assets (other than goodwill and MSAs) net of associated DTLs, included in Schedule HC-M, items 12.b and 12.c, that do not qualify for inclusion in common equity tier 1 capital under the regulatory capital rules. Generally, all purchased credit card relationships (PCCRs) and non-mortgage servicing rights, reported in Schedule HC-M, item 12.b, and all other identifiable intangibles, reported in Schedule HC-M, item 12.c, do not qualify for inclusion in common equity tier 1 capital and should be included in this item.
Further, if the holding company has a DTL that is specifically related to an intangible asset (other than servicing assets and PCCRs) acquired in a nontaxable purchase business combination that it chooses to net against the intangible asset for regulatory capital purposes, the amount of disallowed intangibles to be reported in this item should be reduced by the amount of the associated DTL. However, a DTL that the holding company chooses to net against the related intangible reported in this item may not also be netted against DTAs when the holding company determines the amount of DTAs that are dependent upon future taxable income and calculates the maximum allowable amount of such DTAs for regulatory capital purposes.
Line item 9 Deferred Tax Assets (DTAs) that arise from net operating loss and tax credit carryforwards, net of any related valuation allowances and net of DTLs
Report the amount of DTAs that arise from net operating loss and tax credit carryforwards, net of any related valuation allowances and net of DTLs.
AOCI-related adjustments
If Item 1 is “1” for “Yes”, complete items 10 through 14 only for AOCI related adjustments.
Line item 10 Net unrealized gains (losses) on available-for-sale securities
Report the amount of net unrealized holding gains (losses) on available-for-sale securities, net of applicable taxes, that is included in Schedule HC, item 26.b, “Accumulated other comprehensive income.” If the amount is a net gain, report it as a positive value in this item. If the amount is a net loss, report it as a negative value in this item.
Line item 11 Net unrealized loss on available-for-sale preferred stock classified as an equity security under GAAP and available-for-sale equity exposures
Report as a positive value net unrealized loss on available-for-sale preferred stock classified as an equity security under GAAP and available-for-sale equity exposures that is included in Schedule HC, item 26.b, “Accumulated other comprehensive income.”
Line item 12 Accumulated net gains (losses) on cash flow hedges
Report the amount of accumulated net gains (losses) on cash flow hedges that is included in Schedule HC, item 26.b, “Accumulated other comprehensive income.” If the amount is a net gain, report it as a positive value in this item. If the amount is a net loss, report it as a negative value in this item.
Line item 13 Amounts recorded in AOCI attributed to defined benefit postretirement plans resulting from the initial and subsequent application of the relevant GAAP standards that pertain to such plans
Report the amounts recorded in AOCI and included in Schedule HC, item 26.b, “Accumulated other comprehensive income,” resulting from the initial and subsequent application of ASC Subtopic 715-20 (formerly FASB Statement No. 158, “Employers’ Accounting for Defined Benefit Pension and Other Postretirement Plans”) to defined benefit postretirement plans resulting from the initial and subsequent application of the relevant GAAP standards that pertain to such plans. A holding company may exclude the portion related to pension assets deducted in Schedule HC-R, item 10(b). If the amount is a net gain, report it as a positive value in this item. If the amount is a net loss, report it as a negative value in this item.
Line item 14 Net unrealized gains (losses) on held-to-maturity securities that are included in AOCI
Report the amount of net unrealized gains (losses) that are not credit-related on held-to-maturity securities and are included in AOCI as reported in Schedule HC, item 26.b, “Accumulated other comprehensive income.” If the amount is a net gain, report it as a positive value. If the amount is a net loss, report it as a negative value.
If Item 1 is “0” for “No”, complete item 15 only for AOCI related adjustments.
Line item 15 Accumulated net gain (loss) on cash flow hedges included in AOCI, net of applicable tax effects, that relate to the hedging of items that are not recognized at fair value on the balance sheet.
Report the amount of accumulated net gain (loss) on cash flow hedges included in AOCI, net of applicable tax effects that relate to the hedging of items not recognized at fair value on the balance sheet. If the amount is a net gain, report it as a positive value. If the amount is a net loss, report it as a negative value.
Other deductions from (additions to) common equity tier 1 capital before threshold-based deductions:
Line item 16 Unrealized net gain (loss) related to changes in the fair value of liabilities that are due to changes in own credit risk
Report the amount of unrealized net gain (loss) related to changes in the fair value of liabilities that are due to changes in the holding company’s own credit risk. If the amount is a net gain, report it as a positive value in this item. If the amount is a net loss, report it as a negative value in this item.
Advanced approaches holding companies only: include the credit spread premium over the risk free rate for derivatives that are liabilities.
Line item 17 All other deductions from (additions to) common equity tier 1 capital before threshold-based deductions
Report the amount of other deductions from (additions to) common equity tier 1 capital that are not included in items 1 through 15, as described below:
After-tax gain-on-sale in connection with a securitization exposure
Include any after-tax gain-on-sale in connection with a securitization exposure. Gain-on-sale means an increase in the equity capital of a holding company resulting from a securitization (other than an increase in equity capital resulting from the holding company’s receipt of cash in connection with the securitization or reporting of a mortgage servicing asset on Schedule HC).
Defined benefit pension fund assets, net of associated DTLs
A BHC must deduct defined benefit pension fund assets, net of associated DTLs, held by a holding company. With the prior approval of the Federal Reserve, this deduction is not required for any defined benefit pension fund net asset to the extent the holding company has unrestricted and unfettered access to the assets in that fund.
Investments in the holding company’s own shares to the extent not excluded as part of treasury stock.
Include the BHC’s investments in (including any contractual obligation to purchase) its own common stock instruments, including direct, indirect, and synthetic exposures to such instruments (as defined in the revised regulatory capital rules), to the extent such instruments are not excluded as part of treasury stock, reported in Line Item 54.
For example, if a BHC already deducts its investment in its own shares (for example, treasury stock) from its common equity tier 1 capital elements, it does not need to make such deduction twice.
A holding company may deduct gross long positions net of short positions in the same underlying instrument only if the short positions involve no counterparty credit risk.
The holding company must look through any holdings of index securities to deduct investments in its own capital instruments.
In addition:
(i) Gross long positions in investments in a holding company’s own regulatory capital instruments resulting from holdings of index securities may be netted against short positions in the same underlying index;
(ii) Short positions in index securities that are hedging long cash or synthetic positions may be decomposed to recognize the hedge; and
(iii) The portion of the index that is composed of the same underlying exposure that is being hedged may be used to offset the long position if both the exposure being hedged and the short position in the index are covered positions under the market risk capital rule, and the hedge is deemed effective by the holding company’s internal control processes which would have been assessed by the Federal Reserve.
Reciprocal cross-holdings in the capital of financial institutions in the form of common stock
Include investments in the capital of other financial institutions (in the form of common stock) that the holding company holds reciprocally (this is the corresponding deduction approach). Such reciprocal crossholdings may result from a formal or informal arrangement to swap, exchange, or otherwise intend to hold each other’s capital instruments.
Equity investments in financial subsidiaries
A BHC must deduct the aggregate amount of its outstanding equity investment, including retained earnings, in its financial subsidiaries (as defined in 12 CFR 208.77) and may not consolidate the assets and liabilities of a financial subsidiary with those of the parent institution. No other deduction is required for these investments in the capital instruments of financial subsidiaries.
Amount of expected credit loss that exceeds its eligible credit reserves (Advanced approaches institutions that exit parallel run only)
Include the amount of expected credit loss that exceeds the eligible credit reserves.
Line item 18 Non-significant investments in the capital of unconsolidated financial institutions in the form of common stock that exceed the 10 percent threshold for non-significant investments
A BHC has a non-significant investment in the capital of an unconsolidated financial institution (as defined in section 2 of the revised regulatory capital rules) if it owns 10 percent or less of the issued and outstanding common shares of that institution.
Report the amount of non-significant investments in the capital of unconsolidated financial institutions in the form of common stock that, in the aggregate, exceed the 10 percent threshold for non-significant investments, calculated as described below. The BHC may apply associated DTLs to this deduction.
Line item 19 Subtotal
This item is a shaded cell and is derived from other items in the schedule; no input required. This is the total of common equity tier 1 prior to adjustments less all of the regulatory adjustments and deductions.
Line item 20 Significant investments in the capital of unconsolidated financial institutions in the form of common stock, net of DTLs, that exceed the 10 percent common equity tier 1 capital deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 21 MSAs, net of associated DTLs, that exceed the 10 percent common equity tier 1 capital deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 22 DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net of DTLs, that exceed the 10 percent common equity tier 1 capital deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 23 Amount of significant investments in the capital of unconsolidated financial institutions in the form of common stock; MSAs, net of associated DTLs; and DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net of DTLs; that exceeds the 15 percent common equity tier 1 capital deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 24 Deductions applied to common equity tier 1 capital due to insufficient amounts of additional tier 1 capital and tier 2 capital to cover deductions
Report the total amount of deductions related to reciprocal cross holdings, non-significant investments in the capital of unconsolidated financial institutions, and non-common stock significant investments in the capital of unconsolidated financial institutions if the holding company does not have a sufficient amount of additional tier 1 capital and tier 2 capital to cover these deductions.
Line item 25 Total adjustments and deductions for common equity tier 1 capital
This is the sum of line item 20 through 24.
Line item 26 Common Equity Tier 1
This is the subtotal of line item 19 minus line item 25.
Line item 27 Additional tier 1 capital instruments plus related surplus
Report the portion of noncumulative perpetual preferred stock and related surplus included in Schedule HC, item 23, that satisfy all the criteria for additional tier 1 capital in the revised regulatory capital rules of the Federal Reserve.
Include instruments that were (i) issued under the Small Business Job’s Act of 2010, or, prior to October 4, 2010, under the Emergency Economic Stabilization Act of 2008 and (ii) were included in the tier 1 capital under the Federal Reserve’s general risk-based capital rules (12 CFR part 225, appendix A, and, if applicable, appendix E) (for example, tier 1 instruments issued under the TARP program that are grandfathered permanently). Also include additional tier 1 capital instruments issued as part of an ESOP, provided that the repurchase of such instruments is required solely by virtue of ERISA for a banking organization that is not publicly-traded.
Line item 28 Tier 1 minority interest not included in common equity tier 1 capital (report on a fully phased-in basis)
Similar to item 5, this captures all qualifying tier 1 minority interest includable under additional tier 1 capital.
Line item 29 Additional tier 1 capital before deductions
This is the sum of line items 27 and 28.
Line item 30 Additional tier 1 capital deductions
Report additional tier 1 capital deductions as the sum of the following elements:
Investments in own additional tier 1 capital instruments:
Report the holding company’s investments in (including any contractual obligation to purchase) its own additional tier 1 instruments, whether held directly or indirectly.
A holding company may deduct gross long positions net of short positions in the same underlying instrument only if the short positions involve no counterparty risk.
The holding company must look through any holdings of index securities to deduct investments in its own capital instruments. In addition:
(i) Gross long positions in investments in a holding company’s own regulatory capital instruments resulting from holdings of index securities may be netted against short positions in the same index;
(ii) Short positions in index securities that are hedging long cash or synthetic positions can be decomposed to recognize the hedge; and
(iii) The portion of the index that is composed of the same underlying exposure that is being hedged may be used to offset the long position if both the exposure being hedged and the short position in the index are covered positions under the market risk capital rule, and the hedge is deemed effective by the holding company’s internal control processes.
Reciprocal cross-holdings in the capital of financial institutions.
Include investments in the additional tier 1 capital instruments of other financial institutions that the holding company holds reciprocally, where such reciprocal crossholdings result from a formal or informal arrangement to swap, exchange, or otherwise intend to hold each other’s capital instruments. If the holding company does not have a sufficient amount of a specific component of capital to effect the required deduction, the shortfall must be deducted from the next higher (that is, more subordinated) component of regulatory capital.
For example, if a holding company is required to deduct a certain amount from additional tier 1 capital and it does not have additional tier 1 capital, then the deduction should be from common equity tier 1 capital.
Non-significant investments in additional tier 1 capital of unconsolidated financial institutions that exceed the 10 percent threshold for non-significant investments.
Calculate this amount as follows:
(i) Determine the aggregate amount of non-significant investments in the capital of unconsolidated financial institutions in the form of common stock, additional tier 1, and tier 2 capital.
(ii) Determine the amount of non-significant investments in the capital of unconsolidated financial institutions in the form of additional tier 1 capital.
(iii) If the amount in (i) is greater than the 10 percent threshold for non-significant investments then multiply the difference by the ratio of (ii) over (i).
(iv) If the amount in (i) is less than the 10 percent threshold for non-significant investments, report zero.
Significant investments in the capital of unconsolidated financial institutions not in the form of common stock to be deducted from additional tier 1 capital.
Report the total amount of significant investments in the capital of unconsolidated financial institutions in the form of additional tier 1 capital.
Other adjustments and deductions.
Include adjustments and deductions applied to additional tier 1 capital due to insufficient tier 2 capital to cover deductions (related to reciprocal cross holdings, non-significant investments in the tier 2 capital of unconsolidated financial institutions, and significant investments in the tier 2 capital of unconsolidated financial institutions).
Line item 31 Additional tier 1 capital (greater of item 29 minus item 30 or zero)
This item is a shaded cell and is derived from other items in the schedule. This provides the total of additional tier 1 capital.
Tier 1 Capital
Line item 32 Tier 1 capital (sum of items 26 and 31)
This item is a shaded cell and is derived from other items in the schedule. This provides the total amount of tier 1 capital.
Periodic Changes in Common Stock
Line item 33 Common Stock and Related Surplus (Net of Treasury Stock)
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 34 Issuance of Common Stock (Including Conversion of Common Stock)
Captures the total issuance of common stock and related surplus in the reporting period. For each Projection Year, report the incremental issuance since the previously reported period on the worksheet. This figure should equal the sum of “Total issuance of common stock” reported in the FR Y-14A Summary Schedule, Capital worksheet for reporting periods that correspond on the Summary schedule.
Line item 35 Repurchases of Common Stock
Captures the total repurchases of common stock in the reporting period. For each Projection Year, report the incremental repurchase since the previously reported period on the worksheet. This figure should equal the “Total share repurchases” outlined reported in the FR Y-14A Summary Schedule, Capital worksheet that correspond on the Summary schedule.
Periodic Changes in Retained Earnings
Line item 36 Net Income (Loss) Attributable to Bank Holding Company
Refer to FR Y-9C instructions for Schedule HI-A, item 4. Report losses as a negative value. Note that income amounts should reflect the calendar year to date results.
Line item 37 Cash Dividends Declared on Preferred Stock
Refer to FR Y-9C instructions for Schedule HI-A, item 10.
Line item 38 Cash Dividends Declared on Common Stock
Refer to FR Y-9C instructions for Schedule HI-A, item 11.
Line item 39 Previously Issued Tier 1 Capital Instruments (Excluding Minority Interest) that would No Longer Qualify (please report 100% value)
Report 100% of the value of previously issued Tier 1 capital instruments that will no longer qualify as Tier 1 capital as per the revised regulatory capital rule (July 2013) (including perpetual preferred stock and trust preferred securities subject to phase-out arrangements). Report balances in full, without reflecting any phase-out arrangements included in the revised regulatory capital rule (July 2013).
Line item 40 Previously Issued Tier 1 Minority Interest that Would No Longer Qualify (Please Report 100% Value)
Report 100% of the value of previously issued tier 1 minority interest that will no longer qualify as tier 1 capital as per the revised regulatory capital rule (July 2013). Report balances in full, without reflecting any phase-out arrangements included in the revised regulatory capital rule (July 2013).
Line item 41 Does Line 33, “Common Stock and Related Surplus” = Line 2 for “Common Stock and Related Surplus”?
This item is a shaded cell and is a validation check to ensure Line 33 equals the value in Line 2 within this worksheet; no input required. Ensure that “Yes” appears across all cells.
Line item 42 Data Completeness Check
If "No", please complete all non-shaded cells until all cells to the right say "Yes." Do not leave cells blank; enter "0" if not applicable.
D.2—Exception Bucket Calculator
The Exception Bucket Calculator worksheet collects the data necessary to calculate the items that may receive limited recognition in Common Equity Tier 1 (i.e., significant investments in the common shares of unconsolidated financial institutions, mortgage servicing assets and deferred tax assets arising from temporary differences). These items may be recognized in Common Equity Tier 1 up to 10% of the BHC’s common equity on an individual basis and 15% on an aggregated basis after application of all regulatory adjustments.
Significant investments in the capital of unconsolidated financial institutions in the form of common stock
Line item 1 Gross significant investments in the capital of unconsolidated financial institutions in the form of common stock
Aggregate holdings of capital instruments relevant to significant investments in the capital of unconsolidated financial entities, including direct, indirect and synthetic holdings in both the banking book and trading book.
Line item 2 Permitted offsetting short positions in relation to the specific gross holdings included above
Offsetting positions in the same underlying exposure where the maturity of the short position either matches the maturity of the long position or has a residual maturity of at least one year.
Line item 3 Significant investments in the capital of unconsolidated financial institutions in the form of common stock net of short positions
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 4 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 5 Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Mortgage servicing assets
Line item 6 Total mortgage servicing assets classified as intangible
Mortgage servicing assets may receive limited recognition when calculating common equity tier 1, with recognition typically capped at 10% of the bank’s common equity (after the application of all regulatory adjustments).
Line item 7 Associated deferred tax liabilities which would be extinguished if the intangible becomes impaired or derecognized under the relevant accounting standards
The amount of mortgage servicing assets to be deducted from common equity tier 1 is to be offset by any associated deferred tax liabilities, with recognition capped at 10% of the bank’s common equity tier 1(after the application of all regulatory adjustments). If the bank chooses to net its deferred tax liabilities associated with mortgage servicing assets against deferred tax assets (in Line 17 of the Capital Composition worksheet), those deferred tax liabilities should not be deducted again here.
Line item 8 Mortgage servicing assets net of related deferred tax liabilities
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 9 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 10 Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Deferred tax assets due to temporary differences
Line item 11 DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net of DTLs
Net deferred tax assets arising from temporary differences may receive limited recognition in common equity tier 1, with recognition capped at 10% of the bank’s common equity (after the application of all regulatory adjustments).
Line item 12 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 13 Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Aggregate of items subject to the 15% limit (significant investments, mortgage servicing assets and deferred tax assets arising from temporary differences)
Line item 14 Sum of items 3, 8, and 11
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 15 15 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 16 Sum of items 5, 10, and 15
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 17 Item 14 minus item 16
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 18 Amount to be deducted from common equity tier 1 due to 15 percent deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 19 Data Completeness Check
If "No", please complete all non-shaded cells until all cells to the right say "Yes." Do not leave cells blank; enter “0” if not applicable.
D.3—Risk-Weighted Assets – Advanced
Advanced approaches BHCs, including BHCs that are considered as mandatory advanced approaches institutions or that have opted-in voluntarily as an advanced approaches institution, are required to complete the “RWA_Advanced” worksheet. All BHCs, including advanced approaches BHCs and non-advanced approaches BHCs must complete the “RWA_General” worksheet.
In the “RWA_Advanced” worksheet, BHCs should provide risk-weighted asset estimates reflecting the final market risk capital rule (77 Federal Register 53060, August 30, 2012), the market risk NPR (July 2013), and the advanced approaches of the revised regulatory capital rule (July 2013) released by the U.S. banking agencies.
BHCs that are subject to market risk capital requirements at the as of date are required to complete the market risk-weighted asset section within the worksheet. However, if a BHC projects to meet the trading activity threshold that would require it to be subject to the market risk capital requirements during the forecast period, then the BHC should complete the market risk-weighted asset section within the worksheet. Please refer to the final market risk capital rule released by the U.S. banking agencies (77 Federal Register 53060, August 30, 2012) for details of the requirements of the rule.
Advanced approaches BHCs that are unable to provide advanced approaches risk weighted asset estimates should send formal written notification to the Federal Reserve and specify the affected portfolios, current limitations that preclude the BHC from providing advanced approaches RWA estimates as well as management's plan for addressing those limitations. The notification should be sent to info@CCAR.frb.org.
Credit Risk (including Counterparty Credit Risk (CCR) and non-trading credit risk) – Applicable to Advanced Approaches Banking Organizations
Risk-weighted assets should reflect the 1.06 scaling factor to the Internal Rating-Based Approach
(IRB) credit risk-weighted assets where relevant, unless noted otherwise.
Line item 1 Corporate
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 2 Corporate (not including receivables); Counterparty Credit Risk Exposures (not including credit value adjustment (CVA) charges or charges for exposures to central counterparties (CCPs))
Overall risk-weighted assets for corporate (not including receivables) counterparty credit risk exposures, not including credit value adjustment (CVA) capital charges or exposures to central counterparties (CCPs), after applying the 1.06 scaling factor to the Internal Rating- Based Approach (IRB) credit risk-weighted assets.
Line item 3 Corporate (not including receivables); Other Exposures
Overall risk-weighted assets for other corporate exposures (not including receivables), after applying the 1.06 scaling factor to the Internal Rating-Based Approach (IRB) credit risk-weighted assets.
Line item 4 Sovereign
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 5 Sovereign; Counterparty Credit Risk Exposures (not including credit value adjustment (CVA) charges or charges for exposures to central counterparties (CCPs))
Overall risk-weighted assets for sovereign counterparty credit risk exposures, not including credit value adjustment (CVA) capital charges or exposures to central counterparties (CCPs), after applying the 1.06 scaling factor to the Internal Rating-Based Approach (IRB) credit risk-weighted assets.
Line item 6 Sovereign; Other Exposures
Overall risk-weighted assets for other sovereign exposures, after applying the 1.06 scaling factor to the Internal Rating-Based Approach (IRB) credit risk- weighted assets.
Line item 7 Bank
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 8 Bank; Counterparty Credit Risk Exposures (not including credit value adjustment (CVA) charges or charges for exposures to central counterparties (CCPs))
Overall risk-weighted assets for bank counterparty credit risk exposures, not including credit value adjustment (CVA) capital charges or exposures to central counterparties (CCPs), after applying the 1.06 scaling factor to the Internal Rating-Based Approach (IRB) credit risk-weighted assets.
Line item 9 Bank; Other Exposures
Overall risk-weighted assets for other bank exposures, after applying the 1.06 scaling factor to the Internal Rating-Based Approach (IRB) credit risk-weighted assets.
Line item 10 Retail
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 11 Retail; Counterparty credit risk exposures (not including credit value adjustment (CVA) charges or charges for exposures to Central counterparties (CCPs))
Overall risk-weighted assets for retail counterparty credit risk exposures, not including credit value adjustment (CVA) capital charges or exposures to Central counterparties (CCPs), after applying the 1.06 scaling factor to IRB credit risk-weighted assets.
Line item 12 Retail; Other Exposures
Overall risk-weighted assets for other retail exposures, after applying the 1.06 scaling factor to the Internal Rating-Based Approach (IRB) credit risk-weighted assets.
Line item 13 Equity
Overall risk-weighted assets for equity exposures, where relevant after applying the 1.06 scaling factor to the Internal Rating-Based Approach (IRB) credit risk- weighted assets.
Line item 14 Securitization
Overall risk-weighted assets for securitizations that are held in the held-to-maturity or available-for-sale portfolios, where relevant after applying the 1.06 scaling factor to the Internal Rating-Based Approach (IRB) credit risk-weighted assets. For purposes of CCAR submission, banking book securitization exposures subject to a 1250% risk weight or the equivalent of a deduction (i.e. dollar-for-dollar capital requirement) should be included here.
Line item 15 Trading Book Counterparty Credit Risk Exposures (if not included in above)
Overall risk-weighted assets for counterparty credit risk exposures in the trading book if the BHC is not able to include them in the portfolio of the counterparty as specified above.
Line item 16 Credit Valuation Adjustment (CVA) Capital Charge (Risk-Weighted Asset Equivalent)
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 17 Advanced Credit Valuation Adjustment (CVA) Approach
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 18 Credit Valuation Adjustment (CVA) capital charge (Risk-Weighted Asset Equivalent); Advanced CVA Approach: Unstressed Value at Risk (VaR) with Multipliers
Stand-alone 10-day value-at-risk (VaR) calculated on the set of credit valuation adjustments (CVAs) for all Over- the-counter (OTC) derivatives counterparties together with eligible credit valuation adjustment (CVA) hedges. The reported value-at-risk should consist of both general and specific credit spread risks and is restricted to changes in the counterparties credit spreads. The bank must multiply the reported value-at-risk by three times, consistent with the approach used in calculating market risk capital charge (three-time multiplier). The 1.06 scaling factor does not apply.
BHC should report 0 if it does not use the advanced credit value adjustment (CVA) approach.
Line item 19 Credit Valuation Adjustment (CVA) Capital Charge (Risk-Weighted Asset Equivalent); Advanced CVA Approach: Stressed Value at Risk (VaR) with multipliers
Stand-alone 10-day stressed Value-at-risk (VaR) calculated on the set of credit valuation adjustments (CVAs) for all over-the-counter (OTC) derivatives counterparties together with eligible credit valuation adjustments (CVA) hedges. The reported value-at-risk should consist of both general and specific credit spread risks and is restricted to changes in the counterparties credit spreads. It should reflect three-times multiplier. The 1.06 scaling factor does not apply. BHC should report 0 if it does not use the advanced credit valuation adjustments (CVA) approach.
Line item 20 Credit Valuation Adjustment (CVA) Capital Charge (Risk-Weighted Asset Equivalent): Simple CVA Approach
Risk-weighted asset (RWA) equivalent using the simple credit valuation adjustment (CVA) approach.
Line item 21 Other Credit Risk
If the BHC is unable to assign credit risk-weighted assets to one of the above categories, even on a best-efforts basis, they should be reported in this line.
Line item 22 Total Credit Risk-Weighted Assets (RWA)
This item is a shaded cell and is derived from other items in the schedule; no input required.
Market Risk
If a BHC does not have a particular portfolio or no trading book at all, risk-weighted assets should be reported as 0.
Line item 23 Standardized Specific Risk (excluding securitization and correlation)
Risk-weighted asset (RWA) equivalent for specific risk based on the standardized measurement method as applicable. This should not include the risk-weighted assets according to the standardized measurement method for exposures included in the correlation trading portfolio or the standardized approach for other non- correlation related traded securitization exposures.
Line item 24 Value at Risk (VaR) with Multipliers (general and specific risk)
BHC-wide 10-day value-at-risk (VaR) inclusive of all sources of risks that are included in the value-at-risk calculation. The reported value-at-risk should reflect actual multipliers as of the reporting date.
Line item 25 Stressed Value-at-Risk (VaR) with Multipliers (general and specific risk)
BHC-wide 10-day stressed value-at-risk (VaR) inclusive of all sources of risk that are included in the stressed value- at-risk calculation. The reported stressed value-at-risk should reflect actual multipliers as of the reporting date.
Line item 26 Incremental Risk Capital Charge (IRC)
Risk-weighted asset (RWA) equivalent for incremental risk in the trading book.
Line item 27 Correlation Trading
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 28 Correlation Trading: Comprehensive Risk Measurement (CRM), Before Application of Surcharge
Risk-weighted asset (RWA) equivalent for exposures in the correlation trading portfolio which are subject to the comprehensive risk measurement, before the application of the 8% surcharge based on the standardized measurement method.
Line item 29 Correlation Trading: Standardized Measurement Method (100%) for Exposures Subject to Comprehensive Risk Measurement (CRM)
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 30 Correlation Trading: Standardized Measurement Method (100%) for Exposures Subject to Comprehensive Risk Measurement (CRM) - Net long
100% of the risk-weighted asset (RWA) equivalent according to the standardized measurement method for net long exposures in the correlation trading portfolio which are subject to the comprehensive risk measurement.
Line item 31 Correlation Trading; Standardized Measurement Method (100%) for Exposures Subject to Comprehensive Risk Measurement (CRM) - Net Short
100% of the risk-weighted asset (RWA) equivalent according to the standardized measurement method for net short exposures in the correlation trading portfolio which are subject to the comprehensive risk measurement.
Line item 32 Non-modeled Securitization
Formula embedded in the schedule; no input required. The capital charge (or risk-weighted asset equivalent) for non-modeled traded securitization, including securitization positions that are not correlation trading positions and non-modeled correlation trading positions, is the larger of the net long and net short positions. For purposes of CCAR submission, traded securitization exposures subject to a dollar for dollar capital requirement (e.g. 1250% risk weight or the equivalent of a deduction) should be captured here by including values in lines 33 and 34.
Line item 33 Non-modeled Securitization: Net Long
Risk-weighted asset equivalent according to the standardized measurement method for net long non- modeled securitization exposures including nth-to- default credit derivatives. For purposes of CCAR submission, traded securitization exposures subject to a dollar for dollar capital requirement (e.g. 1250% risk weight or the equivalent of a deduction) should be included here.
Line item 34 Non-modeled Securitization: Net Short
Risk-weighted asset equivalent according to the standardized measurement method for net short non- modeled securitization exposures including nth-to- default credit derivatives. For purposes of CCAR submission, traded securitization exposures subject to a dollar for dollar capital requirement (e.g. 1250% risk weight or the equivalent of a deduction) should be included here.
Line item 35 Other Market Risk
If the BHC is unable to assign market risk-weighted assets to one of the above categories, they should be reported in this line. If no such requirements exist, 0 should be entered.
Line item 36 Total Market Risk-Weighted Assets (RWA)
This item is a shaded cell and is derived from other items in the schedule; no input required.
Other
Line item 37 Other Capital Requirements
Risk-weighted assets (RWA) for settlement risk and other capital requirements. If no such requirements exist, 0 should be entered.
Line item 38 Operational Risk
Risk-weighted assets (RWA) for operational risk.
Line item 39 Total Risk-Weighted Assets
This item is a shaded cell and is derived from other items in the schedule, no input required.
Line item 40 Data Completeness Check
This item is a shaded cell and to check that all nonshaded cells have been completed. If "No" appears, please complete all non-shaded cells until all cells to the right say "Yes." Do not leave cells blank; enter "0" if not applicable. Please ensure that “Yes” appears across all cells.
D.4—Risk-Weighted Assets – General
All BHCs, including advanced approaches BHCs and non-advanced approaches BHCs must complete “RWA_General” worksheet. In addition, advanced approaches BHCs are required to complete “RWA_Advanced" worksheet due to the floor requirement per the Collins Amendment under Section 171 of the DFA.
For the purpose of completing the “RWA_General” worksheet, BHCs are required to report credit risk- weighted assets using the methodologies in the standardized approach of the revised regulatory capital rule (July 2013). BHCs that are subject to market risk capital requirements at the as of date are required to complete the market risk-weighted asset section within the worksheet. However, if a BHC projects to meet the trading activity threshold that would require it to be subject to the market risk capital requirements during the forecast period, then the BHC should complete the market risk-weighted asset section within the worksheet. Please refer to the final market risk capital rule released by the U.S. banking agencies (77 Federal Register 53060, August 30, 2012) for details of the requirements of the rule.
Credit Risk per Standardized Approach (Revised regulatory capital rule, July 2013)
Line item 1 Cash items in the process of collection
Report risk-weighted asset of cash items in process of collection. For more guidance refer to the preamble to the Revised Regulatory Capital Rule for additional information (see link under “Relevant References” of these instructions).
Line item 2 Exposures conditionally guaranteed by the U.S. government, its central bank, or U.S. government agency
Report risk-weighted asset of claims conditionally guaranteed by the U.S. government, its central bank, or a U.S. government agency. For more guidance refer to “Exposures to Sovereigns” in Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 3 Claims on government-sponsored entities
Report risk-weighted asset of claims on government-sponsored entities. For more guidance refer to “Exposures to Government-sponsored Entities” in Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 4 Claims on U.S. depository institutions and NCUA-insured credit unions
Report risk-weighted asset of claims on U.S. depository institutions and NCUA-insured credit unions. For more guidance refer to “Exposures to Depository Institutions, Foreign Banks, and Credit Unions” in Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 5 Revenue bonds issued by state and local governments in the U.S., and general obligation claims on and claims guaranteed by the full faith and credit of state and local governments (and any other PSE) in the U.S.
Report risk-weighted asset of both revenue and general obligation bonds issued by state and local governments in the U.S. For more guidance refer to “Exposures to Public-sector Entities” in Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 6 Claims on and exposures guaranteed by foreign governments and their central banks
Report risk-weighted asset of claims on and exposures guaranteed by foreign governments and their central banks. For more guidance refer to “Exposures to Sovereigns” in Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 7 Claims on and exposures guaranteed by foreign banks
Report risk-weighted asset of claims and exposures guaranteed by foreign banks. For more guidance refer to “Exposures to Depository Institutions, Foreign Banks, and Credit Unions” in Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 8 Claims on and exposures guaranteed by foreign PSEs
Report risk-weighted asset of claims on and exposures guaranteed by foreign Public-sector Entities. For more information refer to Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 9 Multifamily mortgage loans and presold residential construction loans
Report risk-weighted asset of multifamily mortgage loans and presold residential construction loans. For more information refer to Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 10 Residential mortgage loans subject to 50% risk-weight
Report risk-weighted asset of residential mortgage loans that qualify for a 50% risk-weight. For more information refer to Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 11 Other residential mortgage loans
Report risk-weighted asset of residential mortgage loans not included in items 9 and 10 above. For more information refer to Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 12 Past due exposures
Report risk-weighted asset of past due exposures. Note the risk-weighted asset of these exposures should be excluded from the other items in this section. For more information refer to Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 13 High-volatility commercial real estate loans
Report risk-weighted asset of high-volatility commercial real estate loans. For more information refer to Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 14 Commercial loans/Corporate exposures
Report risk-weighted asset of all commercial and corporate exposures, including bonds and loans. For more information refer to Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 15 Consumer loans and credit cards
Report risk-weighted asset of consumer loans and credit cards. For more information refer to the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 16 Other revised regulatory capital rule risk-weight items
Report risk-weighted asset of the threshold deduction items (mortgage servicing assets, certain deferred tax assets, and investments in the common equity of financial institutions) that are not deducted from capital and are subject to risk weight of 250 percent. In addition, certain high-risk exposures such as credit-enhancing interest only (CEIO) strips that receive 1,250 percent risk weight should be included in this line. For more information refer to the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 17 Off-balance sheet commitments with an original maturity of one year or less that are not unconditionally cancelable
Report risk-weighted asset of off-balance sheet commitments with an original maturity of one year or less that are not unconditionally cancelable. For more information refer to the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 18 Off-balance sheet commitments with an original maturity of more than one year that are not unconditionally cancelable
Report risk-weighted asset of off-balance sheet commitments with an original maturity of more than one year that are not unconditionally cancelable. For more information refer to the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 19 Other off-balance sheet exposures
Report risk-weighted asset of off-balance sheet exposures. For more information refer to the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 20 Over-the-counter derivative contracts
Report risk-weighted asset of over-the-counter derivative contracts. For more information refer to the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 21 Securitization exposures
Report risk-weighted asset of securitization exposures. For more information refer to Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 22 Equity exposures
Report risk-weighted asset of equity exposures. For more information refer to the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 23 Other credit risk
Report risk-weighted asset of all other credit risk not captured above. For more information refer to the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 24 Total Credit RWA per Standardized Approach
This item is a shaded cell and is derived from other items in the schedule, no input required.
Market Risk
If a BHC does not have a particular portfolio or no trading book at all, risk-weighted assets should be reported as 0.
For items 25 to 38, refer to instructions for items 23 to 36, respectively, for market risk under Worksheet 3—Risk Weighted Assets – Advanced.
Other
Line item 39 Other Capital Requirements
Risk-weighted assets (RWA) for other capital requirements. Include in this line item the amount of the BHC’s ALLL that is not included in tier 2 capital and any amounts of allocated transfer risk reserves; these amounts should be included as negative values to reflect their deduction from total RWA. If no such requirements exist, 0 should be entered.
Line item 40 Total Risk-Weighted Assets
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 41 Data Completeness Check
This item is a shaded cell and to check that all nonshaded cells have been completed. If "No" appears, please complete all non-shaded cells until all cells to the right say "Yes." Do not leave cells blank; enter "0" if not applicable. Please ensure that “Yes” appears across all cells.
All BHCs must complete the portion of the worksheet relevant to “Leverage Exposure for Tier 1 Leverage Ratio” (lines 1 - 4). Advanced approaches BHCs must also complete the portion of the worksheet relevant to “Leverage Exposure for Supplementary Leverage Ratio” (lines 5 - 14).
The exposure measures for both leverage ratios are based upon methodologies in the revised regulatory capital rule (July 2013). BHCs should report supplementary leverage ratio components as calculated using the average as of quarter end for the relevant period based upon the simple arithmetic mean of exposures calculated on a monthly basis. BHCs that are unable to calculate monthly data may report exposures as of the quarter end.
Leverage Exposure for Tier 1 Leverage Ratio (applicable to all BHCs)
Line item 1 Average Total Assets
Report average total on-balance sheet assets as reported in the FR Y-9C, Schedule HC-K, item 5.
Line item 2 Amounts Deducted from Common Equity Tier 1 and Additional Tier 1 Capital
Regulatory deductions from tier 1 capital. Deductions from tier 1 capital should be calculated as per the revised regulatory capital rule.
Line item 3 Other Deductions from (Additions to) Assets for Leverage Ratio Purposes
Other deductions from or additions to assets for purposes of the leverage ratio as per the revised regulatory capital rule.
Line item 4 Total Assets for the Leverage Ratio
This item is a shaded cell and is derived from other items in the schedule; no input required
Leverage Exposure for Supplementary Leverage Ratio (applicable to advanced approaches BHCs only)
Line item 5 On-Balance Sheet Derivatives
Total carrying value of derivatives reported on-balance sheet.
Line item 6 Derivatives, Potential Future Exposure
Potential future exposure amount for each derivative contract to which the BHC is a counterparty (or each single- product netting set for such transactions).
Line item 7 On-Balance Sheet Repo-Style Transactions
Total carrying value of repo-style transactions (including repurchase agreements, securities lending and borrowing transactions, and reverse repos) reported on-balance sheet.
Line item 8 Other On-Balance Sheet Items, (Excluding Derivatives and Repo-Style Transactions)
Carrying value of all other on-balance sheet assets.
Line item 9 Off-Balance Sheet Items (Excluding Derivatives and Repo-Style Transactions)
This item is a shaded cell and is derived from other items in the schedule, no input required.
Line item 10 Off-Balance Sheet Items – Of which: Unconditionally Cancellable Commitment eligible for 10% Credit Conversion Factor
Notional amount of unconditionally cancellable commitments made by the BHC.
Line item 11 Off-Balance Sheet Items – Of which: All Other
Notional amount of all other off-balance sheet exposures of the BHC (excluding derivatives and repo-style transactions including securities lending, securities borrowing and reverse repurchase transactions)
Line item 12 Amounts Deducted from Tier 1 Capital (Report as Negative)
Regulatory deductions from tier 1 capital. Deductions from tier 1 capital should be calculated as per the revised regulatory capital rule. Input value as a negative number.
Line item 13 Other Deductions from (Additions to) Leverage Exposure
Other deductions from or additions to assets for purposes of the supplementary leverage ratio as per the revised regulatory capital rule.
Line item 14 Total Leverage Exposure for Supplementary Leverage Ratio
This item is a shaded cell and is derived from other items in the schedule, no input required.
Data Completeness Check
Line item 15 Leverage Exposure for Tier 1 Leverage Ratio (applicable to all BHCs)
Check to ensure worksheet is complete. Please ensure that “Yes” appears across all cells.
Line item 16 Leverage Exposure for Supplementary Leverage Ratio (applicable to advanced approaches institutions only)
This item is a shaded cell and to check that all nonshaded cells have been completed. If "No" appears, please complete all non-shaded cells until all cells to the right say "Yes." Do not leave cells blank; enter "0" if not applicable. Please ensure that “Yes” appears across all cells.
The FR Y-14A Planned Action worksheet collects information on all material planned actions that management intends to pursue to address the revised regulatory capital rule. BHCs are required to factor the combined quantitative impact of all planned actions into the projections reported on all other relevant worksheets of the Regulatory Capital Transitions submission. Such actions might include, but are not limited to, the roll-off or sale of an existing portfolio; development/implementation of risk-weighting models; data remediation to facilitate the use of lower risk weights for existing exposures; the issuance of regulatory capital instruments; or other strategic corporate actions. Planned actions should be attributable to a specific strategy or portfolio; BHCs are not expected to cite period-over-period changes in the balances of exposures as a planned action unless those changes are attributable to a specific and identifiable strategy (e.g., citing “reduction in credit risk-weighted assets” would not be considered a valid planned action, but citing sale or runoff of a particular portfolio (which would have the effect of reducing credit risk-weighted assets) would be a valid planned action).
For each reporting period, BHCs should report the incremental quantitative impact of each action on:
• Common equity tier 1 capital
• Tier 1 capital
• Risk-weighted assets (RWA)_General
RWA_Advanced
• Average Total Assets for Leverage Capital Purposes (relevant to the tier 1 leverage ratio; to be completed by all BHCs)
• Total Leverage Exposure for the Supplementary Leverage Ratio (to be completed by advanced approaches BHCs only); and
• Balance sheet.
The quantitative impact of planned actions submitted by BHCs should represent the stand-alone, incremental immediate impact of the action relevant to the time period in which it is planned to be executed. For example, if a planned action were forecasted to reduce the BHC’s risk-weighted assets by $200 million as of Q4 in the current year and an additional $100 million as of Q4 of the following year (for a total reduction of $300 million), the BHC should report “(200)” for PY1, “(100)” for PY2, and “0” for subsequent periods. BHCs are required to factor the combined quantitative impact of all planned actions into the projections reported on all other relevant worksheets of the Basel III submission.
Additional Information Required for Each Planned Action
In addition to the information provided within the Planned Action worksheet, BHCs are also required to submit additional details of each of its planned actions. This information should be provided in a separate attachment. See Appendix A: Supporting Documentation for more information.
Column Instructions
Note that certain columns include an option of "other" in the drop down list that can be used if the listed action cannot be described using the listed selections.
Column B Description
Brief description of the planned action.
Column C Action Type
Select from a list of available actions provided in the schedule. BHCs should select the type of action that best describes the planned action.
Column D Exposure Type
Select from a list of available exposure types provided in the schedule. BHCs should select the type of exposure that is most impacted by the planned action.
Column E RWA Type
Selection from a list of available RWA exposure types provided in the schedule. For planned actions that have an impact on RWAs, the BHC should report the type of RWA (i.e., Counterparty Credit, Other Credit, Market, or Operational) that is most impacted by the planned action.
Columns F-AU Projected impact (for periods PY 1 though PY 6) on:
Common Equity Tier 1
Tier 1
Risk-Weighted Assets (RWA)_General (impact on the RWA projections shown on RWA_General worksheet)
RWA_Advanced (impact on the RWA projections shown on RWA_Advanced worksheet)
Average Total Assets for Leverage Capital Purposes
Total Leverage Exposure for Supplementary Leverage Ratio
Balance Sheet
Projected incremental impact year-over-year on the BHC’s common equity tier 1 capital, Tier 1 capital, risk-weighted assets, leverage exposures and balance sheet in $Millions as of year-end. For PY 1 only, report the incremental impact projected between the as of date and fourth quarter period corresponding to PY 1.
Columns F-L Report the projected impact at year-end (PY 1) for each of the seven capital and balance sheet items listed above.
Columns M-S
Report the projected impact at year-end (PY 2) for each of the seven capital and balance sheet items listed above.
Columns T-Z
Report the projected impact at year-end (PY 3) for each of the seven capital and balance sheet items listed above.
Columns AA-AG
Report the projected impact at year-end (PY 4) for each of the seven capital and balance sheet items listed above.
Columns AH-AN
Report the projected impact at year-end (PY 5) for each of the seven capital and balance sheet items listed above.
Columns AO-AU
Report the projected impact at year-end (PY 6) for each of the seven capital and balance sheet items listed above.
Columns AV-BB
These are shaded cells, no input is required. These items capture the projected cumulative impact of for each of the seven capital and balance sheet items listed above.
Column BC
Enter the file name and or location of the additional information submitted for each planned action.
Supporting Documentation: See the Basel III/DFA section of Appendix A: Supporting Documentation for more information.
Worksheet E.1—BHC Operational Risk Historical Capital (BHC Baseline Scenario Only)
The BHC Operational Risk Historical Capital worksheet must be completed by Basel II Mandatory or “Opt-In” firms only. BHCs subject to the Board’s advanced approaches risk‐based capital rules (12 CFR part 225, Appendix, G) must submit the Operational Risk Historical Capital worksheet of the FR Y-14A Operational Risk Schedule. Institutions that are required to complete the Historical worksheet must also complete the Operational Risk Scenario Inputs and Projections Worksheet within the Summary Schedule. When completing the Historical worksheet, refer to the definitions section of the Summary Schedule Instructions for Operational Risk. The institution should report the BHC's operational risk capital by unit-of-measure (undiversified basis) from Q4 of the previous year to Q3 of the reporting year. The unit-of-measure is 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, etc.). The institution must complete this worksheet for the BHC Baseline Scenario only.
Worksheet E.2—BHC Legal Reserves Reporting
The BHC Legal Reserves Reporting worksheet must be completed by all institutions. For each year, report the total dollar values of the institution’s legal reserve balance, representing the total legal reserve balance that was included on the institution’s financial statements as of September 30. The BHC’s initial submission should contain annual legal reserve balances from Q3 2009 through Q3 2013.
On a voluntary basis for Q3 2013 report the total dollar value of the institution’s legal reserves pertaining to repurchase litigation which was included on the institution’s financial statements as part of the total legal reserve on September 30.
Schedule F— Counterparty Credit Risk
General Instructions
Only BHCs subject to the market shock exercise are required to fill in the cells in the Counterparty Risk Worksheet on the Summary schedule.
This schedule has 9 worksheets for information on counterparty credit risk grouped as follows:
Derivatives profile by counterparty and aggregate
Top counterparties comprising 95% of firm Credit Valuation Adjustment (CVA), ranked by CVA
Top 20 counterparties ranked by Federal Reserve Severely Adverse Scenario Stressed CVA and Top 20 counterparties by BHC Scenario Stressed CVA
Top 20 counterparties ranked by Net CE, Top 20 counterparties ranked by Federal Reserve Severely Adverse Scenario Stressed Net CE, and Top 20 counterparties ranked by BHC Scenario Stressed Net CE
Top 20 collateralized counterparties ranked by Gross CE, Top 20 collateralized counterparties ranked by Federal Reserve Severely Adverse Scenario Stressed Gross CE, and Top 20 collateralized counterparties ranked by BHC Scenario Stressed Gross CE
Aggregate CVA by ratings and collateralization
Expected Exposure (EE) profile by counterparty: Top counterparties ranked by CVA comprising 95% of firm CVA
Credit quality by counterparty: Top counterparties ranked by CVA comprising 95% of firm CVA
CVA sensitivities and slides
Securities financing transactions profile by Top 20 counterparties and aggregate
Additionally, a Notes worksheet is provided to allow reporting institutions that so wish to explain the content of specific items in this schedule. If the BHC elects to provide additional data, this should include an explanation of the additional data and why it is provided. If the data links to data in other worksheets of the CCR schedule, then a clear data identifier must be provided such that worksheets may be merged if necessary (see counterparty identification details below).
Data Formatting Instructions:
Future time buckets (worksheet 2): The level of granularity of future revaluation time buckets should be at the level used to calculate CVA at the BHC, and should be as granular as available.
Readability: Data must be in machine readable format. Worksheets 1.a, 1.b, 1.c, 1.d, and 5 provide data at the counterparty level (unit of observation = counterparty). Worksheet 2 provides all available data at the counterparty + tenor bucket level (unit of observation = counterparty + tenor bucket). Worksheet 3 provides data at the counterparty level for each date of market data inputs used.
Counterparty iIdentification:
All counterparties must have a unique counterparty identifier. In addition, the name of the counterparty should be provided. Unique identifiers must be consistent across tabs. In particular, it must be possible to merge worksheets 1.a, 2, and 3 on the variables counterparty name, counterparty ID, industry, country, internal rating, and external rating. If any netting set or sub-netting set IDs are provided on one worksheet, they must be provided on all worksheets. For many counterparties, all netting sets within the parent company will be a single counterparty and firms should report at the consolidated counterparty level (with the exception of Central Counterparty reporting described below.) However, if there are different market spreads attached to different legal entities, those should be considered separate counterparties.
Central Counterparty Reporting:
When reporting losses relating to a central counterparty (CCP), Gross CE, Net CE, and CVA (as defined in column instructions below) should include all exposures to the CCP, such as default fund contributions, initial margin, and any other collateral provided to the CCP that exceeds contract MTM amounts. Firms are requested to report CCPs at the legal entity level, as opposed to consolidated entity level.
Worksheets 1a through 1e: Top Counterparties & Aggregate
Top counterparties ranked per instructions on worksheets 1.a, 1.b, 1.c, and 1.d. Aggregate data are provided on worksheet 1.e. The following column instructions apply to each worksheet in this section.
Column Instructions
Counterparty Identifiers
Columns A though FG provide information identifying the counterparty. The identifiers must be unique and consistent across tabs as per counterparty identification instructions above. Generally speaking, a “counterparty” should be defined at the level at which the BHC calculates CVA. For many counterparties, all netting sets within the parent company will be a single counterparty; however if there are different market spreads attached to different legal entities, those should be considered separate counterparties.
Counterparty name
Report counterparty name should be a recognizable name rather than a code.
Counterparty ID
Report the unique identifier(for example, alphanumeric) assigned to the counterparty. The counterparty ID must be unique and consistent across worksheets in this schedule.
Netting set ID (optional)
This field is optional. Netting sets should map to ISDA master agreements.
Sub-netting set ID (optional)
This field is optional. Used if CVA is calculated below the netting set level.
Industry
Report the category of the industry of the counterparty, as defined by the following categories. Report the applicable category exactly as it appears below:
Banks: Depository institutions and BHCs, both foreign and domestic
CCPs: An intermediary counterparty that facilitates the transfer, clearance, and/or settlement for OTC derivatives on a collateralized basis
Financial guarantors: A monoline insurance company that insures financial instruments such as municipal bonds or mortgage-backed securities
Local authorities: Local or regional governments and municipalities whose debt are not explicitly guaranteed by the central government
Non-financial corporates: An institution whose main function is producing commercial goods or non-financial services
Other financials: A financial institution other than a Bank, Financial Guarantor or SPV/SPE
Sovereigns: Central government of a country and quasi-sovereigns whose debt are explicitly guaranteed by the central government
SPVs: A legal entity created to fulfill narrow, specific or temporary objective(s)Other: All other counterparties not included in categories listed above
Other: All other counterparties not included in categories listed above
Country
Report the country of domicile of the counterparty. Countries should be identified using the standard ISO two-letter codes available at http://www.iso.org/iso/country_codes/iso_3166_code_lists/country_names_and_code_elements.htm.
Internal rating
Report the BHC's internal rating of the counterparty. If there are multiple ratings associated with the different netting sets of the counterparty, the mean or median internal rating should be used. Elaborate in the documentation the approach to selecting the internal rating for these types of counterparties. As a reminder, even if there are multiple internal ratings for a counterparty, there is always only one CDS for that counterparty. All data should be reported at the level at which CVA is calculated; thus every counterparty must have only one CDS spread associated with it. See above for definition of a counterparty.
External rating
Report the external rating associated with the counterparty's internal rating, not the external rating associated with the specific counterparty. Provide an external rating from a Nationally Recognized Statistical Rating Organization (NRSRO).
Gross CE
Report Gross CE, which is defined as pre-collateral exposure after bilateral counterparty netting. Sometimes referred to as the replacement cost or current credit exposure, Gross CE is the fair value of a derivative contract when that fair value is positive. Gross CE is zero when the fair value is negative or zero. For purposes of this schedule, Gross CE to an individual counterparty should be derived as follows: Determine whether a legally enforceable bilateral netting agreement is in place between the BHC and the counterparty. If such an agreement is in place, the fair values of all applicable derivative contracts with that counterparty that are included in the scope of the netting agreement are netted to a single amount, which may be positive, negative, or zero. Report Gross CE when the fair value is positive, report it as a zero when the fair value is negative or zero.
Stressed Gross CE
Report the full revaluation of Gross CE under applicable stressed conditions.
Net CE
Report the sum of positive Gross CE netting agreements for a given counterparty less the value of collateral posted by the counterparty to secure those trades. Net CE should be reported after counterparty netting and after collateral. Net CE should reflect any excess collateral posted by the BHC to the counterparty.
Stressed Net CE
Report the full revaluation of Net CE under applicable stressed conditions. Hold collateral constant; assume no additional collection of collateral, but do apply stressed conditions to collateral.
CVA
Report the balance of all CVA, gross of hedges, for asset-side, unilateral CVA. Report CVA as a positive value. CVA is an adjustment made to the market or fair value of derivatives receivables to take into account the credit risk of a counterparty. This is different from "Net CVA", which would be equivalent to CVA less debt valuation adjustment (DVA). Provide an explanation for counterparties where this does not hold (e.g., adjustments). By requiring unilateral CVA, the default risk of the counterparty should not be conditioned on the survival of the reporting institution. Please note that CVA hedges should be reported on Schedule A, Worksheet 5, Trading.
Stressed CVA
The full revaluation of asset-side CVA under stressed conditions. Stressed CVA should incorporate the full revaluation of exposure, probability of default (PD), and loss given default (LGD) under stressed conditions. Stressed CVA needs to be calculated for both the FR and BHC specifications, under all the FR and BHC scenarios.
CSA in place?
Report the indication of whether at least one of the netting sets comprising this counterparty has a legally enforceable collateral agreement, for example, Credit Support Annex (CSA), in place. "Y" for yes, "N" for no.
% Gross CE with CSAs
Report the percentage of Gross CE that is associated with netting sets that have a legally enforceable collateral agreement in place. For example, if there are two netting sets, one collateralized and one not, with equal Gross CEs in both netting sets, report a value of 50%.
Downgrade trigger modeled?
For the BHC specification, report the indication of whether at least one of the netting sets comprising this counterparty has an EE profile where a downgrade trigger is modeled. "Y" for yes, "N" for no.
Single name credit hedges
Report the net notional amount of single name credit hedges on the default of the counterparty. Only a single name CDS hedge of the counterparty should be reported. Report net bought positions as positive values.
Aggregate CVA and stressed CVA
Report the difference between Aggregate Stressed CVA and Aggregate CVA should equal the CVA losses reported on Schedule A, Summary, Worksheet 5- Counterparty Credit Risk, Item 2, Counterparty Credit MTM Losses (CVA losses). If this is not the case, provide a rationale in the methodology documentation.
Additional/ offline CVA reserves
Additional or offline CVA reserves are reported here. If there is a Gross CE or a Net CE figure associated with these reserves, those should be reported as well. If not, enter "0". Accompanying documentation should elaborate about the nature of these reserves.
Collateralized counterparty
A collateralized counterparty is a counterparty with at least one netting set with a legally enforceable collateral agreement in place.
Collateralized netting set
Netting sets with a CSA agreement in place.
Worksheet Instructions:
Worksheet F.1.a—Top counterparties comprising 95% of firm CVA, ranked by CVA
Report information for the top counterparties that comprise 95% of total firm CVA, ranked by CVA in columns as described above.
Worksheet F.1.b—Top 20 counterparties ranked by applicable Stressed CVA
This worksheet is comprised of two tables of Top 20 Counterparties:
Top 20 Counterparties ranked by Federal Reserve Severely Adverse Scenario Stressed CVA
Top 20 Counterparties ranked by BHC Scenario Stressed CVA
Report information for these two tables in columns as described above. If a Top 20 counterparty already is reported on another tab (for example, 1a - Top Counterparties by 95% of Total CVA), then a BHC need not include that counterparty in the corresponding Top 20 table and instead would report only 19 counterparties.
Worksheet F.1.c—Top 20 counterparties ranked by Net CE
This worksheet is comprised of three tables of Top 20 Counterparties:
Top 20 Counterparties ranked by Net CE
Top 20 Counterparties ranked by Federal Reserve Severely Adverse Scenario Stressed Net CE
Top 20 Counterparties ranked by BHC Scenario Stressed Net CE.
Report information for these three tables in columns as described above. If a Top 20 counterparty already is reported on another tab (for example, 1a - Top Counterparties by 95% of Total CVA), then a BHC need not include that counterparty in the corresponding Top 20 table and instead would report only 19 counterparties.
Worksheet F.1.d—Top 20 collateralized counterparties ranked by Gross CE
This worksheet is comprised of three tables of Top 20 Counterparties:
Top 20 Collateralized Counterparties ranked by Gross CE
Top 20 Collateralized Counterparties ranked by Federal Reserve Severely Adverse Scenario Stressed Gross CE
Top 20 Collateralized Counterparties ranked by BHC Scenario Stressed Gross CE
Report information for these three tables in columns as described above. Include counterparties with at least one netting set with a CSA agreement in place. If a Top 20 counterparty already is reported on another tab (for example, 1a - Top Counterparties by 95% of Total CVA), then a BHC needshould not include that counterparty in the corresponding Top 20 table. and iInstead, the BHC would report only 19 counterparties.
Worksheet F.1.e— Aggregate CVA by ratings and collateralization
This worksheet is comprised of four tables, as described below:
Aggregate: Report aggregate data by internal ratings category in columns as described above.
Additional offline CVA Reserves: Report aggregate data for additional offline CVA in columns as described above.
Collateralized netting sets: Report aggregate data for collateralized netting sets by internal ratings category in columns as described above. Include only netting sets with a CSA agreement in place.
Uncollateralized netting sets: Report aggregate data for uncollateralized netting sets (netting sets without a CSA agreement in place) by internal ratings category in columns as described above.
Worksheet F.2—EE profile by counterparty: Top counterparties ranked by CVA comprisingcovering 95% of firm CVA
Column Instructions:
Tenor bucket in years
The time provided should be as granular as possible. Use years as the unit. For example, if the time is 6 months, the BHC should report “0.5” not “6”.
Tenor buckets are defined as the time between time t and time t-1. Therefore if the value provided is one year, and the previous time provided is 6 months, the tenor bucket over which marginal (forward) probabilities of default is calculated would be from 6 months to one year. Typically EE will be calculated at time t (the endpoint of the tenor bucket). If not, clarify if the value provided corresponds to a midpoint during the tenor bucket, an average, or some other value.
The level of granularity of future revaluation time buckets should be at the level used to calculate CVA at the BHC, and the data provided should be as granular as available.
EE - BHC specification
The (unstressed) EE metric used to calculate CVA for each tenor bucket. Along each simulation path, the exposure at time t used to estimate EE(t) should be non-negative; if any exposures along a simulation path calculated at time t are negative, these should be set to 0 before calculating the expected value. The EE reference point refers to the end-point of the time bucket between time t and t-1. A time bucket is considered the time between time t and time t-1. Indicate in separate methodology notes if another approach is used (e.g., average over time bucket, mid- point, etc.).
EE (unstressed) calculated using the BHC’s own specification.
Marginal PD
Value provided should be the interpolated unilateral marginal PD for each time bucket between time t and t-1. For most BHCs, marginal PD will reflect default probability over tenor bucket and be equivalent to the difference between the cumulative PD at the beginning and the end of the tenor bucket. If not, provide additional explanation. PDs should not be conditioned on the survival of the BHC.
LGD (CVA)
Loss Given Default (1-Recovery Rate) used to calculate CVA.
LGD (PD)
Loss Given Default (1-Recovery Rate) used to calculate PDs from spreads. If the LGDs used to calculate PDs are different from the LGDs used to calculate CVA, provide a rationale in the methodology documentation as requested in the Summary Instructions.
Discount factor
The discount factor should be roughly equal to e-zt or (1+z)-t, where z is the value of the zero curve at time t for the LIBOR or some other risk free rate.
Stressed EE - FR scenario & FR specification
Stressed EE calculated under the Federal Reserve (FR) shock scenario using the FR specification. Calculate the EE under the FR specification with a 10 day margin period of risk (MPOR) for all counterparties for which collateral is collected, and exclude the collection of additional collateral due to downgrade of a counterparty (i.e., downgrade triggers).
Stressed EE - FR scenario & BHC specification
Stressed EE calculated under the FR shock scenario using the BHC's own specification. If MPOR and downgrade trigger assumptions are the same as in the FR specification, this field may be populated with N/A.
Stressed EE - BHC scenario & BHC specification
Stressed EE calculated under the BHC shock scenario using the BHC's own specification.
Stressed marginal PD
The (unilateral) marginal PD associated with the counterparty's stressed spread. PDs should not be conditioned on the survival of the BHC.
Stressed LGD (CVA)
LGD used to calculate CVA in the applicable stressed scenario.
Stressed LGD (PD)
LGD used to calculate PD in the stressed scenario.
Line item Instructions
Report the top counterparties that comprise 95% of total CVA, ranked by unstressed CVA using the column instructions above.
Worksheet F.3—Credit Quality by Counterparty comprisingcovering 95% of firm CVA
Column Instructions:
Time period
The date for which the CDS (or other input) applies. For a one year CDS spread, enter "1". For grid pricing, do not enter the interpolated CDS spreads. Enter only the dates for which market data was available.
Market spread (bps)
Enter the market value. If this value comes from a proxy grid, enter the value from the grid. The whole grid is not necessary. For example, if the grid is computed based on 1, 3, 5, and 10 years spreads, enter only 1, 3, 5, and 10 year data. All spread data should be reported as the all-in-cost spread, with any upfront costs incorporated into the current all-in spread.
Spread adjustment (bps)
Provide the amount and operator (e.g., "*" and "+") of adjustments (in bps), if any, applied to the market spread. This may be zero or blank if no add-on is used.
Spread (bps) used in CVA calculation
Enter the value used in the CVA calculation. This may be left blank if the market spread of the single name or proxy is used without any adjustment.
Stressed spreads
The stressed values of CDS spreads used in the stressed CVA calculation.
Mapping approach
Indicate the type of proxy mapping approach used. Report either Single name own or Proxy in this field. Single name own indicates that the single name reference entity is the same as the counterparty name. Proxy indicates that the counterparty's own spread was not used; rather, a proxy spread was used.
Proxy mapping approach
If single name mapping approach is not used, indicate the type of proxy mapping approach used. Report one of the following: Single name-related party, Industry (indicate industry based on list provided above), Ratings class (indicate the rating; e.g., AAA, AA), Industry-rating, Industry-geography, Industry-rating-geography, Rating-geography, or Other. This field may be left blank when mapping approach is Single name own.
Proxy name
Identify the specific proxy used.
Market input type
Indicate the type of market input used, by reporting one of the following in this field: CDS spreads, Bond spreads, KMV-EDFs, or Other.
Ticker / identifier
Where applicable, enter the ticker number used (e.g., CDX IG AA, single name ticker).
Report date
Enter the date of the market data.
Source
Enter the source of the market data (e.g., Bloomberg, Markit).
Comments
Enter any relevant comments.
Line item Instructions
Report the top counterparties that comprise 95% of total CVA, ranked by CVA in the columns as described above.
Worksheet F.4— CVA Sensitivities
Column Instructions
Aggregate CVA sensitivities and slides
Change in aggregate asset-side CVA for a given change in the underlying risk factor. A sensitivity refers to a 1 unit change in the risk factor, and a slide refers to a larger change in the risk factor. Report an increase in CVA as a positive figure. Reported figures should be gross of CVA hedges. The BHC may provide their own values for slides (e.g., +20bps instead of +10bps). However, if a BHC chooses to report slides other than those listed, at least one slide must be consistent with the size of the shock to that risk factor under the FR scenario. All slides should be reported only if they are based on a full revaluation of the portfolio given the change in the risk factor; slides should not be reported if they are simple linear scaling of the associated sensitivity. At a minimum there should be slides that represent a significant positive and negative move for that risk factor. For credit, when a basis point move is requested, this refers to an absolute move in the risk factor, and when a percentage move is requested, this refers to the relative move in the risk factor.
Sensitivities for top 10 counterparties (ranked by CVA)
Change in CVA of each counterparty for a given change in the underlying risk factor. Report an increase in CVA as a positive figure. Reported sensitivities should be gross of CVA hedges.
Other material sensitivities
Material sensitivities are other large and/or important risk factors for the BHC. Add the relevant risk factors for the BHC. Make sure that the label clearly identifies the risk factor. If an additional risk factor is provided that is not listed in the template, provide a description of this sensitivity in the tab Notes to the CCR Schedule. For example, for equity indices, include a reference to the country or region to which index corresponds.
Worksheet F.5— Securities Financing Transactions Profile by Counterparty and Aggregate
Column Instructions
Net CE
The sum of current credit exposures to the counterparty, taking into account legal netting agreements with each legal entity of that counterparty. For a single netting agreement, this is calculated as the max of zero and the difference between the aggregate mark-to-market value of securities or cash posted to the counterparty and the aggregate mark-to-market value of securities or cash received from that counterparty.
Stressed Net CE
The full revaluation of Net CE under the FR stressed market environment – one value for each FR global market shock scenario. For a single netting agreement, this is calculated as the max of zero and the difference between the aggregate stressed mark-to-market value of securities or cash posted to the counterparty and the aggregate stressed mark-to-market value of securities or cash received from that counterparty.
Indemnified Securities Lent (Notional Balance)
The current aggregate mark-to-market value of securities lent, where the firm, acting as an agent, indemnifies the client against losses resulting from a borrower’s (counterparty’s) default.
Indemnified Cash Collateral Reinvestment (Notional Balance)
The current aggregate mark-to-market value of positions within cash collateral reinvestment vehicles, where the firm indemnifies the client against loss of principal and interest.
Repo and Reverse Repo – Gross Value of Instruments on Reporting Date
Posted: the aggregate mark-to-market value of all securities posted to a counterparty as part of a repurchase agreement as a cash borrower or total cash amount posted to a counterparty as part of a reverse repurchase agreement as cash lender.
Received: the aggregate mark-to-market value of all securities received from a counterparty as part of a reverse repurchase agreement as a cash lender or total cash amount received from a counterparty as part of a repurchase agreement as cash borrower.
Securities Lending and Borrowing – Gross Value of Instruments on Reporting Date
Posted: the aggregate mark-to-market value of all securities or cash posted to a borrower/lender (counterparty) as a securities lender/borrower in situations in which the firm is acting as a principal, or on behalf of a client for which the firm is acting as an agent, but, in the case of a lending agreement, has indemnified such securities lending clients against the borrower’s default.
Received: the aggregate mark-to-market value of all securities or cash received from a borrower/lender (counterparty) as a securities lender/borrower in situations in which the firm is acting as a principal, or on behalf of a client for which the firm is acting as an agent, but, in the case of a lending agreement, has indemnified such securities lending clients against the borrower’s default.
Asset Categories
US Treasury
This category includes all U.S. Treasury securities, obligations issued by U.S. government agencies, and obligations issued by U.S. government-sponsored enterprises (GSEs). U.S. Treasury securities include all bills, certificates of indebtedness, notes, and bonds, including those issued under the Separate Trading of Registered Interest and Principal of Securities (STRIPS) program and those that are ‘‘inflation indexed.”
For purposes of this category, a U.S. government agency is defined as an instrumentality of the U.S. government whose debt obligations are fully and explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government. Include, among others, debt securities (but not mortgagebacked securities) of the following U.S. government agencies:
(1) Export–Import Bank (Ex-Im Bank)
(2) Federal Housing Administration (FHA)
(3) Government National Mortgage Association (GNMA)
(4) Maritime Administration
(5) Small Business Administration (SBA)
Government-sponsored agencies are defined as agencies originally established or chartered by the U.S. government to serve public purposes specified by the U.S. Congress but whose debt obligations are not explicitly guaranteed by the full faith and credit of the U.S. government. Include, among others, debt securities (but not mortgagebacked securities) of the following governmentsponsored agencies:
(1) Federal Agricultural Mortgage Corporation (Farmer Mac)
(2) Federal Farm Credit Banks
(3) Federal Home Loan Banks (FHLBs)
(4) Federal Home Loan Mortgage Corporation (FHLMC or Freddie Mac)
(5) Federal Land Banks (FLBs)
(6) Federal National Mortgage Association (FNMA or Fannie Mae)
(7) Financing Corporation (FICO)
(8) Resolution Funding Corporation (REFCORP)
(9) Student Loan Marketing Association (SLMA or Sallie Mae)
(10) Tennessee Valley Authority (TVA)
(11) U.S. Postal Service
Agency MBS
This category includes mortgage-backed securities issued by a U.S. government agency as defined above.
Equities
This category includes publicly traded and privately issued equity securities.
Corporate Bonds
This category includes all types of bonds issued by any private or public company.
Non-Agency (ABS, RMBS)
This category includes asset-backed securities and residential mortgage-backed securities not issued by a U.S. government agency as defined above.
Sovereigns
This category includes debt issued by any soverign state other than debt issued by the U.S. Treasury.
Other
This category includes any asset not defined in any of the above asset categories (US Treasury, Agency MBS, Equities, Corporate Bonds, Non-Agency (ABS, RMBS), and Sovereigns) and excludes cash.
Cash
This category includes currency to be reported in U.S. dollar amount.
Line item Instructions:
In the first table report the information required by each column for the top 20 counterparties as ranked by Stressed Net CE (defined above) as stressed according to the FR Severely Adverse Scenario. All legal entities within a consolidated organization, including any subsidiaries and related companies, should be treated as a single consolidated counterparty. Net CE and Stressed Net CE should be calculated at the subsidiary (affiliate) level first and then aggregated to the consolidated counterparty. In the second table report aggregate data similarly to the first table in F.1.e, Aggregate CVA by Ratings.Net CE
The current positive credit exposure where the market value of securities or cash provided to the counterparty exceeds the haircut value of collateral received from the counterparty. Where counterparty netting is permitted under a legal agreement, this figure represents the bilateral position.
Stressed Net CE
The full revaluation of Net CE under applicable stressed conditions.
Indemnified Securities Lent (Notional Balance)
The value of the securities lent where an indemnification is provided by the agent-bank against client losses resulting from a borrower default.
Indemnified Cash Collateral Reinvestment (Notional Balance)
The value of the cash reinvestment where an indemnification is provided by the agent-bank against client losses resulting from a borrower default.
Line item Instructions:
Report the Top 20 Counterparties by SFTs (Repo/Reverse Repo + Sec Lending/Sec Borrowing) by Cash Posted in Table 1 and Aggregate Securities Financing Transactions (Repo/Reverse Repo and Sec Lending/Sec Borrowing) by Rating in Table 2.
Worksheet F.6— Notes to the CCR Schedule
Use this worksheet to submit voluntarily any additional information (e.g., data) that gives clarity on the portfolio. More than one additional tab may be provided. If the BHC elects to provide additional data, this should include an explanation of the additional data and why it is provided. If the data links to data in other tabs of the CCR schedule, then a clear data identifier must be provided such that tabs may be merged if necessary (see mergeability requirements above).
Appendix A: 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 date of the model’s next expected independent validation.
Documentation should also include mapping that clearly conveys the methodology used for each FR Y-14A 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 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.
A.1 – Income Statement, Balance Sheet, and Capital
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.
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.
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 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 pre-adjustment/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 sub- portfolio 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.
A.4 – 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 scenario.
The supporting document should be titled BHCRSSD_BHCMNEMONIC_SECURITIES_METHODOLOGY_YYMMDD. You may submit separate documents for different models and/or methodologies. In this case, title the documents: BHCRSSD_BHCMNEMONIC_SECURITIES_METHODOLOGY_MODELTYPE_YYMMDD. The documentation should clearly addresses the OTTI and OCI 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.).
Projected OTTI for AFS Securities and HTM Securities by CUSIP
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?
Has the model been validated for its appropriate use?
Fair Market Value Determination
If more than one third-party vendor is used as the principal pricing source for a given security, what are the criteria for determining the final price? (e.g., is a mean, median, weighting scheme or high/low price taken?) Is there a hierarchy of sources? If appropriate, describe responses by major product or portfolio type (e.g., non-agency RMBS, CMBS, Consumer ABS).
If an internal model is used as the principal pricing source for a given security, are prices (from an internally created model) compared with third party vendor prices? If so, which vendors are used? If prices are not compared with third party vendors, state the reason. If appropriate, describe responses by major product/portfolio type (e.g., non-agency RMBS, CMBS, Consumer ABS.).
Describe any additional adjustments made to prices determined by internal model(s) and/or third parties. How is the ultimate price determined?
If an internal model is used as the principal pricing source for a given security, what are the primary market pricing variables used for fair value estimation?
Describe briefly the BHC’s price validation and verification process. Provide readily available documentation related to the BHC’s price validation and verification process.
Projected OCI and Fair Market Value for AFS Securities
Describe the model/methodology used to develop stressed OCI losses. If appropriate, describe responses by major product or portfolio type (e.g., non‐agency RMBS, CMBS, Consumer ABS). State whether the same model was used to derive OTTI losses. If not, detail the specific model/methodology and rationale for utilizing a different model.
Detail if a vendor or proprietary model was used. If a vendor model was used, 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 fair value losses, and other elements determined?) What were the key inputs in determining OCI loss and how were they 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? How were macroeconomic assumptions (as prescribed under the supervisory stress scenario) used to determine projected OCI?
Were all securities reviewed for OCI? If not, describe the rationale, decision rule, or filtering process. If OCI was estimated for multiple quarters, describe the process for determining OCI in each period of the forecast time horizon.
Is the BHC using shortcuts or rules of thumb to recognize the OCI charges for this analysis or going through the BHC’s normal process for recognizing OCI charges? If using shortcuts or rules of thumb, state how this process differs from the normal process for recognizing OCI charges.
The supporting document should be titled BHCRSSD_BHCMNEMONIC_TRADING_METHODOLOGY_YYMMDD. You may submit separate documents for different models and/or methodologies. In this case, title the documents: BHCRSSD_BHCMNEMONIC_TRADING_METHODOLOGY_MODELTYPE_YYMMDD.
Documentation should include supporting details explaining the main drivers and attribution of loss for the overall trading and MTM loss estimate, and for each respective primary risk/business unit area details on the loss attribution by the primary risk factors.
Documentation should provide a complete and technical definition of second and higher order risk factors (cross gamma, vanna, etc.) and describe the methods undertaken by the firm to estimate the cross gamma and higher order effects.
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 FR Y-14Q vs. the FR Y-14A.
A detailed and technical description of modeling methods (including pricing models) used,
Documentation should clearly make note of instances where different methodologies were used across different business lines with like assets.
Document approach (full revaluation vs. grid based approach, e.g.) and asset coverage under these approaches,
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 shock
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.
A.7 – Counterparty Credit Risk
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.
Data and systems
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.
Are there any issuer type exclusions? Comment on the materiality of any exclusions.
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 IDR-Jump To Default in the FR_Y-14Q_TRADING Schedule? If so, make sure to elaborate in the documentation, particularly where these limitations understate losses.
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.
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_Y-14Q_TRADING Schedule? If so, provide a description of the exposures that are decomposed and the methodology used.
What types of CVA hedges are included in the FR_Y-14Q_TRADING Schedule and Item 10 on the Trading Worksheet of the SUMMARY_SCHEDULE (e.g., market risk hedges, counterparty risk hedges)? Which, if any, of these hedges are excluded from the Trading IDR loss estimates (Item 1 on the Counterparty Risk Worksheet of the SUMMARY_SCHEDULE)? Confirm that hedges modeled in Trading IDR are excluded from CCR IDR.
PD methodology
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?
How is default risk represented over the horizon of the stress test? Is a cumulative two- year PD or a one-year PD used as a model input? How is migration risk captured?
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
What correlation assumptions are used in the Trading IDR models?
LGD methodology
Do the models assume a static LGD or a stochastic LGD with a non-zero recovery rate volatility?
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).
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
What liquidity horizon assumptions are used?
Exposure at default (EAD)
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
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_Y-14A_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
Divergence from instructions
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.
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.
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?
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.
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.
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.
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.
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.
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.
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.
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.
Are there any additional/ offline CVA reserves are reported in Worksheet 1e in theFR_Y-14A_CCR Schedule? If so, elaborate about the nature of these reserves in the documentation. Explain what counterparties, counterparty types, or trade types are included, why are they calculated as reserves, and how they are stressed.
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.
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 FRY-14A_CCR Schedule? Note that the figures in the FRY-9C are called "net current credit exposure", as the "net" refers to counterparty netting.
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.
Are the sensitivities/ slides provided in Worksheet 4 of FR_Y-14A_CCR sourced from the same calculation engine and systems as used for the firm's loss estimates (Item 2 in the Counterparty Risk Worksheet in the SUMMARY_SCHEDULE)? If not, elaborate in the documentation.
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
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.
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)
What Margin Period of Risk (MPOR) assumptions are used for unstressed and stressed CVA?
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.
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
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.
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_Y-
14A_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 two- year PD or a one-year PD used as a model input? How is migration risk captured?
c. What data sources and related time periods are used to generate the assumptions on stressed expected PD or the default distribution? In the documentation, provide a breakdown of PDs (e.g., by rating, counterparty type). Provide stressed PDs if a stressed PD is used, or provide PD inputs if an outcome in the tail is used.
3. Correlation assumptions
a. What correlation assumptions are used in the CCR IDR models?
4. 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.
5. Liquidity horizon
a. What liquidity horizon assumptions are used?
6. Exposure at default (EAD)
Provide an overview of how EAD is modeled for CCR IDR.
Are any downgrade triggers assumed in the CCR IDR model? If so, elaborate in the documentation.
What Margin Period of Risk (MPOR) assumptions are modeled in CCR IDR?
7. Treatment of gains
a. Are any gains being reflected in the CCR IDR calculations? If so, elaborate in the documentation how gains are treated.
8. Model validation and documentation
a. For any models used to report numbers in the SUMMARY_SCHEDULE or the FR_Y-14A_CCR that are also used in Business as Usual (BAU) production, have those models been validated as used in BAU? If so, attach model validation documents. If not, elaborate in the documentation on any review process.
b. For any ad-hoc models used for CCAR that would not have been previously validated, what review if any has occurred? Elaborate in the documentation where appropriate.
Other CCR Losses
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.
The reporting institution should 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 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:
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;
If applicable, 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;
A discussion of how pending litigation and reserves for litigation were incorporated into operational loss projections for all requested scenarios;
A narrative describing the methodology and process for assessing and forecasting losses associated with supporting sponsored funds; A detailed, transparent, and credible description of the foundation, approach, and process for making management adjustments to modeled results;
A description of the methodology for allocating an operational loss amount to a particular quarter;
An explanation summarizing the reasonableness of results, how they differ from expectations, and what the BHC does when the results are deemed "unreasonable";
A description of internal controls that ensure the integrity of reported results and that all material changes to the process and its components are appropriately reviewed and approved. BHCs should ensure that change control principles apply to forecasting models used in the stress scenario analysis program, including processes that rely on management judgment;
An assessment of how effective or accurate the model is, preferably utilizing an out of sample testing and analysis framework;
Identification of possible drawbacks and limitations of the selected approach.
Model Validation
Models employed by BHCs should be independently validated or otherwise reviewed in line with model risk management expectations presented in SR 11-7 issued in April 2011, which provides a clear outline of expectations surrounding model risk management. Specifically, management should provide supporting documentation demonstrating that an independently executed verification of CCAR models, whether purchased or developed in-house, has been implemented and that the models perform as expected and align with design and business use. Model validation should be performed independently of designers, developers, and users. Validators should comprehensively evaluate inputs, processing, outputs, and reports to ensure that models are conceptually sound and that potential limitations have been identified and conveyed to senior management. Management should also implement ongoing monitoring processes to track known limitations and to identify new ones, and should analyze and backtest outcomes between model forecasts vs. actual results. Validation should be governed by robust policies, effective procedures, proper allocation of resources for execution, and accurate documentation of results.
Independent Review
Internal audit should periodically assess and document whether the CCAR process is functioning as intended. Beyond the detailed analysis of the performance of forecasting models, this includes an end to end review of the entire capital planning and forecasting process including assessments of process governance, the detail and quality of reporting, the process through which CCAR deficiencies are identified, tracked, and remediated, and generally whether the program is functioning in a manner consistent with established policies.
A.9 – Pre-Provision Net Revenue (PPNR)
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 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 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 Y-
14Q/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.
A.10 – 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
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?
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
No supporting documentation is required for this schedule.
Schedule C – Regulatory Capital Instruments
No supporting documentation is required for this schedule.
Schedule D – Basel III/Dodd FrankRegulatory Capital Transitions
Additional Information Required for SIFI Surcharge
In November 2011, the Basel Committee on Banking Supervision (BCBS) published its methodology for assessing an additional loss absorbency requirement for global systemically important banks (SIFI surcharge) that effectively serves as an extension of the capital conservation buffer. As part of the FR Y-14A filing, each BHC must submit a separate document that includes management’s best estimate of the likely SIFI surcharge that would be assessed under this methodology, along with an explanation of assumption used when determining the estimate. Any BHC not currently designated as a global systemically important financial institution (G-SIFI) should include a SIFI surcharge assessment if management expects changes to its business model that would potentially lead to the BHC’s designation as a G-SIFI. Supervisors will evaluate the methodology and assumptions used by BHCs in determining the SIFI surcharge, and may adjust such estimates as necessary when evaluating the Basel III transition path.
The supporting document should be titled BHCRSSD_BHCMNEMONIC_SIFI_CHARGE_ESTIMATE_METHODOLOGY_YYMMDD.
Note that if this information is already included the BHC’s CCAR Capital Plan, then the BHC has the option of simply including text that clearly describes location of this information (e.g. file name, document page number, section title, etc.). If the BHC uses this option, the document should still use the naming convention described above.
Additional Information Required for Each Planned Action (Tied to Worksheet 6) for FR Y-14A submission
BHCs are required to provide a detailed description of each planned action in a separate attachment(s). The description of each planned action should include:
Discussion of how each planned action aligns with the BHC’s long term business strategy and risk appetite on a going concerns basis;
Assessment of each planned action’s impact on the BHC’s capital and funding needs, earnings, and overall risk profile;
Assessment of market conditions and market capacity around each planned action (e.g., planned sale size and the availability and appetite of buyers and other potential sellers);
Assessment of any potential execution risks to each planned action (e.g., contractual, accounting or structural limitations). The estimation of execution risk should be well documented for each planned action that are to occur;
Discussion of any recent transactions conducted either by the BHC or by other institutions that would demonstrate or support the BHC’s ability to execute each planned action at the level of impact projected.
The supporting document related to each planned action should be titled: BHCRSSD_BHCMNEMONIC_REGCAPTRANSBASEL3DFA_PLANNEDACTION#_YYMMDD. Note that the “#” in this file name must correspond with the appropriate “Action #” in column A of the Planned Actions Worksheet.
Included below are examples of other supporting documentation which should be included along with the description of each planned action:
Detailed information on planned sales such as risk profile and size of the positions, indicative term sheets and contracts; potential buyer information; current marked to market (MTM), support for the execution price; potential associated loans, financing, or liquidity credit support arrangements; potential buy back commitments; and impact on any offsetting positions. If similar recent transactions have taken place, BHCs should provide information as a point of reference. BHCs should also describe any challenges that may be encountered in executing the sale.
Detailed information on planned unwinds, such as risk profile and size of the positions, profit and loss (P&L) impact at execution or in the future; funding implications; impact on any offsetting positions; and trigger of consolidation or on-boarding of the underlying assets.
Detailed information on planned run-offs, such as risk profile and size of the positions, impact on any offsetting positions; details on trades; and maturity dates.
Detailed information on planned hedging, such as indicative term sheets and contracts; P&L impact at execution or during life of the hedges; and impact on counterparty credit RWA.
Detailed information on changes to risk-weighted assets calculation methodologies, such as which data or parameters would be changed, whether the firm has submitted model application to its supervisors, and remaining work to be completed and expected completion date.
Detailed information on expanded use of clearing houses, such as types of products to be cleared and central counterparties to be used.
BHCs should also provide detailed information on any alternative Regulatory Capital TransitionsBasel III and Dodd-Frank action plans in the event the firm falls short of the targets outlined in the Capital Plan, and trigger events that would result in a need to pursue any alternative action plans.
A supporting document related to an alternative Regulatory Capital TransitionsBasel III and Dodd-Frank action plan should be titled: BHCRSSD_BHCMNEMONIC_REGCAPTRANSBASEL3DFA_ALTACTION#_YYMMDD.
No supporting documentation is required for this schedule.
Schedule F – Counterparty Credit Risk
No supporting documentation is required for this schedule.
1 SLHCs would not be subject to Dodd-Frank annual company-run stress testing requirements until the next calendar year after the SLHCs become subject to regulatory capital requirements.
2 As outlined in Sections 252.144 (Annual Stress Tests) of Regulation YY (12 CFR 252), the as-of date will be between October 1st and December 1st of that calendar year and will be communicated to the BHCs by December 1st of the calendar year. BHCs are permitted to submit the CCR schedule and the Trading and CCR worksheets of the Summary schedule as-of another recent reporting date prior to the supplied as-of date as appropriate.
3 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.
4 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.
5 An advanced approaches holding company that exit the parallel run is an advanced approaches holding company that has completed the parallel run process and received notification from the Federal Reserve pursuant to section 121(d) of subpart E of the revised regulatory capital rules.
6 Non-common elements should include the following items captured in the September 30, 2013 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.
7 Available at http://www.bis.org/publ/bcbs159.pdf.
8 As noted earlier, if there is a difference between the FR Y-14 standardized reporting requirements and the BHC’s internal view used for internal capital purposes, the BHC should report data in the PPNR worksheets only per the standardized FR Y-14 requirements.data reflecting a BHC view should be provided separately, accompanying the Supporting Documentation Instructions required with the FR Y-14A Projections.
9 See “Commonly Used Terms and Abbreviations” for the definition.
10 See “Commonly Used Terms and Abbreviations” for the definition.
11 See “Commonly Used Terms and Abbreviations” for the definition.
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