DFAST-14A Basel III & Dodd-Frank Schedule Cover Sheet

DFAST-14A Basel III & Dodd-Frank Schedule Cover Sheet

Institution Name:
RSSD ID:
Submission Date (MM/DD/YYYY):
OCC Charter ID:
Use the OCC Supervisory Baseline for this workbook.
Please specify the time period over which management expects to comply fully with the Basel III capital framework and related provisions of DoddFrank that will affect regulatory capital:

Please refer to the "DFAST-14 Basel III & Dodd-Frank Schedule Instructions" when completing this schedule.

Basel III & DF Cover Sheet
1

Instructions
1. Please complete the DFAST-14A Basel III Schedule using actual data for Q3 2012, and projected data for the periods Q4 2012 through
Q4 2017. For all projections, please use the baseline scenario as specified in the worksheet "Basel III_CoverSheet."
2. Instructions for completing the schedule are contained in the document titled "DFAST-14 Basel III and Dodd-Frank Schedule
Instructions."
3. All data should be populated within the non-shaded cells in all worksheets. Cells highlighted in grey have embedded formulas and
therefore will be automatically populated.
4. Banks 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 the settings for Microsoft Excel.

Annual_Instructions
2

DFAST-14A - Basel III & Dodd-Frank Schedule
Capital Composition
B

C
$ Millions
Actual
Q3 2012

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36

D
Q4 2012

E
Q4 2013

F

G

$ Millions
Projected
Q4 2014
Q4 2015

H

I

Q4 2016

Q4 2017

Basel III Common Equity Tier 1
Common Stock and Related Surplus (Net of Treasury Stock)
Retained Earnings
Accumulated Other Comprehensive Income
Unrealized Gains and Losses on Available-for-Sale Items
Net Unrealized Gains and Losses on Available-for-Sale Debt Securities Plus Unrealized Gains on Available-for-Sale Equity
Unrealized Losses on AFS Equity (Report as Negative)
Gains and Losses on Derivatives Held as Cash Flow Hedges
Gains and Losses Resulting from Converting Foreign Currency Subsidiaries to the Parent Currency (If Applicable)
Actuarial Reserve (If Applicable)
Unrealized Gains and Losses from a Foreign Currency Hedge of a Net Investment in a Foreign Operation (If Applicable)
All Other Reserves (If Applicable)
Other Equity Capital Components (Including Unearned Employee Stock Ownership Program Shares)
Total Common Equity Tier 1 Attributable to Parent Company Common Shareholders
Minority Interest Included in Common Equity Tier 1
Total Group Common Equity Tier 1 Prior to Regulatory Adjustments
Deductions
Goodwill, Net of Related Deferred Tax Liability
Intangibles Other than Mortgage Servicing Assets, Net of Related Deferred Tax Liabilities
Deferred Tax Assets (Excluding Temporary Differences Only), Net of Related Deferred Tax Liabilities
Excess Expected Credit Loss (ECL) -- Applicable to Advanced Approaches Banking Organizations
Cash Flow Hedge (If Gain, Report as Positive; If Loss, Report as Negative)
Cumulative G/L Due to Changes in Own Credit Risk on Fair Valued Liabilities (If Gain, Report as Positive; If Loss, Report as Negative)
Defined Benefit Pension Fund Assets
Securitization Gain on Sale
Investments in Own Shares
Reciprocal Cross Holdings in Common Equity
Regulatory Deductions Due to Insufficient Additional Tier 1
Total Common Equity Tier 1 After Deductions Above
Non-significant Investments in the Common Share of Unconsolidated Financial Entities That Exceed 10% of Common Equity Tier 1
Total Common Equity Tier 1 After the Regulatory Adjustments Above
Significant Investments in the Common Stock of Unconsolidated Financial Entities (Amount Above 10% Threshold)
Mortgage Servicing Assets (Amount Above 10% Threshold)
Deferred Tax Assets Arising from Temporary Differences (Amount Above 10% Threshold)
Total Common Equity Tier 1 After the Regulatory Adjustments Above
Deduction of Outstanding Items Subject to 15% Threshold Due to 15% Limit
Additional Mortgage Servicing Assets Deduction Due to Fair Value Limit

37 Common Equity Tier 1
Basel III Tier 1 Capital
38 Non-common Equity Tier 1 Capital Instruments (Qualifying Instruments Only)
39 Minority Interest Included in Tier 1 Capital
40 Deductions
41
Regulatory Adjustments to be Deducted from Additional Tier 1 Capital
42
Reciprocal Cross Holdings in the Form of Additional Tier 1 Capital
43
Non-significant Investments in the Form of Additional Tier 1 Capital Exceeding 10% Threshold
44
Investments in Own Additional Tier 1 Capital Instruments
45
Significant Investments in the Form of Additional Tier 1 Capital
46
Regulatory deductions due to insufficient Tier 2 Capital
47 Tier 1 Capital

Capital Composition
3

DFAST-14A - Basel III & Dodd-Frank Schedule
Capital Composition
B

51
52
53
54
55

Periodic Changes in Common Stock
Common Stock and Related Surplus (Net of Treasury Stock)
Issuance of Common Stock (Including Conversion to Common Stock)
Repurchases of Common Stock
Periodic Changes in Retained Earnings
Net Income (Loss) Attributable to Bank
Cash Dividends Declared on Preferred Stock
Cash Dividends Declared on Common Stock
Previously Issued Tier 1 Capital Instruments (Excluding Minority Interest) that Would No Longer Qualify (Please Report 100% Value)
Previously Issued Tier 1 Minority Interest that would no Longer Qualify (Please Report 100% Value)

56

Data Validation Check (The following cells provide checks for consistency of the projected schedules)
Does Line 48, "Common Stock and Related Surplus" = Line 1, "Common Stock and Related Surplus"?

48
49
50

Baseline Scenario Validation Check -- Up to 2017 (Please input in the Explanation Memorandum Box)

57

Are the sums of Line 1, "Common Stock and Related Surplus" and Line 12, "Other Equity Components" equal under both Baseline Scenarios
(Bank and Supervisory)? If Yes, please input "Yes." If No, please explain why not in the Explanations Memorandum Box.

C

D

E

F

G

$ Millions
Projected
Q4 2014
Q4 2015

H

I

Q4 2016

Q4 2017

$ Millions
Actual
Q3 2012

Q4 2012

Q4 2013

No

No

No

No

No

No

No

Yes

Yes

Yes

Yes

Yes

No

No

No

Explanations Memorandum Box
Yes

Yes

Differences in Reporting from the DFAST-14A Summary Schedule -- Up to 2014 (Please ensure the logic applies. If Yes, please input "Yes." If No, please explain why not in the Explanations Memorandum Box)
Explanations Memorandum Box
Does Line 1, "Common Stock and Related Surplus" = "Common Stock (Par Value)" (MDRM No. RCFD 3230) + "Surplus (Exclude All Surplus
Related to Preferred Stock)" (MDRM No. RCFD 3829) of Balance Sheet Worksheet (DFAST-14A Summary Schedule)?
58
59
60
61
62
63
64
65

Does Line 2, "Retained Earnings" = "Retained Earnings" (MDRM No. RCFD 3632) of Balance Sheet Worksheet (DFAST-14A Summary Schedule)?
Does Line 12, “Other Equity Capital Components” = “Other Equity Capital Components” (MDRM No. RCFD A130) of Balance Sheet Worksheet
(DFAST-14A Summary Schedule)?
Does Line 49, "Issuance of common stock" = "Total issuance of common stock" of Capital Worksheet (DFAST-14A Summary Schedule)?
Does Line 50, "Repurchases of common stock" = "Total share repurchases" of Capital Worksheet (DFAST-14A Summary Schedule)?
Does Line 51, "Net income (loss) attributable to bank" = "Net income (loss) attributable to bank" (MDRM No. RIAD 4340) of Capital Worksheet
(DFAST-14A Summary Schedule)?
Does Line 52, "Cash dividends declared on preferred stock" = "Cash dividends declared on preferred stock" (MDRM No. RIAD 4470) of Capital
Worksheet (DFAST-14A Summary Schedule)?
Does Line 53, "Cash dividends declared on common stock" = "Cash dividends declared on common stock" (MDRM No. RIAD 4460) of Capital
Worksheet (DFAST-14A Summary Schedule)?
Data Completeness Check

66

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.

No

No

No

No

Capital Composition
4

DFAST-14A - Basel III & Dodd-Frank Schedule
"Exceptions Bucket" Calculator
B

C

D

E

$ Millions
Actual
Q3 2012

Q4 2012

Q4 2013

No

No

No

F

G

$ Millions
Projected
Q4 2014
Q4 2015

H

I

Q4 2016

Q4 2017

No

No

Significant Investments in the Common Stock of Unconsolidated Financial Entities
1
Gross Holdings of Common Stock
2
Permitted Offsetting Short Positions in Relation to the Specific Gross Holdings Included Above
3
Holdings of Common Stock Net of Short Positions
4
5

Common Equity Tier 1 After All Regulatory Adjustments Except Significant Investments, Mortgage Servicing Assets and Deferred Tax Assets Arising from Temporary Differences
Amount to be Deducted from Common Equity Tier 1 Due to 10% Limit

Mortgage Servicing Assets
6
Total Mortgage Servicing Assets Classified as Intangible
7
Associated Deferred Tax Liabilities Which Would be Extinguished if the Intangible Becomes Impaired or Derecognized Under the Relevant Accounting Standards
8
Mortgage Servicing Assets Net of Related Deferred Tax Liabilities
9
10

11
12
13

Common Equity Tier 1 After All Regulatory Adjustments Except Significant Investments, Mortgage Servicing Assets and Deferred Tax Assets Arising from Temporary Differences
Amount to be Deducted from Common Equity Tier 1 Due to 10% Limit
Deferred Tax Assets Due to Temporary Differences
Deferred Tax Assets Due to Temporary Differences, Net of Related Deferred Tax Liabilities
Common Equity Tier 1 After All Regulatory Adjustments Except Significant Investments, Mortgage Servicing Assets and Deferred Tax Assets Arising from Temporary Differences
Amount to be Deducted from Common Equity Tier 1 Due to 10% Limit

Aggregate of Items Subject To The 15% Limit (Significant Investments, Mortgage Servicing Assets and Deferred Tax Assets Arising from Temporary Differences)
14
Outstanding Significant Investments in the Common Stock of Financial Entities Not Deducted Due to 10% Limit
15
Outstanding Mortgage Servicing Assets Not Deducted Due to 10% Limit
16
Outstanding Deferred Tax Assets Due To Temporary Differences Not Deducted Due to 10% Limit
17

Sum of Outstanding Significant Investments, Mortgage Servicing Assets and Deferred Tax Assets Arising from Temporary Differences Not Deducted Due to 10% Limit

18 15% Common Equity Tier 1 Limit (For Items Subject to 15% Threshold)
19 Deduction of Outstanding Items Subject to 15% Threshold Due to 15% Limit
20 Amount of 15% Limit Deduction Attributable to Mortgage Servicing Assets
21 Estimated Fair Value of Mortgage Servicing Assets
22 Additional Deduction from Common Equity Tier 1 Due to 10% Fair Value Limit of Mortgage Servicing Assets
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.
23

No

No

Exceptions Bucket Calc
5

DFAST-14A - Basel III & Dodd-Frank Schedule
Risk-weighted Assets1, 2
B

C

D

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22

$ Millions
Actual
Q3 2012
Q4 2012
Credit Risk (Including CCR and non-trading credit risk), with 1.06 scaling factor - Applicable to Advanced Approaches Banking Organizations
Corporate
Counterparty Credit Risk Exposures (not including CVA charges or charges to CCPs)
Other Exposures
Sovereign
Counterparty Credit Risk Exposures (not including CVA charges or charges to CCPs)
Other Exposures
Bank
Counterparty Credit Risk Exposures (not including CVA charges or charges to CCPs)
Other Exposures
Retail
Counterparty Credit Risk Exposures (not including CVA charges or charges to CCPs)
Other Exposures
Equity
Securitization
Trading Book Counterparty Credit Risk Exposures (if not included in above)
CVA Capital Charge (Risk-Weighted Asset Equivalent)
Advanced CVA Approach
Unstressed VaR with Multipliers
Stressed VaR with Multipliers
Simple CVA Approach
Other Credit Risk
Total Credit RWA

23
24
25
26
27
28
29
30
31
32
33
34
35
36

Market Risk
Standardized Specific Risk (excluding securitization and correlation)
VaR with Multiplier
Stressed VaR with Multiplier
Incremental Risk Charge (IRC)
Correlation Trading
Comprehensive Risk Measurement (CRM), Before Application of Surcharge
Standardized Measurement Method (100%) for Exposures Subject to CRM
CRM Floor Based on 100% of Standardized - Net Long
CRM Floor Based on 100% of Standardized - Net Short
Non-modeled Securitization
Net Long
Net Short
Other Market Risk
Total Market RWA

37
38
39

Other
Other Capital Requirements
Operational Risk
Change in Risk-Weighted Assets Due to Impact of Basel III Definition of Capital

40

E

Q4 2013

F

G

$ Millions
Projected
Q4 2014
Q4 2015

H

I

Q4 2016

Q4 2017

No

No

Total Risk-weighted Assets

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
41
"0" if not applicable.

No

No

No

No

No

Footnotes:
1
Amounts calculated as capital requirements should be converted to risk-weighted assets by multiplying by 12.5.
2
Any assets deducted from capital should not be included in risk-weighted assets.

RWA_Advanced
6

DFAST-14A - Basel III & Dodd-Frank Schedule
Risk-weighted Assets1, 2
B

C

D

E

$ Millions
Actual
Q3 2012

Q4 2012

Q4 2013

No

No

No

F

G

$ Millions
Projected
Q4 2014
Q4 2015

H

I

Q4 2016

Q4 2017

No

No

Basel I Credit Risk (Including CCR and non-trading credit risk) - Applicable to All Banks
1
Counterparty Credit RWA
2
Credit RWAs excluding Counterparty Credit RWAs
3
Total Credit RWA

4
5
6
7
8
9
10
11
12
13
14
15
16
17

Market Risk
Standardized Specific Risk (excluding securitization and correlation)
VaR with Multiplier
Stressed VaR with Multiplier
Incremental Risk Charge (IRC)
Correlation Trading
Comprehensive Risk Measurement (CRM), Before Application of Surcharge
Standardized Measurement Method (100%) for Exposures Subject to CRM
CRM Floor Based on 100% of Standardized - Net Long
CRM Floor Based on 100% of Standardized - Net Short
Non-modeled Securitization
Net Long
Net Short
Other Market Risk
Total Market RWA

18
19

Other
Other Capital Requirements
Change in Risk-Weighted Assets Due to Impact of Basel III Definition of Capital

20

Total Risk-weighted Assets

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.
21

No

No

Footnotes:
1
Amounts calculated as capital requirements should be converted to risk-weighted assets by multiplying by 12.5.
2
Any assets deducted from capital should not be included in risk-weighted assets.

RWA_General
7

DFAST-14A - Basel III & Dodd-Frank Schedule
Leverage Exposure (quarterly averages)
B

C

D

E

F

G

H

I

$ Millions
Actual
Q3 2012

$ Millions
Projected
Q4 2012

Q4 2013

Q4 2014

Q4 2015

Q4 2016

Q4 2017

No

No

No

No

No

No

No

No

No

No

No

No

No

No

Leverage Exposure for Tier 1 Leverage Ratio (Applicable to All Banks)
1
2

Average Total Assets
Amounts Deducted from Tier 1 Capital (Report as Negative)

3

Average Total Assets for Leverage Capital Purposes

Leverage Exposure for Supplementary Leverage Ratio (Applicable to Advanced Approaches Banking Organizations)
4
5
6
7
8
9
10
11

On-Balance Sheet Derivatives
Derivatives, Potential Future Exposure
On-Balance Sheet Repo-Style Transactions
Other On-Balance Sheet Items (Excluding Derivatives and Repo-Style Transactions)
Off-Balance Sheet Items (Excluding Derivatives and Repo-Style Transactions)
Of Which: Unconditionally Cancellable Commitments Eligible for 10% Credit Conversion Factor
Of Which: All Other
Amounts Deducted from Tier 1 Capital (Report as Negative)

12

Total Leverage Exposure for Supplementary Leverage Ratio

Data Completeness Check
Leverage Exposure for Tier 1 Leverage Ratio (applicable to all banks): 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.
13
Leverage Exposure for Supplementary Leverage Ratio (applicable to advanced approaches banking organizations): 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.
14

Leverage Exposure
8

DFAST-14A - Basel III & Dodd-Frank Schedule
Planned Actions
A

B

C

D

Action #

Description

Action Type

Exposure Type

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

Planned Actions
9

E

F

G

I

J

K

L

M

Average Total
Assets for Leverage
Capital Purposes

Total Leverage
Exposure for
Supplementary
Leverage Ratio

Balance Sheet
Impact

Common Equity
Tier 1

Tier 1

H
Q4 2012

RWA Type

Common Equity
Tier 1

Tier 1

RWA

Planned Actions
10

$ Mil

N

O

P

Q

R

S

T

Q4 2013

RWA

Average Total
Assets for Leverage
Capital Purposes

U

V

W

Average Total
Assets for Leverage
Capital Purposes

Total Leverage
Exposure for
Supplementary
Leverage Ratio

Balance Sheet
Impact

Q4 2014
Total Leverage
Exposure for
Supplementary
Leverage Ratio

Balance Sheet
Impact

Common Equity
Tier 1

Tier 1

RWA

Planned Actions
11

llions

X

Y

Z

AA

AB

AC

AD

AE

AF

Q4 2015

Common Equity
Tier 1

Tier 1

RWA

Average Total
Assets for Leverage
Capital Purposes

AG
Q4 2016

Total Leverage
Exposure for
Supplementary
Leverage Ratio

Balance Sheet
Impact

Common Equity
Tier 1

Tier 1

RWA

Average Total
Assets for Leverage
Capital Purposes

Planned Actions
12

AH

AI

AJ

AK

AL

AM

AN

AO

BB

Average Total
Assets for Leverage
Capital Purposes

Total Leverage
Exposure for
Supplementary
Leverage Ratio

Balance Sheet
Impact

Common Equity
Tier 1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

BC

Q4 2017
Total Leverage
Exposure for
Supplementary
Leverage Ratio

Balance Sheet
Impact

Common Equity
Tier 1

Tier 1

RWA

Tier 1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Planned Actions
13

BD

BE

BF

BG

BH

Total Leverage
Exposure for
Supplementary
Leverage Ratio

Balance Sheet
Impact

Confirm detailed description of action
provided in separate attachment

Total

RWA
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Average Total
Assets for Leverage
Capital Purposes
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Planned Actions
14