DFAST 10-50B Results Template

9/16/2013

O
_____________________________________________________________________________________
Office of the Comptroller of the Currency

Instructions for Preparation of

Company-Run Annual Stress Test Reporting Template and Documentation
for Covered Institutions with Total Consolidated Assets of $10 Billion to $50
Billion under the Dodd-Frank Wall Street Reform and Consumer
Protection Act
Reporting Form OCC DFAST 10-50
Effective September 30, 2013

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over the four-quarter period is calculated as $10.25
billion and the institution would meet the
requirement to conduct its first stress test for the
2014 stress test cycle.

GENERAL INSTRUCTIONS
The Annual Dodd-Frank Act (DFA) Stress Testing
Report (OCC DFAST 10-50 report) collects
detailed data on covered institutions’ 1 quantitative
projections of balance sheet assets and liabilities,
income, losses, and capital across a range of
macroeconomic
scenarios
and
qualitative
supporting information on the methodologies used
to develop internal projections of capital across
scenarios. Further information regarding the
requirements of the qualitative supporting
documentation is provided in Appendix A. The
Office of the Comptroller of the Currency (OCC)
will provide details about the macroeconomic
scenarios to institutions.

Once an institution meets the asset threshold, the
institution will remain subject to the final rule's
requirements unless and until the total
consolidated assets of the institution are less than
$10 billion for each of four consecutive quarters as
reported on the
Call Report, as applicable
(measured on the as-of date of the fourth
consecutive Call Report). An institution that has
reduced its total consolidated assets below $10
billion for four consecutive quarters will again
become subject to the requirements of this rule if it
meets the asset threshold at a later date.

Who Must Report

Initial compliance

Reporting Criteria

Per the final rule, an institution that meets the asset
threshold on or before December 31, 2012, except
as provided in the Exemptions paragraph of this
section, must comply with the rule requirements
beginning with the stress test cycle that
commences on October 1, 2013, unless that time is
extended by the OCC in writing.

Institutions that meet a threshold of greater than
$10 billion but less than $50 billion in total
consolidated assets, as defined by the annual stress
test rule 12 CFR part 46, must file the OCC
DFAST 10-50 report.

Compliance after 12/31/12

The OCC’s final rule defines total consolidated
assets as the average of the institution’s total
consolidated assets over the four most recent
consecutive quarters as reported on the
institution’s Consolidated Report of Condition and
Income (Call Report FFIEC 031 or FFIEC 041).
Per the final rule, if the institution has not filed a
Call Report for each of the four most recent
consecutive quarters, the average of the
institution’s total consolidated assets in the most
recent quarter or consecutive quarters as reported
on the Call Report should be used in the
calculation.

An institution that meets the asset threshold after
December 31, 2012, must comply with the
requirements of this subpart beginning with the
stress test cycle that commences in the calendar
year after the year in which the company meets the
asset threshold, unless that time is extended by the
OCC in writing.
Exemptions
Institutions that do not meet the reporting criteria
listed above are exempt from reporting.

For example, if an institution reported $9.5 billion
in total consolidated assets as reported on
Schedule RC of its Call Report as of March 31 and
June 30, 2013, and $11 billion as of September 30
and December 31, 2013, the average total assets

Shifts in Reporting
If an institution filing the report reaches total
consolidated assets of $50 billion or more, as defined
by the stress testing final rule (12 CFR 225.8), it will
be required to submit the DFAST-14A stress testing
report to the OCC.

1

Covered institutions are national banks and federal
savings associations with consolidated assets exceeding
$10 billion.

2

Where to Submit the Report

Organization of the Report

The OCC, the Federal Reserve Board, and the
Federal Deposit Insurance Corporation (the
“agencies”) collaborated closely in developing a
streamlined and simplified DFA stress test
regulatory report, and this coordination will
facilitate a uniform electronic collection process
for all institutions. All institutions should submit
their completed reports electronically through
Reporting Central, the Federal Reserve’s
electronic
reports
submission
application.
Reporting Central is a central point of entry for
Federal Reserve, FFIEC, and Treasury Department
electronic reporting submission and file uploads,
and is a system many institutions already use for
other regulatory reports. Per each agency’s final
rules, each primary federal regulator will have
access to their respective institutions’ submissions.

General Information
The annual company-run DFA stress test will
cover a nine-quarter planning horizon beginning
on the first day of a stress test cycle (on October 1)
and use financial information as of September 30
of a reporting year (for a total of ten quarters of
information reported). Institutions will report on
the OCC DFAST 10-50 their quantitative
projections of losses, resources available to absorb
those losses, balance sheet positions and capital
composition on a quarterly basis over the duration
of the scenarios and planning horizon. The OCC
will provide details about the macroeconomic
scenarios to institutions.
The OCC DFAST 10-50 report is organized into
the following sections:
A. Scenario Variables Schedule

Institutions should contact the OCC or go to
www.frbservices.org/centralbank/reportingcentral
for procedures for electronic submission.

B. Results Schedule
a. Summary Schedule
b. Baseline Scenario
i.
Income Statement
ii.
Balance Sheet &
Capital Statement

All institutions must submit the completed
Scenario Variables Schedule, if applicable, and
qualitative supporting information in Adobe
Acrobat PDF format. For requirements regarding
the submission of these items, see the Scenario
Variables Schedule section and qualitative
supporting information, Appendix A, of these
instructions.

c. Adverse Scenario
i.
ii.

Income Statement
Balance Sheet &
Capital Statement
d. Severely Adverse Scenario
i.
Income Statement
ii.
Balance Sheet &
Capital Statement

When to Submit the Report
The OCC DFAST 10-50 report is required to be
submitted by the close of business March 31 of
each calendar year unless that time is extended by
the OCC in writing. The term “submission date”
is defined as the date by which the OCC must
receive the institution’s OCC DFAST 10-50
report.

C. Appendix A - Qualitative Supporting
Information
In addition to the projections collected on the OCC
DFAST 10-50 report, institutions are also required
to submit qualitative information supporting their
projections. The report of the results of the stress
test must include, under the baseline, adverse, and
severely adverse scenarios: a description of the
types of risks included in the stress test, a
summary description of the methodologies used in
the stress test, an explanation of the most
significant causes for the changes in regulatory

If the submission deadline falls on a weekend or
holiday, the report must be received on the first
business day after the weekend or holiday. Earlier
submission aids the OCC in reviewing and
processing reports and is encouraged.

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OCC DFAST 10-50 report, unless otherwise
specified.
a. Report income and loss data on a quarterly
basis and not on a cumulative or year-to-date
basis.
b. Ensure that any internal consistency checks
are complete prior to submission.
c. An amount or zero should generally 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.
d. MDRM codes and formulas are provided in
the "031 or 041 Call Rpt Item" column for
most line items. Definitions in the Call
Report for those items should be used.

capital ratios, and any other information required
by the OCC. Please see Appendix A for more
details.

How to Prepare the Reports
A. Applicability of U.S. GAAP
Institutions are required to prepare and file the
OCC DFAST 10-50 schedules in accordance with
U.S. generally accepted accounting principles
(GAAP) and these instructions. The financial
records of the institutions should be maintained in
such a manner and scope to ensure the OCC
DFAST 10-50 report is prepared in accordance
with these instructions and reflects a fair
presentation of the institutions’ financial condition
and assessment of performance under stressed
scenarios.

F. Rounding
B. Rules of Consolidation
All dollar amounts must be reported in thousands,
with the figures rounded to the nearest thousand.
Rounding could result in details not adding to their
stated totals. However, to ensure consistent
reporting, the rounded detail items should be
adjusted so that the totals and the sums of their
components are identical.

Respondents should reference the Call Report for
general instructions on the rules of consolidation.
Unless otherwise noted, items map directly to the
respondent’s Call Report for the actual quarterly
data provided for September 30th of the reporting
year while all remaining quarterly data over the
nine-quarter horizon are based on the institution’s
quarterly projections.

G. Negative Entries

C. Projections

Negative entries are generally not appropriate on
the OCC DFAST 10-50 balance sheet and should
not be reported. Hence, assets with credit balances
must be reported in liability items and liabilities
with debit balances must be reported in asset
items, as appropriate, and in accordance with these
instructions. When negative entries do occur in
one or more of these items, they should be
recorded with a minus (-) sign rather than in
parentheses.

The report includes one quarter of actual data
followed by nine quarters of projected data. The
“planning 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 will
refer to each corresponding quarter.
D. Order of Precedence

H. Confidentiality
If there is a conflict in guidance, institutions
should first use the information contained in these
instructions and then the instructions available in
the latest Call Report.

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, the information contained in this
report may be exempt from disclosure under
Exemption 4.5 U.S.C. 552(b)(4). Disclosure

E. Technical Details
The following instructions apply generally to the

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the same level of consolidation as is required for
the OCC DFAST 10-50 report, the duplicate data
items do not need to be reported and may be left
blank on the OCC DFAST 1-50 report form. For
institutions, the data will be collected from the
Call Report.

determinations would be made on a case-by-case
basis.
.
I. Amended Reports
When the OCC’s interpretation of how GAAP or
these instructions should be applied to a specified
event or transaction (or series of related events or
transactions) differs from the reporting
institution’s interpretation, the OCC may require
the institution
to reflect the event(s) or
transaction(s) in its OCC DFAST 10-50 report in
accordance with the OCC’s interpretation and to
amend previously submitted reports. The OCC
will consider the materiality of such event(s) or
transaction(s) in making a determination about
requiring the institution to apply the OCC’s
interpretation and to amend previously submitted
reports. Materiality is a qualitative characteristic
of accounting information which is defined in
FASB Concepts No. 2 as ‘‘the magnitude of an
omission or misstatement of accounting
information that, in the light of surrounding
circumstances, make it probable that the judgment
of a reasonable person relying on the information
would have been changed or influenced by the
omission or misstatement.’’

September 30 data for certain line items does not
map to existing MDRM codes in the Call Report.
As such, institutions will need to report the actual
9/30 data for the following line items for each
scenario:
• Income statement memoranda line items
26-31, 32-37, and 38-43 for all reporters.
K. Questions
Questions and requests for interpretations of
matters appearing in any part of these instructions
should be addressed to the OCC DFAST mailbox:
[email protected].

SCENARIO VARIABLES
SCHEDULE
To conduct the stress test required, an institution
m a y choose to project additional economic and
financial variables beyond the mandatory
supervisory scenarios provided to estimate losses
or revenues for some or all of its portfolios. The
OCC expects an institution to ensure that the
paths of any additional variables (including their
timing) are consistent with the general economic
environment assumed in the supervisory
scenarios. If additional variables are used, the
institution must complete the following
information for each scenario where the institution
chose to use additional variables. The following
instructions provide guidance for institutions that
choose to use additional scenario variables to
report.

The OCC may require the filing of an amended
OCC DFAST 10-50 report if previously submitted
reports contain significant errors. In addition, an
institution should file an amended report when
internal or external auditors make audit
adjustments that result in a restatement of financial
statements previously submitted to the OCC.
For further information regarding OCC DFAST
10-50 amended reports, please see the Amended
Reports section in the general instructions of the
Call Report.
If resubmissions are required, institutions should
contact the OCC.

A. Scenario Variable Definitions

J. Data Items Automatically Retrieved from
Other Reports

This schedule should be used to list and define the
variables used by an institution that chooses to go
beyond those variables defined in the mandatory
supervisory scenarios provided by the OCC.

The actual 9/30 data that is required to be
submitted in the OCC DFAST 10-50 report may
also be collected in other reports submitted to the
OCC. If the institution files the other reports at

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•

The schedule provides space for the baseline
scenario, adverse scenario, and severely
adverse scenario.

•

If additional variables are used beyond
the variables included in the OCC provided
scenarios, list those variable names 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 (e.g., "real GDP") 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 of the
additional scenario variables should be
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.

•

The following definitions and basis (i.e.,
period-average or period-end) of the financial
market variables were included in the 2012
mandatory supervisory scenarios and are
provided as an example for institutions to
describe any additional scenario variables used
in its stress test:2
o U.S. 10-year Treasury yield: Quarterly
average of the yield on 10-year U.S.
Treasury bonds.
o U.S. mortgage rate: Quarterly average of
weekly series of Freddie Mac data.
o U.S. Dow Jones Total Stock Market Index:
End of quarter value, Dow Jones.
o U.S. Market Volatility Index (VIX):
Chicago Board Options Exchange
converted to quarterly by using the
maximum value in any quarter.

•

For convenience, the schedule provides space
for ten additional 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.

•

Institutions should include all economic and
financial market variables that were important
in projecting results and are in addition to
those provided by the OCC, including those
that affect only a subset of portfolios or
positions. For example, if asset prices in a
specific sector had a meaningful impact, then
the assumed level of prices and projections
should be included; or, if bankruptcy filings
affect credit card loss estimates, then the
assumed levels of these loss estimates should
be reported if used in the projections.

•

Institutions should also include any variables
capturing regional or local economic or asset
value
conditions,
such
as
regional
unemployment rates or regional housing
prices, if these were used in the projections.

•

Institutions 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 document.

B. All Scenarios

2

See the following for more information on the 2012
supervisory scenarios:
http://www.occ.gov/news-issuances/newsreleases/2012/nr-occ-2012-166.html.

6

•

Variable names and definitions should be
consistent throughout the worksheets in the
schedule.

•

List quarterly values for the variables starting
with the last realized value through the end of
the planning horizon. For the initial reporting
period, the corresponding quarters would be
3Q 2013 through 4Q 2015, respectively.

•

Enter all variables as levels rather than as
changes or growth rates (for example, the
dollar value of real GDP rather than the
GDP growth rate).

•

The Scenario Variables Schedule should be
submitted in Adobe Acrobat PDF format
through the Reporting Central application (see
section, Where to Submit the Report).

•

The Scenario Variables Schedule PDF file
should
be
titled
“ReportID_RSSD_
SCENARIOVARIABLES_MMDDYY”.
Refer to Appendix A for additional
information on the required naming
conventions of PDF files.

C. DFA Stress Test Baseline Scenario
This worksheet should be used to report the values
of any additional variables generated for the DFA
stress test baseline scenario.

D. DFA Stress Test Adverse Scenario
This worksheet should be used to report the values
of any additional variables generated for the DFA
stress test adverse scenario.

E. DFA Stress Test Severely Adverse
Scenario
This worksheet should be used to report the values
of any additional variables generated for the DFA
stress test severely adverse scenario.

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on this schedule is defined as gross charge-offs
less recoveries for the various line items. As
stated in the Call Report instructions, institutions
should also include write-downs to fair values on
loans (and leases) transferred to the held-for-sale
account during the calendar year-to-date that
occurred when (1) the institution decided to sell
loans that were not originated or otherwise
acquired with the intent to sell and (2) the fair
value of those loans had declined for any reason
other than a change in the general market level of
interest or foreign exchange rates.

RESULTS SCHEDULES
The Results Schedules are composed of seven
supporting schedules: a Summary Schedule, which
summarizes key results from the Baseline,
Adverse, and Severely Adverse Scenarios; and
supporting schedules with Income Statement,
Balance Sheet, and Capital Statement details.
Each supporting schedule has three versions; one
each for the Baseline Scenario, the Adverse
Scenario, and the Severely Adverse Scenario.
Detailed instructions for the Income Statement,
Balance Sheet and Capital Statement schedules
follow in the sections below.

Line item 1 First lien mortgages (net chargeoffs):
Report all closed-end loans secured by first liens
on 1–4 family residential properties, as defined in
the Call Report, Schedule RI-B, item 1.c.(2)(a).

Summary Schedule
This schedule summarizes key results reported on
the Income Statement and Balance Sheet
schedules for the Baseline, Adverse, and Severely
Adverse Scenarios. No action is required by
institutions to complete this schedule as this
summary data schedule will be populated
automatically from the Income Statement and
Balance Sheet schedules.

Line item 2 Closed-end junior liens (net chargeoffs):
Report all closed-end loans secured by junior liens
on 1–4 family residential properties, as defined in
the Call Report, Schedule RI-B, item 1.c.(2)(b).
Include loans secured by junior liens in this item
even if the institution also holds a loan secured by
a first lien on the same 1–4 family residential
property and there are no intervening junior liens.

Income Statement Schedule
For the Income Statement schedule, MDRM codes
corresponding to the related Call Report line items
are provided for many of the line items.
Differences between the FFIEC 031 and FFIEC
041 are noted; otherwise, assume that they are the
same. Respondents should report income and loss
data on a quarterly basis and not on a cumulative
or year-to-date basis.
When applicable, the
definitions of the institution’s projections should
map to the definitions outlined by the
corresponding MDRM code within the Call
Report. The institution should include losses tied
to the relevant balances reported on the Balance
Sheet Schedule.

Line item 3 Home equity lines of credit
(HELOCs) (net charge-offs):
Report all revolving, open-end loans in domestic
offices secured by 1–4 family residential
properties and extended under lines of credit, as
defined in the Call Report, Schedule RI-B, item
1.c.(1).
Line item 4 Commercial and industrial (C&I)
loans (net charge-offs):
Report all commercial and industrial loans, as
defined in the Call Report FFIEC 041, Schedule
RI-B, item 4 and FFIEC 031, Schedule RI-B, item
4.a, commercial and industrial loans to U.S.
addressees, and all commercial and industrial
loans to non-U.S. addressees, as defined in the
FFIEC 031, Schedule RI-B, item 4.b.

General Instructions
This schedule collects various income statement
items similar to items found on Schedules RI, RIA, and RI-B on the Call Report. Net charge-offs

8

Line item 5 1-4 family construction loans (net
charge-offs):

Line item 12 Other consumer loans (net chargeoffs):

Report all 1-4 family residential construction
loans, as defined in the Call Report, Schedule RIB, item 1.a.(1).

Report all other consumer loans, as defined in the
Call Report, Schedule RI-B, item 5.c.
Line item 13 All other loans and leases (net
charge-offs):

Line item 6 Other construction loans (net
charge-offs):

Report all other loans and leases that have not
been reported in the loan charge-off categories
above (line items 1-12).

Report all other construction loans and all land
development and other land loans, as defined in
the Call Report, Schedule RI-B, item 1.a.(2).

Line item 14 Total loans and leases (net chargeoffs):

Line item 7 Multifamily loans (net charge-offs):

Report the sum of line items 1 through 13. It can
also be found on the Call Report, Schedule RI-B,
item 9).

Report all loans secured by multifamily (5 or
more) residential properties in domestic offices, as
defined in the Call Report, Schedule RI-B, item
1.d.

Line item 15 Net interest income:
Line item 8 Non-farm, non-residential owner
occupied loans (net charge-offs):

Report net interest income, as defined in the Call
Report, Schedule RI, item 3.

Report all loans secured by owner-occupied nonfarm non-residential properties, as defined in the
Call Report, Schedule RI-B, item 1.e.(1).

Line item 16 Non-interest income:
Report non-interest income, as defined in the Call
Report, Schedule RI, item 5.m.

Line item 9 Non-farm, non-residential other
loans (net charge-offs):

Line item 17 Non-interest expense:
Report all loans secured by other non-farm nonresidential properties, as defined in the Call
Report, Schedule RI-B, item 1.e.(2).

Report non-interest expense, as defined in the Call
Report, Schedule RI, item 7.e.

Line item 10 Credit cards (net charge-offs):

Line item 18 Pre-provision net revenue:

Report all extensions of credit under credit card
loans, as defined in the Call Report, Schedule RIB, item 5.a.

Report the sum of lines 15 and 16 above, less line
17.
Line item 19 Provision for loan and lease losses:

Line item 11 Automobile loans (net chargeoffs):

Report the provision for loan and leases, as
defined in the Call Report, Schedule RI, item 4.

Report all automobile loans, as defined in Call
Report, Schedule RI-B, item 5.b.

9

Line items 26 through 43

Line item 20 Realized gains (losses) on HTM
securities:

These line items should be used to list the
projected segment amounts of non-interest
income, non-interest expense, and all other gains
(losses) that exceed 15% of each line item,
respectively.

Report the realized gain (losses) on held-tomaturity securities, as defined in the Call Report,
Schedule RI, item 6.a.
Line item 21 Realized gains (losses) on AFS
securities:
Report the realized gain (losses) on available-forsale securities, as defined in the Call Report,
Schedule RI, item 6.b.

•

The measurement to determine if segments of
non-interest income, non-interest expense, and
all other gains (losses) are greater than 15
percent should be performed for the initial
period (actual as of 9/30) and amounts should
be reported for projections one through nine if
a category is greater than 15 percent as of the
actual 9/30 period (even if the value of the
category item decreases to less than 15 percent
in the projected periods).

•

These line items must be completed for each
scenario if a segment of non-interest income,
non-interest expense, and all other gains
(losses) are greater than 15 percent as of the
actual 9/30 period.

•

Segment names and definitions should be
consistent throughout the income statement
schedule.

•

List the quarterly values for the segments
starting with the last realized value through the
end of the planning horizon. For the initial
reporting period, the corresponding quarters
would be 3Q 2013 through 4Q 2015,
respectively.

•

Enter all amounts as levels rather than as
changes or growth rates (for example, the
dollar value of income from fiduciary
activities).

Line item 22 All other gains (losses):
Report all other gains (losses) from extraordinary
items, other adjustments, less the net income (loss)
attributable to noncontrolling (minority) interests
[if net income of noncontrolling interest is positive
subtract out and if there is a net loss, add back],
and any other items that are not either (i) reported
above line 22 or (ii) in taxes reported in item 23.
The amounts reported in line 22 comprise the
remaining portion of net income reported in line
24. Corresponding Call Report line items are
defined in Schedule RI, items 11 and 13.
Line item 23 Taxes:
Report the applicable income taxes, as defined in
the Call Report, Schedule RI, item 9.
Line item 24 Net income:
Report the total of lines 18, 19, 20, 21, 22, and 23
using the following logic (item 18 - item 19 + item
20 + item 21 + item 22 – item 23). If this amount
is a net loss, report with a minus (-) sign. Report
the applicable net income, as defined in the Call
Report, Schedule RI, item 14.
Memoranda items:

Line items 26-31 Itemize and describe amounts
greater than 15 percent of non-interest income
(Line item 16):

Line item 25 Other than temporary impairment
(OTTI) losses:

List and describe specific segments of non-interest
expense that exceed 15 percent of “total noninterest expense” line item 16 as of the actual 9/30
period.

Report other than temporary impairment losses, as
defined in the Call Report, Schedule RI, Memo
item 14.a.

10

Line items 32-37 Itemize and describe amounts
greater than 15 percent of non-interest expense
(Line item 17):

Line item 1 First lien mortgages:
Report closed-end loans secured by first liens on
1-4 family residential properties held in domestic
offices, as defined in the Call Report, Schedule
RC-C, item 1.c.(2)(a), less relevant loans covered
by loss-sharing agreements with the FDIC
(Schedule RC-M, item 13.a.(1)(c)(2)(a)).

List and describe specific segments of non-interest
expense that exceed 15 percent of “total noninterest expense” line item 17 as of the actual 9/30
period.

Line item 2 Closed-end junior liens:

Line items 38-43 Itemize and describe amounts
greater than 15 percent of all other gains
(losses) (Line item 22):

Report closed-end loans secured by junior (i.e.,
other than first) liens on 1-4 family residential
properties held in domestic offices, as defined in
the Call Report, Schedule RC-C, item 1.c.(2)(b),
less relevant loans covered by loss-sharing
agreements with the FDIC (Schedule RC-M, item
13.a.(1)(c)(2)(b)).

List and describe specific segments of non-interest
expense that exceed 15 percent of “all other
gains/losses” line item 22 as of the actual 9/30
period.

Balance Sheet Schedule
Line item 3 Home equity lines of credit:
(HELOCs)

For the Balance Sheet schedule, MDRM codes
corresponding to the related Call Report line items
are provided for many of the line items. Unless
otherwise noted, the line items are identical for
FFIEC 031 and FFIEC 041. When applicable, the
definitions of the institution's projections should
map to the definitions outlined by the
corresponding MDRM code within the Call
Report. The institution should report balances that
are tied to the relevant losses reported on the
Income Statement Schedule.

Report the amount outstanding under revolving,
open-end lines of credit secured by 1-4 family
residential properties held in domestic offices, as
defined in the Call Report, Schedule RC-C, item
1.c.(1), less relevant loans covered by loss-sharing
agreements with the FDIC (Schedule RC-M, item
13.a.(1)(c)(1)).
Line item 4 Commercial and industrial (C&I)
loans:

Line items 1 through 15 Loans

Report all commercial and industrial (C&I) loans,
as defined in the Call Report, Schedule RC-C,
item 4 (FFIEC 041) and items 4.a and 4.b (FFIEC
031), less relevant loans covered by loss-sharing
agreements with the FDIC (Schedule RC-M, item
13.a.(3)).

For each scenario used, input the loan balance
projections in the various line items in this
schedule, net of any unearned income. Domestic
refers to portfolios in the domestic U.S. offices (as
defined in the Call Report), and International
refers to portfolios outside of the domestic U.S.
offices.

Line item 5 1-4 family construction loans:
Report loans secured by 1-4 family residential
construction loans held in domestic offices, as
defined in the Call Report, Schedule RC-C, item
1.a.(1), less relevant loans covered by loss-sharing
agreements with the FDIC (Schedule RC-M, item
13.a.(1)(a)(1)).

Unlike the loan balances reported in the Call
Report Schedule RC-C, for this schedule separately
report the loans covered by loss-sharing
agreements with the FDIC (line 14). 3

3

For more information, refer to Schedule RC-M Item
No. 13 in the Call Report instructions (Assets covered
by loss-sharing agreements with the FDIC).

11

Line item 6 Other construction loans:

Line item 11 Automobile loans:

Report construction loans for purposes other than
constructing 1-4 family residential properties, land
development loans, and all other land loans held in
domestic offices, as defined in the Call Report,
Schedule RC-C, items 1.a.(2), less relevant loans
covered by loss-sharing agreements with the FDIC
(Schedule RC-M, item 13.a.(1)(a)(2)).

Report all auto loans held in domestic offices, as
defined in the Call Report, Schedule RC-C, item
6.c, less relevant loans covered by loss-sharing
agreements with the FDIC (Schedule RC-M, item
13.a.(4)(b)).

Line item 7 Multifamily loans:

Report all other consumer loans held in domestic
offices not reported in line items 10 or 11, as
defined in the Call Report, Schedule RC-C, items
6.b and 6.d, less relevant loans covered by losssharing agreements with the FDIC (Schedule RCM, item 13.a.(4)(c)).

Line item 12 Other consumer loans:

Report loans secured by multifamily (5 or more)
residential properties held in domestic offices, as
defined in the Call Report, Schedule RC-C, item
1.d, less relevant loans covered by loss-sharing
agreements with the FDIC (Schedule RC-M, item
13.a.(1)(d)).

Line item 13 All other loans and leases:
Report all other loans and leases that have not
already been reported in the loan categories in line
items 1 through 12, excluding loans covered by
FDIC loss-sharing agreements (reported in line
14).

Line item 8 Non-farm, non-residential owneroccupied loans:
Report loans secured by owner-occupied non-farm
non-residential properties held in domestic offices,
as defined in the Call Report, Schedule RC-C,
item 1.e.(1), less relevant loans covered by losssharing agreements with the FDIC (Schedule RCM, item 13.a.(1)(e)(1)).

Line item 14 Loans covered by FDIC losssharing agreements:
Report all loans covered by loss-sharing
agreements with the FDIC, as defined in the Call
Report, Schedule RC-M items 13.a.(1)(a)(1)
through 13.a.(5).

Line item 9 Non-farm, non-residential other
loans:
Report non-farm non-residential real estate loans
that are not secured by owner-occupied non-farm
non-residential properties, held in domestic
offices, as defined in the Call Report, Schedule
RC-C, item 1.e.(2), less relevant loans covered by
loss-sharing agreements with the FDIC (Schedule
RC-M, item 13.a.(1)(e)(2)).

Line item 15 Total loans and leases:
Report the sum of items 1 through 14 above. This
is also defined in the Call Report, Schedule RC-C,
Part I, item 12.
Line item 16 Allowance for loan and lease
losses:

Line item 10 Credit cards:
Report all extensions of credit to individuals for
household,
family,
and
other
personal
expenditures arising from credit cards, held in
domestic offices, as defined in the Call Report,
Schedule RC-C, item 6.a, less relevant loans
covered by loss-sharing agreements with the FDIC
(Schedule RC-M, item 13.a.(4)(a)).

Report the allowance for loan and lease losses, as
defined in the Call Report, Schedule RC, item 4.c.
Line items 17 through 21 Securities: Held-tomaturity (HTM)
For line items 17 through 21, report the amortized
cost of securities held-to-maturity, which

12

corresponds to securities reported in the Call
Report, Schedule RC-B, column A.

Line item 22 U.S. government obligations and
obligations of GSE:

Line item 17 U.S. government obligations and
obligations of GSE:

Report securities issued by the U.S. Government
and by U.S. government agencies, as defined in
the Call Report, Schedule RC-B, items 1, 2.a, 2.b,
4.a.(1), 4.a.(2), 4.b.(1), 4.b.(2), 4.c.(1)(a), and
4.c.(2)(a).

Report securities issued by the U.S. Government
and by U.S. government agencies, as defined in
the Call Report, Schedule RC-B, items 1, 2.a, 2.b,
4.a.(1), 4.a.(2), 4.b.(1), 4.b.(2), 4.c.(1)(a), and
4.c.(2)(a).

Line item 23 Securities issued by states and
political subdivisions of the U.S.:
Report securities issued by the states and political
subdivisions of the U.S., as defined in the
Call Report, Schedule RC-B, item 3.

Line item 18 Securities issued by states and
political subdivisions of the U.S.:
Report securities issued by the states and political
subdivisions of the U.S., as defined in the Call
Report, Schedule RC-B, item 3.

Line item 24 Non-agency MBS and ABS
securities:
Report all mortgage-backed and asset-backed
securities not guaranteed by the U.S. government
or issued by a state or political subdivision of the
U.S., as defined in the Call Report, Schedule RCB items 4.a.(3), 4.b.(3), 4.c.(1)(b), 4.c.(2)(b), and
5.a.

Line item 19 Non-agency MBS and ABS
securities:
Report all mortgage-backed and asset-backed
securities not guaranteed by the U.S. government
or issued by a state or political subdivision of the
U.S., as defined in the Call Report, Schedule RCB items 4.a.(3), 4.b.(3), 4.c.(1)(b), 4.c.(2)(b), and
5.a.

Line item 25 All other AFS securities:
Report all other securities that have not already
been reported in the securities categories in line
items 22 through 24, as defined in the Call Report,
Schedule RC-B items 5.b., 6, and 7

Line item 20 All other HTM securities:
Report all other securities that have not already
been reported in the securities categories in line
items 17 through 19, as defined in the Call Report,
Schedule RC-B items 5.b.(1), 5.b.(2), 5.b.(3), 6.a,
and 6.b.

Line item 26 Total AFS securities:
Report the sum of items 22 through 25 above.
This is also defined in the Call Report, Schedule
RC, item 2b.

Line item 21 Total HTM securities:
Report the sum of items 17 through 20 above.
This is also defined in the Call Report, Schedule
RC, item 2a.

Line item 27 Trading assets:
Report trading assets, as defined in the Call
Report, Schedule RC, item 5.

Line items 22 through 26 Securities: Availablefor-sale (AFS)

Line item 28 Total intangible assets:

For line items 22 through 26, report the fair value
of available-for-sale securities, which corresponds
to securities reported in the Call Report, Schedule
RC-B, column D.

Report all goodwill and intangible assets, as
defined in the Call Report, Schedule RC, item 10.a
and 10.b.

13

should be recognized in this line item (and not part
of the ALLL).

Line item 29 Other real estate owned:
Report the net book value of all other real estate
owned (OREO), as defined in the Call Report,
Schedule RC, item 7.

Line item 36 Total liabilities:
Report total liabilities as defined in the Call
Report, Schedule RC, item 21.

Line item 30 All other assets:

Line item 37 Perpetual preferred stock and
related surplus:

Report all other assets that have not been reported
in line items 1 through 29 that comprise total
consolidated assets.

Report perpetual preferred stock and related
surplus, as defined in the Call Report, Schedule
RC, item 23.

Line item 31 Total assets:
Report the sum of line items 15, 21, and 26
through 30 above, less line item 16 above. This is
also defined in the Call Report, Schedule RC, item
12.

Line item 38 Equity capital:
Report common stock (par value), as defined in
the Call Report, Schedule RC, item 24; surplus, as
defined in the Call Report, Schedule RC, item 25;
retained earnings, as defined in the Call Report,
Schedule RC, item 26.a; and other equity capital
components, as defined in the Call Report,
Schedule RC, item 26.b, 26.c, and 27.b.

Line item 32 Retail funding (core deposits):
Report all retail funding deposits as defined in Call
Report , Schedule RC, item 13.a less Schedule
RC-E, Part I, items M.1.c.(1), M.1.c.(2) and
M.2.d.

Line item 39 Total equity capital:
Line item 33 Wholesale funding:
Report total equity capital, as defined in the Call
Report, Schedule RC, item 28.

Report all wholesale funding deposits as defined
in the Call Report, Schedule RC, items 13.b, 14.a,
14.b, Schedule RC-H, item 5, Schedule RC-E,
items M.1.c.(1), M.1.c.(2) and M.2.d for FFIEC
031 filers; Schedule RC, 14.a, 14.b, 16, Schedule
RC-E, items M.1.c.(1), M.1.c.(2) and M.2.d for
FFIEC 041 filers.

Balance Sheet Schedule: Capital Section
This section collects projections of components of
equity capital and regulatory capital, components
of assets and liabilities, and deferred tax asset
items. When applicable, the definitions of the
institution's projections should map to the
definitions outlined by the corresponding
MDRM code within the Call Report.

Line item 34 Trading liabilities:
Report all trading liabilities, as defined in the Call
Report, Schedule RC, item 15.

The projections should clearly show any proposed
capital actions or other scenario-dependent actions
that would affect the institution's regulatory
capital.

Line item 35 All other liabilities:
Report all other liabilities, as item 36 less items
32, 33, and 34.

An institution is required to calculate for each
quarter end within the planning horizon the
potential impact on its regulatory capital levels
and ratios incorporating the effects of any
expected capital actions over the planning
horizon. For the 2013 stress testing cycle

Institutions should take into account the projected
losses of unfunded loan commitments as they
develop projections for this line item.
An
allowance for off-balance sheet credit exposures

14

institutions should use the OCC’s applicable riskbased capital rules as they are effective as of
September 30, 2013. Changes from the recently
revised capital rule should not be incorporated into
their DFA stress test until the stress test cycle that
begins on October 1, 2014. As institutions will
begin to comply with the revised capital rules
during that 2014 stress testing cycle, these
institutions are expected to implement the
requirements of the revised capital rules in their
DFA stress tests at that time.

Line item 46 Total risk-based capital:
Report total risk-based capital, as defined in the
Call Report, Schedule RC-R, item 21.
Line item 47 Total capital:
Report total capital, as defined in the Call Report,
Schedule RC-R, item 1.
Line item 48 Risk-weighted assets:

Line item 40 Unrealized gains (losses) on AFS
securities:

Report risk-weighted assets, as defined in the Call
Report, Schedule RC-R, item 62.

Report unrealized gains (losses) on AFS securities,
as defined in the Call Report, Schedule RC-R,
item 2.

Line item 49 Total assets for leverage purposes:
Report total assets for leverage purposes, as
defined in the Call Report, Schedule RC-R, item
27.

Line item 41 Disallowed deferred tax assets:
Report disallowed deferred tax assets, as defined
in the Call Report, Schedule RC-R, item 9.b.

Line item 50 Tier 1 risk-based capital ratio:
Report tier 1 risk-based capital ratio as item 42
divided by item 48.

Line item 42 Tier 1 capital:
Report tier 1 capital, as defined in the Call Report,
Schedule RC-R, item 11.

Line item 51 Tier 1 leverage ratio:
Report tier 1 leverage ratio as item 42 divided by
item 49.

Line item 43 Qualifying subordinated debt and
redeemable preferred stock:

Line item 52 Total risk-based capital ratio:
Report qualifying subordinated debt and
redeemable preferred stock, as defined in the Call
Report, Schedule RC-R, item 12.

Report total risk-based capital ratio as item 46
divided by item 48.

Line item 44 Allowance includible in Tier 2
capital:

Line item 53 Sale, conversion, acquisition, or
retirement of capital stock:

Report allowance includible in tier 2 capital, as
defined in the Call Report, Schedule RC-R, item
14.

Report sale, conversion, acquisition, or retirement
of capital stock, as defined in the Call Report,
Schedule RI-A, items 5 and 6.

Line item 45 Tier 2 capital:

Line item 54 Cash dividends declared on
preferred stock:

Report tier 2 capital, as defined in Call Report,
Schedule RC-R, item 17.

Report cash dividends declared on preferred stock,
as defined in the Call Report, Schedule RI-A, item
8.

15

Line item 55 Cash dividends declared on
common stock:
Report cash dividends declared on common stock,
as defined in the Call Report, Schedule RI-A, item
9.

16

•

APPENDIX A: QUALITATIVE
SUPPORTING INFORMATION

The “MMDDYY” should be the as-of date of the
stress test cycle (for example, 093013 for the 2013
stress test cycle).

Each institution is required under DFA stress test
to submit a summary of the qualitative
information supporting its projections. Supporting
information should include sufficient information
to inform a third party of an institution’s general
approach and assumptions, but remain summary
in nature. Institutions should provide appropriate
references to internal documents that provide more
detail on all the items to be discussed in the
submission. All institutions must submit the
completed Scenario Variables Schedule, if
applicable, and the qualitative supporting
information in Adobe Acrobat PDF format.

The purpose of the summary document is to
provide an overview of the stress testing process
as required in the agencies' final stress test rules
and is repeated in the following sub-sections of
Appendix A. Significant detailed information
should not be included in the summary document.
Detailed documents will be requested and
reviewed as part of the supervisory process.
Sections that should be addressed in the summary
document are listed below, as well as a description
of items that should be included.

The report of the results of the stress test must
include, under the baseline, adverse, and severely
adverse scenarios:
• A description of the types of risks included
in the stress test;
• A summary description of the methodologies
used in the stress test;
• An explanation of the most significant
causes for the changes in regulatory capital
ratios, and
• The use of the stress test results.

1. Summary and Governance
Executive summary, general risk overview,
including a description of the risks used in the
stress test; summary reports describing the stress
testing process, senior management and board
roles; internal governance and model risk
management practices; and any other items related
to the overall process. Each institution should
describe how senior management provided the
board of directors with sufficient information to
facilitate the board’s full understanding of the
stress testing used by the institution for capital
planning purposes and allow for the appropriate
level of challenge of assumptions and outcomes.

Each respondent will be required to submit a file
with a summary of the qualitative supporting
information in Adobe Acrobat PDF format. Note
that if additional scenario variables are used in the
stress test, then institutions should separately
submit the Scenario Variables Schedule (see
Scenario Variables Schedule instructions for the
required naming convention of this file). The
qualitative supporting information summary file
should
be
titled
as
“ReportID_RSSD_SUMMARY_MMDDYY”
•

The “RSSD” in the file name is the institution
specific identifier for a respondent.

2. Scenarios
Summary of methodology, models, and validation
activities related to the process used to translate
macro variables, including the use of additional
scenario variables, if applicable. If additional
scenario variables are used beyond the supervisory
scenario variables provided by the agencies, each
respondent should complete the scenario variables
schedule as previously indicated in the reporting
instructions.

The “ReportID” in the file name should be as
follows for the following respondents:
o “FRY16” for BHCs, SLHCs, and SMBs
o “OCCDFAST1050” for national banks
and savings banks
o “FDICDFAST1050” for nonmember
banks and state savings banks

3. Capital
Summary of methodology, models, and validation
activities related to assumptions and calculations
used to calculate regulatory capital, explanations
of proposed capital actions, options to maintain
internally established capital goals on a post-stress

17

basis, and an explanation of causes for changes in
regulatory capital ratios. This information should
support the Balance Sheet Schedule line items 40
to 52.

Example 2:
“ReportID_RSSD_SUMMARY_SUMMARY_
AND_GOVERNANCE_TO_CAPITAL_MMDDYY
” and
“ReportID_RSSD_SUMMARY_LOANS_MMDDY
Y” and
“ReportID_RSSD_SUMMARY_SECURITIES_MM
DDYY” and
“ReportID_RSSD_SUMMARY_PREPROVISION_NET_REVENUE_AND_BALANCE
SHEET_MMDDYY” etc.)

4. Loans
Summary of methodology, models, and validation
activities related to each loan portfolio reported in
total loans and leases, including the associated
ALLL. This information should support Balance
Sheet Schedule line items 1 to 16 and Income
Statement Schedule line items 1 to 14.

A. Description of the Types of Risks
Included in the Stress Test

5. Securities
Summary of methodology, models, and validation
activities related to projections of HTM and AFS
security balances, unrealized losses, and OTTI.
This information should support Balance Sheet
Schedule line items 17 to 26 and Income
Statement Schedule line items 20 to 22 and 25.

For each part of the Results Schedule and the
Scenario Variables Schedule, each institution
should submit supporting qualitative information
that clearly describes the types of risks and
exposures captured in the stress test scenarios for
all lines of business and activities. This includes
information about risks that may threaten or
adversely affect the institution’s capital position
through increased losses, reduced revenues, and
changes in the balance sheet or risk-weighted
assets. The information should discuss the extent
to which risks are wholly or only partially covered
by the stress tests (for example, if not all aspects
of interest-rate risk are captured by the tests with
the given scenarios provided).

6. Pre-provision Net Revenue
Summary of methodology, models, and validation
activities related to estimates of net interest
income, margins, fees, funding costs and related
items. This information should support Income
Statement Schedule line items 15 to 18.
7. Balance Sheet
Summary of methodology, models, and validation
activities related to balance sheet estimation, such
as loan balances. This information should support
Balance Sheet Schedule line items 1 to 39.

B. Summary Description of the
Methodologies used in the Stress Test

The
summary
qualitative
supporting
documentation should not include embedded files
and should be submitted in Adobe Acrobat PDF
format. The file size limit is 50 MB. If the file
needs to be split up into smaller files, the
combined file size limit is 200 MB. When
submitting multiple files in order to meet the file
size limit, the file name should indicate the content
of files submitted using the seven qualitative
supporting information summary categories
discussed above.

For each part of the Results Schedule and the
Scenario Variables Schedule, the institution
should submit supporting information that clearly
describes the methodology used to produce the
projections. Each institution should include a
summary description of how it translated the
macroeconomic and financial variables from the
supervisory scenarios into its projections and
technical details of any underlying statistical
methods used. Information should be provided for
all elements of the stress tests, including loss
estimation, revenue estimation, projections of the
balance sheet and risk-weighted assets, and capital
levels and ratios. Where judgment is an essential
part of the projection, each institution should
describe the rationale and magnitude, as well as

Example 1:
“ReportID_RSSD_SUMMARY_SUMMARY_
AND_GOVERNANCE_TO_CAPITAL_MMDDYY
”; and
“ReportID_RSSD_SUMMARY_LOANS_TO_BAL
ANCE SHEET_MMDDYY”;

18

Institutions should provide summary 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 institution chose
not to project components of the balance sheet,
those components should be held constant at the
last current level and the institution should
explain why the held constant assumption is
appropriate in the given scenario.

the process involved to ensure consistency of
projections
with
scenario
conditions.
Furthermore, the institution should include a
thorough discussion of any material deviations
from these instructions and how they decided
upon the materiality of such deviations.
Discussion of methodologies should be consistent
with expectations in existing supervisory guidance
on stress testing issued by the agencies.
In
particular, the institution should provide a
summary of the design, theory, and logic
underlying the methodologies used.

Each institution should submit any other
summary information
and
documentation
necessary to support or explain its capital
calculations. For example, an institution could
show the calculations related to the projections of
the deferred tax assets that may be disallowed for
regulatory capital purposes.

Each institution should include summary
information supporting any additional scenario
variables used to conduct the DFA stress tests.
The information should detail the rationale behind
including additional scenario variables and the
process for projecting additional variables,
including the linkage with the macroeconomic
and financial scenarios provided by the OCC.

While judgment is an essential part of risk
measurement and risk management, including loss
forecasting, institutions should not be overreliant on judgment to prepare their loss
estimations without providing documentation or
evidence of transparency and discipline around
the process. Each institution should provide
support for any judgment applied or qualitative
adjustments made and explain how they are
appropriate and in line with scenario conditions.

If third-party models are used, an institution
should provide summary information about those
models, including model design, key assumptions,
known limitations, and implementation and
execution.
Each institution should provide credible support
for all key assumptions used to derive loss and
revenue estimates, including assumptions related
to the components of loss, severity of loss, drivers
of revenue, and any known weaknesses in the
translation of assumptions into loss and revenue
estimates. Each institution should demonstrate
that these assumptions are clearly conditioned on
the stated macroeconomic and financial scenarios
and are consistent with stated business strategies
including but not limited to mergers, acquisitions,
or divestitures of business lines or entities and
changes in strategic direction. If the institution's
models rely upon historical relationships, describe
the historical data used 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 explained.

C. Explanation of the Most Significant
Causes for the Changes in Regulatory
Capital Ratios
For each part of the Results Schedule and the
Scenario Variables Schedule, each institution
should provide a clear explanation of the changes
in regulatory capital ratios from the stress test
scenarios over the planning horizon. For instance,
an institution may indicate that a major
component of the reduction in regulatory capital
ratios resulted from deterioration in the quality of
its retail credit exposures over the planning
horizon. The explanation should take into account
the risks identified and describe the changes in
capital by material income statement and balance
sheet statement line items affected by the stress
test scenario.

19

D. Use of Stress Test Results
Institutions should provide summary information
as to how they use these stress test results in the
normal course of business, including in the capital
planning, assessment of capital adequacy, and risk
management practices of the institution. This
summary should describe the manner in which the
stress test is used for key decisions about capital
adequacy, including capital actions and capital
contingency plans.
The institution should
indicate the extent to which this stress test is used
in conjunction with other capital assessment tools,
especially if the stress test may not necessarily
capture an institution’s full range of risks,
exposures, activities, and vulnerabilities that have
the potential to affect capital adequacy. In
addition, an institution should include summary
information as to how post-stress capital results
remain aligned with its internal capital goals. The
institution should mention any cases in which
post-stress capital results are not aligned with its
internal capital goals, and describe options that
senior management and the board would consider
to bring them into alignment.

20