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pdfFR Y-16
OMB Number 7100-0356
Approval expires Sept 30, 2016
Results Schedule Cover Sheet
Annual Company-Run Stress Test Report
For SMBs, BHCs, and SLHCs with Total Consolidated Assets Greater Than $10 Billion and Less Than $50 Billion
Report at the close of business March 31 of each calendar year.
This Report is required by law: Section 165(i)(2) of the Dodd Frank Wall Street Reform and Consumer Protection Act (12 U.S.C. § 5365(i)(2)).
This report form is to be filed by SMBs, BHCs, and SLHCs that meet a threshold of greater than $10 billion but less than $50 billion in total consolidated assets, as defined by 12 CFR part 252, subpart H. The Federal Reserve may not
conduct or sponsor, and an organization (or a person) is not required to respond to, a collection of information unless it displays a currently valid OMB control number.
Institutions are expected to complete income statement and balance sheet schedules for each required scenario - Baseline, Adverse, and Severely Adverse.
Please note that unlike Call Report and FR Y-9C reporting, all projected income statement figures should be reported on a quarterly basis (in the quarter), and not on a cumulative basis.
All FR Y-16 respondents should submit their completed report via the Federal Reserve System's Reporting Central Application (www.frbservices.org/centralbank/reportingcentral).
Name/title, phone number, fax number, and e-mail address of person to whom inquiries regarding this report may be directed:
Name / Title
Area Code / Phone Number
Fax Number
E-mail Address
Baseline
Adverse
Severely Adverse
Institution Name
FRB RSSD ID #####
FR Y-16 - Summary Schedule
(Dollar Amounts in Thousands)
Scenario Summaries
Y9C Rpt Item
031 Call Rpt Item
041 Call Rpt Item
BHCK4635 - BHCK4605
RIAD4635 - RIAD4605
RIAD4635 - RIAD4605
RIAD4074 + RIAD4079 RIAD4093
RIAD4340
RIAD4074 + RIAD4079 RIAD4093
RIAD4340
Actual
Projected
As of 9/30
As of 12/31
Year 1: 2014 -- Projected (in the quarter)
Q1
Q2
Q3
Year 2: 2015 -- Projected (in the quarter)
Q4
Q5
Q6
Q7
Q8
Baseline Scenario
1
Total loan and lease net charge-offs
2
Pre-Provision Net Revenue
3
Net Income
BHCK4074 + BHCK4079 BHCK4093
BHCK4340
4
Allowance for loan and lease losses
BHCK3123
RCFD3123
5
Total assets
BHCK2170
RCFD2170
RCFD2948
See Instructions
8
Total liabilities
Dividends, share repurchases, and sale,
conversion, acquisition, or retirement of capital
Total equity capital
BHCK2948
BHCKG105
(RIADB509 + RIADB510) (RIAD4470 + RIAD4460)
RCFDG105
(RIADB509 + RIADB510) (RIAD4470 + RIAD4460)
RCONG105
9
Tier 1 risk-based capital ratio
=(Tier 1 Capital / RWA) *
100
=(Tier 1 Capital / Total
Assets for Leverage
Purposes) * 100
=(Tier 1 Capital / RWA) *
100
=(Tier 1 Capital / Total
Assets for Leverage
Purposes) * 100
=(Tier 1 Capital / RWA) *
100
=(Tier 1 Capital / Total
Assets for Leverage
Purposes) * 100
=(Total Risk-based Capital /
RWA) * 100
=(Total Risk-based Capital / =(Total Risk-based Capital /
RWA) * 100
RWA) * 100
BHCK4635 - BHCK4605
RIAD4635 - RIAD4605
RIAD4635 - RIAD4605
RIAD4074 + RIAD4079 RIAD4093
RIAD4340
RIAD4074 + RIAD4079 RIAD4093
RIAD4340
6
7
10
11
Tier 1 leverage ratio
Total risk-based capital ratio
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
RCON3123
0
0
0
0
0
0
0
0
0
0
RCON2170
0
0
0
0
0
0
0
0
0
0
RCON2948
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
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/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
Adverse Scenario
12
Total loan and lease net charge-offs
13
Pre-Provision Net Revenue
14
Net Income
BHCK4074 + BHCK4079 BHCK4093
BHCK4340
15
Allowance for loan and lease losses
BHCK3123
RCFD3123
RCON3123
0
0
0
0
0
0
0
0
0
0
16
Total assets
BHCK2170
RCFD2170
RCON2170
0
0
0
0
0
0
0
0
0
0
RCFD2948
RCON2948
0
0
0
0
0
0
0
0
0
0
See Instructions
(RIADB509 + RIADB510) (RIAD4470 + RIAD4460)
RCFDG105
(RIADB509 + RIADB510) (RIAD4470 + RIAD4460)
RCONG105
0
0
0
0
0
0
0
0
0
0
19
Total liabilities
Dividends, share repurchases, and sale,
conversion, acquisition, or retirement of capital
Total equity capital
BHCK2948
0
0
0
0
0
0
0
0
0
0
20
Tier 1 risk-based capital ratio
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
Tier 1 leverage ratio
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
=(Total Risk-based Capital /
RWA) * 100
=(Tier 1 Capital / RWA) *
100
=(Tier 1 Capital / Total
Assets for Leverage
Purposes) * 100
=(Total Risk-based Capital /
RWA) * 100
#DIV/0!
21
=(Tier 1 Capital / RWA) *
100
=(Tier 1 Capital / Total
Assets for Leverage
Purposes) * 100
=(Total Risk-based Capital /
RWA) * 100
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
BHCK4635 - BHCK4605
RIAD4635 - RIAD4605
RIAD4635 - RIAD4605
0
0
0
0
0
0
0
0
0
0
RIAD4074 + RIAD4079 RIAD4093
RIAD4340
RIAD4074 + RIAD4079 RIAD4093
RIAD4340
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
17
18
22
Total risk-based capital ratio
BHCKG105
=(Tier 1 Capital / RWA) *
100
=(Tier 1 Capital / Total
Assets for Leverage
Purposes) * 100
Severely Adverse Scenario
23
Total loan and lease net charge-offs
24
Pre-Provision Net Revenue
25
Net Income
BHCK4074 + BHCK4079 BHCK4093
BHCK4340
26
Allowance for loan and lease losses
BHCK3123
RCFD3123
RCON3123
0
0
0
0
0
0
0
0
0
0
27
Total assets
BHCK2170
RCFD2170
RCON2170
0
0
0
0
0
0
0
0
0
0
28
Total liabilities
BHCK2948
RCFD2948
RCON2948
0
0
0
0
0
0
0
0
0
0
29
See Instructions
(RIADB509 + RIADB510) (RIAD4470 + RIAD4460)
RCFDG105
(RIADB509 + RIADB510) (RIAD4470 + RIAD4460)
RCONG105
0
0
0
0
0
0
0
0
0
0
30
Dividends, share repurchases, and sale,
conversion, acquisition, or retirement of capital
Total equity capital
0
0
0
0
0
0
0
0
0
0
31
Tier 1 risk-based capital ratio
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
Tier 1 leverage ratio
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
33
Total risk-based capital ratio
=(Tier 1 Capital / RWA) *
100
=(Tier 1 Capital / Total
Assets for Leverage
Purposes) * 100
=(Total Risk-based Capital /
RWA) * 100
#DIV/0!
32
=(Tier 1 Capital / RWA) *
100
=(Tier 1 Capital / Total
Assets for Leverage
Purposes) * 100
=(Total Risk-based Capital /
RWA) * 100
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
BHCKG105
=(Tier 1 Capital / RWA) *
100
=(Tier 1 Capital / Total
Assets for Leverage
Purposes) * 100
=(Total Risk-based Capital /
RWA) * 100
*Note: All values on this sheet will flow directly from the other schedules.
FR Y-16 - Baseline Scenario
Income Statement for Institution Name
FRB RSSD ID #####
(Dollar Amounts in Thousands)
Income Statement Impacts
Y9C Rpt Item
031 Call Rpt Item
041 Call Rpt Item
Actual
Projected
As of 9/30
As of 12/31
Year 1: 2014 -- Projected (in the quarter)
Q1
Q2
Q3
Year 2: 2015 -- Projected (in the quarter)
Q4
Q5
Q6
Q7
Q8
Net Charge-Offs
1
First lien mortgages
BHCKC234 - BHCKC217
RIADC234 - RIADC217
RIADC234 - RIADC217
2
Closed-end junior liens
BHCKC235 - BHCKC218
RIADC235 - RIADC218
RIADC235 - RIADC218
3
HELOCs
BHCK5411 - BHCK5412
RIAD5411 - RIAD5412
RIAD5411 - RIAD5412
4
C&I Loans
1-4 family construction loans
(RIAD4645 + RIAD4646) (RIAD4617 + RIAD4618)
RIADC891 - RIADC892
RIAD4638 - RIAD4608
5
(BHCK4645 + BHCK4646) (BHCK4617 + BHCK4618)
BHCKC891 - BHCKC892
6
Other construction loans
BHCKC893 - BHCKC894
RIADC893 - RIADC894
RIADC893 - RIADC894
7
Multifamily loans
BHCK3588 - BHCK3589
RIAD3588 - RIAD3589
RIAD3588 - RIAD3589
8
Non-farm, non-residential owner occupied loans
BHCKC895 - BHCKC896
RIADC895 - RIADC896
RIADC895 - RIADC896
9
Non-farm, non-residential other loans
BHCKC897 - BHCKC898
RIADC897 - RIADC898
RIADC897 - RIADC898
10
Credit cards
BHCKB514 - BHCKB515
RIADB514 - RIADB515
RIADB514 - RIADB515
11
Automobile loans
BHCKK129 - BHCKK133
RIADK129 - RIADK133
RIADK129 - RIADK133
12
Other consumer loans
BHCKK205 - BHCKK206
RIADK205 - RIADK206
RIADK205 - RIADK206
13
All other loans and leases
See instructions
See instructions
See instructions
BHCK4635 - BHCK4605
RIAD4635 - RIAD4605
RIAD4635 - RIAD4605
15
Net interest income
BHCK4074
RIAD4074
RIAD4074
16
Non-interest income
BHCK4079
RIAD4079
RIAD4079
17
Non-interest expense
BHCK4093
RIAD4093
RIAD4093
14
18
Total loan and lease net charge offs (sum of items 1 to 13)
RIADC891 - RIADC892
Pre-Provision Net Revenue ( = item 15 + item 16 - item 17)
19
Provision for loan and lease losses
BHCK4230
RIAD4230
RIAD4230
20
Realized gains (losses) on HTM securities
BHCK3521
RIAD3521
RIAD3521
21
Realized gains (losses) on AFS securities
BHCK3196
RIAD3196
RIAD3196
22
All other gains (losses)
See instructions
See instructions
See instructions
23
Taxes
BHCK4302
RIAD4302
RIAD4302
BHCK4340
RIAD4340
RIAD4340
BHCKJ319
RIADJ319
RIADJ319
24
25
Net Income (item 18 - item 19 + item 20 + item 21 + item 22 - item 23)
Memoranda
Total other-than-temporary impairment (OTTI) losses
Itemize and describe amounts greater than 15% of non-interest income (item 16)
26
27
28
29
30
31
Itemize and describe amounts greater than 15% of non-interest expense (item 17)
32
33
34
35
36
37
Itemize and describe amounts greater than 15% of all other gains (losses) (item 22)
38
39
40
41
42
43
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
FR Y-16 - Baseline Scenario
Balance Sheet Statement for Institution Name
FRB RSSD ID #####
(Dollar Amounts in Thousands)
Balance Sheet Statement Impacts
Loans (excluding FDIC Loss Sharing Agreements)
Y9C Rpt Item
031 Call Rpt Item
041 Call Rpt Item
1 First lien mortgages
2 Closed-end junior liens
BHDM5367 - BHDMK173
RCON5367 - RCONK173
RCON5367 - RCONK173
BHDM5368 - BHDMK174
RCON5368 - RCONK174
RCON5368 - RCONK174
3 HELOCs
BHDM1797 - BHDMK172
RCON1797 - RCONK172
RCON1797 - RCONK172
4 C&I Loans
BHCK1763 + BHCK1764 BHCKK179
BHCKF158 - BHDMK169
RCFD1763 + RCFD1764 RCFDK179
RCONF158 - RCONK169
RCON1766 - RCONK179
6 Other construction loans
BHCKF159 - BHDMK170
RCONF159 - RCONK170
RCONF159 - RCONK170
7 Multifamily loans
8 Non-farm, non-residential owner occupied loans
BHDM1460 - BHDMK175
5 1-4 family construction loans
RCON1460 - RCONK175
RCON1460 - RCONK175
BHCKF160 - BHDMK176
RCONF160 - RCONK176
RCONF160 - RCONK176
BHCKF161 - BHDMK177
RCONF161 - RCONK177
RCONF161 - RCONK177
BHCKB538 - BHCKK180
11 Automobile loans
BHCKK137 - BHCKK181
RCFDB538 - RCFDK180
RCFDK137 - RCFDK181
RCONB538 - RCONK180
RCONK137 - RCONK181
12 Other consumer loans
13 All other loans and leases
BHCKB539 + BHCKK207 BHCKK182
See instructions
RCFDB539 + RCFDK207 RCFDK182
See instructions
RCONB539 + RCONK207 RCONK182
See instructions
14 Loans covered by FDIC loss sharing agreements
Sum of BHDMK169 to
BHCKK183
15
BHCK2122
Sum of RCONK169 to
RCONK177 and sum of
RCFDK178 to RCFDK183
RCFD2122
Sum of RCONK169 to
RCONK183, excluding
RCONK178
RCON2122
BHCK3123
RCFD3123
RCON3123
BHCK0211 + BHCK1289 +
BHCK1294 + BHCKG300 +
BHCKG304 + BHCKG312 +
BHCKG316 + BHCKK142 +
BHCKK150
RCFD0211 + RCFD1289 +
RCFD1294 + RCFDG300 +
RCFDG304 + RCFDG312 +
RCFDG316 + RCFDK142 +
RCFDK150
RCON0211 + RCON1289 +
RCON1294 + RCONG300 +
RCONG304 + RCONG312 +
RCONG316 + RCONK142 +
RCONK150
BHCK8496
RCFD8496
RCON8496
BHCKG308 + BHCKG320 +
BHCKK146 + BHCKK154 +
BHCKC026
BHCKG336 + BHCKG340 +
BHCKG344 + BHCK1737 +
BHCK1742
BHCK1754
RCFDG308 + RCFDG320 +
RCFDK146 + RCFDK154 +
RCFDC026
RCFDG336 + RCFDG340 +
RCFDG344 + RCFD1737 +
RCFD1742
RCFD1754
RCONG308 + RCONG320 +
RCONK146 + RCONK154 +
RCONC026
RCONG336 + RCONG340 +
RCONG344 + RCON1737 +
RCON1742
RCON1754
22 U.S. government obligations and obligations of GSEs
BHCK1287 + BHCK1293 +
BHCK1298 + BHCKG303 +
BHCKG307 + BHCKG315 +
BHCKG319 + BHCKK145 +
BHCKK153
RCFD1287 + RCFD1293 +
RCFD1298 + RCFDG303 +
RCFDG307 + RCFDG315 +
RCFDG319 + RCFDK145 +
RCFDK153
RCON1287 + RCON1293 +
RCON1298 + RCONG303 +
RCONG307 + RCONG315 +
RCONG319 + RCONK145 +
RCONK153
23 Securities issued by states and political subdivisions of U.S.
BHCK8499
RCFD8499
RCON8499
24 Non-agency MBS and ABS securities
BHCKG311 + BHCKG323 + RCFDG311 + RCFDG323 + RCONG311 + RCONG323 +
BHCKK149 + BHCKK157 + RCFDK149 + RCFDK157 + RCONK149 + RCONK157 +
BHCKC027
RCONC027
RCFDC027
25 All other AFS securities
BHCKG339 + BHCKG343 + RCFDG339 + RCFDG343 + RCONG339 + RCONG343 +
BHCKG347 + BHCK1741 + RCFDG347 + RCFD1741 + RCONG347 + RCON1741 +
BHCK1746 + BHCKA511
RCFD1746 + RCFDA511
RCON1746 + RCONA511
Total loans and leases (sum of items 1 to 14)
17 U.S. government obligations and obligations of GSEs
18 Securities issued by states and political subdivisions of U.S.
19 Non-agency MBS and ABS securities
20 All other HTM securities
21 Total securities (HTM) (sum of items 17-20)
26 Total securities (AFS) (sum of items 22-25)
27 Trading assets
BHCK1773
RCFD1773
RCON1773
BHCK3545
RCFD3545
RCON3545
28 Total intangible assets
29 Other real estate owned
BHCK3163 + BHCK0426
RCFD3163 + RCFD0426
RCON3163 + RCON0426
BHCK2150
RCFD2150
RCON2150
30 All other assets
Total assets (sum of items 15, 21, 26, 27-30, less item 16)
31
See instructions
See instructions
See instructions
BHCK2170
RCFD2170
RCON2170
32 Retail funding
See instructions
RCON2200 - RCONJ474 RCONJ472 - RCON2343
RCONB993 + RCFDB995 +
RCFD3190 + RCON2343 +
RCONJ472 + RCONJ474 +
RCFN2200
RCON2200 - RCONJ474 RCONJ472 - RCON2343
RCONB993 + RCONB995 +
RCON3190 + RCON2343 +
RCONJ472 + RCONJ474
RCFD3548
RCON3548
See instructions
33 Wholesale funding
34 Trading liabilities
BHCK3548
Projected
As of 12/31
Year 1: 2014 -- Projected (in the quarter)
Q1
Q2
Q3
Year 2: 2015 -- Projected (in the quarter)
Q4
Q5
Q6
Q7
Q8
RCONF158 - RCONK169
9 Non-farm, non-residential other loans
10 Credit cards
16 Allowance for loan and lease losses
Securities
Actual
As of 9/30
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
FR Y-16 - Baseline Scenario
Balance Sheet Statement for Institution Name
FRB RSSD ID #####
(Dollar Amounts in Thousands)
Y9C Rpt Item
031 Call Rpt Item
041 Call Rpt Item
Balance Sheet Statement Impacts
35 All other liabilities
See instructions
See instructions
See instructions
36
Total liabilities (sum of items 32 to 35)
BHCK2948
RCFD2948
RCON2948
37 Perpetual preferred stock and related surplus
BHCK3283
RCFD3838
RCON3838
38 Equity capital
BHCK3230 + BHCK3240 +
BHCK3247 + BHCKB530 +
BHCKA130 + BHCK3000
RCFD3230 + RCFD3839 + RCON3230 + RCON3839 +
RCFD3632 + RCFDB530 + RCON3632 + RCONB530 +
RCONA130 + RCON3000
RCFDA130 + RCFD3000
BHCKG105
RCFDG105
39
Total equity capital (sum of items 37 to 38)
Capital
40 Unrealized gains(losses) on AFS securities
41 Disallowed deferred tax asset
Y9C Rpt Item
031 Call Rpt Item
041 Call Rpt Item
BHCK8434
RCFD8434
RCON8434
BHCK5610
RCFD5610
RCON5610
BHCK8274
RCFD8274
RCON8274
BHCKG217
RCFD5306
RCON5306
44 Allowance includible in Tier 2 capital
45 Tier 2 capital
BHCK5310
RCFD5310
RCON5310
BHCK5311
RCFD5311
RCON5311
46 Total risk-based capital
47 Total capital
BHCK3792
RCFD3792
RCON3792
BHCK3210
RCFD3210
RCON3210
48 Risk-weighted assets
49 Total assets for leverage purposes
BHCKA223
RCFDA223
RCONA223
BHCKA224
RCFDL138
RCONL138
50 Tier 1 risk-based capital ratio
=(Tier 1 Capital / RWA) *
100
=(Tier 1 Capital / Total
Assets for Leverage
Purposes) * 100
=(Total Risk-based Capital /
RWA) * 100
=(Tier 1 Capital / RWA) *
100
=(Tier 1 Capital / Total
Assets for Leverage
Purposes) * 100
=(Total Risk-based Capital /
RWA) * 100
=(Tier 1 Capital / RWA) * 100
Memoranda
53 Sale, conversion, acquisition, or retirement of capital stock
54 Cash dividends declared on preferred stock
See instructions
RIADB509+RIADB510
RIADB509+RIADB510
BHCK4598
55 Cash dividends declared on common stock
BHCK4460
RIAD4470
RIAD4460
RIAD4470
RIAD4460
52 Total risk-based capital ratio
Projected
As of 12/31
RCONG105
42 Tier 1 capital
43 Qualifying subordinated debt and redeemable preferred stock
51 Tier 1 leverage ratio
Actual
As of 9/30
=(Tier 1 Capital / Total
Assets for Leverage
Purposes) * 100
=(Total Risk-based Capital /
RWA) * 100
Year 1: 2014 -- Projected (in the quarter)
Q1
Q2
Q3
Year 2: 2015 -- Projected (in the quarter)
Q4
Q5
Q6
Q7
Q8
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Actual
Projected
As of 9/30
As of 12/31
Year 1: 2014 -- Projected (in the quarter)
Q1
Q2
Q3
Year 2: 2015 -- Projected (in the quarter)
Q4
Q5
Q6
Q7
Q8
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
FR Y-16 - Adverse Scenario
Income Statement for Institution Name
FRB RSSD ID #####
(Dollar Amounts in Thousands)
Income Statement Impacts
Y9C Rpt Item
031 Call Rpt Item
041 Call Rpt Item
Year 1: 2014 -- Projected (in the quarter)
Actual
Projected
As of 9/30
As of 12/31
Q1
Q2
Q3
Year 2: 2015 -- Projected (in the quarter)
Q4
Q5
Q6
Q7
Q8
Net Charge-Offs
1
First lien mortgages
BHCKC234 - BHCKC217
RIADC234 - RIADC217
RIADC234 - RIADC217
2
Closed-end junior liens
BHCKC235 - BHCKC218
RIADC235 - RIADC218
RIADC235 - RIADC218
3
HELOCs
BHCK5411 - BHCK5412
RIAD5411 - RIAD5412
RIAD5411 - RIAD5412
4
C&I Loans
1-4 family construction loans
(RIAD4645 + RIAD4646) (RIAD4617 + RIAD4618)
RIADC891 - RIADC892
RIAD4638 - RIAD4608
5
(BHCK4645 + BHCK4646) (BHCK4617 + BHCK4618)
BHCKC891 - BHCKC892
6
Other construction loans
BHCKC893 - BHCKC894
RIADC893 - RIADC894
RIADC893 - RIADC894
7
Multifamily loans
BHCK3588 - BHCK3589
RIAD3588 - RIAD3589
RIAD3588 - RIAD3589
8
Non-farm, non-residential owner occupied loans
BHCKC895 - BHCKC896
RIADC895 - RIADC896
RIADC895 - RIADC896
9
Non-farm, non-residential other loans
BHCKC897 - BHCKC898
RIADC897 - RIADC898
RIADC897 - RIADC898
10
Credit cards
BHCKB514 - BHCKB515
RIADB514 - RIADB515
RIADB514 - RIADB515
11
Automobile loans
BHCKK129 - BHCKK133
RIADK129 - RIADK133
RIADK129 - RIADK133
12
Other consumer loans
BHCKK205 - BHCKK206
RIADK205 - RIADK206
RIADK205 - RIADK206
13
All other loans and leases
See instructions
See instructions
See instructions
BHCK4635 - BHCK4605
RIAD4635 - RIAD4605
RIAD4635 - RIAD4605
14
Total loan and lease net charge offs (sum of items 1 to 13)
RIADC891 - RIADC892
15
Net interest income
BHCK4074
RIAD4074
RIAD4074
16
Non-interest income
BHCK4079
RIAD4079
RIAD4079
17
Non-interest expense
BHCK4093
RIAD4093
RIAD4093
18
Pre-Provision Net Revenue ( = item 15 + item 16 - item 17)
19
Provision for loan and lease losses
BHCK4230
RIAD4230
RIAD4230
20
Realized gains (losses) on HTM securities
BHCK3521
RIAD3521
RIAD3521
21
Realized gains (losses) on AFS securities
BHCK3196
RIAD3196
RIAD3196
22
All other gains (losses)
See instructions
See instructions
See instructions
23
Taxes
BHCK4302
RIAD4302
RIAD4302
BHCK4340
RIAD4340
RIAD4340
BHCKJ319
RIADJ319
RIADJ319
24
25
Net Income (item 18 - item 19 + item 20 + item 21 + item 22 - item 23)
Memoranda
Total other-than-temporary impairment (OTTI) losses
Itemize and describe amounts greater than 15% of non-interest income (item 16)
26
27
28
29
30
31
Itemize and describe amounts greater than 15% of non-interest expense (item 17)
32
33
34
35
36
37
Itemize and describe amounts greater than 15% of all other gains (losses) (item 22)
38
39
40
41
42
43
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
FR Y-16 - Adverse Scenario
Balance Sheet Statement for Institution Name
FRB RSSD ID #####
(Dollar Amounts in Thousands)
Balance Sheet Statement Impacts
Loans (excluding FDIC Loss Sharing Agreements)
Y9C Rpt Item
031 Call Rpt Item
041 Call Rpt Item
1 First lien mortgages
2 Closed-end junior liens
BHDM5367 - BHDMK173
RCON5367 - RCONK173
RCON5367 - RCONK173
BHDM5368 - BHDMK174
RCON5368 - RCONK174
RCON5368 - RCONK174
3 HELOCs
BHDM1797 - BHDMK172
RCON1797 - RCONK172
RCON1797 - RCONK172
4 C&I Loans
BHCK1763 + BHCK1764 BHCKK179
BHCKF158 - BHDMK169
RCFD1763 + RCFD1764 RCFDK179
RCONF158 - RCONK169
RCON1766 - RCONK179
6 Other construction loans
BHCKF159 - BHDMK170
RCONF159 - RCONK170
RCONF159 - RCONK170
7 Multifamily loans
8 Non-farm, non-residential owner occupied loans
BHDM1460 - BHDMK175
RCON1460 - RCONK175
RCON1460 - RCONK175
BHCKF160 - BHDMK176
RCONF160 - RCONK176
RCONF160 - RCONK176
9 Non-farm, non-residential other loans
10 Credit cards
BHCKF161 - BHDMK177
RCONF161 - RCONK177
RCONF161 - RCONK177
BHCKB538 - BHCKK180
11 Automobile loans
BHCKK137 - BHCKK181
RCFDB538 - RCFDK180
RCFDK137 - RCFDK181
RCONB538 - RCONK180
RCONK137 - RCONK181
12 Other consumer loans
13 All other loans and leases
BHCKB539 + BHCKK207 BHCKK182
See instructions
RCFDB539 + RCFDK207 - RCONB539 + RCONK207 RCFDK182
RCONK182
See instructions
See instructions
14 Loans covered by FDIC loss sharing agreements
Sum of BHDMK169 to
BHCKK183
Sum of RCONK169 to
RCONK177 and sum of
RCFDK178 to RCFDK183
Sum of RCONK169 to
RCONK183, excluding
RCONK178
15
BHCK2122
RCFD2122
RCON2122
BHCK3123
RCFD3123
RCON3123
BHCK0211 + BHCK1289 +
BHCK1294 + BHCKG300 +
BHCKG304 + BHCKG312 +
BHCKG316 + BHCKK142 +
BHCKK150
RCFD0211 + RCFD1289 +
RCFD1294 + RCFDG300 +
RCFDG304 + RCFDG312 +
RCFDG316 + RCFDK142 +
RCFDK150
RCON0211 + RCON1289 +
RCON1294 + RCONG300 +
RCONG304 + RCONG312 +
RCONG316 + RCONK142 +
RCONK150
18 Securities issued by states and political subdivisions of U.S.
BHCK8496
RCFD8496
RCON8496
19 Non-agency MBS and ABS securities
BHCKG308 + BHCKG320 + RCFDG308 + RCFDG320 + RCONG308 + RCONG320 +
BHCKK146 + BHCKK154 + RCFDK146 + RCFDK154 + RCONK146 + RCONK154 +
RCFDC026
RCONC026
BHCKC026
20 All other HTM securities
BHCKG336 + BHCKG340 + RCFDG336 + RCFDG340 + RCONG336 + RCONG340 +
BHCKG344 + BHCK1737 + RCFDG344 + RCFD1737 + RCONG344 + RCON1737 +
RCFD1742
RCON1742
BHCK1742
21 Total securities (HTM) (sum of items 17-20)
BHCK1754
RCFD1754
RCON1754
22 U.S. government obligations and obligations of GSEs
BHCK1287 + BHCK1293 +
BHCK1298 + BHCKG303 +
BHCKG307 + BHCKG315 +
BHCKG319 + BHCKK145 +
BHCKK153
RCFD1287 + RCFD1293 +
RCFD1298 + RCFDG303 +
RCFDG307 + RCFDG315 +
RCFDG319 + RCFDK145 +
RCFDK153
RCON1287 + RCON1293 +
RCON1298 + RCONG303 +
RCONG307 + RCONG315 +
RCONG319 + RCONK145 +
RCONK153
23 Securities issued by states and political subdivisions of U.S.
BHCK8499
RCFD8499
RCON8499
24 Non-agency MBS and ABS securities
BHCKG311 + BHCKG323 + RCFDG311 + RCFDG323 + RCONG311 + RCONG323 +
BHCKK149 + BHCKK157 + RCFDK149 + RCFDK157 + RCONK149 + RCONK157 +
RCONC027
BHCKC027
RCFDC027
25 All other AFS securities
BHCKG339 + BHCKG343 + RCFDG339 + RCFDG343 + RCONG339 + RCONG343 +
BHCKG347 + BHCK1741 + RCFDG347 + RCFD1741 + RCONG347 + RCON1741 +
RCFD1746 + RCFDA511
BHCK1746 + BHCKA511
RCON1746 + RCONA511
5 1-4 family construction loans
Total loans and leases (sum of items 1 to 14)
16 Allowance for loan and lease losses
Securities
17 U.S. government obligations and obligations of GSEs
BHCK1773
RCFD1773
RCON1773
BHCK3545
RCFD3545
RCON3545
28 Total intangible assets
29 Other real estate owned
BHCK3163 + BHCK0426
RCFD3163 + RCFD0426
RCON3163 + RCON0426
BHCK2150
RCFD2150
RCON2150
30 All other assets
Total assets (sum of items 15, 21, 26, 27-30, less item 16)
31
See instructions
See instructions
See instructions
BHCK2170
RCFD2170
RCON2170
32 Retail funding
See instructions
RCON2200 - RCONJ474 RCONJ472 - RCON2343
RCONB993 + RCFDB995 +
RCFD3190 + RCON2343 +
RCONJ472 + RCONJ474 +
RCFN2200
RCON2200 - RCONJ474 RCONJ472 - RCON2343
RCONB993 + RCONB995 +
RCON3190 + RCON2343 +
RCONJ472 + RCONJ474
33 Wholesale funding
Projected
As of 12/31
Q1
Q2
Q3
Year 2: 2015 -- Projected (in the quarter)
Q4
Q5
Q6
Q7
Q8
RCONF158 - RCONK169
26 Total securities (AFS) (sum of items 22-25)
27 Trading assets
See instructions
Year 1: 2014 -- Projected (in the quarter)
Actual
As of 9/30
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
FR Y-16 - Adverse Scenario
Balance Sheet Statement for Institution Name
FRB RSSD ID #####
(Dollar Amounts in Thousands)
Balance Sheet Statement Impacts
34 Trading liabilities
35 All other liabilities
Y9C Rpt Item
BHCK3548
031 Call Rpt Item
RCFD3548
041 Call Rpt Item
RCON3548
See instructions
See instructions
See instructions
36
Total liabilities (sum of items 32 to 35)
BHCK2948
RCFD2948
RCON2948
37 Perpetual preferred stock and related surplus
BHCK3283
RCFD3838
RCON3838
38 Equity capital
BHCK3230 + BHCK3240 +
BHCK3247 + BHCKB530 +
BHCKA130 + BHCK3000
RCFD3230 + RCFD3839 + RCON3230 + RCON3839 +
RCFD3632 + RCFDB530 + RCON3632 + RCONB530 +
RCFDA130 + RCFD3000
RCONA130 + RCON3000
39
BHCKG105
RCFDG105
RCONG105
Capital
40 Unrealized gains(losses) on AFS securities
Disallowed
deferred
tax
asset
41
Y9C Rpt Item
BHCK8434
031 Call Rpt Item
RCFD8434
041 Call Rpt Item
RCON8434
BHCK5610
RCFD5610
RCON5610
42 Tier 1 capital
43 Qualifying subordinated debt and redeemable preferred stock
BHCK8274
RCFD8274
RCON8274
BHCKG217
RCFD5306
RCON5306
44 Allowance includible in Tier 2 capital
45 Tier 2 capital
BHCK5310
RCFD5310
RCON5310
BHCK5311
RCFD5311
RCON5311
46 Total risk-based capital
47 Total capital
BHCK3792
RCFD3792
RCON3792
BHCK3210
RCFD3210
RCON3210
48 Risk-weighted assets
49 Total assets for leverage purposes
BHCKA223
RCFDA223
RCONA223
BHCKA224
RCFDL138
RCONL138
50 Tier 1 risk-based capital ratio
=(Tier 1 Capital / RWA) *
100
=(Tier 1 Capital / Total
Assets for Leverage
Purposes) * 100
=(Total Risk-based Capital /
RWA) * 100
=(Tier 1 Capital / RWA) *
100
=(Tier 1 Capital / Total
Assets for Leverage
Purposes) * 100
=(Total Risk-based Capital
/ RWA) * 100
=(Tier 1 Capital / RWA) *
100
=(Tier 1 Capital / Total
Assets for Leverage
Purposes) * 100
=(Total Risk-based Capital /
RWA) * 100
Memoranda
53 Sale, conversion, acquisition, or retirement of capital stock
54 Cash dividends declared on preferred stock
see instructions
RIADB509+RIADB510
RIADB509+RIADB510
BHCK4598
55 Cash dividends declared on common stock
BHCK4460
RIAD4470
RIAD4460
RIAD4470
RIAD4460
Total equity capital (sum of items 37 to 38)
51 Tier 1 leverage ratio
52 Total risk-based capital ratio
Year 1: 2014 -- Projected (in the quarter)
Actual
Projected
As of 9/30
As of 12/31
Q1
Q2
Q3
Year 2: 2015 -- Projected (in the quarter)
Q4
Q5
Q6
Q7
Q8
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Actual
Projected
As of 9/30
As of 12/31
Year 1: 2014 -- Projected (in the quarter)
Q1
Q2
Q3
Q4
Year 2: 2015 -- Projected (in the quarter)
Q5
Q6
Q7
Q8
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
FR Y-16 - Severely Adverse Scenario
Income Statement for Institution Name
FRB RSSD ID #####
(Dollar Amounts in Thousands)
Income Statement Impacts
Y9C Rpt Item
031 Call Rpt Item
041 Call Rpt Item
Actual
Projected
As of 9/30
As of 12/31
Year 1: 2014 -- Projected (in the quarter)
Q1
Q2
Q3
Year 2: 2015 -- Projected (in the quarter)
Q4
Q5
Q6
Q7
Q8
Net Charge-Offs
1
First lien mortgages
BHCKC234 - BHCKC217
RIADC234 - RIADC217
RIADC234 - RIADC217
2
Closed-end junior liens
BHCKC235 - BHCKC218
RIADC235 - RIADC218
RIADC235 - RIADC218
3
HELOCs
BHCK5411 - BHCK5412
RIAD5411 - RIAD5412
RIAD5411 - RIAD5412
4
C&I Loans
1-4 family construction loans
(RIAD4645 + RIAD4646) (RIAD4617 + RIAD4618)
RIADC891 - RIADC892
RIAD4638 - RIAD4608
5
(BHCK4645 + BHCK4646) (BHCK4617 + BHCK4618)
BHCKC891 - BHCKC892
6
Other construction loans
BHCKC893 - BHCKC894
RIADC893 - RIADC894
RIADC893 - RIADC894
7
Multifamily loans
BHCK3588 - BHCK3589
RIAD3588 - RIAD3589
RIAD3588 - RIAD3589
8
Non-farm, non-residential owner occupied loans
BHCKC895 - BHCKC896
RIADC895 - RIADC896
RIADC895 - RIADC896
9
Non-farm, non-residential other loans
BHCKC897 - BHCKC898
RIADC897 - RIADC898
RIADC897 - RIADC898
10
Credit cards
BHCKB514 - BHCKB515
RIADB514 - RIADB515
RIADB514 - RIADB515
11
Automobile loans
BHCKK129 - BHCKK133
RIADK129 - RIADK133
RIADK129 - RIADK133
12
Other consumer loans
BHCKK205 - BHCKK206
RIADK205 - RIADK206
RIADK205 - RIADK206
13
All other loans and leases
See instructions
See instructions
See instructions
BHCK4635 - BHCK4605
RIAD4635 - RIAD4605
RIAD4635 - RIAD4605
15
Net interest income
BHCK4074
RIAD4074
RIAD4074
16
Non-interest income
BHCK4079
RIAD4079
RIAD4079
17
Non-interest expense
BHCK4093
RIAD4093
RIAD4093
14
18
Total loan and lease net charge offs (sum of items 1 to 13)
RIADC891 - RIADC892
Pre-Provision Net Revenue ( = item 15 + item 16 - item 17)
19
Provision for loan and lease losses
BHCK4230
RIAD4230
RIAD4230
20
Realized gains (losses) on HTM securities
BHCK3521
RIAD3521
RIAD3521
21
Realized gains (losses) on AFS securities
BHCK3196
RIAD3196
RIAD3196
22
All other gains (losses)
See instructions
See instructions
See instructions
23
Taxes
BHCK4302
RIAD4302
RIAD4302
BHCK4340
RIAD4340
RIAD4340
BHCKJ319
RIADJ319
RIADJ319
24
25
Net Income (item 18 - item 19 + item 20 + item 21 + item 22 - item 23)
Memoranda
Total other-than-temporary impairment (OTTI) losses
Itemize and describe amounts greater than 15% of non-interest income (item 16)
26
27
28
29
30
31
Itemize and describe amounts greater than 15% of non-interest expense (item 17)
32
33
34
35
36
37
Itemize and describe amounts greater than 15% of all other gains (losses) (item 22)
38
39
40
41
42
43
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
FR Y-16 - Severely Adverse Scenario
Balance Sheet Statement for Institution Name
FRB RSSD ID #####
(Dollar Amounts in Thousands)
Balance Sheet Statement Impacts
Loans (excluding FDIC Loss Sharing Agreements)
Y9C Rpt Item
031 Call Rpt Item
041 Call Rpt Item
1 First lien mortgages
2 Closed-end junior liens
BHDM5367 - BHDMK173
RCON5367 - RCONK173
RCON5367 - RCONK173
BHDM5368 - BHDMK174
RCON5368 - RCONK174
RCON5368 - RCONK174
3 HELOCs
BHDM1797 - BHDMK172
RCON1797 - RCONK172
RCON1797 - RCONK172
4 C&I Loans
BHCK1763 + BHCK1764 BHCKK179
BHCKF158 - BHDMK169
RCFD1763 + RCFD1764 RCFDK179
RCONF158 - RCONK169
RCON1766 - RCONK179
6 Other construction loans
BHCKF159 - BHDMK170
RCONF159 - RCONK170
RCONF159 - RCONK170
7 Multifamily loans
8 Non-farm, non-residential owner occupied loans
BHDM1460 - BHDMK175
RCON1460 - RCONK175
RCON1460 - RCONK175
BHCKF160 - BHDMK176
RCONF160 - RCONK176
RCONF160 - RCONK176
9 Non-farm, non-residential other loans
10 Credit cards
BHCKF161 - BHDMK177
RCONF161 - RCONK177
RCONF161 - RCONK177
BHCKB538 - BHCKK180
11 Automobile loans
BHCKK137 - BHCKK181
RCFDB538 - RCFDK180
RCFDK137 - RCFDK181
RCONB538 - RCONK180
RCONK137 - RCONK181
12 Other consumer loans
13 All other loans and leases
BHCKB539 + BHCKK207 BHCKK182
See instructions
RCFDB539 + RCFDK207 - RCONB539 + RCONK207 RCFDK182
RCONK182
See instructions
See instructions
14 Loans covered by FDIC loss sharing agreements
Sum of BHDMK169 to
BHCKK183
Sum of RCONK169 to
RCONK177 and sum of
RCFDK178 to RCFDK183
Sum of RCONK169 to
RCONK183, excluding
RCONK178
15
BHCK2122
RCFD2122
RCON2122
BHCK3123
RCFD3123
RCON3123
BHCK0211 + BHCK1289 +
BHCK1294 + BHCKG300 +
BHCKG304 + BHCKG312 +
BHCKG316 + BHCKK142 +
BHCKK150
RCFD0211 + RCFD1289 +
RCFD1294 + RCFDG300 +
RCFDG304 + RCFDG312 +
RCFDG316 + RCFDK142 +
RCFDK150
RCON0211 + RCON1289 +
RCON1294 + RCONG300 +
RCONG304 + RCONG312 +
RCONG316 + RCONK142 +
RCONK150
18 Securities issued by states and political subdivisions of U.S.
BHCK8496
RCFD8496
RCON8496
19 Non-agency MBS and ABS securities
BHCKG308 + BHCKG320 + RCFDG308 + RCFDG320 + RCONG308 + RCONG320 +
BHCKK146 + BHCKK154 + RCFDK146 + RCFDK154 + RCONK146 + RCONK154 +
RCFDC026
RCONC026
BHCKC026
20 All other HTM securities
BHCKG336 + BHCKG340 + RCFDG336 + RCFDG340 + RCONG336 + RCONG340 +
BHCKG344 + BHCK1737 + RCFDG344 + RCFD1737 + RCONG344 + RCON1737 +
RCFD1742
RCON1742
BHCK1742
21 Total securities (HTM) (sum of items 17-20)
BHCK1754
RCFD1754
RCON1754
22 U.S. government obligations and obligations of GSEs
BHCK1287 + BHCK1293 +
BHCK1298 + BHCKG303 +
BHCKG307 + BHCKG315 +
BHCKG319 + BHCKK145 +
BHCKK153
RCFD1287 + RCFD1293 +
RCFD1298 + RCFDG303 +
RCFDG307 + RCFDG315 +
RCFDG319 + RCFDK145 +
RCFDK153
RCON1287 + RCON1293 +
RCON1298 + RCONG303 +
RCONG307 + RCONG315 +
RCONG319 + RCONK145 +
RCONK153
23 Securities issued by states and political subdivisions of U.S.
BHCK8499
RCFD8499
RCON8499
24 Non-agency MBS and ABS securities
BHCKG311 + BHCKG323 + RCFDG311 + RCFDG323 + RCONG311 + RCONG323 +
BHCKK149 + BHCKK157 + RCFDK149 + RCFDK157 + RCONK149 + RCONK157 +
RCONC027
BHCKC027
RCFDC027
25 All other AFS securities
BHCKG339 + BHCKG343 + RCFDG339 + RCFDG343 + RCONG339 + RCONG343 +
BHCKG347 + BHCK1741 + RCFDG347 + RCFD1741 + RCONG347 + RCON1741 +
RCFD1746 + RCFDA511
BHCK1746 + BHCKA511
RCON1746 + RCONA511
5 1-4 family construction loans
Total loans and leases (sum of items 1 to 14)
16 Allowance for loan and lease losses
Securities
17 U.S. government obligations and obligations of GSEs
BHCK1773
RCFD1773
RCON1773
BHCK3545
RCFD3545
RCON3545
28 Total intangible assets
29 Other real estate owned
BHCK3163 + BHCK0426
RCFD3163 + RCFD0426
RCON3163 + RCON0426
BHCK2150
RCFD2150
RCON2150
30 All other assets
Total assets (sum of items 15, 21, 26, 27-30, less item 16)
31
See instructions
See instructions
See instructions
BHCK2170
RCFD2170
RCON2170
32 Retail funding
See instructions
RCON2200 - RCONJ474 RCONJ472 - RCON2343
RCONB993 + RCFDB995 +
RCFD3190 + RCON2343 +
RCONJ472 + RCONJ474 +
RCFN2200
RCON2200 - RCONJ474 RCONJ472 - RCON2343
RCONB993 + RCONB995 +
RCON3190 + RCON2343 +
RCONJ472 + RCONJ474
33 Wholesale funding
Projected
As of 12/31
Q1
Q2
Q3
Year 2: 2015 -- Projected (in the quarter)
Q4
Q5
Q6
Q7
Q8
RCONF158 - RCONK169
26 Total securities (AFS) (sum of items 22-25)
27 Trading assets
See instructions
Year 1: 2014 -- Projected (in the quarter)
Actual
As of 9/30
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
FR Y-16 - Severely Adverse Scenario
Balance Sheet Statement for Institution Name
FRB RSSD ID #####
(Dollar Amounts in Thousands)
Balance Sheet Statement Impacts
34 Trading liabilities
35 All other liabilities
Y9C Rpt Item
BHCK3548
031 Call Rpt Item
RCFD3548
041 Call Rpt Item
RCON3548
See instructions
See instructions
See instructions
36
Total liabilities (sum of items 32 to 35)
BHCK2948
RCFD2948
RCON2948
37 Perpetual preferred stock and related surplus
BHCK3283
RCFD3838
RCON3838
38 Equity capital
BHCK3230 + BHCK3240 +
BHCK3247 + BHCKB530 +
BHCKA130 + BHCK3000
RCFD3230 + RCFD3839 + RCON3230 + RCON3839 +
RCFD3632 + RCFDB530 + RCON3632 + RCONB530 +
RCFDA130 + RCFD3000
RCONA130 + RCON3000
39
BHCKG105
RCFDG105
RCONG105
Capital
40 Unrealized gains(losses) on AFS securities
Disallowed
deferred
tax
asset
41
Y9C Rpt Item
BHCK8434
031 Call Rpt Item
RCFD8434
041 Call Rpt Item
RCON8434
BHCK5610
RCFD5610
RCON5610
42 Tier 1 capital
43 Qualifying subordinated debt and redeemable preferred stock
BHCK8274
RCFD8274
RCON8274
BHCKG217
RCFD5306
RCON5306
44 Allowance includible in Tier 2 capital
45 Tier 2 capital
BHCK5310
RCFD5310
RCON5310
BHCK5311
RCFD5311
RCON5311
46 Total risk-based capital
47 Total capital
BHCK3792
RCFD3792
RCON3792
BHCK3210
RCFD3210
RCON3210
48 Risk-weighted assets
49 Total assets for leverage purposes
BHCKA223
RCFDA223
RCONA223
BHCKA224
RCFDL138
RCONL138
50 Tier 1 risk-based capital ratio
=(Tier 1 Capital / RWA) *
100
=(Tier 1 Capital / Total
Assets for Leverage
Purposes) * 100
=(Total Risk-based Capital /
RWA) * 100
=(Tier 1 Capital / RWA) *
100
=(Tier 1 Capital / Total
Assets for Leverage
Purposes) * 100
=(Total Risk-based Capital
/ RWA) * 100
=(Tier 1 Capital / RWA) *
100
=(Tier 1 Capital / Total
Assets for Leverage
Purposes) * 100
=(Total Risk-based Capital /
RWA) * 100
Memoranda
53 Sale, conversion, acquisition, or retirement of capital stock
54 Cash dividends declared on preferred stock
see instructions
RIADB509+RIADB510
RIADB509+RIADB510
BHCK4598
55 Cash dividends declared on common stock
BHCK4460
RIAD4470
RIAD4460
RIAD4470
RIAD4460
Total equity capital (sum of items 37 to 38)
51 Tier 1 leverage ratio
52 Total risk-based capital ratio
Year 1: 2014 -- Projected (in the quarter)
Actual
Projected
As of 9/30
As of 12/31
Q1
Q2
Q3
Year 2: 2015 -- Projected (in the quarter)
Q4
Q5
Q6
Q7
Q8
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Actual
Projected
As of 9/30
As of 12/31
Year 1: 2014 -- Projected (in the quarter)
Q1
Q2
Q3
Q4
Year 2: 2015 -- Projected (in the quarter)
Q5
Q6
Q7
Q8
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#DIV/0!
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#DIV/0!
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Board of Governors of the Federal Reserve System
Instructions for Preparation of
Annual Company-Run Stress Test Report
For State Member Banks, Bank Holding Companies, and Savings
and Loan Holding Companies with Total Consolidated Assets
Greater Than $10 Billion and Less Than $50 Billion
Reporting Form FR Y-16
Effective September 30, 2013
INSTRUCTIONS FOR PREPARATION OF
Annual Company-Run Stress Test Report
For State Member Banks, Bank Holding Companies, and
Savings and Loan Holding Companies with Total
Consolidated Assets Greater Than $10 Billion and Less
Than $50 Billion
FR Y-16
GENERAL INSTRUCTIONS
to the FRB’s reservation authority, must file the
FR Y-16. 2
The Annual Dodd Frank Act (DFA) Company-Run
Stress Testing Report (FR Y-16 report) collects
detailed data on State Member Banks’ (SMBs),
Bank Holding Companies’ (BHCs) and Savings
and Loan Holding Companies’ (SLHCs) 1
quantitative projections of balance sheet assets and
liabilities, income, losses, and capital across a
range of macroeconomic and financial scenarios as
well as the qualitative supporting information on
the methodologies used to develop those internal
projections. Further information regarding the
requirements of the qualitative supporting
documentation is provided in Appendix A. The
Federal Reserve will provide details about the
macroeconomic scenarios to the SMBs, BHCs and
SLHCs.
The Board’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
respondent’s Consolidated Financial Statements
for Bank Holding Companies (FR Y-9C: OMB No.
7100-0128) or Consolidated Report of Condition
and Income (Call Report FFIEC 031 or FFIEC
041). Per the final rule, if the institution has not
filed a FR Y-9C or 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 FR Y-9C or Call Report should be
used in the calculation.
For example, if an institution reported $9.5 billion
in total consolidated assets as reported on Schedule
HC of its FR Y-9C as of March 31 and June 30,
2013, and $11 billion as of September 30 and
December 31, 2013, the average total assets 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
2015 stress test cycle commencing on October 1,
2014.
Who Must Report
Reporting Criteria
BHCs or SLHCs that meet a threshold of greater
than $10 billion but less than $50 billion in total
consolidated assets and any affiliated or
unaffiliated SMBs that meet a threshold of greater
than $10 billion but less than $50 billion in total
consolidated assets, excluding SMB subsidiaries of
covered companies, as defined by the annual stress
test rule 12 CFR part 252, subpart H and pursuant
2
‘‘Covered companies’’ are defined as BHCs with at
least $50 billion in total assets and nonbank
systemically important financial institutions, subject to
annual supervisory stress tests and semiannual
company-run stress tests.
1
SLHCs will be subject to the DFA annual companyrun stress testing requirements in the calendar year
following the year in which they become subject to
formal regulatory capital rules.
1
Where to Submit the Report
Once an institution meets the asset threshold, the
company will remain subject to the final rule's
requirements unless and until the total consolidated
assets of the company are less than $10 billion for
each of four consecutive quarters as reported on
the FR Y-9C or Call Report, as applicable
(measured on the as-of date of the fourth
consecutive FR Y-9C or 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.
The agencies’ close collaboration in developing a
streamlined and simplified DFA stress test
regulatory report will facilitate a uniform
electronic collection process for all companies. All
companies 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 for certain electronic reports
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.
Initial compliance
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 Board in writing.
Companies should contact the appropriate Reserve
Bank
or
go
to
www.frbservices.org/centralbank/reportingcentral
for procedures for electronic submission.
Companies 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.
Compliance after 12/31/12
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
Board in writing.
When to Submit the Report
The FR Y-16 report is required to be submitted as
of September 30.
The submission date for
institutions is close of business March 31 of each
calendar year unless that time is extended by the
Board in writing. The term “submission date” is
defined as the date by which the Federal Reserve
must receive the institution’s FR Y-16.
Exemptions
SMBs, BHCs, and SLHCs that do not meet the
reporting criteria listed above are exempt from
reporting. The following institutions are also
exempt from FR Y-16 reporting:
1) Foreign banking organizations
2) U.S. domiciled BHC subsidiaries of foreign
banking organizations that have average total
consolidated assets of greater than $10 billion
that are currently relying on Supervision and
Regulation Letter 01-01 issued by the FRB
(effective May 19, 2010). These companies are
not required to comply with the final stress test
rule until October 1, 2015.
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 Federal Reserve in reviewing
and processing reports and is encouraged.
2
Organization of the Report
How to Prepare the Reports
General Information
A. Applicability of U.S. GAAP
The annual company-run DFA stress tests will
cover a nine-quarter planning horizon beginning on
the first day of a stress test cycle (on October 1)
and use position information as of September 30 of
a reporting year (for a total of ten quarters of
information reported). SMBs, BHCs, and SLHCs
will report on the FR Y-16 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 FRB
will provide details about the macroeconomic
scenarios to the SMBs, BHCs, and SLHCs.
SMBs, BHCs, and SLHCs are required to prepare
and file the FR Y-16 schedules in accordance
with U.S. generally accepted accounting principles
(GAAP) and these instructions.
The financial
records of the SMBs, BHCs, and SLHCs should be
maintained in such a manner and scope to ensure
the FR Y-16 is prepared in accordance with these
instructions and reflects a fair presentation of the
SMBs’, BHCs’, and SLHCs’ financial condition
and assessment of performance under stressed
scenarios.
B. Rules of Consolidation
The FR Y-16 is organized into the following
sections:
Respondents should reference the FR Y-9C or Call
Report for general instructions on the rules of
consolidation. Unless otherwise noted, items map
directly to the respondent’s FR Y-9C or Call
Report for the actual quarterly data provided for
September 30 of the reporting year while all
remaining quarterly data over the nine-quarter
horizon are based on the institution’s quarterly
projections.
A. Scenario Variables Schedule
B. Results Schedule
a. Summary Schedule
b. Baseline Scenario
i.
Income Statement
ii.
Balance Sheet & Capital Statement
c. Adverse Scenario
i.
Income Statement
ii.
Balance Sheet & Capital Statement
d. Severely Adverse Scenario
i.
Income Statement
ii.
Balance Sheet & Capital Statement
C. Projections
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 for the initial reporting
period).
Column headings refer to each
corresponding quarter.
C. Appendix A - Qualitative Supporting
Information
In addition to the projections collected on the FR
Y-16, SMBs, BHCs and SLHCs 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 capital ratios, and any
other information required by the FRB. Please see
Appendix A for more details.
D. Order of Precedence
If there is a conflict in guidance, SMBs, BHCs and
SLHCs should first use the information contained
in these instructions and then the instructions
available in the latest FR Y-9C or Call Report.
E. Technical Details
The following instructions apply generally to the
3
In addition, the information contained in this report
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.
FR Y-16, 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. A numerical value 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. Or if there are no data for certain
fields then populate them with a zero, “0”.
d. MDRM codes and formulas are provided in
the ‘031 or 041 Call Rpt Item’ column and
the ‘Y9C Rpt Item’ for most line items.
Definitions in the Call Report and FR Y-9C
for those items should be used.
I. Amended Reports
When the Federal Reserve’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 Federal Reserve
may require the institution to reflect the event(s) or
transaction(s) in its FR Y-16 in accordance with
the Federal Reserve’s interpretation and to amend
previously submitted reports. The Federal Reserve
will consider the materiality of such event(s) or
transaction(s) in making a determination about
requiring the institution to apply the Federal
Reserve’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.’’
F. Rounding
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.
The Federal Reserve may require the filing of an
amended FR Y-16 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 Federal
Reserve.
G. Negative Entries
Negative entries are generally not appropriate on
the FR Y-16 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.
For further information regarding FR Y-16
amended reports, please see the Amended Reports
section in the general instructions of the FR Y-9C.
H. Confidentiality
If resubmissions are required, institutions should
contact the appropriate Reserve Bank.
J. Data Items Automatically Retrieved from
Other Reports
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)).
The actual 9/30 data that is required to be
submitted in each report requested on the FR Y-16
4
may also be collected in other reports submitted to
the Federal Reserve. If the institution files the
other reports at the same level of consolidation as
is required for the FR Y-16, the duplicate data
items do not need to be reported and may be left
blank on the FR Y-16 form. For SMBs, BHCs,
and SLHCs, the data will be collected from the FR
Y-9C or Call Report.
However, the actual 9/30 data for certain line items
do not map to existing MDRM codes in the FR Y9C or Call Report. Institutions will need to report
the actual 9/30 data for the following line items for
each scenario:
• Income statement memoranda line items 2631, 32-37, and 38-43 for all reporters
• Balance sheet line items 32 and 33 for BHCs
and SLHCs
K. Questions
Questions and requests for interpretations of
matters appearing in any part of these instructions
should be addressed to the appropriate Federal
Reserve Bank (that is, the Federal Reserve Bank in
the district where the institution submits this
report).
5
SCENARIO VARIABLES
SCHEDULE
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.
To conduct the stress test required, a SMB,
BHC, or SLHC may 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 FRB expects a SMB, BHC, or
SLHC 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 SMB, BHC, or SLHC 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 following definitions and basis (i.e.
period-average or period-end) of the
financial market variables were included in
the 2013 mandatory supervisory scenarios
and are provided as an example for
institutions to describe any additional
scenario variables used in its stress test3:
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.
A. Scenario Variable Definitions
This schedule should be used to list and define
the variables used by a SMB, BHC, or SLHC that
chooses to go beyond those variables defined in
the mandatory supervisory scenarios provided by
the FRB.
•
The schedule provides space for the baseline
scenario, adverse scenario, and severely
adverse scenario. These sections must be
completed if an institution chooses to use
additional variables.
•
If additional variables are used beyond
the variables included in the FRB 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
6
•
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.
•
SMBs, BHCs, and SLHCs should include all
economic and financial market variables that
were important in projecting results and are in
addition to those provided by the FRB,
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.
3
See the following for more information on the 2013
supervisory scenarios:
http://www.federalreserve.gov/newsevents/press/bcreg/
bcreg20121115a1.pdf
•
•
D. DFA Stress Test Adverse Scenario
SMBs, BHCs, and SLHCs 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.
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
SMBs, BHCs, and SLHCs 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.
This worksheet should be used to report the
values of any additional variables generated for
the DFA stress test severely adverse scenario.
B. All Scenarios
•
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.
•
The Scenario Variables Schedule PDF file
should be titled
“ReportID_RSSD_SCENARIOVARIABL
ES_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.
7
RESULTS SCHEDULES
RI, RI-A, and RI-B on the Call Report). Net
charge-offs on this schedule is defined as gross
charge-offs less recoveries for the various line
items. As stated in the FR Y-9C 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-todate 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.
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.
For those institution or consolidated subsidiaries
required to establish and maintain an allocated
transfer risk reserve, as specified in Section
905(a) of the International Lending Supervision
Act of 1983, in the agency regulations
implementing the Act (Subpart D of Federal
Reserve Regulation K), and in any guidelines or
instructions issued by the Federal Reserve,
columns A and B of part I of schedule HI-B
include loans and leases charged off against and
amounts recovered, respectively, through the
allocated transfer risk reserve. These instructions
should be read in conjunction with the
instructions for schedule HI-B and the glossary
entries for “allowance for loan and lease losses”
and “domicile” in the FR Y-9C report
instructions.
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.
Income Statement
Schedule
For the Income Statement schedule, MDRM
codes corresponding to the related FR Y-9C and
Call Report line items are provided for many of
the line items.
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 SMB’s, BHC’s,
and SLHC’s projections should map to the
definitions outlined by the corresponding
MDRM code within the FR Y-9C and Call
Report. The SMB, BHC, or SLHC should
include losses tied to the relevant balances
reported on the Balance Sheet schedule.
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 FR Y-9C, Schedule HI-B, item 1(c)(2)(a).
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 FR Y-9C, Schedule HI-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.
General Instructions
This schedule collects various income statement
items similar to items found on Schedules HI,
HI-A, and HI-B on the FR Y-9C (or Schedules
8
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 FR Y-9C, Schedule HI-B, item
1(c)(1).
Line item 11 Automobile loans (net chargeoffs):
Report all automobile loans, as defined in the FR
Y-9C, Schedule HI-B line 5(b).
Line item 12 Other consumer loans (net chargeoffs):
Report all other consumer loans, as defined in the
FR Y-9C, Schedule HI-B line 5(c).
Line item 4 Commercial and industrial (C&I)
loans (net charge-offs):
Report all commercial and industrial loans, as
defined in the FR Y-9C, Schedule HI-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
FR Y-9C, Schedule HI-B, item 4(b).
Line item 13 All other loans and leases (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).
Line item 14 Total loan and lease (net chargeoffs):
Report the sum of line items 1 through 13.
Line item 5 1-4 family construction loans (net
charge-offs):
Report all 1-4 family residential construction
loans, as defined in the FR Y-9C, Schedule HI-B,
item 1(a)(1).
Line item 15 Net interest income:
Report net interest income, as defined in the FR
Y-9C report, Schedule HI, line 3.
Line item 6 Other construction loans (net
charge-offs):
Report all other construction loans and all land
development and other land loans, as defined in
the FR Y-9C, Schedule HI-B, item 1(a)(2).
Line item 16 Non-interest income:
Report non-interest income, as defined in the FR
Y-9C report, Schedule HI, line 5(m).
Line item 17 Non-interest expense:
Report non-interest expense, as defined in the FR
Y-9C report, Schedule HI, line 7(e).
Line item 7 Multifamily loans (net charge-offs):
Report all loans secured by multifamily (5 or
more) residential properties in domestic offices,
as defined in the FR Y-9C, Schedule HI-B, item
1(d).
Line item 18 Pre-provision net revenue:
Report the sum of lines 15 and 16 above, less line
17.
Line item 8 Non-farm, non-residential owner
occupied loans (net charge-offs):
Report all loans secured by owner-occupied nonfarm non-residential properties, as defined in the
FR Y-9C, Schedule HI-B, item 1(e)(1).
Line item 19 Provision for loan and lease losses:
Report the provision for loan and leases, as
defined in the FR Y-9C report, Schedule HI, item
4.
Line item 9 Non-farm, non-residential other
loans (net charge-offs):
Report all loans secured by other non-farm nonresidential properties, as defined in the FR Y-9C,
Schedule HI-B, item 1(e)(2).
Line item 20 Realized gains (losses) on HTM
securities:
Report the realized gain (losses) on held-tomaturity securities, as defined in the FR Y-9C
report, Schedule HI, item 6(a).
Line item 10 Credit cards (net charge-offs):
Report all extensions of credit under credit card
loans, as defined in the FR Y-9C, Schedule HI-B
lines 5(a).
Line item 21 Realized gains (losses) on AFS
securities:
Report the realized gain (losses) on available-for-
9
category item decreases to less than 15
percent in the projected periods).
sale securities, as defined in the FR Y-9C report,
Schedule HI, item 6(b).
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 FR Y-9C line
items are HI-11 and HI-13.
•
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 23 Taxes:
Report the applicable income taxes, as defined in
the FR Y-9C report, Schedule HI, 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 FR Y-9C report, Schedule HI, item 14.
Line items 26-31 Itemize and describe amounts
greater than 15 percent of non-interest income
(Line item 16):
List and describe specific segments of noninterest expense that exceed 15 percent of “total
non-interest expense” line item 16 as of the
actual 9/30 period.
Memoranda items:
Line item 25 Other than temporary impairment
(OTTI) losses:
Report other than temporary impairment losses,
as defined in the FR Y-9C report, Schedule HI,
Memo item 17(a).
Line items 32-37 Itemize and describe amounts
greater than 15 percent of non-interest expense
(Line item 17):
List and describe specific segments of noninterest expense that exceed 15 percent of “total
non-interest expense” line item 17 as of the
actual 9/30 period.
Line items 26 through 43
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.
•
Line items 38-43 Itemize and describe amounts
greater than 15 percent of all other gains
(losses) (Line item 22):
List and describe specific segments of noninterest expense that exceed 15 percent of “all
other gains/losses” line item 22 as of the actual
9/30 period.
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
10
Balance Sheet
Schedule
6(a)(1)(c)(2)(b)).
Line item 3 Home equity lines of credit
(HELOCS):
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 FR Y-9C, Schedule HC-C, item
1(c)(1), less relevant loans covered by losssharing agreement with the FDIC (Schedule HCM, item 6(a)(1)(c)(1)).
For the Balance Sheet schedule, MDRM codes
corresponding to the related FR Y-9C and Call
Report line items are provided for many of the
line items. When applicable, the definitions of
the SMB’s, BHC’s, and SLHC’s projections
should map to the definitions outlined by the
corresponding MDRM code within the FR Y-9C
and Call Report. The SMB, BHC, or SLHC
should report balances that are tied to the
relevant losses reported on the Income Statement
schedule.
Line item 4 Commercial and industrial (C&I)
loans:
Report all commercial and industrial (C&I)
loans, as defined in the FRY-9C, Schedule HCC, items 4(a) and 4(b), less relevant loans
covered by loss-sharing agreement with the
FDIC (Schedule HC-M, item 6(a)(3)).
Line items 1 through 15 Loans
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 FR Y-9C 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 FR Y-9C, Schedule HC-C, item
1(a)(1), less relevant loans covered by losssharing agreement with the FDIC (Schedule HCM, item 6(a)(1)(a)(1)).
Unlike the loan balances reported in the Call
Report Schedule RC-C and FR Y-9C Schedule
HC-C, for this schedule separately report the
loans covered by loss sharing agreements with
the FDIC (line 14). 4
Line item 6 Other construction 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 FR Y9C, Schedule HC-C, items 1(a)(2), less relevant
loans covered by loss-sharing agreement with the
FDIC (Schedule HC-M, item 6(a)(1)(a)(2)).
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 FR Y-9C, Schedule HCC, item 1(c)(2)(a), less relevant loans covered by
loss-sharing agreement with the FDIC (Schedule
HC-M, item 6(a)(1)(c)(2)(a)).
Line item 7 Multifamily loans:
Report loans secured by multifamily (5 or more)
residential properties held in domestic offices, as
defined in the FR Y-9C, Schedule HC-C, item
1(d), less relevant loans covered by loss-sharing
agreement with the FDIC (Schedule HC-M, item
6(a)(1)(d)).
Line item 2 Closed-end junior liens:
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 FR Y-9C, Schedule HC-C, item 1(c)(2)(b),
less relevant loans covered by loss-sharing
agreement with the FDIC (Schedule HC-M, item
Line item 8 Non-farm, non-residential owneroccupied loans:
Report loans secured by owner-occupied nonfarm non-residential properties held in domestic
offices, as defined in the FR Y-9C, Schedule HCC, item 1(e)(1), less relevant loans covered by
4
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 15 Total loans and leases:
Report the sum of items 1 through 14 above. It is
also defined in the FR Y-9C, Schedule HC-C,
item 12.
loss-sharing agreement with the FDIC (Schedule
HC-M, item 6(a)(1)(e)(1)).
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 FR Y-9C, Schedule HCC, item 1(e)(2), less relevant loans covered by
loss-sharing agreement with the FDIC (Schedule
HC-M, item 6(a)(1)(e)(2)).
Line item 16 Allowance for loan and lease
losses:
Report the allowance for loan and lease losses, as
defined in the FR Y-9C, Schedule HC 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
corresponds to securities reported in the FR Y-9C,
Schedule HC-B column A.
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 FR Y-9C,
Schedule HC-C, item 6(a), less relevant loans
covered by loss-sharing agreement with the
FDIC (Schedule HC-M, item 6(a)(4)(a)).
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 FR Y-9C, Schedule HC-B items 1, 2, 4.a.(1),
4.a.(2), 4.b.(1), 4.b.(2), 4.c.(1)(a), and 4.c.(2)(a).
Line item 11 Automobile loans:
Report all auto loans held in domestic offices, as
defined in the FR Y-9C, Schedule HC-C, item
6(c), less relevant loans covered by loss-sharing
agreement with the FDIC (Schedule HC-M, item
6(a)(4)(b)).
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 FR Y9C, Schedule HC-B item 3.
Line item 12 Other consumer loans:
Report all other consumer loans held in domestic
offices not reported in line items 10 or 11, as
defined in the FR Y-9C, Schedule HC-C, items
6(b) and 6(d), less relevant loans covered by losssharing agreement with the FDIC (Schedule HCM, item 6(a)(4)(c)).
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 FR Y-9C, Schedule HC-B
items 4.a.(3), 4.b.(3), 4.c.(1)(b), 4.c.(2)(b), and 5.a.
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 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 FR Y-9C,
Schedule HC-B items 5.b and 6.
Line item 14 Loans covered by FDIC losssharing agreements:
Report all loans covered by loss-sharing
agreements with the FDIC, as defined in the FR
Y-9C, Schedule HC-M items 6(a)(1) through
6(a)(5).
Line item 21 Total HTM securities:
Report the sum of items 17 through 20 above. It is
also defined in the FR Y-9C, Schedule HC, item
2a.
12
Line items 22 through 26 Securities: Availablefor-sale (AFS):
For line items 22 through 26, report the fair value
of available-for-sale securities, which corresponds
to securities reported in the FR Y-9C, Schedule
HC-B column D.
Line item 29 Other real estate owned:
Report the net book value of all other real estate
owned (OREO), as defined in the FR Y-9C,
Schedule HC-M item 13.
Line item 30 All other assets:
Report all other assets that have not been reported
in line items 1 through 29 that comprise total
consolidated assets.
Line item 22 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 FR Y-9C, Schedule HC-B items 1, 2, 4.a.(1),
4.a.(2), 4.b.(1), 4.b.(2), 4.c.(1)(a), and 4.c.(2)(a).
Line item 31 Total assets:
Report the sum of line items 15, 21, and 26
through 30 above, less line item 16 above. It is
also defined in the FR Y-9C, Schedule HC, item
12.
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 FR Y9C, Schedule HC-B item 3.
Line item 32 Retail funding:
Report all retail funding deposits for the BHC or
SLHC that are captured in the same line item (line
35) for the subsidiary bank for the Call Report
FFIEC 031 and 041.
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 FR Y-9C, Schedule HC-B
items 4.a.(3), 4.b.(3), 4.c.(1)(b), 4.c.(2)(b), and 5.a.
Line item 33 Wholesale funding:
Report all wholesale funding deposits for the BHC
or SLHC that are captured in the same line item
(line 33) for the subsidiary bank for the Call
Report FFIEC 031 and 041.
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 FR Y-9C,
Schedule HC-B items 5.b, 6, and 7.
Line item 34 Trading liabilities:
Report all trading liabilities, as defined in the FR
Y-9C, Schedule HC, item 15.
Line item 35 All other liabilities:
Report all other liabilities, as item 36 minus items
32, 33, and 34.
Line item 26 Total AFS securities:
Report the sum of items 22 through 25 above. It is
also defined in the FR Y-9C, Schedule HC, item
2b.
Line item 27 Trading assets:
Report trading assets, as defined in the FR Y-9C,
Schedule HC, item 5.
Institutions should take into account projected
losses of unfunded loan commitments as they
develop projections for this line item. An
allowance for off-balance sheet credit exposures
should be recognized in this line item (and not part
of the ALLL).
Line item 28 Total intangible assets:
Report all goodwill and intangible assets, as
defined in the FR Y-9C, Schedule HC item 10.
Line item 36 Total liabilities:
Report total liabilities, as defined in the FR Y-9C,
Schedule HC, item 21.
13
dividends that the company paid in the previous
year (that is, the first quarter of the planning
horizon and the preceding three calendar
quarters); (ii) payments on any other instrument
that is eligible for inclusion in the numerator of a
regulatory capital ratio equal to the stated
dividend, interest, or principal due on such
instrument during the quarter; and (iii) an
assumption of no redemption or repurchase of any
capital instrument that is eligible for inclusion in
the numerator of a regulatory capital ratio.
Line item 37 Perpetual preferred stock and
related surplus:
Report perpetual preferred stock and related
surplus, as defined in the FR Y-9C, Schedule HC,
item 23.
Line item 38 Equity capital:
Report common stock (par value), as defined in
the FR Y-9C, Schedule HC, item 24; surplus, as
defined in the FR Y-9C, Schedule HC, item 25;
retained earnings, as defined in the FR Y-9C,
Schedule HC, item 26.a; and other equity capital
components, as defined in the FR Y-9C, Schedule
HC, item 26.b, 26.c, and 27.b.
Generally, a BHC, SMB, or SLHC should
measure its regulatory capital levels and
regulatory capital ratios for each quarter in
accordance with the rules that would be in effect
during that quarter. For the stress test cycle
commencing October 1, 2013, the Board issued
an interim final rule that exempts BHCs and
SMBs with more than $10 billion but less than
$50 billion in total consolidated assets from
incorporating changes from the Board’s rule
revising its risk-based and leverage capital
requirements for banking organizations (“revised
capital rule”) 5 into their capital projections under
the supervisory scenarios in their DFA companyrun stress tests. This interim final rule requires
those companies to estimate their pro forma
capital levels and ratios for the company-run
stress tests for that stress test cycle under the
capital rules in effect as of October 1, 2013.
Line item 39 Total equity capital:
Report total equity capital, as defined in the FR Y9C, Schedule HC, item 28.
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
SMB’s, BHC’s, and SLHC’s projections should
map to the definitions outlined by the
corresponding MDRM code within the FR Y9-C
and Call Report.
The projections should clearly show any
proposed capital actions or other scenariodependent actions that would affect the SMB’s,
BHC’s, and SLHC’s regulatory capital, including
any assumptions required under the FRB’s final
rule. A BHC or SLHC is required to make the
following assumptions regarding its capital
actions over the planning horizon under the DFA
stress test:
Specifically, BHCs and SMBs are exempted from
requirements to incorporate the regulatory
changes from the revised capital rule into their
company-run stress test conducted in the stress
test cycle that begins on October 1, 2013. In
addition, for the 2014 stress test cycle, BHCs and
SMBs will not be required to calculate common
equity tier 1 capital as defined in the revised
capital rule. Instead, BHCs and SMBs are
required to estimate their pro forma capital levels
and ratios over the planning horizon using the
capital rules in place as of the beginning of the
2014 stress testing cycle on October 1, 2013.
(1) For the first quarter of the planning horizon,
the BHC or SLHC must take into account its
actual capital actions as of the end of that quarter;
and
(2) For each of the second through ninth
quarters of the planning horizon, a BHC or SLHC
must include in the projections of capital - (i)
common stock dividends equal to the quarterly
average dollar amount of common stock
This interim final rule does not exempt BHCs and
SMBs from incorporating the changes from the
5
14
See 12 CFR Parts 208, 217, and 225 (July 2, 2013).
Line item 48 Risk-weighted assets:
Report risk-weighted assets, as defined in the FR
Y-9C, Schedule HC-R, item 62.
revised capital rule into their DFA company-run
stress tests in future stress testing cycles. For
example, companies are expected to be able to
incorporate the revised capital rule requirements –
subject to transition provisions defined in the
revised capital rule – into their DFA stress test
projections of capital levels and ratios for the
stress testing cycle that begins October 1, 2014.
As BHCs and SMBs will begin to comply with
the revised capital rules during that 2015 stress
testing cycle, these companies are expected to be
able to implement the requirements of the revised
capital rules in their DFA stress tests at that time.
Line item 49 Total assets for leverage purposes:
Report total assets for leverage purposes, as
defined in the FR Y-9C, Schedule HC-R, item 27.
Line item 50 Tier 1 risk based capital ratio:
The tier 1 risk based capital ratio will be
calculated as item 42 divided by item 48.
Line item 51 Tier 1 leverage ratio:
The tier 1 leverage ratio will be calculated as item
42 divided by item 49.
Line item 40 Unrealized gains (losses) on AFS
securities:
Report unrealized gains (losses) on AFS securities,
as defined in the FR Y-9C, Schedule HC-R, item
2.
Line item 52 Total risk-based capital ratio:
The total risk-based capital ratio will be calculated
as item 46 divided by item 48.
Line item 53 Sale, conversion, acquisition, or
retirement of capital stock:
Report sale, conversion, acquisition, or retirement
of capital stock, as the sum of and defined in the
FR Y-9C, Schedule HI-A 5.a, 5.b, 6.a, and 6.b.
BHCs and SLHCs are required to use a set of
capital action assumptions based on historical
distributions, contracted payments, and a general
assumption of no redemptions, repurchases, or
issuances of capital instruments. A BHC or SLHC
should also assume it will not issue any new
common stock, preferred stock, or other
instrument that would count in regulatory capital
in the second through ninth quarters of the
planning horizon, except for any common
issuances related to expensed employee
compensation.
Line item 41 Disallowed deferred tax asset:
Report disallowed deferred tax asset, as defined in
the FR Y-9C, Schedule HC-R, item 9.b.
Line item 42 Tier 1 capital:
Report tier-1 capital, as defined in the FR Y-9C,
Schedule HC-R, item 11.
Line item 43 Qualifying subordinated debt and
redeemable preferred stock:
Report qualifying subordinated debt and
redeemable preferred stock, as defined in the FR
Y-9C, Schedule HC-R, item 12.
Line item 44 Allowance includible in tier 2
capital:
Report allowance includible in tier 2 capital, as
defined in the FR Y-9C, Schedule HC-R, item 14.
Line item 54 Cash dividends declared on
preferred stock:
Report cash dividends declared on preferred stock,
as defined in the FR Y-9C, Schedule HI-A 10. For
BHCs and SLHCs, this line item should equal the
actual dividends paid for the first quarter of the
planning horizon and the stated dividend payment
for the second through ninth quarters of the
planning horizon.
Line item 45 Tier 2 capital:
Report tier 2 capital, as defined in the FR Y-9C,
Schedule HC-R, item 17.
Line item 46 Total risk-based capital:
Report total risk-based capital, as defined in the
FR Y-9C, Schedule HC-R, item 21.
Line item 47 Total capital:
Report total capital, as defined in the FR Y-9C,
Schedule HC-R, item 1.
15
Line item 55 Cash dividends declared on
common stock:
Report cash dividends declared on common stock,
as defined in the FR Y-9C, Schedule HI-A 11. For
BHCs and SLHCs, this line item should equal the
actual dividends paid for the first quarter of the
planning horizon and the quarterly average dollar
amount of common stock dividends paid in the
previous year (the first quarter of the planning
horizon and the preceding three calendar quarters)
for the second through ninth quarters of the
planning horizon.
16
APPENDIX A
QUALITATIVE
SUPPORTING
INFORMATION
Each SMB, BHC, and SLHC is required under the
stress testing rule 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. Companies should
provide appropriate references to internal
documents that provide more detail on all the
items to be discussed in the submission. All
companies must submit the qualitative supporting
information in Adobe Acrobat PDF format.
The “RSSD” in the file name is the institution
specific identifier for a respondent.
•
The “MMDDYY” should be the as-of date of
the stress test cycle (for example, 093013 for
the 2013 stress test cycle).
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 as 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 bank 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 companies 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”.
•
•
2. Scenarios
Summary of the 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 the methodology, models, and
17
supporting information summary categories
discussed above (for example,
Example 1:
“ReportID_RSSD_SUMMARY_SUMMARY_
AND_GOVERNANCE_TO_CAPITAL_MMD
DYY” and
“ReportID_RSSD_SUMMARY_LOANS_TO_
BALANCE SHEET_MMDDYY”;
Example 2:
ReportID_RSSD_SUMMARY_SUMMARY_
AND_GOVERNANCE_TO_CAPITAL_MMD
DYY” and
“ReportID_RSSD_SUMMARY_LOANS_MM
DDYY” and
ReportID_RSSD_SUMMARY_SECURITIES_
MMDDYY” and
“ReportID_RSSD_SUMMARY_PREPROVISION_NET_REVENUE_AND_BALAN
CE SHEET_MMDDYY”, etc.).
validation activities related to regulatory
capital, explanations of proposed capital
actions, options to maintain internally
established capital goals on a post-stress 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.
4. Loans
Summary of the methodology, model, 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.
5. Securities
Summary of methodology, model, and
validation activities related to the 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.
A. Description of the Types of Risks
Included in the Stress Test
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, model, and
validation activities related to the 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 methodology, model, and validation
activities related to the 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
For each part of the Results schedule and the
Scenario Variables schedule, the SMB, BHC, or
SLHC should submit supporting information that
clearly describes the methodology used to produce
the projections. Each SMB, BHC, or SLHC should
include a summary description of how it translated
the macroeconomic and financial variables from
the supervisory scenarios into its projections and
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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 the
process involved to ensure consistency of
projections with scenario conditions. Furthermore,
the institutions should include 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 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 FRB.
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 SMB, BHC, or SLHC 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
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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.
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 SMB, BHC, or SLHC
choose not to project components of the balance
sheet, those components should be held constant at
the last current level and the SMB, BHC, or SLHC
should explain why the held constant assumption is
appropriate in the given scenario.
Each SMB, BHC, and SLHC 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 asset that may be disallowed for
regulatory capital purposes.
While judgment is an essential part of risk
measurement and risk management, including loss
forecasting, institutions should not be over-reliant
on judgment to prepare their loss estimations
without providing documentation or evidence of
transparency and discipline around the process.
Each SMB, BHC, and SLHC should provide
support for any judgment applied or qualitative
adjustments made and explain how they are
appropriate and in line with scenario conditions.
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 SMB, BHC, and
SLHC 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.
D. Use of Stress Test Results
Companies 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 company. 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 company 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 a company’s full range of risks, exposures,
activities, and vulnerabilities that have the potential
to affect capital adequacy. In addition, a company
should include summary information as to how
post-stress capital results remain aligned with its
internal capital goals. The company should
mention any cases in which post-stress capital
results are not aligned with a company’s internal
capital goals, and describe options that senior
management and the board would consider to bring
them into alignment.
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| File Type | application/pdf |
| File Modified | 2013-09-27 |
| File Created | 2013-09-25 |