Download:
pdf |
pdfDRAFT
Regulatory Capital Reporting for Institutions
Subject to the Advanced Capital Adequacy
Framework—FFIEC 101
Revised Report Form
As of January 10, 2014
Effective Date:
March 31, 2014
This draft reflects the revisions to the FFIEC 101 that are the subject of the banking
agencies’ final Paperwork Reduction Act Federal Register notice being published in
the Federal Register on January 14, 2014. The final notice is available at
http://www.ffiec.gov/forms101.htm. These FFIEC 101 revisions are subject to approval
by the U.S. Office of Management and Budget.
DRAFT
Regulatory
Board of Governors of the Federal Reserve System OMB Number 7100-0319
Federal Deposit Insurance Corporation
OMB Number 3064-0159
Office of the Comptroller of the Currency
OMB Number 1557-0239
Approval expires March 31, 2014
Page 1 of 30
Federal Financial Institutions Examination Council
2017
Risk-Based Capital Reporting for Institutions Subject to the
Advanced Capital Adequacy Framework—FFIEC 101
2014
20140331
Report at the close of business March 31, 2013
(20130331)
(AAXX 9999)
This report is required by law: 12 U.S.C. § 161 (National banks), 12
U.S.C. § 324 and 12 U.S.C. § 1844(c) (State member banks and
BHCs, respectively), 12 U.S.C. § 1817 (Insured state nonmember
78 Federal Register 62018 (Federal
Reserve and the OCC); 78 Federal
The FFIEC 101 is to be prepared in accordance with federal
Registerauthority
55340instructions.
(FDIC) The report must be signed by a
regulatory
senior officer of the reporting entity who can attest that the risk
estimates and other information submitted in this report meet the
requirements set forth in 72 Fed. Reg. 69288 ("the final rule" that
implements the advanced approaches for determining risk-based
capital for credit and operational risk) and the FFIEC 101 reporting instructions. The senior officer may be the chief financial officer, the chief risk officer, or the equivalent senior officer.
commercial and savings banks), and 12 U.S.C. § 1464 (Savings
associations).
To fulfill the signature and attestation requirement for the FFIEC
101 for this report date, attach the bank's completed signature
page (or a photocopy or a computer-generated version of this
page) to the hard-copy records of the data file submitted elec(the revised
regulatory
tronically
that the bank
must place in its files.
capital rules)
The appearance of the bank's hard-copy record of the submitted
data file need not match exactly the appearance of the FFIEC's
sample report forms, but should show the caption of each
reported item and the reported amounts.
I, the undersigned senior officer of the named bank, bank holding
company, or savings association attest that the FFIEC 101 report
for this report date has been prepared in conformance with the
instructions issued by the federal regulatory authority and that the
reported risk estimates meet the requirements set forth in the
final rule to the best of my knowledge and belief.
Printed Name of Senior Officer (AAXX C490)
Legal Title of Bank (AAXX J197)
Signature of Senior Officer
Mailing Address of the Bank Street / PO Box (AAXX 9110)
Title of Officer (AAXX C491)
City (AAXX 9130)
Date of Signature (MM/DD/YYYY) (AAXX J196)
State Abbreviation (AAXX 9200)
Zip Code (AAXX 9220)
Person to whom questions about this report should be directed:
Name / Title (AAXX 8901)
676
Area Code / Phone Number (AAXX 8902)
For Federal Reserve Bank Use Only
BHC RSSD ID
SUB RSSD ID
C.I.
Area Code / FAX Number (AAXX 9116)
E-mail Address of Contact (AAXX 4086)
The estimated average reporting burden for this information collection is 625 hours per response, including time to gather and maintain data in the required form and to review instructions
and complete the information collection. A federal agency 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. Comments regarding this burden estimate or any other aspect of this information collection, including suggestions for reducing the burden,
may be sent to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551; to Assistant Executive Secretary, Federal Deposit
Insurance Corporation, Washington, DC 20429; to Legislative and Regulatory Analysis Division, Office of the Comptroller of the Currency, Washington, DC 20219; and to the Office of
Management and Budget, Paperwork Reduction Project (7100-0128), Washington, DC 20503.
03/2014
03/2013
Replace with INSERT #1
For Federal Reserve Bank Use Only
FFIEC 101
Page 2 of 30
A-1
C.I.
Schedule A—Advanced Risk-Based Capital
Dollar Amounts in Thousands
Tier 1 Capital
1. Total equity capital ..........................................................................................................
2. LESS: Net unrealized gains (losses) on available-for-sale securities
(if a gain, report as a positive value; if a loss, report as a negative value) ...................................
3. LESS: Net unrealized loss on available-for-sale EQUITY securities
(report loss as a positive value) .........................................................................................
4. LESS: Accumulated net gains (losses) on cash flow hedges
(if a gain, report as a positive value; if a loss, report as a negative value) ...................................
5. LESS: Nonqualifying perpetual preferred stock .....................................................................
6. a. Qualifying minority interests in consolidated subsidiaries .....................................................
b. Qualifying restricted core capital elements (other than cumulative perpetual preferred stock)
(for BHCs only)...........................................................................................................
c. Qualifying mandatory convertible preferred securities of internationally active bank holding
companies (for BHCs only) ...........................................................................................
7. a. LESS: Disallowed goodwill and other disallowed intangible assets ........................................
b. LESS: Cumulative change in fair value of all financial liabilities accounted for under a fair value
option that is included in retained earnings and is attributable to changes in the bank's own
creditworthiness (if a gain, report as a positive value; if a net loss, report as a negative value) ....
8. Subtotal (sum of items 1, 6.a, 6.b, and 6.c, less items 2, 3, 4, 5, 7.a, and 7.b) .............................
9. a. LESS: Disallowed servicing assets and purchased credit card relationships ............................
b. LESS: Disallowed deferred tax assets .............................................................................
c. LESS: Shortfall of eligible credit reserves below total expected credit losses
(50% of shortfall plus any Tier 2 carryover).......................................................................
d. LESS: Gain-on-sale associated with securitization exposures ..............................................
e. LESS: Certain failed capital markets transactions
(50% of deductions plus any Tier 2 carryover) ...................................................................
f. LESS: Other securitization deductions (50% of deductions plus any Tier 2 carryover) ...............
10. a. LESS: Insurance underwriting subsidiaries' minimum regulatory capital (for BHCs only) ............
b. Other additions to (deductions from) Tier 1 capital .............................................................
11. Tier 1 capital (sum of items 8 and 10.b, less items 9.a through 9.f and 10.a) ...............................
Tier 2 Capital
12. Qualifying subordinated debt and redeemable preferred stock .................................................
13. Qualifying cumulative perpetual preferred stock includible in Tier 2 capital .................................
14. Excess of eligible credit reserves over total expected credit losses
(up to 0.60% of credit risk-weighted assets) .........................................................................
15. Unrealized gains on available-for-sale equity securities includible in Tier 2 capital........................
16. a. LESS: Insurance underwriting subsidiaries' minimum regulatory capital (for BHCs only) ............
b. Other additions to (deductions from) Tier 2 capital .............................................................
Adjustments to Tier 2 Capital
17. a. LESS: Shortfall of eligible credit reserves below total expected credit losses
(up to lower of 50% of the shortfall or amount of Tier 2 capital) .............................................
b. LESS: Certain failed capital markets transactions (up to lower of 50% of deductions from
such failed transactions or amount of Tier 2 capital) ...........................................................
c. LESS: Other securitization deductions
(up to lower of 50% of deductions or amount of Tier 2 capital) ..............................................
18. Tier 2 capital (sum of items 12 through 15 and 16.b, less items 16.a and 17.a through 17.c) ..........
19. Allowable Tier 2 capital (lesser of item 11 or 18) ...................................................................
20. Tier 3 capital allocated for market risk .................................................................................
21. LESS: Deductions for total risk-based capital .......................................................................
22. Total risk-based capital (sum of items 11, 19, and 20, less item 21)...........................................
AAAB
Bil
Mil
Thou
3210
1.
8434
2.
A221
3.
4336
B588
B589
4.
5.
6.a.
G215
6.b.
G216
B590
6.c.
7.a.
F264
C227
B591
5610
7.b.
8.
9.a.
9.b.
J160
J161
9.c.
9.d.
J162
J163
9.e.
9.f.
10.a.
10.b.
11.
J188
J189
J169
5306
B593
J173
12.
13.
2221
J190
J191
14.
15.
16.a.
16.b.
J175
17.a.
J176
17.b.
J177
J178
17.c.
18.
19.
20.
21.
22.
J179
1395
B595
J182
03/2011
Replace with INSERT #1
FFIEC 101
Page 3 of 30
A-2
For Federal Reserve Bank Use Only
C.I.
Schedule A—Continued
Dollar Amounts in Thousands
Adjustments for Financial Subsidiaries (For Banks Only)
23. a. Adjustment to Tier 1 capital reported in item 11...................................................................
b. Adjustment to total risk-based capital reported in item 22 .....................................................
24. Adjustment to risk-weighted assets .....................................................................................
AAAB
Bil
Mil
Thou
C228
B503
B504
(Column A)
23.a.
23.b.
24.
(Column B)
AAAB Percentage AAAB Percentage
Capital Ratios
(Column B is to be completed by all banking organizations.
Column A is to be completed by banks with financial subsidiaries.)
25. Tier 1 risk-based capital ratio1 ............................................................................ J192
26. Total risk-based capital ratio2 ............................................................................. J193
.
.
.
.
J194
J195
Dollar Amounts in Thousands AAAB Bil
27. Eligible credit reserves ..................................................................................................... J183
28. Total expected credit losses............................................................................................... J184
Mil
25.
26.
Thou
27.
28.
1. The ratio for column B is item 11 divided by Schedule B, item 33, Column G. The ratio for column A is item 11 minus item 23.a divided by
(Schedule B, item 33, Column G, minus item 24).
2. The ratio for column B is item 22 divided by Schedule B, item 33, Column G. The ratio for column A is item 22 minus item 23.b divided by
(Schedule B, item 33, Column G, minus item 24).
03/2011
INSERT #1
Schedule A—Advanced Approaches Regulatory Capital
This schedule is to be submitted on a consolidated basis.
Dollar Amounts in Thousands
Common equity tier 1 capital
1.
Common stock plus related surplus, net of treasury stock
2.
Retained earnings
3.
Accumulated other comprehensive income (AOCI)
4.
Directly issued capital subject to phase out from common equity tier 1 capital (not
applicable)
5.
Common equity tier 1 minority interest includable in common equity tier 1 capital
6.
Common equity tier 1 capital before regulatory deductions and adjustments (sum
of items 1, 2, 3, and 5)
Common equity tier 1 capital: adjustments and deductions
7.
Prudential valuation adjustments (not applicable)
8.
Goodwill net of associated deferred tax liabilities (DTLs)
9.
Other intangible assets net of associated DTLs, other than goodwill and mortgage
servicing assets (MSAs)
10. Deferred tax assets (DTAs) that arise from net operating loss and tax credit
carryforwards, net of any related valuation allowances and net of DTLs
11. Accumulated net gain or loss on cash-flow hedges included in AOCI, net of
applicable income taxes, that relate to the hedging of items that are not recognized
at fair value on the balance sheet
12. Expected credit loss that exceeds eligible credit reserves
13. Gain-on-sale associated with a securitization exposure
14. Unrealized gain or loss related to changes in the fair value of liabilities that are due
to changes in own credit risk
15. Defined benefit pension fund assets, net of associated DTLs
16. Investments in own shares to the extent not excluded above as part of treasury
stock
17. Reciprocal cross-holdings in the common equity of financial institutions
18. Non-significant investments in the capital of unconsolidated financial institutions in
the form of common stock that exceed the 10 percent threshold for non-significant
investments
19. Significant investments in the capital of unconsolidated financial institutions in the
form of common stock, net of associated DTLs, that exceed the 10 percent
common equity tier 1 capital deduction threshold
20. MSAs, net of associated DTLs, that exceed the 10 percent common equity tier 1
capital deduction threshold
21. DTAs arising from temporary differences that could not be realized through net
operating loss carrybacks, net of related valuation allowances and net of DTLs, that
exceed the 10 percent common equity tier 1 capital deduction threshold
22. Amount of significant investments in the capital of unconsolidated financial
institutions in the form of common stock, net of associated DTLs; MSAs net of
associated DTLs; and DTAs arising from temporary differences that could not be
realized through net operating loss carrybacks, net of related valuation allowances
and net of associated DTLs, that exceeds the 15 percent common equity tier 1
capital deduction threshold
23.
of which: significant investments in the capital of unconsolidated financial
institutions in the form of common stock, net of associated DTLs
24.
of which: MSAs, net of associated DTLs
AAAB
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
Bil
Mil
Thou
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11.
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
12.
13.
14.
15.
16.
17.
18.
XXXX
19.
XXXX
XXXX
20.
21.
XXXX
22.
XXXX
XXXX
XXXX
23.
24.
INSERT #1
Schedule A—Continued
25.
26.
27.
28.
29.
of which: DTAs arising from temporary differences that could not be realized
through net operating loss carrybacks, net of related valuation allowances and
net of DTLs
National specific regulatory adjustments (not applicable)
Deductions applied to common equity tier 1 capital due to insufficient amount of
additional tier 1 capital and tier 2 capital to cover deductions
Total adjustments and deductions for common equity tier 1 capital (sum of items 8
through 22, plus item 27)
Common equity tier 1 capital (item 6 less item 28)
Additional tier 1 capital
30. Additional tier 1 capital instruments plus related surplus
31.
of which: classified as equity under GAAP (not applicable)
32.
of which: classified as liabilities under GAAP (not applicable)
33. Non-qualifying capital instruments subject to phase out from additional tier 1
capital
34. Tier 1 minority interest not included in common equity tier 1 capital
35.
of which: amount subject to phase out
36. Additional tier 1 capital before deductions (sum of items 30, 33, and 34)
Additional tier 1 capital deductions
37. Investments in own additional tier 1 capital instruments
38. Reciprocal cross-holdings in the additional tier 1 capital of financial institutions
39. Non-significant investments in additional tier 1 capital of unconsolidated financial
institutions that exceed the 10 percent threshold for non-significant investments
40. Significant investments in financial institutions not in the form of common stock to
be deducted from additional tier 1 capital
41. Other deductions from additional tier 1 capital
42. Deductions applied to additional tier 1 capital due to insufficient tier 2 capital to
cover deductions
43. Total additional tier 1 capital deductions (sum of items 37 through 42)
44. Additional tier 1 capital (greater of item 36 less item 43 or zero)
Tier 1 capital
45. Tier 1 capital (sum of items 29 and 44)
Tier 2 capital
46. Tier 2 capital instruments plus related surplus
47. Non-qualifying capital instruments subject to phase out from tier 2 capital
48. Total capital minority interest that is not included in tier 1 capital
49.
of which: instruments subject to phase out
50. Eligible credit reserves includable in tier 2 capital
51. Tier 2 capital before deductions (sum of items 46, 47, 48, and 50)
Tier 2 capital deductions
52. Investments in own tier 2 capital instruments
53. Reciprocal cross-holdings in the tier 2 capital of unconsolidated financial
institutions
54. Non-significant investments in the tier 2 capital of unconsolidated financial
institutions that exceed the 10 percent threshold for non-significant investments
55. Significant investments in financial institutions not in the form of common stock to
be deducted from tier 2 capital
25.
XXXX
XXXX
XXXX
26.
27.
28.
XXXX
29.
XXXX
30.
31.
32.
33.
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
34.
35.
36.
37.
38.
39.
40.
41.
42.
XXXX
43.
44.
XXXX
45.
XXXX
46.
47.
48.
49.
50.
51.
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
52.
53.
54.
55.
INSERT #1
Schedule A—Continued
56.
57.
Other deductions from tier 2 capital
Total tier 2 capital deductions (sum of items 52 through 56)
XXXX
XXXX
56.
57.
58.
Tier 2 capital (greater of item 51 less item 57 or zero)
XXXX
58.
Total capital
59. Total capital (sum of items 45 and 58)
XXXX
59.
Total risk-weighted assets
60. Total risk-weighted assets (RWAs)
XXXX
60.
Capital ratios and buffers (items 64 through 68 are effective January 1, 2016)
61. Common equity tier 1 capital ratio (item 29 divided by item 60)
62. Tier 1 capital ratio (item 45 divided by item 60)
63. Total capital ratio (item 59 divided by item 60)
64. Institution-specific buffer (as a percent of RWA) necessary to avoid limitations on
capital distributions and discretionary bonus payments
65.
of which: capital conservation buffer
66.
of which: countercyclical capital buffer (if applicable)
67.
of which: G-SIB buffer requirement (if applicable)
68. Common equity tier 1 capital available to meet the buffer in item 64 (as a
percentage of RWA)
AAAB
Percentage
XXXX
--.---.---.---.--
61.
62.
63.
64.
--.---.---.---.--
65.
66.
67.
68.
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
Regulatory minimums if different from Basel III (not applicable)
69. Minimum common equity tier 1 capital ratio: 4.5%
70. Minimum tier 1 capital ratio: 6.0%
71. Minimum total capital ratio: 8.0%
Amounts not deducted as a result of applicable thresholds (before risk-weighting)
72. Non-significant investments in the capital of unconsolidated financial institutions
that are not deducted
73. Significant investments in the capital of unconsolidated financial institutions in the
form of common stock, net of associated DTLs, that are not deducted
74. MSAs net of associated DTLs that are not deducted
75. DTAs arising from temporary differences that could not be realized through net
operating loss carrybacks, net of related valuation allowances and net of DTLs, that
are not deducted
Limitations on the amount of provisions included in tier 2 capital
76. Total allowance for loan and lease losses (ALLL) under the standardized approach
77. Amount of ALLL includable in tier 2 capital under the standardized approach (RWA
multiplied by 1.25 percent)
78. Total eligible credit reserves (calculated using advanced approaches)
79. Amount of eligible credit reserves includable in tier 2 capital (advanced approaches
credit RWA multiplied by 0.60 percent)
Non-qualifying capital instruments
80. Cap on common equity tier 1 non-qualifying capital instruments subject to phaseout
81. Amount of common equity tier 1 non-qualifying capital instruments excluded
82. Cap on additional tier 1 non-qualifying capital instruments subject to phase-out
69.
70.
71.
XXXX
XXXX
72.
73.
XXXX
74.
XXXX
75.
XXXX
76.
77.
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
78.
79.
80.
81.
82.
INSERT #1
Schedule A—Continued
83.
84.
85.
Amount of additional tier 1 non-qualifying capital instruments excluded
Cap on tier 2 non-qualifying capital instruments subject to phase-out
Amount of tier 2 non-qualifying capital instruments excluded
83.
84.
85.
XXXX
XXXX
XXXX
Memoranda (these items are kept confidential on reports filed during an institution’s parallel run process)
86.
87.
Expected credit loss that exceeds eligible credit reserves
Advanced approaches RWA (from FFIEC 101, Schedule B, item 36)
88.
89.
90.
Common equity tier 1 capital ratio (calculated using advanced approaches)
Tier 1 capital ratio (calculated using advanced approaches)
Total capital ratio (calculated using advanced approaches)
86.
87.
XXXX
XXXX
AAAB
Percentage
--.---.---.--
XXXX
XXXX
XXXX
Supplementary leverage ratio (items 91 through 98 are effective January 1, 2015):
st
Dollar Amounts in Thousands
91.
92.
93.
94.
95.
96.
Carrying value of all on-balance
sheet assets minus amounts
deducted from tier 1 capital
Total potential future exposure
amount for each derivative
contract
10 percent of the notional
amount of unconditionally
cancellable commitments
Total notional amounts of all
other off-balance sheet exposures
Month-end total leverage
exposure for the supplementary
leverage ratio (sum of items 91
through 94)
Month-end tier 1 capital for the
supplementary leverage ratio
calculation
(Column A) The 1
month of the quarter
(Column B) The 2
month of the quarter
nd
(Column C) The 3
month of the quarter
AAAx
AAAx
Thou
AAAx
Bil
Mil
Thou
Bil
Mil
rd
Bil
Mil
Thou
91.
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
92.
93.
94.
95.
XXXX
XXXX
XXXX
XXXX
XXXX
XXXX
96.
Percentage
Percentage
97.
Monthly supplementary leverage
ratio (item 96 divided by item 95)
98.
Supplementary leverage ratio: mean of the 3 monthly ratios reported in item 97
columns A, B, and C
XXXX
--.--
XXXX
--.--
Percentage
XXXX
--.--
XXXX
Percentage
--.--
97.
98.
88.
89.
90.
DRAFT
FFIEC 101
Page 4 of 30
B-1
For Federal Reserve Bank Use Only
C.I.
Schedule B—Summary Risk-Weighted Asset Information for Banks Approved to Use
Advanced Internal Ratings-Based and Advanced Measurement Approaches for Regulatory Capital Purposes
Dollar Amounts in Thousands
Exposure Category
Non-Defaulted and Defaulted Exposures
(Column A)
Weighted-Average
Probability of
Default
Percentage
Wholesale Exposures
1. Corporate ...................
(Column B)
Balance Sheet
Amount
Bil
Mil
Thou
(Column C)
Total Undrawn
Amount
Bil
Mil
Thou
(Column D)
Exposure
at Default
Bil
Mil
Thou
(Column E)
(Column F)
Weighted-Average Wtd-Avg LGD after
Maturity
Consideration of
(Years)
Credit Risk
Mitigants
(Column G)
Risk-Weighted
Assets
Bil
Mil
Thou
(Column H)
Expected
Credit Loss
Number
Percentage
AABA J124
AABB J124
AABC J124
AABD J124
AABE J124
AABF J124
AABG J124
Bil
AABH J124
Mil
Thou
AABA J125
AABB J125
AABC J125
AABD J125
AABE J125
AABF J125
AABG J125
AABH J125
AABA J126
AABB J126
AABC J126
AABD J126
AABE J126
AABF J126
AABG J126
AABH J126
AABA J127
AABB J127
AABC J127
AABD J127
AABE J127
AABF J127
AABG J127
AABH J127
AABA J128
AABB J128
AABC J128
AABD J128
AABE J128
AABF J128
AABG J128
AABH J128
1.
2. Bank..........................
2.
3. Sovereign ...................
3.
4.
4. IPRE .........................
5. HVCRE ......................
6. Eligible margin loans, repostyle transactions and OTC
derivatives with crossproduct netting—EAD
adjustment method ..........
7. Eligible margin loans, repostyle transactions and OTC
derivatives with crossproduct netting—collateral
reflected in LGD..............
8. Eligible margin loans, repostyle transactions—no
cross-product netting—EAD
adjustment method ..........
9. Eligible margin loans, repostyle transactions—no
cross-product netting—
collateral reflected in LGD ..
10. OTC derivatives—no crossproduct netting—EAD
adjustment method ..........
11. OTC derivatives—no crossproduct netting—collateral
reflected in LGD ..............
5.
AABA J129
AABD J129
AABE J129
AABF J129
AABG J129
AABH J129
6.
AABA J130
AABD J130
AABE J130
AABF J130
AABG J130
AABH J130
7.
AABA J131
AABD J131
AABE J131
AABF J131
AABG J131
AABH J131
8.
AABA J132
AABD J132
AABE J132
AABF J132
AABG J132
AABH J132
9.
AABA J133
AABD J133
AABE J133
AABF J133
AABG J133
AABH J133
10.
AABA J134
AABD J134
AABE J134
AABF J134
AABG J134
AABH J134
11.
06/2008
FFIEC 101
Page 5 of 30
B-2
For Federal Reserve Bank Use Only
DRAFT
C.I.
Schedule B—Continued
Dollar Amounts in Thousands
Exposure Category
Non-Defaulted and Defaulted Exposures
(Column A)
Weighted-Average
Probability of
Default
Percentage
Retail Exposures
12. Residential mortgage—
closed-end first lien
exposures...................
13. Residential mortgage—
closed-end junior lien
exposures...................
14. Residential mortgage—
revolving exposures ......
15. Qualifying revolving
exposures...................
AABA J135
(Column B)
Balance Sheet
Amount
Bil
Mil
Thou
AABB J135
(Column C)
Total Undrawn
Amount
Bil
Mil
Thou
AABC J135
(Column D)
Exposure
at Default
Bil
Mil
Thou
AABD J135
(Column E)
(Column F)
Weighted-Average Weighted-Average
Maturity
LGD after
(Years)
Consideration
of Credit Risk
Mitigants
Number
Percentage
AABF J135
(Column G)
Risk-Weighted
Assets
Bil
Mil
(Column H)
Expected
Credit Loss
Thou
AABG J135
Bil
Mil
AABH J135
12.
AABA J136
AABB J136
AABC J136
AABD J136
AABF J136
AABG J136
AABH J136
AABA J137
AABB J137
AABC J137
AABD J137
AABF J137
AABG J137
AABH J137
AABA J138
AABB J138
AABC J138
AABD J138
AABF J138
AABG J138
AABH J138
AABA J139
AABB J139
AABC J139
AABD J139
AABF J139
AABG J139
AABH J139
13.
14.
15.
16. Other retail exposures ...
17.
Securitization Exposures
17. Subject to ratings-based
approach ....................
18. Subject to internal
assessment approach ...
19. Subject to the supervisory
formula approach ..........
20. Investors' interest in
securitizations .............
Thou
16.
AABB J140
AABG J140
AABB J141
AABG J141
AABB J142
AABG J142
17.
18.
19.
AABG J143
20.
INSERT #2
Equity Exposures
21. Simple risk-weight
method (SRWA) ...........
22. Full internal models
approach (IMA) ............
23. Partial IMA, partial
SRWA........................
AABG J144
21.
AABG J145
22.
AABG J146
23.
Renumber to 23, 24 and 25
03/2014
06/2008
17.
INSERT #2
Schedule B—Summary Risk-Weighted Asset Information for Banks Approved to Use
Advanced Internal Ratings-Based and Advanced Measurement Approaches for Regulatory Capital Purposes
Dollar amounts in thousand
Exposure Category
Non-Defaulted and Defaulted Exposures
(Column A)
Weighted-Average
Probability of
Default
Bil
Mil
(Column B)
Balance Sheet
Amount
Thou Bil
Mil
(Column C)
Total Undrawn
Amount
Thou Bil
Mil
(Column D)
Exposure
at Default
Thou Bil
Mil
(Column E)
Weighted-Average
Maturity
(Years)
Thou Number
(Column F)
Wtd-Avg LGD after
Consideration of
Credit Risk
Mitigants
Percentage
(Column G)
Risk-Weighted
Assets
Bil
Mil
Securitization Exposures
18. Subject to simplified
XXXXXXXX
XXXXXXXX
Supervisory formula approach
19. Subject to 1,250 % risk
XXXXXXXX
XXXXXXXX
XXXXXXXXX
XXXXXXXXX
XXXXXXXXX
XXXXXXXXX
XXXXXXXXX
XXXXXXXXX
weight………….....………………..
Cleared transactions
20. Derivative contracts and
netting sets to derivatives……
21. Repo-style
Transactions…………………..………
22. Default fund
Contributions …………………………
1
(Column H)
Expected
Credit Loss
Thou Bil
Mil
Thou
For Federal Reserve Bank Use Only
DRAFT
FFIEC 101
Page 6 of 30
B-3
C.I.
Schedule B—Continued
Dollar Amounts in Thousands
Non-Defaulted and Defaulted Exposures
(Column A)
Weighted-Average
Renumber to 26 through 30Probability of
Default
Exposure Category
Percentage
Other Assets
24. Unsettled transactions .....
25. Assets not included in a
defined exposure category ..
26. Non-material portfolios of
exposures.....................
27. Sum of Column G, 1
28
through 26 ....................
28. Total credit risk weighted
assets (cell G-27 x 1.06) ...
29. Assets subject to the 29
general risk-based capital
requirements .................
30. Excess eligible credit
reserves not included in
Advanced
Tier 2 capital .................
31. Market risk equivalent
assets ..........................
(Column B)
Balance Sheet
Amount
Bil
Mil Thou
AABB J147
(Column C)
Total Undrawn
Amount
Bil
Mil
Thou
(Column D)
Exposure
at Default
Bil
Mil
Thou
(Column E)
(Column F)
Weighted-Average Weighted-Average
Maturity
LGD after
(Years)
Consideration
of Credit Risk
Mitigants
Number
Percentage
(Column G)
Risk-Weighted
Assets
Bil
Mil Thou
AABG J147
(Column H)
Expected
Credit Loss
Bil
Mil
Thou
24.
AABB J148
AABG J148
AABB J149
AABG J149
25.
26.
AABG J150
27.
AABG J151
28.
AABG J198
29.
AABG J152
market
30.
AABG J153
31.
AABG J154
32. Operational risk .............
G-30, G-31, G-32, G-34 and G-35,
33. Total (add cells G-28,
G-29, G-31, and G-32,
G-33
and subtract G-30) .........
32.
AABG J155
33.
Renumber to 32 through 36
31. Credit Valuation Adjustments:
a. Simple...........................................
b. Advanced.......................................
AABG Jxxx
AABG Jxxx
AABG Jxxx
AABG Jxxx
31.a.
31.b.
applies to Columns D
and G (Column D will
be confidential)
03/2014
06/2008
DRAFT
FFIEC 101
Page 7 of 30
C-1
Schedule C—Wholesale Exposure: Corporate
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD
(Column C)
Balance
Sheet
Amount
(Column D)
Total
Undrawn
Amount
(Column E)
EAD
PD Range
Percentage
1. 0.00 to < 0.15 .....
Percentage
Number
Number
Percentage
Percentage
AACA J005
AACB J005
AACC J005
AACD J005
AACE J005
AACF J005
AACG J005
AACH J005
AACB J008
AACC J008
AACD J008
AACE J008
AACF J008
AACB J010
AACC J010
AACD J010
AACE J010
AACF J010
AACB J013
AACC J013
AACD J013
AACE J013
AACF J013
AACB J014
AACC J014
AACD J014
AACE J014
AACF J014
AACB J016
AACC J016
AACD J016
AACE J016
AACF J016
AACB J019
AACC J019
AACD J019
AACE J019
AACF J019
AACB J025
AACC J025
AACD J025
AACE J025
AACF J025
AACB J029
AACC J029
AACD J029
AACE J029
AACF J029
AACB J031
AACC J031
AACD J031
AACE J031
AACF J031
AACB J033
AACC J033
AACD J033
AACE J033
AACF J033
AACB J034
AACC J034
AACD J034
AACE J034
AACF J034
AACA J035
AACB J035
AACC J035
AACD J035
AACE J035
AACF J035
AACG J035
13. Total1 ..............
wtd avg
sum
sum
sum
sum
wtd avg
wtd avg
.
.
.
.
AACA J034
12. 100.00 (default) ..
.
.
AACA J033
11. 20.00 to < 100 ....
.
.
AACA J031
10. 10.00 to < 20.00 ..
.
.
AACA J029
9. 5.50 to < 10.00 ...
.
.
AACA J025
8. 2.50 to < 5.50 .....
.
.
AACA J019
7. 1.35 to < 2.50 .....
.
.
AACA J016
6. 0.75 to < 1.35 .....
.
.
AACA J014
5. 0.50 to < 0.75 .....
Mil Thou
.
AACA J013
4. 0.35 to < 0.50 .....
Mil Thou Bil
.
AACA J010
3. 0.25 to < 0.35 .....
Mil Thou Bil
.
AACA J008
2. 0.15 to < 0.25 .....
Bil
(Column F) (Column G) (Column H)
(Column I)
WeightedWeightedWeightedEffect of PD
Average
Average
Average
Substitution
Effective
LGD before
LGD after
and LGD
Maturity Consideration Consideration Adjustment
(Years)
of Eligible of Credit Risk Approaches
Guarantees
Mitigants
on RWA
and Credit
Derivatives
.
.
100.00
.
AACG J008
.
AACG J010
.
AACG J013
.
AACG J014
.
AACG J016
.
AACG J019
.
AACG J025
.
AACG J029
.
AACG J031
.
AACG J033
.
AACG J034
.
Bil
(Column J)
Effect of
Double
Default
Treatment
on RWA
Mil Thou Bil
(Column K)
RiskWeighted
Assets2
Mil Thou Bil
Mil Thou Bil
Mil Thou
AACI J005
AACJ J005
AACK J005
AACL J005
AACI J008
AACJ J008
AACK J008
AACL J008
AACI J010
AACJ J010
AACK J010
AACL J010
AACI J013
AACJ J013
AACK J013
AACL J013
AACI J014
AACJ J014
AACK J014
AACL J014
AACI J016
AACJ J016
AACK J016
AACL J016
AACI J019
AACJ J019
AACK J019
AACL J019
AACI J025
AACJ J025
AACK J025
AACL J025
AACI J029
AACJ J029
AACK J029
AACL J029
AACI J031
AACJ J031
AACK J031
AACL J031
AACI J033
AACJ J033
AACK J033
AACL J033
AACI J034
AACJ J034
AACK J034
AACL J034
AACH J035
AACI J035
AACJ J035
AACK J035
AACL J035
wtd avg
sum
sum
sum
sum
.
AACH J008
1.
.
AACH J010
2.
.
AACH J013
3.
.
AACH J014
4.
.
AACH J016
5.
.
AACH J019
6.
.
AACH J025
7.
.
AACH J029
8.
.
AACH J031
9.
.
AACH J033
10.
.
AACH J034
11.
.
12.
Memoranda
1.
(Column L)
Expected
Credit Loss
Bil
Dollar Amounts in Thousands
13.
Mil Thou
AACX J036
14.
14. Risk-weighted assets associated with non-material portfolios not included above...................................................................................................................
INSERT #3
M.1.
1. Cells in line 13 are calculated.
2. Not calculated from previous column entries.
03/2014
06/2008
INSERT #3 (applies to Schedule C, Memoranda section)
Exposures subject to a wholesale correlation factor multiplier of 1.25
(Column A)
WeightedAverage
Obligor PD
(Column B)
Number of
Obligors
(Column
C Balance
Sheet
Amounts
Percentage
Number
Bil
2. Regulated
XXXXXXXX
financial institutions…
XXXXXXXX
XXXXXXXX XXXXXXXX
XXXXXXXX
3. Unregulated
XXXXXXXX
financial institutions…
XXXXXXXX
XXXXXXXX XXXXXXXX
XXXXXXXX
Mil
(Column D)
Total
Undrawn
Amount
Tho Bil
Mil
(Column E)
EAD
Tho Bil
Mil
Tho Bil
_ _._ _
_ _._ _
(Column F)
WeightedAverage
Effective
maturity
(Years)
Mil
(Column G)
WeightedAverage LGD
before
Consideration
of Eligible
Guarantees
and Credit
Derivatives
Tho Percentage
(Column H)
WeightedAverage LGD
after
Consideration
of Credit Risk
Mitigants
(Column I)
Effect of PD
Substitution
and LGD
Adjustment
Approaches
on RWA
Percentage
Bil
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
_ _._ _
_ _ _._ _
_ _ _._ _
XXXXXXXX
XXXXXXXX
XXXXXXXX
_ _._ _
_ _ _._ _
_ _ _._ _
2
Mil
(Column J)
Effect of
double
Default
Treatment
on RWA
Thou Bil
Mil
(Column K)
RiskWeighted
Assets
Tho Bil
Mil
(Column L)
Expected
Credit Loss
Tho Bil
Mil
Tho
M.2
M.3
DRAFT
FFIEC 101
Page 8 of 30
D-1
Schedule D—Wholesale Exposure: Bank
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD
(Column C)
Balance
Sheet
Amount
(Column D)
Total
Undrawn
Amount
(Column E)
EAD
PD Range
Percentage
1. 0.00 to < 0.15 .....................
Percentage
Number
Number
Percentage
Percentage
AADA J005
AADB J005
AADC J005
AADD J005
AADE J005
AADF J005
AADG J005
AADH J005
AADB J008
AADC J008
AADD J008
AADE J008
AADF J008
AADB J010
AADC J010
AADD J010
AADE J010
AADF J010
AADB J013
AADC J013
AADD J013
AADE J013
AADF J013
AADB J014
AADC J014
AADD J014
AADE J014
AADF J014
AADB J016
AADC J016
AADD J016
AADE J016
AADF J016
AADB J019
AADC J019
AADD J019
AADE J019
AADF J019
AADB J025
AADC J025
AADD J025
AADE J025
AADF J025
AADB J029
AADC J029
AADD J029
AADE J029
AADF J029
AADB J031
AADC J031
AADD J031
AADE J031
AADF J031
AADB J033
AADC J033
AADD J033
AADE J033
AADF J033
AADB J034
AADC J034
AADD J034
AADE J034
AADF J034
AADA J035
AADB J035
AADC J035
AADD J035
AADE J035
AADF J035
AADG J035
13. Total1 ..............................
wtd avg
sum
sum
sum
sum
wtd avg
wtd avg
.
.
.
.
AADA J034
12. 100.00 (default) ..................
.
.
AADA J033
11. 20.00 to < 100 ....................
.
.
AADA J031
10. 10.00 to < 20.00..................
.
.
AADA J029
9. 5.50 to < 10.00 ...................
.
.
AADA J025
8. 2.50 to < 5.50 .....................
.
.
AADA J019
7. 1.35 to < 2.50 .....................
.
.
AADA J016
6. 0.75 to < 1.35 .....................
.
.
AADA J014
5. 0.50 to < 0.75 .....................
Mil Thou
.
AADA J013
4. 0.35 to < 0.50 .....................
Mil Thou Bil
.
AADA J010
3. 0.25 to < 0.35 .....................
Mil Thou Bil
.
AADA J008
2. 0.15 to < 0.25 ....................
Bil
(Column F) (Column G)
(Column H)
WeightedWeightedWeightedAverage
Average
Average
Effective
LGD before
LGD after
Maturity
Consideration Consideration
(Years)
of Eligible
of Credit
Guarantees
Risk
and Credit
Mitigants
Derivatives
.
.
100.00
.
AADG J008
.
AADG J010
.
AADG J013
.
AADG J014
.
AADG J016
.
AADG J019
.
AADG J025
.
AADG J029
.
AADG J031
.
AADG J033
.
AADG J034
.
(Column I)
Effect of PD
Substitution
and LGD
Adjustment
Approaches
on RWA
Bil
(Column J)
RiskWeighted
Assets2
Mil Thou Bil
Mil Thou Bil
Mil Thou
AADI J005
AADJ J005
AADK J005
AADI J008
AADJ J008
AADK J008
AADI J010
AADJ J010
AADK J010
AADI J013
AADJ J013
AADK J013
AADI J014
AADJ J014
AADK J014
AADI J016
AADJ J016
AADK J016
AADI J019
AADJ J019
AADK J019
AADI J025
AADJ J025
AADK J025
AADI J029
AADJ J029
AADK J029
AADI J031
AADJ J031
AADK J031
AADI J033
AADJ J033
AADK J033
AADI J034
AADJ J034
AADK J034
AADH J035
AADI J035
AADJ J035
AADK J035
wtd avg
sum
sum
sum
.
1.
AADH J008
.
2.
AADH J010
.
3.
AADH J013
.
4.
AADH J014
.
5.
AADH J016
.
6.
AADH J019
.
7.
AADH J025
.
8.
AADH J029
.
9.
AADH J031
.
10.
AADH J033
.
11.
AADH J034
.
12.
Memoranda
1.
(Column K)
Expected
Credit Loss
Bil
Dollar Amounts in Thousands
13.
Mil Thou
AADX J036
14.
14. Risk-weighted assets associated with non-material portfolios not included above...................................................................................................................
INSERT #4
M.1.
1. Cells in line 13 are calculated.
2. Not calculated from previous column entries.
03/2014
06/2008
INSERT #4 (applies to Schedules D, Memoranda section)
(Column A)
WeightedAverage
Obligor PD
(Column B)
Number of
Obligors
(Column
C Balance
Sheet
Amounts
Percentage
Number
Bil
2. Unregulated
XXXXXXXX
financial institutions…
XXXXXXXX
XXXXXXXX XXXXXXXX
3. Regulated
XXXXXXXX
financial institutions…
XXXXXXXX
Mil
(Column D)
Total
Undrawn
Amount
Tho Bil
Mil
(Column E)
EAD
Tho Bil
Mil
Tho Bil
XXXXXXXX
_ _._ _
XXXXXXXX XXXXXXXX
_ _._ _
(Column F)
WeightedAverage
Effective
maturity
(Years)
XXXXXXXX
Mil
(Column G)
WeightedAverage LGD
before
Consideration
of Eligible
Guarantees
and Credit
Derivatives
Tho Percentage
(Column H)
WeightedAverage LGD
after
Consideration
of Credit Risk
Mitigants
(Column I)
Effect of PD
Substitution
and LGD
Adjustment
Approaches
on RWA
Percentage
Bil
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
_ _._ _
_ _ _._ _
_ _ _._ _
XXXXXXXX
XXXXXXXX
XXXXXXXX
_ _._ _
_ _ _._ _
_ _ _._ _
reverse the line item captions item 2 should be: Regulated financial institutions
item 3 should be: Unregulated financial institutions
3
Mil
(Column J)
RiskWeighted
Assets
Tho Bil
Tho Bil
(Column K)
Expected
Credit Loss
Mil
Tho Bil
M.2
M.3
DRAFT
FFIEC 101
Page 9 of 30
E-1
Schedule E—Wholesale Exposure: Sovereign
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD
(Column C)
Balance
Sheet
Amount
(Column D)
Total
Undrawn
Amount
(Column E)
EAD
PD Range
Percentage
1. 0.00 to < 0.15 .....................
Percentage
Number
Number
Percentage
Percentage
AAEA J005
AAEB J005
AAEC J005
AAED J005
AAEE J005
AAEF J005
AAEG J005
AAEH J005
AAEB J008
AAEC J008
AAED J008
AAEE J008
AAEF J008
AAEB J010
AAEC J010
AAED J010
AAEE J010
AAEF J010
AAEB J013
AAEC J013
AAED J013
AAEE J013
AAEF J013
AAEB J014
AAEC J014
AAED J014
AAEE J014
AAEF J014
AAEB J016
AAEC J016
AAED J016
AAEE J016
AAEF J016
AAEB J019
AAEC J019
AAED J019
AAEE J019
AAEF J019
AAEB J025
AAEC J025
AAED J025
AAEE J025
AAEF J025
AAEB J029
AAEC J029
AAED J029
AAEE J029
AAEF J029
AAEB J031
AAEC J031
AAED J031
AAEE J031
AAEF J031
AAEB J033
AAEC J033
AAED J033
AAEE J033
AAEF J033
AAEB J034
AAEC J034
AAED J034
AAEE J034
AAEF J034
AAEA J035
AAEB J035
AAEC J035
AAED J035
AAEE J035
AAEF J035
AAEG J035
13. Total1 ..............................
wtd avg
sum
sum
sum
sum
wtd avg
wtd avg
.
.
.
.
AAEA J034
12. 100.00 (default) ..................
.
.
AAEA J033
11. 20.00 to < 100 ....................
.
.
AAEA J031
10. 10.00 to < 20.00..................
.
.
AAEA J029
9. 5.50 to < 10.00 ...................
.
.
AAEA J025
8. 2.50 to < 5.50 .....................
.
.
AAEA J019
7. 1.35 to < 2.50 .....................
.
.
AAEA J016
6. 0.75 to < 1.35 .....................
.
.
AAEA J014
5. 0.50 to < 0.75 .....................
Mil Thou
.
AAEA J013
4. 0.35 to < 0.50 .....................
Mil Thou Bil
.
AAEA J010
3. 0.25 to < 0.35 .....................
Mil Thou Bil
.
AAEA J008
2. 0.15 to < 0.25 ....................
Bil
(Column F) (Column G)
(Column H)
WeightedWeightedWeightedAverage
Average
Average
Effective
LGD before
LGD after
Maturity
Consideration Consideration
(Years)
of Eligible
of Credit
Guarantees
Risk
and Credit
Mitigants
Derivatives
.
.
100.00
.
AAEG J008
.
AAEG J010
.
AAEG J013
.
AAEG J014
.
AAEG J016
.
AAEG J019
.
AAEG J025
.
AAEG J029
.
AAEG J031
.
AAEG J033
.
AAEG J034
.
(Column I)
Effect of PD
Substitution
and LGD
Adjustment
Approaches
on RWA
Bil
(Column J)
RiskWeighted
Assets2
Mil Thou Bil
(Column K)
Expected
Credit Loss
Mil Thou Bil
Mil Thou
AAEI J005
AAEJ J005
AAEK J005
AAEI J008
AAEJ J008
AAEK J008
AAEI J010
AAEJ J010
AAEK J010
AAEI J013
AAEJ J013
AAEK J013
AAEI J014
AAEJ J014
AAEK J014
AAEI J016
AAEJ J016
AAEK J016
AAEI J019
AAEJ J019
AAEK J019
AAEI J025
AAEJ J025
AAEK J025
AAEI J029
AAEJ J029
AAEK J029
AAEI J031
AAEJ J031
AAEK J031
AAEI J033
AAEJ J033
AAEK J033
AAEI J034
AAEJ J034
AAEK J034
AAEH J035
AAEI J035
AAEJ J035
AAEK J035
wtd avg
sum
sum
sum
.
1.
AAEH J008
.
2.
AAEH J010
.
3.
AAEH J013
.
4.
AAEH J014
.
5.
AAEH J016
.
6.
AAEH J019
.
7.
AAEH J025
.
8.
AAEH J029
.
9.
AAEH J031
.
10.
AAEH J033
.
11.
AAEH J034
.
12.
Memoranda
Bil
Dollar Amounts in Thousands
Mil Thou
AAEX J036
14.
14. Risk-weighted assets associated with non-material portfolios not included above...................................................................................................................
1.
1. Cells in line 13 are calculated.
2. Not calculated from previous column entries.
13.
M.1.
03/2014
06/2008
DRAFT
FFIEC 101
Page 10 of 30
F-1
Schedule F—Wholesale Exposure: IPRE
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD
(Column C)
Balance
Sheet
Amount
(Column D)
Total
Undrawn
Amount
(Column E)
EAD
PD Range
Percentage
1. 0.00 to < 0.15 .....
Percentage
Number
Number
Percentage
Percentage
AAFA J005
AAFB J005
AAFC J005
AAFD J005
AAFE J005
AAFF J005
AAFG J005
AAFH J005
AAFB J008
AAFC J008
AAFD J008
AAFE J008
AAFF J008
AAFB J010
AAFC J010
AAFD J010
AAFE J010
AAFF J010
AAFB J013
AAFC J013
AAFD J013
AAFE J013
AAFF J013
AAFB J014
AAFC J014
AAFD J014
AAFE J014
AAFF J014
AAFB J016
AAFC J016
AAFD J016
AAFE J016
AAFF J016
AAFB J019
AAFC J019
AAFD J019
AAFE J019
AAFF J019
AAFB J025
AAFC J025
AAFD J025
AAFE J025
AAFF J025
AAFB J029
AAFC J029
AAFD J029
AAFE J029
AAFF J029
AAFB J031
AAFC J031
AAFD J031
AAFE J031
AAFF J031
AAFB J033
AAFC J033
AAFD J033
AAFE J033
AAFF J033
AAFB J034
AAFC J034
AAFD J034
AAFE J034
AAFF J034
AAFA J035
AAFB J035
AAFC J035
AAFD J035
AAFE J035
AAFF J035
AAFG J035
13. Total1 ..............
wtd avg
sum
sum
sum
sum
wtd avg
wtd avg
.
.
.
.
AAFA J034
12. 100.00 (default) ..
.
.
AAFA J033
11. 20.00 to < 100 ....
.
.
AAFA J031
10. 10.00 to < 20.00..
.
.
AAFA J029
9. 5.50 to < 10.00 ...
.
.
AAFA J025
8. 2.50 to < 5.50 .....
.
.
AAFA J019
7. 1.35 to < 2.50 .....
.
.
AAFA J016
6. 0.75 to < 1.35 .....
.
.
AAFA J014
5. 0.50 to < 0.75 .....
Mil Thou
.
AAFA J013
4. 0.35 to < 0.50 .....
Mil Thou Bil
.
AAFA J010
3. 0.25 to < 0.35 .....
Mil Thou Bil
.
AAFA J008
2. 0.15 to < 0.25 .....
Bil
(Column F) (Column G) (Column H)
(Column I)
WeightedWeightedWeightedEffect of PD
Average
Average
Average
Substitution
Effective
LGD before
LGD after
and LGD
Maturity Consideration Consideration Adjustment
(Years)
of Eligible of Credit Risk Approaches
Guarantees
Mitigants
on RWA
and Credit
Derivatives
.
.
100.00
.
AAFG J008
.
AAFG J010
.
AAFG J013
.
AAFG J014
.
AAFG J016
.
AAFG J019
.
AAFG J025
.
AAFG J029
.
AAFG J031
.
AAFG J033
.
AAFG J034
.
Bil
(Column J)
Effect of
Double
Default
Treatment
on RWA
Mil Thou Bil
(Column K)
RiskWeighted
Assets2
Mil Thou Bil
(Column L)
Expected
Credit Loss
Mil Thou Bil
Mil Thou
AAFI J005
AAFJ J005
AAFK J005
AAFL J005
AAFI J008
AAFJ J008
AAFK J008
AAFL J008
AAFI J010
AAFJ J010
AAFK J010
AAFL J010
AAFI J013
AAFJ J013
AAFK J013
AAFL J013
AAFI J014
AAFJ J014
AAFK J014
AAFL J014
AAFI J016
AAFJ J016
AAFK J016
AAFL J016
AAFI J019
AAFJ J019
AAFK J019
AAFL J019
AAFI J025
AAFJ J025
AAFK J025
AAFL J025
AAFI J029
AAFJ J029
AAFK J029
AAFL J029
AAFI J031
AAFJ J031
AAFK J031
AAFL J031
AAFI J033
AAFJ J033
AAFK J033
AAFL J033
AAFI J034
AAFJ J034
AAFK J034
AAFL J034
AAFH J035
AAFI J035
AAFJ J035
AAFK J035
AAFL J035
wtd avg
sum
sum
sum
sum
.
AAFH J008
1.
.
AAFH J010
2.
.
AAFH J013
3.
.
AAFH J014
4.
.
AAFH J016
5.
.
AAFH J019
6.
.
AAFH J025
7.
.
AAFH J029
8.
.
AAFH J031
9.
.
AAFH J033
10.
.
AAFH J034
11.
.
12.
Memoranda
Bil
Dollar Amounts in Thousands
Mil Thou
AAFX J036
14.
14. Risk-weighted assets associated with non-material portfolios not included above...................................................................................................................
1.
13.
M.1.
1. Cells in line 13 are calculated.
2. Not calculated from previous column entries.
03/2014
06/2008
DRAFT
FFIEC 101
Page 11 of 30
G-1
Schedule G—Wholesale Exposure: HVCRE
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD
(Column C)
Balance
Sheet
Amount
(Column D)
Total
Undrawn
Amount
(Column E)
EAD
PD Range
Percentage
1. 0.00 to < 0.15 .....
Percentage
Number
Number
Percentage
Percentage
AAGA J005
AAGB J005
AAGC J005
AAGD J005
AAGE J005
AAGF J005
AAGG J005
AAGH J005
AAGB J008
AAGC J008
AAGD J008
AAGE J008
AAGF J008
AAGB J010
AAGC J010
AAGD J010
AAGE J010
AAGF J010
AAGB J013
AAGC J013
AAGD J013
AAGE J013
AAGF J013
AAGB J014
AAGC J014
AAGD J014
AAGE J014
AAGF J014
AAGB J016
AAGC J016
AAGD J016
AAGE J016
AAGF J016
AAGB J019
AAGC J019
AAGD J019
AAGE J019
AAGF J019
AAGB J025
AAGC J025
AAGD J025
AAGE J025
AAGF J025
AAGB J029
AAGC J029
AAGD J029
AAGE J029
AAGF J029
AAGB J031
AAGC J031
AAGD J031
AAGE J031
AAGF J031
AAGB J033
AAGC J033
AAGD J033
AAGE J033
AAGF J033
AAGB J034
AAGC J034
AAGD J034
AAGE J034
AAGF J034
AAGA J035
AAGB J035
AAGC J035
AAGD J035
AAGE J035
AAGF J035
AAGG J035
13. Total1 ..............
wtd avg
sum
sum
sum
sum
wtd avg
wtd avg
.
.
.
.
AAGA J034
12. 100.00 (default) ..
.
.
AAGA J033
11. 20.00 to < 100 ....
.
.
AAGA J031
10. 10.00 to < 20.00..
.
.
AAGA J029
9. 5.50 to < 10.00 ...
.
.
AAGA J025
8. 2.50 to < 5.50 .....
.
.
AAGA J019
7. 1.35 to < 2.50 .....
.
.
AAGA J016
6. 0.75 to < 1.35 .....
.
.
AAGA J014
5. 0.50 to < 0.75 .....
Mil Thou
.
AAGA J013
4. 0.35 to < 0.50 .....
Mil Thou Bil
.
AAGA J010
3. 0.25 to < 0.35 .....
Mil Thou Bil
.
AAGA J008
2. 0.15 to < 0.25 .....
Bil
(Column F) (Column G) (Column H)
(Column I)
WeightedWeightedWeightedEffect of PD
Average
Average
Average
Substitution
Effective
LGD before
LGD after
and LGD
Maturity Consideration Consideration Adjustment
(Years)
of Eligible of Credit Risk Approaches
Guarantees
Mitigants
on RWA
and Credit
Derivatives
.
.
100.00
Memoranda
.
AAGG J008
.
AAGG J010
.
AAGG J013
.
AAGG J014
.
AAGG J016
.
AAGG J019
.
AAGG J025
.
AAGG J029
.
AAGG J031
.
AAGG J033
.
AAGG J034
.
Bil
(Column J)
Effect of
Double
Default
Treatment
on RWA
Mil Thou Bil
(Column K)
RiskWeighted
Assets2
Mil Thou Bil
(Column L)
Expected
Credit Loss
Mil Thou Bil
Mil Thou
AAGI J005
AAGJ J005
AAGK J005
AAGL J005
AAGI J008
AAGJ J008
AAGK J008
AAGL J008
AAGI J010
AAGJ J010
AAGK J010
AAGL J010
AAGI J013
AAGJ J013
AAGK J013
AAGL J013
AAGI J014
AAGJ J014
AAGK J014
AAGL J014
AAGI J016
AAGJ J016
AAGK J016
AAGL J016
AAGI J019
AAGJ J019
AAGK J019
AAGL J019
AAGI J025
AAGJ J025
AAGK J025
AAGL J025
AAGI J029
AAGJ J029
AAGK J029
AAGL J029
AAGI J031
AAGJ J031
AAGK J031
AAGL J031
AAGI J033
AAGJ J033
AAGK J033
AAGL J033
AAGI J034
AAGJ J034
AAGK J034
AAGL J034
AAGH J035
AAGI J035
AAGJ J035
AAGK J035
AAGL J035
wtd avg
sum
sum
sum
sum
.
AAGH J008
1.
.
AAGH J010
2.
.
AAGH J013
3.
.
AAGH J014
4.
.
AAGH J016
5.
.
AAGH J019
6.
.
AAGH J025
7.
.
AAGH J029
8.
.
AAGH J031
9.
.
AAGH J033
10.
.
AAGH J034
11.
.
12.
Bil
Dollar Amounts in Thousands
13.
Mil Thou
AAGX J036
14. Risk-weighted assets associated with non-material portfolios not included above...................................................................................................................
1.
14.
M.1.
1. Cells in line 13 are calculated.
2. Not calculated from previous column entries.
03/2014
06/2008
DRAFT
FFIEC 101
Page 12 of 30
H-1
Schedule H—Wholesale Exposure: Eligible Margin Loans, Repo-Style Transactions, and OTC Derivatives
with Cross-Product Netting
Dollar Amounts in Thousands
Exposures with EAD Adjustment
PD Range
Percentage
1. 0.00 to < 0.03 .......
(Column A) (Column B)
Weighted- WeightedAverage PD Average
Effective
Maturity
(Years)
Percentage
Number
AAHA J001
AAHB J001
.
.
.
.
.
.
.
.
.
12. 100.00 (default) ....
AAHB J012
AAHB J014
AAHB J016
AAHB J019
AAHB J025
AAHB J029
.
AAHB J032
AAHD J008
AAHC J012
AAHD J012
AAHC J014
AAHD J014
AAHC J016
AAHD J016
AAHC J019
AAHD J019
AAHC J025
AAHD J025
AAHC J029
AAHD J029
AAHC J032
AAHD J032
AAHB J034
AAHC J034
AAHD J034
100.00
.
Mil Thou Bil
Mil Thou
Percentage
Number
AAHF J001
AAHG J001
AAHH J001
AAHE J003
AAHF J003
AAHG J003
AAHE J006
AAHF J006
AAHG J006
AAHE J008
AAHF J008
AAHG J008
AAHE J012
AAHF J012
AAHG J012
AAHE J014
AAHF J014
AAHG J014
AAHE J016
AAHF J016
AAHG J016
AAHE J019
AAHF J019
AAHG J019
AAHE J025
AAHF J025
AAHG J025
AAHE J029
AAHF J029
AAHG J029
AAHE J032
AAHF J032
AAHG J032
AAHE J034
AAHF J034
AAHG J034
AAHH J034
100.00
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
AAHC J037
(Column G) (Column H)
Weighted- WeightedAverage
Average
PD
Maturity
(Years)
AAHE J001
.
.
AAHA J034
13. Eligible margin
loans where a
300% risk weight
has been applied...
14. Total1 ................
AAHC J008
.
AAHA J032
11. 10.00 to < 100 ......
AAHB J008
Bil
(Column F)
Expected
Credit Loss
.
.
.
AAHA J029
10. 5.50 to < 10.00 .....
AAHD J006
.
AAHA J025
9. 2.50 to < 5.50 .......
AAHC J006
.
AAHA J019
8. 1.35 to < 2.50 .......
AAHB J006
Exposures Where Collateral Is Reflected in LGD
(Column E)
RiskWeighted
Assets2
.
.
AAHA J016
7. 0.75 to < 1.35 .......
AAHD J003
.
AAHA J014
6. 0.50 to < 0.75 .......
AAHC J003
.
AAHA J012
5. 0.25 to < 0.50 .......
AAHB J003
Percentage
AAHD J001
.
AAHA J008
4. 0.15 to < 0.25 .......
Mil Thou
(Column D)
WeightedAverage
LGD
AAHC J001
.
AAHA J006
3. 0.10 to < 0.15 .......
Bil
.
AAHA J003
2. 0.03 to < 0.10 .......
(Column C)
EAD
(Column I)
EAD
Bil
Mil Thou
AAHJ J003
AAHI J006
AAHJ J006
AAHI J008
AAHJ J008
AAHI J012
AAHJ J012
AAHI J014
AAHJ J014
AAHI J016
AAHJ J016
AAHI J019
AAHJ J019
AAHI J025
AAHJ J025
AAHI J029
AAHJ J029
AAHI J032
AAHJ J032
AAHI J034
AAHJ J034
AAHL J006
AAHK J008
AAHL J008
AAHK J012
AAHL J012
AAHK J014
AAHL J014
AAHK J016
AAHL J016
AAHK J019
AAHL J019
AAHK J025
AAHL J025
AAHK J029
AAHL J029
AAHK J032
AAHL J032
AAHK J034
AAHL J034
2.
3.
4.
5.
6.
.
7.
.
8.
.
.
AAHH J032
AAHK J006
1.
.
.
AAHH J029
AAHL J003
.
.
AAHH J025
AAHK J003
.
.
AAHH J019
Mil Thou
AAHL J001
.
.
AAHH J016
Mil Thou Bil
AAHK J001
.
.
AAHH J014
(Column L)
Expected
Credit Loss
.
.
AAHH J012
Bil
AAHI J003
.
AAHH J008
Percentage
AAHJ J001
.
AAHH J006
(Column K)
RiskWeighted
Assets2
AAHI J001
.
AAHH J003
(Column J)
WeightedAverage
LGD
9.
.
.
10.
.
11.
.
12.
AAHE J037
13.
AAHA J035
AAHB J035
AAHC J035
AAHD J035
AAHE J035
AAHF J035
AAHG J035
AAHH J035
AAHI J035
AAHJ J035
AAHK J035
AAHL J035
wtd avg
wtd avg
sum
wtd avg
sum
sum
wtd avg
wtd avg
sum
wtd avg
sum
sum
14.
Insert #5
1. Cells in line 14 are calculated.
2. Not calculated from previous column entries.
03/2014
06/2008
INSERT #5 (applies to Schedule H)
Memoranda
Exposures subject to a wholesale correlation factor multiplier of 1.25
Exposures with EAD Adjustments
(Column
C)
EAD
Percentage
(Column B)
WeightedAverage
Effective
Maturity
(Years)
Number
1. Regulated
Institutions………….
XXXXXXXX
XXXXXXXX
XXXXXXXX XXXXXXXX
_ _._ _
_ _._ _
2. Unregulated
Institutions………….
XXXXXXXX
XXXXXXXX
_ _._ _
_ _._ _
PD Range
(Column A)
WeightedAverage PD
Bil
Mil
(Column D)
WeightedAverage
LGD
Tho Percentage
Exposures Where Collateral Is Reflected in LGD
(Column E)
RiskWeighted
Assets
Bil
Mil
(Column F)
Expected
Credit Loss
Tho Bil
XXXXXXXX
Mil
XXXXXXXX
XXXXXXXX
XXXXXXXX
_ _ _._ _
(Column H)
WeightedAverage
Maturity
(Years)
(Column I)
EAD
Number
Bil
XXXXXXXX
XXXXXXXX
XXXXXXXX
_ _._ _
_ _._ _
XXXXXXXX
XXXXXXXX
_ _._ _
_ _._ _
Tho Percentage
_ _ _._ _
XXXXXXXX XXXXXXXX
(Column G)
WeightedAverage
PD
Mil
(Column J)
WeightedAverage
LGD
Tho Percentage
XXXXXXXX
(Column K)
RiskWeighted
Assets
Bil
Mil
(Column L)
Expected
Credit Loss
Tho Bil
Mil
Tho
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
_ _ _._ _
XXXXXXXX
XXXXXXXX
M.1
_ _ _._ _
M.2
IMM Margin Period of Risk and Specific Wrong Way Risk
Exposures with specific wrongway risk for which the bank
would otherwise apply the
IMM.
(Column B)
Risk-Weighted
Assets
Holding period or Margin Period
of risk set for at least twice the
minimum holding period that
would otherwise be used (due to
at least 3 disputes)
(Column C)
(Column D)
Exposure
Risk-Weighted
Amount
Assets
XXXXXXX
XXXXXXX
XXXXXXX
Holding Period or
Margin Period of risk
set for 20 days
(Column A)
Exposure
Amount
(Column E)
Exposure
Amount
Holding Period, Margin Period of Risk and Specific Wrong Way Risk
XXXXXXX
3. Exposure amount and risk-weighted assets…………..………………………………………………
XXXXXXX
(Column F)
RiskWeighted
Assets
XXXXXXX
M.3
4
FFIEC 101
Page 13 of 30
I-1
Schedule I—Wholesale Exposure: Eligible Margin Loans and Repo-Style Transactions
No Cross-Product Netting
DRAFT
Dollar Amounts in Thousands
Exposures with EAD Adjustment
PD Range
Percentage
1. 0.00 to < 0.03 .......
(Column A) (Column B)
Weighted- WeightedAverage PD Average
Effective
Maturity
(Years)
Percentage
Number
AAIA J001
AAIB J001
.
.
12. 100.00 (default) ....
AAIB J016
.
AAID J006
AAIC J008
AAID J008
AAIC J012
AAID J012
AAIC J014
AAID J014
AAIC J016
AAID J016
AAIC J019
AAID J019
.
AAIC J025
AAID J025
AAIB J029
AAIC J029
AAID J029
.
AAIC J032
AAID J032
.
AAIB J034
AAIC J034
AAID J034
100.00
.
Number
AAIG J001
AAIH J001
AAIE J003
AAIF J003
AAIG J003
AAIE J006
AAIF J006
AAIG J006
AAIE J008
AAIF J008
AAIG J008
AAIE J012
AAIF J012
AAIG J012
AAIE J014
AAIF J014
AAIG J014
AAIE J016
AAIF J016
AAIG J016
AAIE J019
AAIF J019
AAIG J019
AAIE J025
AAIF J025
AAIG J025
AAIE J029
AAIF J029
AAIG J029
AAIE J032
AAIF J032
AAIG J032
AAIE J034
AAIF J034
AAIG J034
AAIH J034
100.00
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
AAIA J034
Mil Thou
.
.
AAIB J032
Percentage
AAIF J001
.
.
.
Mil Thou Bil
(Column G) (Column H)
Weighted- WeightedAverage
Average
PD
Maturity
(Years)
AAIE J001
.
.
AAIB J025
Bil
(Column F)
Expected
Credit Loss
.
.
AAIB J019
.
.
.
(Column I)
EAD
Bil
Mil Thou
(Column J)
WeightedAverage
LGD
(Column K)
RiskWeighted
Assets2
Percentage
Bil
AAII J001
AAIJ J001
AAII J003
AAIJ J003
AAII J006
AAIJ J006
AAII J008
AAIJ J008
AAII J012
AAIJ J012
AAII J014
AAIJ J014
AAII J016
AAIJ J016
AAII J019
AAIJ J019
AAII J025
AAIJ J025
AAII J029
AAIJ J029
AAII J032
AAIJ J032
AAII J034
AAIJ J034
.
AAIH J006
AAIK J012
AAIL J012
AAIK J014
AAIL J014
AAIK J016
AAIL J016
AAIK J019
AAIL J019
AAIK J025
AAIL J025
AAIK J029
AAIL J029
AAIK J032
AAIL J032
AAIK J034
AAIL J034
3.
4.
5.
6.
7.
8.
.
.
AAIH J032
AAIL J008
.
.
AAIH J029
AAIK J008
2.
.
.
AAIH J025
AAIL J006
.
.
AAIH J019
AAIK J006
1.
.
.
AAIH J016
AAIL J003
.
.
AAIH J014
AAIK J003
.
.
AAIH J012
Mil Thou
AAIL J001
.
.
AAIH J008
Mil Thou Bil
AAIK J001
.
.
AAIH J003
(Column L)
Expected
Credit Loss
9.
.
.
10.
.
11.
.
12.
(Column B)
13. Eligible margin
loans where a
300% risk weight
has been applied...
14. Total1 ................
AAIC J006
Exposures Where Collateral Is Reflected in LGD
(Column E)
RiskWeighted
Assets2
.
.
AAIA J032
11. 10.00 to < 100 ......
AAIB J014
.
AAIA J029
10. 5.50 to < 10.00 .....
AAID J003
.
AAIA J025
9. 2.50 to < 5.50 .......
AAIB J012
.
AAIA J019
8. 1.35 to < 2.50 .......
AAIC J003
.
AAIA J016
7. 0.75 to < 1.35 .......
AAIB J008
Percentage
AAID J001
.
AAIA J014
6. 0.50 to < 0.75 .......
AAIB J006
.
AAIA J012
5. 0.25 to < 0.50 .......
Mil Thou
(Column D)
WeightedAverage
LGD
AAIC J001
.
AAIA J008
4. 0.15 to < 0.25 .......
AAIB J003
.
AAIA J006
3. 0.10 to < 0.15 .......
Bil
.
AAIA J003
2. 0.03 to < 0.10 .......
(Column C)
EAD
AAIC J037
AAIE J037
(Column A)
(Column C)
13.
AAIA J035
AAIB J035
AAIC J035
AAID J035
AAIE J035
AAIF J035
AAIG J035
AAIH J035
AAII J035
AAIJ J035
AAIK J035
AAIL J035
wtd avg
wtd avg
sum
wtd avg
sum
sum
wtd avg
wtd avg
sum
wtd avg
sum
sum
M1
Collateral Haircut
M2
Simple VaR
M3
Internal Models
AAIX J038
AAIX J039
AAIX J040
Memoranda
EAD Adjustment Method
1.
15. Percent of line 14, column C calculated using.........................................................................................................................
Insert #6
1. Cells in line 14 are calculated.
2. Not calculated from previous column entries.
.
.
.
14.
15.
M.1.
03/2014
06/2008
INSERT #6 (applies to Schedule I, Memoranda section)
Exposures subject to a wholesale correlation factor multiplier of 1.25
Exposures with EAD Adjustments
(Column
C)
EAD
Percentage
(Column B)
WeightedAverage
Effective
Maturity
(Years)
Number
2. Regulated
Institutions………….
XXXXXXXX
XXXXXXXX
XXXXXXXX XXXXXXXX
_ _._ _
_ _._ _
3. Unregulated
Institutions………….
XXXXXXXX
XXXXXXXX
_ _._ _
_ _._ _
PD Range
(Column A)
WeightedAverage PD
Bil
Mil
(Column D)
WeightedAverage
LGD
Tho Percentage
Exposures Where Collateral Is Reflected in LGD
(Column E)
RiskWeighted
Assets
Bil
Mil
(Column F)
Expected
Credit Loss
Tho Bil
XXXXXXXX
Mil
XXXXXXXX
XXXXXXXX
XXXXXXXX
_ _ _._ _
(Column H)
WeightedAverage
Maturity
(Years)
(Column I)
EAD
Number
Bil
XXXXXXXX
XXXXXXXX
XXXXXXXX
_ _._ _
_ _._ _
XXXXXXXX
XXXXXXXX
_ _._ _
_ _._ _
Tho Percentage
_ _ _._ _
XXXXXXXX XXXXXXXX
(Column G)
WeightedAverage
PD
Mil
(Column J)
WeightedAverage
LGD
Tho Percentage
XXXXXXXX
(Column K)
RiskWeighted
Assets
Bil
Mil
(Column L)
Expected
Credit Loss
Tho Bil
Mil
Tho
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
_ _ _._ _
XXXXXXXX
XXXXXXXX
M.2
_ _ _._ _
M.3
IMM Margin Period of Risk and Specific Wrong Way Risk
Exposures with specific wrongway risk for which the bank
would otherwise apply the
IMM.
(Column B)
Risk-Weighted
Assets
Holding period or Margin Period
of risk set for at least twice the
minimum holding period that
would otherwise be used (due to
at least 3 disputes)
(Column C)
(Column D)
Exposure
Risk-Weighted
Amount
Assets
XXXXXXX
XXXXXXX
XXXXXXX
Holding Period or
Margin Period of risk
set for 20 days
(Column A)
Exposure
Amount
(Column E)
Exposure
Amount
Holding Period, Margin Period of Risk and Specific Wrong Way Risk
XXXXXXX
4. Exposure amount and risk-weighted assets…………..………………………………………………
XXXXXXX
(Column F)
RiskWeighted
Assets
XXXXXXX
M.4
5
Schedule J—Wholesale Exposure: OTC Derivatives
No Cross-Product Netting
FFIEC 101
Page 14 of 30
J-1
DRAFT
Dollar Amounts in Thousands
Exposures Where Collateral Is Reflected in LGD3
Exposures with EAD Adjustment
(Column A) (Column B)
Weighted- WeightedAverage PD Average
Effective
Maturity
(Years)
PD Range
Percentage
1. 0.00 to < 0.03 .......
Percentage
Number
AAJA J001
AAJB J001
.
.
.
.
.
.
.
.
.
12. 100.00 (default) ....
13. Total1 ..............
AAJC J008
AAJD J008
AAJB J012
AAJC J012
AAJD J012
AAJB J014
AAJC J014
AAJD J014
AAJB J016
AAJC J016
AAJD J016
AAJB J019
AAJC J019
AAJD J019
AAJB J025
AAJC J025
AAJD J025
AAJB J029
AAJC J029
AAJD J029
.
AAJB J032
AAJC J032
AAJD J032
AAJC J034
AAJD J034
Mil Thou Bil
Mil Thou
Percentage
Number
AAJF J001
AAJG J001
AAJH J001
AAJE J003
AAJF J003
AAJG J003
AAJE J006
AAJF J006
AAJG J006
AAJE J008
AAJF J008
AAJG J008
AAJE J012
AAJF J012
AAJG J012
AAJE J014
AAJF J014
AAJG J014
AAJE J016
AAJF J016
AAJG J016
AAJE J019
AAJF J019
AAJG J019
AAJE J025
AAJF J025
AAJG J025
AAJE J029
AAJF J029
AAJG J029
AAJE J032
AAJF J032
AAJG J032
AAJE J034
AAJF J034
AAJG J034
AAJH J034
100.00
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
(Column G) (Column H)
Weighted- WeightedAverage
Average
PD
Maturity
(Years)
AAJE J001
.
.
AAJA J032
11. 10.00 to < 100 ......
AAJB J008
Bil
(Column F)
Expected
Credit Loss
.
.
.
AAJA J029
10. 5.50 to < 10.00 .....
AAJD J006
.
AAJA J025
9. 2.50 to < 5.50 .......
AAJC J006
.
AAJA J019
8. 1.35 to < 2.50 .......
AAJB J006
(Column E)
RiskWeighted
Assets2
.
.
AAJA J016
7. 0.75 to < 1.35 .......
AAJD J003
.
AAJA J014
6. 0.50 to < 0.75 .......
AAJC J003
.
AAJA J012
5. 0.25 to < 0.50 .......
AAJB J003
Percentage
AAJD J001
.
AAJA J008
4. 0.15 to < 0.25 .......
Mil Thou
(Column D)
WeightedAverage
LGD
AAJC J001
.
AAJA J006
3. 0.10 to < 0.15 .......
Bil
.
AAJA J003
2. 0.03 to < 0.10 .......
(Column C)
EAD
.
.
Mil Thou
AAJI J006
AAJJ J006
AAJI J008
AAJJ J008
AAJI J012
AAJJ J012
AAJI J014
AAJJ J014
AAJI J016
AAJJ J016
AAJI J019
AAJJ J019
AAJI J025
AAJJ J025
AAJI J029
AAJJ J029
AAJI J032
AAJJ J032
AAJI J034
AAJJ J034
.
AAJA J035
AAJB J035
AAJC J035
AAJD J035
AAJE J035
AAJF J035
AAJG J035
AAJH J035
wtd avg
wtd avg
sum
wtd avg
sum
sum
wtd avg
wtd avg
AAJK J006
AAJL J006
AAJK J008
AAJL J008
AAJK J012
AAJL J012
AAJK J014
AAJL J014
AAJK J016
AAJL J016
AAJK J019
AAJL J019
AAJK J025
AAJL J025
AAJK J029
AAJL J029
AAJK J032
AAJL J032
AAJK J034
AAJL J034
AAJK J035
AAJL J035
sum
sum
1.
2.
3.
4.
5.
.
6.
.
7.
.
8.
.
9.
.
.
100.00
AAJL J003
.
.
AAJH J032
AAJK J003
.
.
AAJH J029
10.
.
11.
(Column B)
.
AAJI(Column
J035
AAJJ
A) J035
sum
wtd avg
EAD Adjustment Method
12.
14. Percent of line 13, column C calculated using..........................................................................................................................................
1. Cells in line 13 are calculated.
2. Not calculated from previous column entries.
3. Report exposures for which the bank uses the current exposure methodology to determine EAD and reflects collateral, if any, in LGD.
13.
M1
M2
Collateral Haircut Internal Models
AAJX J038
1.
Insert #7
Mil Thou
AAJL J001
.
.
AAJH J025
Mil Thou Bil
AAJK J001
.
.
AAJH J019
(Column L)
Expected
Credit Loss
.
.
AAJH J016
Bil
AAJJ J003
.
AAJH J014
Percentage
AAJI J003
.
AAJH J012
(Column K)
RiskWeighted
Assets2
AAJJ J001
.
AAJH J008
(Column J)
WeightedAverage
LGD
AAJI J001
.
AAJH J006
AAJB J034
Memoranda
Bil
.
AAJH J003
AAJA J034
.
(Column I)
EAD
AAJX J040
.
.
14.
M.1.
03/2014
06/2008
INSERT #7 (applies to Schedule J, Memoranda section)
Exposures subject to a wholesale correlation factor multiplier of 1.25
Exposures with EAD Adjustments
(Column
C)
EAD
Percentage
(Column B)
WeightedAverage
Effective
Maturity
(Years)
Number
2. Regulated
Institutions………….
XXXXXXXX
XXXXXXXX
XXXXXXXX XXXXXXXX
_ _._ _
_ _._ _
3. Unregulated
Institutions………….
XXXXXXXX
XXXXXXXX
_ _._ _
_ _._ _
PD Range
(Column A)
WeightedAverage PD
Bil
Mil
(Column D)
WeightedAverage
LGD
Tho Percentage
Exposures Where Collateral Is Reflected in LGD
(Column E)
RiskWeighted
Assets
Bil
Mil
(Column F)
Expected
Credit Loss
Tho Bil
Mil
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
_ _ _._ _
(Column H)
WeightedAverage
Maturity
(Years)
(Column I)
EAD
Number
Bil
XXXXXXXX
XXXXXXXX
XXXXXXXX
_ _._ _
_ _._ _
XXXXXXXX
XXXXXXXX
_ _._ _
_ _._ _
Tho Percentage
_ _ _._ _
XXXXXXXX XXXXXXXX
(Column G)
WeightedAverage
PD
Mil
(Column J)
WeightedAverage
LGD
Tho Percentage
XXXXXXXX
(Column K)
RiskWeighted
Assets
Bil
Mil
(Column L)
Expected
Credit Loss
Tho Bil
Mil
Tho
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
_ _ _._ _
XXXXXXXX
XXXXXXXX
M.2
_ _ _._ _
M.3
IMM Margin Period of Risk and Specific Wrong Way Risk
Exposures with specific wrongway risk for which the bank
would otherwise apply the
IMM.
(Column B)
Risk-Weighted
Assets
Holding period or Margin Period
of risk set for at least twice the
minimum holding period that
would otherwise be used (due to
at least 3 disputes)
(Column C)
(Column D)
Exposure
Risk-Weighted
Amount
Assets
XXXXXXX
XXXXXXX
XXXXXXX
Holding Period or
Margin Period of risk
set for 20 days
(Column A)
Exposure
Amount
(Column E)
Exposure
Amount
Holding Period, Margin Period of Risk and Specific Wrong Way Risk
XXXXXXX
4. Exposure amount and risk-weighted assets…………..………………………………………………
XXXXXXX
(Column F)
RiskWeighted
Assets
XXXXXXX
M.4
6
DRAFT
FFIEC 101
Page 15 of 30
K-1
Schedule K—Retail Exposure: Residential Mortgage—Closed-End First Lien Exposures
Dollar Amounts in Thousands
LTV3
PD Range
(Column A)
WeightedAverage PD
Percentage
Percentage
Number
Number
Percentage
AAKA J002
AAKB J002
AAKC J002
AAKD J002
AAKE J002
AAKF J002
AAKG J002
AAKB J004
AAKC J004
AAKD J004
AAKE J004
AAKF J004
AAKB J006
AAKC J006
AAKD J006
AAKE J006
AAKF J006
AAKB J007
AAKC J007
AAKD J007
AAKE J007
AAKF J007
AAKB J009
AAKC J009
AAKD J009
AAKE J009
AAKF J009
AAKB J010
AAKC J010
AAKD J010
AAKE J010
AAKF J010
AAKB J013
AAKC J013
AAKD J013
AAKE J013
AAKF J013
AAKB J014
AAKC J014
AAKD J014
AAKE J014
AAKF J014
AAKB J016
AAKC J016
AAKD J016
AAKE J016
AAKF J016
AAKB J019
AAKC J019
AAKD J019
AAKE J019
AAKF J019
AAKB J025
AAKC J025
AAKD J025
AAKE J025
AAKF J025
AAKB J029
AAKC J029
AAKD J029
AAKE J029
AAKF J029
AAKB J031
AAKC J031
AAKD J031
AAKE J031
AAKF J031
AAKB J033
AAKC J033
AAKD J033
AAKE J033
AAKF J033
AAKB J034
AAKC J034
AAKD J034
AAKE J034
AAKF J034
AAKA J035
AAKB J035
AAKC J035
AAKD J035
AAKE J035
AAKF J035
wtd avg
sum
sum
sum
sum
wtd avg
1. 0.00 to < 0.05 . . . .
8. 0.50 to < 0.75 . . . .
16. Total1 . . . . . . . . . .
.
.
.
.
.
.
AAKA J034
15. 100.00 Default . .
.
.
AAKA J033
14. 20.00 to < 100 . . .
.
.
AAKA J031
13. 10.00 to < 20.00 . .
.
.
AAKA J029
12. 5.50 to < 10.00. . .
.
.
AAKA J025
11. 2.50 to < 5.50 . . . .
.
.
AAKA J019
10. 1.35 to < 2.50. . . .
.
.
AAKA J016
9. 0.75 to < 1.35 . . . .
.
.
AAKA J014
(Column F)
WeightedAverage Age
(Months)
.
.
AAKA J013
7. 0.35 to < 0.50 . . . .
Mil Thou
.
AAKA J010
6. 0.25 to < 0.35 . . . .
Mil Thou Bil
.
AAKA J009
5. 0.20 to < 0.25 . . . .
Mil Thou Bil
.
AAKA J007
4. 0.15 to < 0.20 . . . .
Bil
(Column E)
EAD
.
AAKA J006
3. 0.10 to < 0.15 . . . .
(Column C)
(Column D)
Total Balance Total Undrawn
Sheet Amount
Amount
.
AAKA J004
2. 0.05 to < 0.10 . . . .
(Column B)
Number of
Exposures
.
.
100.00
(Column G)
(Column H)
Weighted- Risk-Weighted
Average LGD
Assets2
Bil
(Column I)
Expected
Credit Loss
Mil Thou Bil
(Column J)
Less Than
70%
Mil Thou Bil
(Column K)
At Least
70% but
Less
Than 80%
Mil Thou Bil
(Column L)
At Least
80% but
Less Than
90%
Mil Thou Bil
(Column M)
At Least
90% but
Less Than
100%
Mil Thou Bil
(Column N)
Greater than
or Equal to
100%
Mil Thou Bil
Mil Thou
(Column O)
(Column P)
WeightedEAD of
Average
Accounts with
Bureau Score Updated LTV
Number
AAKH J002
AAKI J002
AAKJ J002
AAKK J002
AAKL J002
AAKM J002
AAKN J002
AAKO J002
AAKH J004
AAKI J004
AAKJ J004
AAKK J004
AAKL J004
AAKM J004
AAKN J004
AAKO J004
AAKH J006
AAKI J006
AAKJ J006
AAKK J006
AAKL J006
AAKM J006
AAKN J006
AAKO J006
AAKH J007
AAKI J007
AAKJ J007
AAKK J007
AAKL J007
AAKM J007
AAKN J007
AAKO J007
AAKH J009
AAKI J009
AAKJ J009
AAKK J009
AAKL J009
AAKM J009
AAKN J009
AAKO J009
AAKH J010
AAKI J010
AAKJ J010
AAKK J010
AAKL J010
AAKM J010
AAKN J010
AAKO J010
AAKH J013
AAKI J013
AAKJ J013
AAKK J013
AAKL J013
AAKM J013
AAKN J013
AAKO J013
AAKH J014
AAKI J014
AAKJ J014
AAKK J014
AAKL J014
AAKM J014
AAKN J014
AAKO J014
AAKH J016
AAKI J016
AAKJ J016
AAKK J016
AAKL J016
AAKM J016
AAKN J016
AAKO J016
AAKH J019
AAKI J019
AAKJ J019
AAKK J019
AAKL J019
AAKM J019
AAKN J019
AAKO J019
AAKH J025
AAKI J025
AAKJ J025
AAKK J025
AAKL J025
AAKM J025
AAKN J025
AAKO J025
AAKH J029
AAKI J029
AAKJ J029
AAKK J029
AAKL J029
AAKM J029
AAKN J029
AAKO J029
AAKH J031
AAKI J031
AAKJ J031
AAKK J031
AAKL J031
AAKM J031
AAKN J031
AAKO J031
AAKH J033
AAKI J033
AAKJ J033
AAKK J033
AAKL J033
AAKM J033
AAKN J033
AAKO J033
AAKH J034
AAKI J034
AAKJ J034
AAKK J034
AAKL J034
AAKM J034
AAKN J034
AAKO J034
AAKG J035
AAKH J035
AAKI J035
AAKJ J035
AAKK J035
AAKL J035
AAKM J035
AAKN J035
AAKO J035
wtd avg
sum
sum
sum
sum
sum
sum
sum
.
AAKG J004
12.
AAKP J031
.
.
AAKG J034
11.
AAKP J029
.
.
AAKG J033
10.
AAKP J025
.
.
AAKG J031
9.
AAKP J019
.
.
AAKG J029
8.
AAKP J016
.
.
AAKG J025
7.
AAKP J014
.
.
AAKG J019
6.
AAKP J013
.
.
AAKG J016
5.
AAKP J010
.
.
AAKG J014
4.
AAKP J009
.
.
AAKG J013
3.
AAKP J007
.
.
AAKG J010
2.
AAKP J006
.
.
AAKG J009
1.
AAKP J004
.
.
AAKG J007
Mil Thou
AAKP J002
.
.
AAKG J006
Bil
13.
AAKP J033
.
.
14.
AAKP J034
.
15.
AAKP J035
sum
1. Cells in line 16 are calculated, except for Column O.
2. Not calculated from previous column entries.
3. LTV values should be calculated using only first lien exposures. Where LTV information is available for all accounts, the sum of EADs reported in columns J through N for a given PD range should equal
the amount reported in column E for that same PD range. Otherwise, the sum of EADs reported in columns J through N for a given PD range will be less than the EAD reported in column E for that same
PD range.
06/2008
16.
FFIEC 101
Page 16 of 30
K-2
DRAFT
move cell blocks to
the right
Schedule K—Continued
Memoranda
Dollar Amounts in Thousands
1. 17. Risk-weighted assets associated with non-material portfolios not included above .....
2. 18. Credit scores shown in Column O are from which credit scoring system(s)? ............
insert a blank line
Bil
Mil Thou
AAKX J036
17. M.1.
18. M.2.
AAKX J041
move cell for text
before the MDRM
cell
03/2014
06/2008
DRAFT
FFIEC 101
Page 17 of 30
L-1
Schedule L—Retail Exposure: Residential Mortgage—Closed-end Junior Lien Exposures
Dollar Amounts in Thousands
LTV3
PD Range
(Column A)
WeightedAverage PD
Percentage
Percentage
Number
Number
Percentage
AALA J002
AALB J002
AALC J002
AALD J002
AALE J002
AALF J002
AALG J002
AALB J004
AALC J004
AALD J004
AALE J004
AALF J004
AALB J006
AALC J006
AALD J006
AALE J006
AALF J006
AALB J007
AALC J007
AALD J007
AALE J007
AALF J007
AALB J009
AALC J009
AALD J009
AALE J009
AALF J009
AALB J010
AALC J010
AALD J010
AALE J010
AALF J010
AALB J013
AALC J013
AALD J013
AALE J013
AALF J013
AALB J014
AALC J014
AALD J014
AALE J014
AALF J014
AALB J016
AALC J016
AALD J016
AALE J016
AALF J016
AALB J019
AALC J019
AALD J019
AALE J019
AALF J019
AALB J025
AALC J025
AALD J025
AALE J025
AALF J025
AALB J029
AALC J029
AALD J029
AALE J029
AALF J029
AALB J031
AALC J031
AALD J031
AALE J031
AALF J031
AALB J033
AALC J033
AALD J033
AALE J033
AALF J033
AALB J034
AALC J034
AALD J034
AALE J034
AALF J034
AALA J035
AALB J035
AALC J035
AALD J035
AALE J035
AALF J035
wtd avg
sum
sum
sum
sum
wtd avg
1. 0.00 to < 0.05 . . .
8. 0.50 to < 0.75 . . .
16. Total1 . . . . . . . . .
.
.
.
.
.
.
AALA J034
15. 100.00 Default . .
.
.
AALA J033
14. 20.00 to < 100 . .
.
.
AALA J031
13. 10.00 to < 20.00 .
.
.
AALA J029
12. 5.50 to < 10.00. .
.
.
AALA J025
11. 2.50 to < 5.50 . . .
.
.
AALA J019
10. 1.35 to < 2.50. . .
.
.
AALA J016
9. 0.75 to < 1.35 . . .
.
.
AALA J014
(Column F)
WeightedAverage Age
(Months)
.
.
AALA J013
7. 0.35 to < 0.50 . . .
Mil Thou
.
AALA J010
6. 0.25 to < 0.35 . . .
Mil Thou Bil
.
AALA J009
5. 0.20 to < 0.25 . . .
Mil Thou Bil
.
AALA J007
4. 0.15 to < 0.20 . . .
Bil
(Column E)
EAD
.
AALA J006
3. 0.10 to < 0.15 . . .
(Column C)
(Column D)
Total Balance Total Undrawn
Sheet Amount
Amount
.
AALA J004
2. 0.05 to < 0.10 . . .
(Column B)
Number of
Exposures
.
.
100.00
(Column G)
(Column H)
Weighted- Risk-Weighted
Average LGD
Assets2
Bil
(Column I)
Expected
Credit Loss
Mil Thou Bil
(Column J)
Less Than
70%
Mil Thou Bil
(Column K)
At Least
70% but
Less Than
80%
Mil Thou Bil
(Column L)
At Least
80% but
Less Than
90%
Mil Thou Bil
(Column M)
At Least
90% but
Less Than
100%
Mil Thou Bil
(Column N)
Greater than
or Equal to
100%
Mil Thou Bil
Mil Thou
(Column O)
(Column P)
WeightedEAD of
Average
Accounts with
Bureau Score Updated LTV
Number
AALH J002
AALI J002
AALJ J002
AALK J002
AALL J002
AALM J002
AALN J002
AALO J002
AALH J004
AALI J004
AALJ J004
AALK J004
AALL J004
AALM J004
AALN J004
AALO J004
AALH J006
AALI J006
AALJ J006
AALK J006
AALL J006
AALM J006
AALN J006
AALO J006
AALH J007
AALI J007
AALJ J007
AALK J007
AALL J007
AALM J007
AALN J007
AALO J007
AALH J009
AALI J009
AALJ J009
AALK J009
AALL J009
AALM J009
AALN J009
AALO J009
AALH J010
AALI J010
AALJ J010
AALK J010
AALL J010
AALM J010
AALN J010
AALO J010
AALH J013
AALI J013
AALJ J013
AALK J013
AALL J013
AALM J013
AALN J013
AALO J013
AALH J014
AALI J014
AALJ J014
AALK J014
AALL J014
AALM J014
AALN J014
AALO J014
AALH J016
AALI J016
AALJ J016
AALK J016
AALL J016
AALM J016
AALN J016
AALO J016
AALH J019
AALI J019
AALJ J019
AALK J019
AALL J019
AALM J019
AALN J019
AALO J019
AALH J025
AALI J025
AALJ J025
AALK J025
AALL J025
AALM J025
AALN J025
AALO J025
AALH J029
AALI J029
AALJ J029
AALK J029
AALL J029
AALM J029
AALN J029
AALO J029
AALH J031
AALI J031
AALJ J031
AALK J031
AALL J031
AALM J031
AALN J031
AALO J031
AALH J033
AALI J033
AALJ J033
AALK J033
AALL J033
AALM J033
AALN J033
AALO J033
AALH J034
AALI J034
AALJ J034
AALK J034
AALL J034
AALM J034
AALN J034
AALO J034
AALG J035
AALH J035
AALI J035
AALJ J035
AALK J035
AALL J035
AALM J035
AALN J035
AALO J035
wtd avg
sum
sum
sum
sum
sum
sum
sum
.
AALG J004
12.
AALP J031
.
.
AALG J034
11.
AALP J029
.
.
AALG J033
10.
AALP J025
.
.
AALG J031
9.
AALP J019
.
.
AALG J029
8.
AALP J016
.
.
AALG J025
7.
AALP J014
.
.
AALG J019
6.
AALP J013
.
.
AALG J016
5.
AALP J010
.
.
AALG J014
4.
AALP J009
.
.
AALG J013
3.
AALP J007
.
.
AALG J010
2.
AALP J006
.
.
AALG J009
1.
AALP J004
.
.
AALG J007
Mil Thou
AALP J002
.
.
AALG J006
Bil
13.
AALP J033
.
.
14.
AALP J034
.
15.
AALP J035
sum
1. Cells in line 16 are calculated, except for Column O.
2. Not calculated from previous column entries.
3. LTV values should be calculated by combining junior liens applicable to amounts on this schedule with prior lien amounts. Where LTV information is available for all accounts, the sum of EADs reported in
columns J through N for a given PD range should equal the amount reported in column E for that same PD range. Otherwise, the sum of EADs reported in columns J through N for a given PD range will be
less than the EAD reported in column E for that same PD range.
06/2008
16.
FFIEC 101
Page 18 of 30
L-2
DRAFT
move cell blocks to
the right
Schedule L—Continued
Memoranda
Dollar Amounts in Thousands
1. 17. Risk-weighted assets associated with non-material portfolios not included above ....
2. 18. Credit scores shown in Column O are from which credit scoring system(s)? ...........
insert a blank line
Bil
Mil Thou
AALX J036
17. M.1.
18. M.2.
AALX J041
move cell for text
before the MDRM
cell
03/2014
06/2008
DRAFT
FFIEC 101
Page 19 of 30
M-1
Schedule M—Retail Exposure: Residential Mortgage—Revolving Exposures
Dollar Amounts in Thousands
LTV3
PD Range
Percentage
1. 0.00 to < 0.05 . . .
(Column A)
WeightedAverage PD
Bil
AAMH J002
AAMI J002
AAMJ J002
AAMK J002
AAML J002
AAMM J002
AAMN J002
AAMO J002
AAMB J004
AAMC J004
AAMD J004
AAME J004
AAMF J004
AAMH J004
AAMI J004
AAMJ J004
AAMK J004
AAML J004
AAMM J004
AAMN J004
AAMO J004
AAMB J006
AAMC J006
AAMD J006
AAME J006
AAMF J006
AAMH J006
AAMI J006
AAMJ J006
AAMK J006
AAML J006
AAMM J006
AAMN J006
AAMO J006
AAMB J007
AAMC J007
AAMD J007
AAME J007
AAMF J007
AAMH J007
AAMI J007
AAMJ J007
AAMK J007
AAML J007
AAMM J007
AAMN J007
AAMO J007
AAMB J009
AAMC J009
AAMD J009
AAME J009
AAMF J009
AAMH J009
AAMI J009
AAMJ J009
AAMK J009
AAML J009
AAMM J009
AAMN J009
AAMO J009
AAMB J010
AAMC J010
AAMD J010
AAME J010
AAMF J010
AAMH J010
AAMI J010
AAMJ J010
AAMK J010
AAML J010
AAMM J010
AAMN J010
AAMO J010
AAMB J013
AAMC J013
AAMD J013
AAME J013
AAMF J013
AAMH J013
AAMI J013
AAMJ J013
AAMK J013
AAML J013
AAMM J013
AAMN J013
AAMO J013
AAMB J014
AAMC J014
AAMD J014
AAME J014
AAMF J014
AAMH J014
AAMI J014
AAMJ J014
AAMK J014
AAML J014
AAMM J014
AAMN J014
AAMO J014
AAMB J016
AAMC J016
AAMD J016
AAME J016
AAMF J016
AAMH J016
AAMI J016
AAMJ J016
AAMK J016
AAML J016
AAMM J016
AAMN J016
AAMO J016
AAMB J019
AAMC J019
AAMD J019
AAME J019
AAMF J019
AAMH J019
AAMI J019
AAMJ J019
AAMK J019
AAML J019
AAMM J019
AAMN J019
AAMO J019
AAMB J025
AAMC J025
AAMD J025
AAME J025
AAMF J025
AAMH J025
AAMI J025
AAMJ J025
AAMK J025
AAML J025
AAMM J025
AAMN J025
AAMO J025
AAMB J029
AAMC J029
AAMD J029
AAME J029
AAMF J029
AAMH J029
AAMI J029
AAMJ J029
AAMK J029
AAML J029
AAMM J029
AAMN J029
AAMO J029
AAMB J031
AAMC J031
AAMD J031
AAME J031
AAMF J031
AAMH J031
AAMI J031
AAMJ J031
AAMK J031
AAML J031
AAMM J031
AAMN J031
AAMO J031
AAMB J033
AAMC J033
AAMD J033
AAME J033
AAMF J033
AAMH J033
AAMI J033
AAMJ J033
AAMK J033
AAML J033
AAMM J033
AAMN J033
AAMO J033
AAMB J034
AAMC J034
AAMD J034
AAME J034
AAMF J034
AAMH J034
AAMI J034
AAMJ J034
AAMK J034
AAML J034
AAMM J034
AAMN J034
AAMO J034
AAMA J035
AAMB J035
AAMC J035
AAMD J035
AAME J035
AAMF J035
AAMG J035
AAMH J035
AAMI J035
AAMJ J035
AAMK J035
AAML J035
AAMM J035
AAMN J035
AAMO J035
wtd avg
sum
sum
sum
sum
wtd avg
wtd avg
sum
sum
sum
sum
sum
sum
sum
.
16. Total1 . . . . . . . . .
.
.
.
.
.
.
AAMA J034
15. 100.00 Default . .
.
.
AAMA J033
14. 20.00 to < 100 . .
.
.
AAMA J031
13. 10.00 to < 20.00.
.
.
AAMA J029
12. 5.50 to < 10.00. .
.
.
AAMA J025
11. 2.50 to < 5.50 . . .
.
.
AAMA J019
10. 1.35 to < 2.50. . .
.
.
AAMA J016
9. 0.75 to < 1.35 . . .
.
.
AAMA J014
8. 0.50 to < 0.75 . . .
.
.
.
100.00
Mil Thou Bil
Mil Thou
(Column O)
(Column P)
WeightedEAD of
Average
Accounts with
Bureau Score Updated LTV
Percentage
.
Mil Thou Bil
(Column N)
Greater than
or Equal to
100%
AAMG J002
.
Mil Thou Bil
(Column M)
At Least
90% but
Less Than
100%
Number
.
Mil Thou Bil
(Column L)
At Least
80% but
Less Than
90%
AAMF J002
.
Mil Thou Bil
(Column K)
At Least
70% but
Less Than
80%
AAME J002
.
Mil Thou Bil
(Column J)
Less Than
70%
AAMD J002
AAMA J013
7. 0.35 to < 0.50 . . .
Mil Thou
(Column I)
Expected
Credit Loss
AAMC J002
AAMA J010
6. 0.25 to < 0.35 . . .
Mil Thou Bil
(Column G)
(Column H)
Weighted- Risk-Weighted
Average LGD
Assets2
Number
AAMA J009
5. 0.20 to < 0.25 . . .
Mil Thou Bil
(Column F)
WeightedAverage Age
(Months)
AAMB J002
AAMA J007
4. 0.15 to < 0.20 . . .
Bil
(Column E)
EAD
Percentage
AAMA J006
3. 0.10 to < 0.15 . . .
(Column C)
(Column D)
Total Balance Total Undrawn
Sheet Amount
Amount
AAMA J002
AAMA J004
2. 0.05 to < 0.10 . . .
(Column B)
Number of
Exposures
.
AAMG J004
11.
AAMP J029
12.
AAMP J031
.
.
AAMG J034
10.
AAMP J025
.
.
AAMG J033
9.
AAMP J019
.
.
AAMG J031
8.
AAMP J016
.
.
AAMG J029
7.
AAMP J014
.
.
AAMG J025
6.
AAMP J013
.
.
AAMG J019
5.
AAMP J010
.
.
AAMG J016
4.
AAMP J009
.
.
AAMG J014
3.
AAMP J007
.
.
AAMG J013
2.
AAMP J006
.
.
AAMG J010
1.
AAMP J004
.
.
AAMG J009
Mil Thou
AAMP J002
.
.
AAMG J007
Bil
.
.
AAMG J006
Number
13.
AAMP J033
.
.
14.
AAMP J034
.
15.
AAMP J035
sum
1. Cells in line 16 are calculated, except for Column O.
2. Not calculated from previous column entries.
3. LTV values should be calculated by combining junior liens applicable to amounts on this schedule with prior lien amounts. Where LTV information is available for all accounts, the sum of EADs reported in
columns J through N for a given PD range should equal the amount reported in column E for that same PD range. Otherwise, the sum of EADs reported in columns J through N for a given PD range will be
less than the EAD reported in column E for that same PD range.
06/2008
16.
FFIEC 101
Page 20 of 30
M-2
DRAFT
Schedule M—Continued
move cell blocks to
the right
Memoranda
Dollar Amounts in Thousands
1. 17. Risk-weighted assets associated with non-material portfolios not included above ....
2. 18. Credit scores shown in Column O are from which credit scoring system(s)? ...........
insert a blank line
Bil
Mil Thou
AAMX J036
17. M.1.
18. M.2.
AAMX J041
move cell for text
before the MDRM
cell
03/2014
06/2008
DRAFT
FFIEC 101
Page 21 of 30
N-1
Schedule N—Retail Exposure: Qualifying Revolving Exposures
Dollar Amounts in Thousands
PD Range
(Column A)
WeightedAverage PD
Percentage
Percentage
Number
AANA J011
AANB J011
AANC J011
AAND J011
AANE J011
AANF J011
AANG J011
AANB J015
AANC J015
AAND J015
AANE J015
AANF J015
AANG J015
AANB J017
AANC J017
AAND J017
AANE J017
AANF J017
AANG J017
AANB J018
AANC J018
AAND J018
AANE J018
AANF J018
AANG J018
AANB J020
AANC J020
AAND J020
AANE J020
AANF J020
AANG J020
AANB J021
AANC J021
AAND J021
AANE J021
AANF J021
AANG J021
AANB J022
AANC J022
AAND J022
AANE J022
AANF J022
AANG J022
AANB J023
AANC J023
AAND J023
AANE J023
AANF J023
AANG J023
AANB J024
AANC J024
AAND J024
AANE J024
AANF J024
AANG J024
AANB J026
AANC J026
AAND J026
AANE J026
AANF J026
AANG J026
AANB J027
AANC J027
AAND J027
AANE J027
AANF J027
AANG J027
AANB J028
AANC J028
AAND J028
AANE J028
AANF J028
AANG J028
AANB J030
AANC J030
AAND J030
AANE J030
AANF J030
AANG J030
AANB J032
AANC J032
AAND J032
AANE J032
AANF J032
AANG J032
AANB J034
AANC J034
AAND J034
AANE J034
AANF J034
AANG J034
AANA J035
AANB J035
AANC J035
AAND J035
AANE J035
AANF J035
wtd avg
sum
sum
sum
sum
sum
1. 0.00 to < 0.50 .............................
11. 6.00 to < 7.00 .............................
12. 7.00 to < 8.00 .............................
13. 8.00 to < 10.00 ...........................
14. 10.00 to < 100 ............................
15. 100.00 (default) ...........................
16. Total1 .......................................
Mil Thou
AANJ J011
AANH J015
AANI J015
AANJ J015
AANH J017
AANI J017
AANJ J017
AANH J018
AANI J018
AANJ J018
AANH J020
AANI J020
AANJ J020
AANH J021
AANI J021
AANJ J021
AANH J022
AANI J022
AANJ J022
AANH J023
AANI J023
AANJ J023
AANH J024
AANI J024
AANJ J024
AANH J026
AANI J026
AANJ J026
AANH J027
AANI J027
AANJ J027
AANH J028
AANI J028
AANJ J028
AANH J030
AANI J030
AANJ J030
AANH J032
AANI J032
AANJ J032
AANH J034
AANI J034
AANJ J034
AANG J035
AANH J035
AANI J035
AANJ J035
wtd avg
sum
sum
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
100.00
Number
AANI J011
.
.
AANA J034
Bil
.
.
AANA J032
Mil Thou
(Column J)
WeightedAverage
Bureau
Score
AANH J011
.
.
AANA J030
Bil
(Column I)
Expected
Credit Loss
.
.
AANA J028
Percentage
(Column H)
RiskWeighted
Assets2
.
.
AANA J027
(Column G)
WeightedAverage
LGD
.
.
AANA J026
10. 5.00 to < 6.00 .............................
Mil Thou
.
AANA J024
9. 4.00 to < 5.00 .............................
Bil
Mil Thou
.
AANA J023
8. 3.50 to < 4.00 .............................
Bil
Mil Thou
.
AANA J022
7. 3.00 to < 3.50 .............................
Bil
.
AANA J021
6. 2.50 to < 3.00 .............................
(Column F)
EAD of
Accounts
< Two
Years Old
.
AANA J020
5. 2.00 to < 2.50 .............................
Mil Thou
(Column E)
EAD
.
AANA J018
4. 1.50 to < 2.00 .............................
Bil
(Column D)
Total
Undrawn
Amount
.
AANA J017
3. 1.00 to < 1.50 .............................
(Column C)
Total Balance
Sheet Amount
.
AANA J015
2. 0.50 to < 1.00 .............................
(Column B)
Number of
Exposures
.
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11.
12.
13.
14.
15.
16.
1. Cells in line 16 are calculated, except for Column J.
2. Not calculated from previous column entries.
06/2008
FFIEC 101
Page 22 of 30
N-2
DRAFT
Schedule N—Continued
move cell blocks to
the right
Memoranda
Dollar Amounts in Thousands
1. 17. Risk-weighted assets associated with non-material portfolios not included above ....
2. 18. Credit scores shown in Column J are from which credit scoring system(s)? ............
insert a blank line
Bil
Mil Thou
AANX J036
17. M.1.
18. M.2.
AANX J041
move cell for text
before the MDRM
cell
03/2014
06/2008
DRAFT
FFIEC 101
Page 23 of 30
O-1
Schedule O—Retail Exposure: Other Retail Exposures
Dollar Amounts in Thousands
PD Range
(Column A)
WeightedAverage PD
Percentage
Percentage
Number
AAOA J011
AAOB J011
AAOC J011
AAOD J011
AAOE J011
AAOF J011
AAOG J011
AAOB J015
AAOC J015
AAOD J015
AAOE J015
AAOF J015
AAOG J015
AAOB J017
AAOC J017
AAOD J017
AAOE J017
AAOF J017
AAOG J017
AAOB J018
AAOC J018
AAOD J018
AAOE J018
AAOF J018
AAOG J018
AAOB J020
AAOC J020
AAOD J020
AAOE J020
AAOF J020
AAOG J020
AAOB J021
AAOC J021
AAOD J021
AAOE J021
AAOF J021
AAOG J021
AAOB J022
AAOC J022
AAOD J022
AAOE J022
AAOF J022
AAOG J022
AAOB J023
AAOC J023
AAOD J023
AAOE J023
AAOF J023
AAOG J023
AAOB J024
AAOC J024
AAOD J024
AAOE J024
AAOF J024
AAOG J024
AAOB J026
AAOC J026
AAOD J026
AAOE J026
AAOF J026
AAOG J026
AAOB J027
AAOC J027
AAOD J027
AAOE J027
AAOF J027
AAOG J027
AAOB J028
AAOC J028
AAOD J028
AAOE J028
AAOF J028
AAOG J028
AAOB J030
AAOC J030
AAOD J030
AAOE J030
AAOF J030
AAOG J030
AAOB J032
AAOC J032
AAOD J032
AAOE J032
AAOF J032
AAOG J032
AAOB J034
AAOC J034
AAOD J034
AAOE J034
AAOF J034
AAOG J034
AAOA J035
AAOB J035
AAOC J035
AAOD J035
AAOE J035
AAOF J035
wtd avg
sum
sum
sum
sum
sum
1. 0.00 to < 0.50 .............................
12. 7.00 to < 8.00 .............................
13. 8.00 to < 10.00 ...........................
14. 10.00 to < 100 ............................
15. 100.00 (default) ...........................
16. Total1 .......................................
Mil
Thou
AAOJ J011
AAOH J015
AAOI J015
AAOJ J015
AAOH J017
AAOI J017
AAOJ J017
AAOH J018
AAOI J018
AAOJ J018
AAOH J020
AAOI J020
AAOJ J020
AAOH J021
AAOI J021
AAOJ J021
AAOH J022
AAOI J022
AAOJ J022
AAOH J023
AAOI J023
AAOJ J023
AAOH J024
AAOI J024
AAOJ J024
AAOH J026
AAOI J026
AAOJ J026
AAOH J027
AAOI J027
AAOJ J027
AAOH J028
AAOI J028
AAOJ J028
AAOH J030
AAOI J030
AAOJ J030
AAOH J032
AAOI J032
AAOJ J032
AAOH J034
AAOI J034
AAOJ J034
AAOG J035
AAOH J035
AAOI J035
AAOJ J035
wtd avg
sum
sum
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
100.00
Number
AAOI J011
.
.
AAOA J034
Mil Thou Bil
(Column J)
WeightedAverage
Bureau
Score
AAOH J011
.
.
AAOA J032
Bil
(Column I)
Expected
Credit Loss
.
.
AAOA J030
Percentage
(Column H)
RiskWeighted
Assets2
.
.
AAOA J028
(Column G)
WeightedAverage LGD
.
.
AAOA J027
11. 6.00 to < 7.00 .............................
Mil Thou
.
AAOA J026
10. 5.00 to < 6.00 .............................
Bil
Mil Thou
.
AAOA J024
9. 4.00 to < 5.00 .............................
Bil
Mil Thou
.
AAOA J023
8. 3.50 to < 4.00 .............................
Bil
Mil Thou
.
AAOA J022
7. 3.00 to < 3.50 .............................
Bil
.
AAOA J021
6. 2.50 to < 3.00 .............................
(Column F)
EAD of
Accounts
< Two
Years Old
.
AAOA J020
5. 2.00 to < 2.50 .............................
(Column E)
EAD
.
AAOA J018
4. 1.50 to < 2.00 .............................
(Column D)
Total
Undrawn
Amount
.
AAOA J017
3. 1.00 to < 1.50 .............................
(Column C)
Total
Balance
Sheet
Amount
.
AAOA J015
2. 0.50 to < 1.00 .............................
(Column B)
Number of
Exposures
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11.
12.
13.
14.
15.
16.
1. Cells in line 16 are calculated, except for Column J.
2. Not calculated from previous column entries.
06/2008
FFIEC 101
Page 24 of 30
O-2
DRAFT
Schedule O—Continued
move cell blocks to
the right
Memoranda
Dollar Amounts in Thousands
1. 17. Risk-weighted assets associated with non-material portfolios not included above ....
2. 18. Credit scores shown in Column J are from which credit scoring system(s)? ............
insert a blank line
Bil
Mil Thou
AAOX J036
17. M.1.
18. M.2.
AAOX J041
move cell for text
before the MDRM
cell
03/2014
06/2008
DRAFT
FFIEC 101
Page 25 of 30
P-1
Schedule P—Securitization Exposures Subject to the Ratings-Based or Internal Assessment Approaches
Rating Category
Dollar Amounts in Thousands
1. Exposures with highest or second-highest investment grade long-term credit rating or highest investment grade
short-term credit rating .........................................................................................................................
2. Exposures with third-highest investment grade long-term credit rating or second-highest investment grade
short-term credit rating .........................................................................................................................
3. Exposures with lowest investment grade long-term credit rating or third-highest investment grade short-term
credit rating ........................................................................................................................................
(Column A)
Exposures
Subject to the
Ratings-Based
Approach
(RBA)
(Column B)
Exposures
Subject to the
Internal
Assessment
Approach
(IAA)
(Column C)
Risk-Weighted
Assets
Bil
Mil Thou
AAPA J042
Bil
Mil Thou
AAPB J042
Bil
Mil Thou
AAPC J042
AAPA J043
AAPB J043
AAPC J043
AAPA J044
AAPB J044
AAPC J044
AAPA J045
AAPB J045
AAPC J045
AAPA J046
sum
AAPB J046
sum
AAPC J046
sum
1.
2.
3.
4. Exposures with long-term credit rating one category below investment grade ...................................................
5. Total RBA and IAA securitization exposures and risk-weighted assets1 ............................................................
4.
5.
1. Cells in line 5 are calculated.
Replace schedule with INSERT #8
06/2008
INSERT #8 (new Schedule P)
Schedule P—Securitization Exposures
Securitizations
(excluding resecuritizations)
(Column A)
Exposure
Amount
Dollar amounts in thousands
1. Exposures subject to the supervisory formula approach…………………..
2. Exposures subject to the simplified supervisory formula approach….
3. Exposures subject to 1,250 percent risk weight………………………………..
Bil
Mil
((Column B)
RiskWeighted
Assets
Thou Bil
Mil
(Column C)
Deduction
Thou Bil
Mil
(Column D)
Exposure
Amount
Thou Bil
Mil
((Column E)
RiskWeighted
Assets
Thou Bil
Mil
XXXX XXXX
XXXX XXXX
XXXX XXXX
XXXX XXXX
XXXX XXXX
XXXX XXXX
XXXX XXXX
XXXX XXXX
XXXX XXXX
XXXX XXXX
XXXX XXXX
XXXX XXXX
XXXX XXXX
7
XXXX XXXX
(Column F)
Deduction
Thou Bil
XXXX XXXX
4. Exposures subject to deduction……………………………………………………….
5. Total securitization exposures and risk-weighted assets
Resecuritizations
Mil
Thou
XXXX XXXX
XXXX XXXX
XXXX XXXX
DRAFT
FFIEC 101
Page 26 of 30
Q-1
Schedule Q—Securitization Detail Schedule
(Column A)
Exposure
Amount
Memorandum Items
Dollar Amounts in Thousands
Bil
Mil
Thou
(Column B)
Risk-Weighted
Assets
Bil
Mil
Thou
(Column C)
Deduction
Bil
Mil Thou
AAQC J047
1. Deduction for exposures subject to the ratings-based or internal assessment approaches ..................................
1.
AAQC J048
2.
2. All other deductions for securitization exposures ........................................................................................
AAQA J049
AAQB J049
AAQC J049
AAQA J050
AAQB J050
AAQC J050
AAQA J051
AAQB J051
AAQA J052
AAQB J052
3.
3. Exposures subject to the supervisory formula approach ..............................................................................
4. Total exposures to synthetic securitizations................................................................................................
4.
5.
5. Risk-weighted assets for investors' interest in securitizations, retail credit lines .................................................
6. Risk-weighted assets for investors' interest in securitizations, non-retail credit lines ...........................................
6.
Replace schedule with INSERT #9
06/2008
INSERT #9 (new Schedule Q)
Schedule Q—Cleared Transactions
(Column A)
Exposure
amount with
QCCP
qualifying for
2% risk weight
Dollar amounts in thousands
Clearing Member Client Bank
1. Derivative contracts or netting sets of derivative contracts……………………………….………
2. Repo-style transactions………..……………………………………………………………….…………………..
Clearing Member Bank
3. Derivative contracts or netting sets of derivative contracts………………………………….……
4. Repo-style transactions………..…………………………….……………………………………………………..
Bil
Mil
Thou
(Column B)
Exposure
amount not
qualifying for
2% risk weight
Bil
Mil
Thou Bil
Mil
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
6. Default fund contributions to QCCP…………………………………………………………………………..
Total
XXXXXXXX
7. Total clearing member exposures and risk weighted assets…………………………………….
8
Mil
XXXXXXXX
5. Default fund contributions to non-QCCP …………………………………………………………………..
QCCP: qualifying central counterparty
Thou Bil
(Column D)
Risk-Weighted
Assets
XXXXXXXX
1
1
(Column C)
Exposure
amount for
default fund
contributions
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
XXXXXXXX
Thou
FFIEC 101
Page 27 of 30
R-1
DRAFT
Schedule R—Equity Exposures
Simple Risk Weight Approach
(Column A)
Exposure
Dollar Amounts in Thousands
Bil
Risk Weight
or
Multiplier
Mil Thou
(Column B)
RiskWeighted
Assets
Bil
Full Internal Models Approach
(Column C)
Exposure
Mil Thou Bil
AARA J053
Risk Weight
or
Multiplier
Mil Thou
(Column D)
RiskWeighted
Assets
Bil
Publicly Traded Internal Models Approach
(Column E)
Exposure
Mil Thou Bil
AARC J053
Risk Weight
or
Multiplier
Mil Thou
(Column F)
RiskWeighted
Assets
Bil
Mil Thou
AARE J053
1. Total equity exposures ..................................
1.
AARA J054
AARA J055
AARA J056
AARC J055
AARB J056
AARC J056
AARA J057
AARD J054
AARE J054
AARD J055
AARE J055
AARD J056
AARE J056
0%
AARF J054
0%
20%
100%
4. Community development equity exposures .......
2.
AARF J055
20%
100%
3.
AARF J056
100%
4.
AARB J057
100%
AARA J058
Equity Exposures to Investment Funds
AARB J055
20%
3. 20% risk weight ...........................................
6. Non-significant equity exposures ....................
8. 7. Publicly traded equity exposures under the
SRWA .......................................................
9. 8. Non-publicly traded equity exposures under the
SRWA .......................................................
10. 9. 600% risk-weight equity exposures under the
SRWA .......................................................
10
10.
Total
RWA under the SRWA
11.
(sum column B, lines 2 through 9) ...................
AARC J054
0%
2. 0% risk weight ............................................
Simple Risk Weight Approach (SRWA)
5. Effective portion of hedge pairs ......................
AARB J054
5.
AARB J058
100%
AARA J059
6.
AARB J059
300%
AARA J060
7.
AARB J060
AARE J060
AARB J061
AARE J061
400%
AARA J061
AARF J060
400%
600%
8.
AARF J061
600%
9.
AARB J062
10.
AARA J063
AARB J063
AARC J063
AARD J063
AARE J063
AARF J063
AARA J064
AARB J064
AARC J064
AARD J064
AARE J064
AARF J064
AARA J065
AARB J065
AARC J065
AARD J065
AARE J065
AARF J065
AARA J066
AARB J066
AARC J066
AARD J066
AARE J066
AARF J066
12. 11. Full look-through approach ............................
11.
13. 12. Simple modified look-through approach ............
12.
14. 13. Alternative modified look-through approach .......
13.
7%
14. Money market fund approach .........................
7. Significant investments in
unconsolidated financial institutions...
AARA Jxxx
7%
7%
14.
AARB Jxxx
250%
03/2014
03/2011
FFIEC 101
Page 28 of 30
R-2
DRAFT
Schedule R—Continued
Simple Risk Weight Approach
(Column A)
Exposure
12
Dollar Amounts in Thousands
15. Total RWA for investment funds
(sum columns B, D, and F, lines 11 through 14) ..
11
Bil
Mil Thou
Risk Weight
or
Multiplier
(Column B)
RiskWeighted
Assets
Bil
Full Internal Models Approach
(Column C)
Exposure
Mil Thou Bil
Risk Weight
or
Multiplier
Mil Thou
(Column D)
RiskWeighted
Assets
Bil
AARB J067
Publicly Traded Internal Models Approach
(Column E)
Exposure
Mil Thou Bil
Risk Weight
or
Multiplier
Mil Thou
(Column F)
RiskWeighted
Assets
Bil
AARD J067
Mil Thou
AARF J067
15.
AARB J068
16. Total: SRWA (column B, lines 10 and 15) ..........
Full Internal Models Approach (Full IMA)
17. Estimate of potential losses on equity exposures ...
Floors (Full IMA)
18. Publicly traded ............................................
16.
AARC J069
AARD J069
12.5
AARC J070
200%
AARC J071
19. Non-publicly traded ......................................
17.
AARD J070
18.
AARD J071
300%
19.
AARD J072
20. RWA floors (add from column D, lines 18 and 19) ..
21. Total RWA—Full IMA
(larger of column D, lines 17 and 20) ...............
22. Total: Full IMA
(add from column D lines 3, 4, 15, and 21) ........
Publicly Traded Internal Models Approach
(Partial IMA)
23. Estimate of potential losses on publicly traded
equity ........................................................
Floors (Partial IMA)
24. Publicly traded ............................................
25. Total RWA—Partial IMA
(larger of column F, lines 23 and 24) ...............
26. Total: Partial IMA, partial SRWA
(add from column F, lines 3, 4, 8, 9, 15, and 25)..
20.
AARD J073
21.
AARD J074
22.
AARE J075
AARF J075
12.5
AARE J076
23.
AARF J076
200%
24.
AARF J077
25.
AARF J078
26.
9, 10
03/2011
DRAFT
FFIEC 101
Page 29 of 30
S-1
For Federal Reserve Bank Use Only
C.I.
Schedule S—Operational Risk
Dollar Amounts in Thousands
PUBLIC ITEMS
Operational Risk Capital
1. Risk-based capital requirement for operational risk................................................................
AASA
Total Risk-Based Capital Requirement for Operational Risk without:
5. Dependence assumptions ...............................................................................................
6. Adjustments reflecting business environment and internal control factors ..................................
7. Risk mitigants (e.g., insurance) ........................................................................................
Internal Operational Loss Event Data Characteristics
8. Date ranges of internal operational loss event data used in modeling operational risk capital:
a. Starting date for frequency distribution (if applicable) .........................................................
b. Ending date for frequency distribution (if applicable) ...........................................................
c. Starting date for severity distribution (if applicable) ............................................................
d. Ending date for severity distribution (if applicable) .............................................................
AASA
1.
0=No AASA
1=Yes J080
Bil
Mil
2.
Thou
3.
J082
J083
4.a.
4.b.
J084
J085
5.
6.
7.
J086
AASA
MM
YYYY
J087
J088
8.a.
8.b.
8.c.
8.d.
J089
J090
Bil
Mil
Thou
J091
9.
0=No
10. Does the dollar threshold change across units of measure? (Enter "1" for yes; enter "0" for no.) ............
AASA
1=Yes J092
AASA
11. Total number of loss events .............................................................................................
Thou
J081
AASA
9. Highest dollar threshold applied in modeling internal operational loss event data ........................
Mil
J079
2. Is item 1 generated from an "alternative operational risk qualification system?" (Enter "1" for yes;
enter "0" for no.).....................................................................................................................
CONFIDENTIAL ITEMS
Expected Operational Loss (EOL) and Eligible Operational Risk Offsets
3. Expected operational loss (EOL) ......................................................................................
4. Total eligible operational risk offsets
a. Eligible GAAP reserves ................................................................................................
b. Other eligible offsets ...................................................................................................
Bil
10.
Number
J093
AASA
12. Total dollar amount of loss events .....................................................................................
13. Dollar amount of largest loss event ...................................................................................
J094
J095
14. Number of loss events in the following ranges (e.g., 10,000 and < $100,000):
a. Less than $10,000 ......................................................................................................
b. $10,000–$100,000 ......................................................................................................
c. $100,000–$1 million ....................................................................................................
d. $1 million–$10 million ..................................................................................................
e. $10 million–$100 million ..............................................................................................
f. $100 million–$1 billion .................................................................................................
g. $1 billion + ................................................................................................................
AASA
J096
J097
J098
J099
J100
J101
J102
11.
Bil
Mil
Thou
12.
13.
Number
14.a.
14.b.
14.c.
14.d.
14.e.
14.f.
14.g.
06/2008
DRAFT
For Federal Reserve Bank Use Only
C.I.
FFIEC 101
Page 30 of 30
S-2
Schedule S—Continued
Dollar Amounts in Thousands
15. Total dollar amount of losses in the following ranges (e.g., $10,000 and < $100,000):
a. Less than $10,000 ......................................................................................................
b. $10,000–$100,000 ......................................................................................................
c. $100,000–$1 million ....................................................................................................
d. $1 million–$10 million ..................................................................................................
e. $10 million–$100 million ...............................................................................................
f. $100 million–$1 billion..................................................................................................
g. $1 billion + ................................................................................................................
AASA
Scenario Analysis
16. How many individual scenarios were used in calculating the risk-based capital requirement for
operational risk? ............................................................................................................
AASA
Bil
Mil
Thou
J103
15.a
15.b.
15.c.
15.d.
15.e.
15.f.
15.g.
J104
J105
J106
J107
J108
J109
Number
J110
AASA
17. What is the dollar value of the largest individual scenario? ......................................................
J111
18. Number of scenarios in the following ranges (e.g., $1 million and < $10 million):
a. Less than $1 million.....................................................................................................
b. $1 million–$10 million ..................................................................................................
c. $10 million–$100 million ...............................................................................................
d. $100 million–$500 million .............................................................................................
e. $500 million–$1 billion..................................................................................................
f. $1 billion +.................................................................................................................
AASA
16.
Bil
Mil
Thou
17.
Number
J112
J117
18.a.
18.b.
18.c.
18.d.
18.e.
18.f.
J118
19.
J113
J114
J115
J116
Distributional Assumptions
19. How many units of measure were used in calculating the risk-based capital requirement for
operational risk? ............................................................................................................
20. Frequency Distribution: Across how many individual units of measure did the choice of frequency
distribution change since the last reporting period (if applicable)? ............................................
21. Severity Distribution: Across how many individual units of measure did the choice of severity
distribution change since the last reporting period (if applicable)? ............................................
J119
20.
J120
21.
Loss Caps
22. How many loss caps are used in calculating the risk-based capital requirement for operational risk?..
J121
22.
AASA
23. What is the dollar amount of the smallest cap used (if applicable)? ..........................................
24. What is the dollar amount of the largest cap used (if applicable)? ............................................
J122
J123
Bil
Mil
Thou
23.
24.
06/2008
| File Type | application/pdf |
| File Title | FFIEC 101 |
| Subject | Risk-Based Capital Reporting for Institutions Subject to the Advanced Capital Adequacy Framework |
| Author | Federal Reserve Board |
| File Modified | 2014-01-10 |
| File Created | 2014-01-06 |