Company-Run Annual Stress Test Reporting Template and Documentation for Covered Institutions with Total Consolidated Assets of $10 Billion to $50 Billion under the Dodd-Frank Wall Street Reform and Co

_____________________________________________________________________________________
Federal Deposit Insurance Corporation

Instructions for Preparation of:

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

Effective September 30, 2013

INSTRUCTIONS FOR PREPARATION OF

Company-Run Annual Stress Test Reporting Template and Documentation
for Covered Institutions with Total Consolidated Assets of $10 Billion to $50
Billion under the Dodd-Frank Wall Street Reform and Consumer
Protection Act
Reporting Form FDIC DFAST 10-50
total consolidated assets in the most recent quarter or
consecutive quarters as reported on the Call Report
should be used in the calculation.

GENERAL INSTRUCTIONS
The Annual Dodd Frank Act (DFA) Stress Testing
Report (FDIC DFAST 10-50 report) collects detailed
data on covered state nonmember banks and statechartered savings associations "institutions" quantitative
projections of balance sheet assets and liabilities,
income, losses, and capital across a range of
macroeconomic scenarios and qualitative supporting
information on the methodologies used to develop
internal projections of capital across scenarios. Further
information regarding the requirements of the
qualitative supporting documentation is provided in
Appendix A.
The Federal Deposit Insurance
Corporation (FDIC) will provide details about the
macroeconomic scenarios to institutions on or before
November 15th of each year.

For example, if an institution reported $9.5 billion in
total consolidated assets as reported on Schedule RC of
its Call Report as of March 31 and June 30, 2013, and
$11 billion as of September 30 and December 31, 2013,
the average total assets over the four-quarter period is
calculated as $10.25 billion and the institution would
meet the requirement to conduct its first stress test for
the 2014 stress test cycle.
Once an institution meets the asset threshold, the
institution will remain subject to the final rule's
requirements unless and until the total consolidated
assets of the institution are less than $10 billion for
each of four consecutive quarters as reported on the
Call Report, as applicable (measured on the as-of date
of the fourth consecutive Call Report). An institution
that has reduced its total consolidated assets below $10
billion for four consecutive quarters will again become
subject to the requirements of this rule if it meets the
asset threshold at a later date.

Who Must Report
Reporting Criteria
Institutions that meet a threshold of greater than $10
billion but less than $50 billion in total consolidated
assets, as defined by the annual stress test rule 12 CFR
part 325 must file the FDIC DFAST 10-50 report.

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

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

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The FDIC DFAST 10-50 report is required to be
submitted using a financial information date of
September 30. The submission date for institutions is
the close of business March 31 of each calendar year
unless that time is extended by the FDIC in writing. The
term “submission date” is defined as the date by which
the FDIC must receive the institution’s FDIC DFAST
10-50 report.

Compliance after 12/31/12
An institution that meets the asset threshold after
December 31, 2012, must comply with the requirements
of this subpart beginning with the stress test cycle that
commences in the calendar year after the year in which
the company meets the asset threshold, unless that time
is extended by the FDIC in writing.
Exemptions

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

Institutions that do not meet the reporting criteria listed
above are exempt from reporting.
Shifts in Reporting

Organization of the Report

If an institution filing the report reaches total consolidated
assets of $50 billion or more, as defined by the stress
testing final rule, it will be required to submit the DFAST14A stress testing report to the FDIC.

General Information

Where to Submit the Report
The Federal Reserve Board, the Office of the
Comptroller of the Currency, and the Federal Deposit
Insurance Corporation (agencies) have collaborated in
developing a streamlined and simplified DFA stress test
regulatory report that will facilitate a uniform electronic
collection process for all institutions. All institutions
should submit their completed reports electronically
through Reporting Central, the Federal Reserve’s
electronic reports submission application. Reporting
Central is a central point of entry for Federal Reserve,
FFIEC, and Treasury Department electronic reporting
submission and file uploads, and is a system many
institutions already use for other regulatory reports. Per
each agency’s final rules, each primary federal regulator
will have access to their respective institutions’
submissions.
Institutions should contact the FDIC or go to
www.frbservices.org/centralbank/reportingcentral
for
procedures for electronic submission.
All institutions must submit the completed Scenario
Variables Schedule, if applicable, and qualitative
supporting information in Adobe Acrobat PDF format.
For requirements regarding the submission of these
items, see the Scenario Variables Schedule section and
qualitative supporting information, Appendix A, of these
instructions.

When to Submit the Report
2

The annual company-run DFA stress test will cover a
nine-quarter planning horizon beginning on the first day
of a stress test cycle (on October 1) and use financial
information as of September 30 of a reporting year (for a
total of ten quarters of information reported).
Institutions will report on the FDIC DFAST 10-50 their
quantitative projections of losses, resources available to
absorb those losses, balance sheet positions, and capital
composition on a quarterly basis over the duration of the
scenarios and planning horizon. The FDIC will provide
details about the macroeconomic scenarios to
institutions on or before November 15th of each year.
The FDIC DFAST 10-50 report is organized into the
following sections:
A. Scenario Variables Schedule
B. Results Schedule
a. Summary Schedule
b. Baseline Scenario
i.
Income Statement
ii.
Balance Sheet & Capital
Statement

c. Adverse Scenario
i.
ii.

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

C. Appendix A - Qualitative Supporting
Information

C. Projections

In addition to the projections collected on the FDIC
DFAST 10-50 report, institutions are also required to
submit qualitative information supporting their
projections. The report of the results of the stress test
must include, under the baseline, adverse, and severely
adverse scenarios: a description of the types of risks
included in the stress test, a summary description of the
methodologies used in the stress test, an explanation of
the most significant causes for the changes in regulatory
capital ratios, and any other information required by the
FDIC. Please see Appendix A for more details.

How to Prepare the Reports

The report includes one quarter of actual data followed
by nine quarters of projected data. The “planning
horizon” refers to the nine quarters starting with the
fourth quarter of the reporting year (e.g. from the fourth
quarter of 2013 through the fourth quarter of 2015).
Column headings will refer to each corresponding
quarter.
D. Order of Precedence
If there is a conflict in guidance, institutions should first
use the information contained in these instructions and
then the instructions available in the latest Call Report.
E. Technical Details

A. Applicability of U.S. GAAP
Institutions are required to prepare and file the FDIC
DFAST 10-50 schedules in accordance with U.S.
generally accepted accounting principles (GAAP) and
these instructions.
The financial records of the
institutions should be maintained in such a manner and
scope to ensure the FDIC DFAST 10-50 report is
prepared in accordance with these instructions and
reflects a fair presentation of the institutions'
financial condition and assessment of performance
under stressed scenarios.
B. Rules of Consolidation
Respondents should reference the Call Report for
general instructions on the rules of consolidation. Unless
otherwise noted, items map directly to the respondent’s
Call Report for the actual quarterly data provided for
September 30th of the reporting year while all remaining
quarterly data over the nine-quarter horizon are based on
the institution’s quarterly projections.

The following instructions apply generally to the FDIC
DFAST 10-50 report, unless otherwise specified.
a. Report income and loss data on a quarterly basis
and not on a cumulative or year-to-date basis.
b. Ensure that any internal consistency checks are
complete prior to submission.
c. An amount or zero should generally be entered for
all items, except in those cases where other options
such as “not available” or “other” are specified. If
information is not available or not applicable and
no such options are offered, the field should be left
blank
d. MDRM codes and formulas are provided in the
"031 or 041 Call Rpt Item" column for most line
items. Definitions in the Call Report for those
items should be used.
F. Rounding
All dollar amounts must be reported in thousands, with
the figures rounded to the nearest thousand. Rounding
could result in details not adding to their stated totals.
However, to ensure consistent reporting, the rounded
detail items should be adjusted so that the totals and the
sums of their components are identical.
G. Negative Entries

3

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

in parentheses.
H. Confidentiality
As these data will be collected as part of the supervisory
process, they are subject to confidential treatment under
exemption 8 of the Freedom of Information Act (5
U.S.C. 552(b)(8)).
In addition, the information
contained in this report may be exempt from disclosure
under Exemption 4. 5 U.S.C. 552(b)(4). Disclosure
determinations would be made on a case-by-case basis.
I. Amended Reports
When the FDIC’s interpretation of how GAAP or these
instructions should be applied to a specified event or
transaction (or series of related events or transactions)
differs from the reporting institution’s interpretation, the
FDIC may require the institution to reflect the event(s)
or transaction(s) in its FDIC DFAST 10-50 report in
accordance with the FDIC’s interpretation and to amend
previously submitted reports. The FDIC will consider
the materiality of such event(s) or transaction(s) in
making a determination about requiring the institution to
apply the FDIC’s interpretation and to amend previously
submitted reports.
Materiality is a qualitative
characteristic of accounting information which is
defined in FASB Concepts No. 2 as ‘‘the magnitude of
an omission or misstatement of accounting information
that, in the light of surrounding circumstances, make it
probable that the judgment of a reasonable person
relying on the information would have been changed or
influenced by the omission or misstatement.’’
The FDIC may require the filing of an amended FDIC
DFAST 10-50 report if reports as previously submitted
contain significant errors. In addition, an institution
should file an amended report when internal or external
auditors make audit adjustments that result in a
restatement of financial statements previously submitted
to the FDIC.
For further information regarding FDIC DFAST 10-50
amended reports, please see the Amended Reports
section in the general instructions of the Call Report.
If resubmissions are required, institutions should contact
the FDIC.
J. Data Items Automatically Retrieved from Other
Reports
The actual 9/30 data that is required to be submitted in
the FDIC DFAST 10-50 report may also be collected in
other reports submitted to the FDIC. If the institution4

files the other reports at the same level of consolidation
as is required for the FDIC DFAST 10-50 report, the
duplicate data items do not need to be reported and may
be left blank on the FDIC DFAST 10-50 report form.
For institutions, the data will be collected from the Call
Report.
However, the actual 9/30 data for certain line items does
not map to existing MDRM codes in the Call Report.
Institutions will need to report the actual 9/30 data for
the following line items for each scenario.
 Income statement memoranda line items 26-31, 3237, and 38-43 for all reporters.
K. Questions
Questions and requests for interpretations of matters
appearing in any part of these instructions should be
directed to the institution’s FDIC central point of
contact.

average, its forecast should be interpreted as an
average as well.

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



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



For convenience, the schedule provides space for
10 additional variables per scenario, but any
number of variables may be reported, depending
on the variables actually used in the scenario.
Extra lines may be created as needed. The same
variables do not necessarily have to be included in
each scenario.



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



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

A. Scenario Variable Definitions
This schedule should be used to list and define the
variables used by an institution that chooses to go
beyond those variables defined in the mandatory
supervisory scenarios provided by the FDIC.


The schedule provides space for the baseline
scenario, adverse scenario, and severely
adverse scenario.
These sections must be
completed if an institution chooses to use
additional variables.



If additional variables are used beyond the
variables included in the FDIC provided
scenarios, list those variable names in the column
titled "Variable Name."



Variable definitions should be provided in the
column titled "Variable Definition." Variable
definitions should include a description of the
variable (e.g., "real GDP") and the denomination
and/or frequency of the variable (e.g., "billions
of 2005 dollars" or "in percent, average of
monthly values").



The forecasts and historical data for all of the
additional scenario variables should be
constructed on the same basis. Thus, if a
variable is, over history, constructed as an

5



Institutions should include historical data, as
well as projections, for any macroeconomic,
regional, local, or financial market variables
that are not generally available. Historical data
for these variables can be included in a separate
document.

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

B. All Scenarios


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



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



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



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



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

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

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

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

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

Income Statement
Schedule
For the Income Statement schedule, MDRM codes
corresponding to the related Call Report line items
are provided for many of the line items. Differences
between the FFIEC 031 and FFIEC 041 are noted;
otherwise, assume that they are the same.
Respondents should report income and loss data on
a quarterly basis and not on a cumulative or year-todate basis. When applicable, the definitions of the
institution’s projections should map to the
definitions outlined by the corresponding MDRM
code within the Call Report. The institution should
include losses tied to the relevant balances
reported on the Balance Sheet Schedule.
General Instructions
This schedule collects various income statement
items similar to items found on Schedules RI, RI-A,
and RI-B on the Call Report. Net charge-offs on this
schedule is defined as gross charge-offs less

recoveries for the various line items. As stated in the
Call Report instructions, institutions should also
include write-downs to fair values on loans (and
leases) transferred to the held-for-sale account during
the calendar year-to-date that occurred when (1) the
institution decided to sell loans that were not
originated or otherwise acquired with the intent to
sell and (2) the fair value of those loans had declined
for any reason other than a change in the general
market level of interest or foreign exchange rates.
Line item 1 First lien mortgages (net charge-offs):
Report all closed-end loans secured by first liens on
1–4 family residential properties, as defined in the
Call Report, Schedule RI-B, item 1.c.(2)(a).
Line item 2 Closed-end junior liens (net chargeoffs):
Report all closed-end loans secured by junior liens
on 1–4 family residential properties, as defined in the
Call Report, Schedule RI-B, item 1.c.(2)(b). Include
loans secured by junior liens in this item even if the
institution also holds a loan secured by a first lien on
the same 1–4 family residential property and there
are no intervening junior liens.
Line item 3 Home equity lines of credit
(HELOCS) (net charge-offs):
Report all revolving, open-end loans in domestic
offices secured by 1–4 family residential properties
and extended under lines of credit, as defined in the
Call Report, Schedule RI-B, item 1.c.(1).
Line item 4 Commercial and industrial (C&I)
loans (net charge-offs):
Report all commercial and industrial loans, as
defined in the Call Report FFIEC 041, Schedule RIB, item 4 and FFIEC 031, Schedule RI-B, item 4.a,
commercial and industrial loans to U.S. addressees,
and all commercial and industrial loans to non-U.S.
addressees, as defined in the FFIEC 031, Schedule
RI-B, item 4.b.
Line item 5 1-4 family construction loans (net
charge-offs):

7

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

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

Line item 6 Other construction loans (net chargeoffs):

Line item 14 Total loan and lease (net chargeoffs):

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

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

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

Line item 15 Net interest income:

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

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

Line item 8 Non-farm, non-residential owner
occupied loans (net charge-offs):
Report all loans secured by owner-occupied nonfarm non-residential properties, as defined in the Call
Report, Schedule RI-B, item 1.e.(1).
Line item 9 Non-farm, non-residential other loans
(net charge-offs):
Report all loans secured by other non-farm nonresidential properties, as defined in the Call Report,
Schedule RI-B, item 1.e.(2).

Line item 16 Non-interest income:
Report non-interest income, as defined in the Call
Report, Schedule RI, item 5.m.
Line item 17 Non-interest expense:
Report non-interest expense, as defined in the Call
Report, Schedule RI, item 7.e.
Line item 18 Pre-provision net revenue:
Report the sum of lines 15 and 16 above, less line 17.

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

Line item 19 Provision for loan and lease losses:

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

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

Line item 11 Automobile loans (net charge-offs):

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

Report all automobile loans, as defined in Call
Report, Schedule RI-B, item 5.b.
Line item 12 Other consumer loans (net chargeoffs):
Report all other consumer loans, as defined in the
Call Report, Schedule RI-B, item 5.c.
Line item 13 All other loans and leases (net
charge-offs):

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

8

actual 9/30 period (even if the value of the
category item decreases to less than 15 percent in
the projected periods).

Line item 22 All other gains (losses):
Report all other gains (losses) from extraordinary
items, other adjustments, less the net income (loss)
attributable to noncontrolling (minority) interests [if
net income of noncontrolling interest is positive
subtract out and if there is a net loss, add back], and
any other items that are not either (i) reported above
line 22 or (ii) in taxes reported in item 23. The
amounts reported in line 22 comprise the remaining
portion of net income reported in line 24.
Corresponding Call Report line items are defined in
Schedule RI, items 11 and 13.
Line item 23 Taxes:



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



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



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



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

Report the applicable income taxes, as defined in the
Call Report, Schedule RI, item 9.
Line item 24 Net income:
Report the total of lines 18, 19, 20, 21, 22, and 23
using the following logic (item 18 - item 19 + item
20 + item 21 + item 22 – item 23). If this amount is
a net loss, report with a minus (-) sign. Report the
applicable net income, as defined in the Call Report,
Schedule RI, item 14.
Memoranda items:
Line item 25 Other than temporary impairment
(OTTI) losses:
Report other than temporary impairment losses, as
defined in the Call Report, Schedule RI, Memo item
14.a.
Line items 26 through 43
These line items should be used to list the projected
segment amounts of non-interest income, non-interest
expense, and all other gains (losses) that exceed 15%
of each line item, respectively.



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

Line items 26-31 Itemize and describe amounts
greater than 15 percent of non-interest income
(Line item 16):
List and describe specific segments of non-interest
expense that exceed 15 percent of “total non-interest
expense” line item 16 as of the actual 9/30 period.
Line items 32-37 Itemize and describe amounts
greater than 15 percent of non-interest expense
(Line item 17):
List and describe specific segments of non-interest
expense that exceed 15 percent of “total non-interest
expense” line item 17 as of the actual 9/30 period.
Line items 38-43 Itemize and describe amounts
greater than 15 percent of all other gains (losses)
(Line item 22):
List and describe specific segments of non-interest
expense that exceed 15 percent of “all other
gains/losses” line item 22 as of the actual 9/30
period.

9

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

Report the amount outstanding under revolving,
open-end lines of credit secured by 1-4 family
residential properties held in domestic offices, as
defined in the Call Report, Schedule RC-C, item
1.c.(1), less relevant loans covered by loss-sharing
agreement with the FDIC (Schedule RC-M, item
13.a.(1)(c)(1)).
Line item 4 Commercial and industrial (C&I)
loans:
Report all commercial and industrial (C&I) loans, as
defined in the Call Report, Schedule RC-C, item 4
(FFIEC 041) and items 4.a and 4.b (FFIEC 031), less
relevant loans covered by loss-sharing agreement
with the FDIC (Schedule RC-M, item 13.a.(3)).

Line items 1 through 15 Loans

Line item 5 1-4 family construction loans:

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

Report loans secured by 1-4 family residential
construction loans held in domestic offices, as
defined in the Call Report, Schedule RC-C, item
1.a.(1), less relevant loans covered by loss-sharing
agreement with the FDIC (Schedule RC-M, item
13.a.(1)(a)(1)).
Line item 6 Other construction loans:

Unlike the loan balances reported in the Call Report
Schedule RC-C, for this schedule separately report
the loans covered by loss sharing agreements with
the FDIC (line 14).1
Line item 1 First lien mortgages:
Report closed-end loans secured by first liens on 1-4
family residential properties held in domestic offices,
as defined in the Call Report, Schedule RC-C, item
1.c.(2)(a), less relevant loans covered by loss-sharing
agreement with the FDIC (Schedule RC-M, item
13.a.(1)(c)(2)(a)).
Line item 2 Closed-end junior liens:
Report closed-end loans secured by junior (i.e., other
than first) liens on 1- 4 family residential properties
held in domestic offices, as defined in the Call
Report, Schedule RC-C, item 1.c.(2)(b), less relevant
loans covered by loss-sharing agreement with the
FDIC (Schedule RC-M, item 13.a.(1)(c)(2)(b)).
Line item 3 Home equity lines of credit:
(HELOCS)

Report construction loans for purposes other
constructing 1-4 family residential properties, land
development loans, and all other land loans held in
domestic offices, as defined in the Call Report,
Schedule RC-C, items 1.a.(2), less relevant loans
covered by loss-sharing agreement with the FDIC
(Schedule RC-M, item 13.a.(1)(a)(2)).
Line item 7 Multifamily loans:
Report loans secured by multifamily (5 or more)
residential properties held in domestic offices, as
defined in the Call Report, Schedule RC-C, item 1.d,
less relevant loans covered by loss-sharing
agreement with the FDIC (Schedule RC-M, item
13.a.(1)(d)).
Line item 8 Non-farm, non-residential owneroccupied loans:
Report loans secured by owner-occupied non-farm
non-residential properties held in domestic offices, as
defined in the Call Report, Schedule RC-C, item
1.e.(1), less relevant loans covered by loss-sharing
agreement with the FDIC (Schedule RC-M, item
13.a.(1)(e)(1)).

1

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

Line item 9 Non-farm, non-residential other
loans:

10

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

Line item 16 Allowance for loan and lease losses
(ALLL)
Report the allowance for loan and lease losses, as
defined in the Call Report, Schedule RC, item 4.c.
Line items 17 through 21 Securities: Held-tomaturity (HTM)

Line item 10 Credit cards:
Report all extensions of credit to individuals for
household, family, and other personal expenditures
arising from credit cards, held in domestic offices, as
defined in the Call Report, Schedule RC-C, item 6.a ,
less relevant loans covered by loss-sharing
agreement with the FDIC (Schedule RC-M, item
13.a.(4)(a)).
Line item 11 Automobile loans:
Report all auto loans held in domestic offices, as
defined in the Call Report, Schedule RC-C, item 6.c,
less relevant loans covered by loss-sharing
agreement with the FDIC (Schedule RC-M, item
13.a.(4)(b)).
Line item 12 Other consumer loans:
Report all other consumer loans held in domestic
offices not reported in line items 10 or 11, as defined
in the Call Report, Schedule RC-C, items 6.b and
6.d, less relevant loans covered by loss-sharing
agreement with the FDIC (Schedule RC-M, item
13.a.(4)(c)).
Line item 13 All other loans and leases:
Report all other loans and leases that have not
already been reported in the loan categories in line
items 1 through 12, excluding loans covered by
FDIC loss-sharing agreements (reported in line 14).
Line item 14 Loans covered by FDIC loss-sharing
agreements:
Report all loans covered by loss-sharing agreements
with the FDIC, as defined in the Call Report,
Schedule RC-M items 13.a.(1)(a)(1) through
13.a.(5).
Line item 15 Total loans and leases:
Report the sum of items 1 through 14 above. This is
also defined in the Call Report, Schedule RC-C, Part
I, item 12.

For line items 17 through 21, report the amortized
cost
of
securities held-to-maturity, which
corresponds to securities reported in the Call Report,
Schedule RC-B, column A.
Line item 17 U.S. government obligations and
obligations of GSE:
Report securities issued by the U.S. Government and
by U.S. government agencies, as defined in the Call
Report, Schedule RC-B, items 1, 2.a, 2.b, 4.a.(1),
4.a.(2), 4.b.(1), 4.b.(2), 4.c.(1)(a), and 4.c.(2)(a).
Line item 18 Securities issued by states and
political subdivisions of the U.S.:
Report securities issued by the states and political
subdivisions of the U.S., as defined in the Call
Report, Schedule RC-B, item 3.
Line item 19 Non-agency MBS and ABS
securities:
Report all mortgage-backed and asset-backed
securities not guaranteed by the U.S. government or
issued by a state or political subdivision of the U.S.,
as defined in the Call Report, Schedule RC-B items
4.a.(3), 4.b.(3), 4.c.(1)(b), 4.c.(2)(b), and 5.a.
Line item 20 All other HTM securities:
Report all other securities that have not already been
reported in the securities categories in line items 17
through 19, as defined in the Call Report, Schedule
RC-B items 5.b.(1), 5.b.(2), 5.b.(3), 6.a, and 6.b.
Line item 21 Total HTM securities:
Report the sum of items 17 through 20 above. This is
also defined in the Call Report, Schedule RC, item
2a.
Line items 22 through 26 Securities: Availablefor-sale (AFS)

11

For line items 22 through 26, report the fair value of
available-for-sale securities, which corresponds to
securities reported in the Call Report, Schedule RCB, column D.
Line item 22 U.S. government obligations and
obligations of GSE:
Report securities issued by the U.S. Government and
by U.S. government agencies, as defined in the Call
Report, Schedule RC-B, items 1, 2.a, 2.b, 4.a.(1),
4.a.(2), 4.b.(1), 4.b.(2), 4.c.(1)(a), and 4.c.(2)(a).
Line item 23 Securities issued by states and
political subdivisions of the U.S.:
Report securities issued by the states and political
subdivisions of the U.S., as defined in the
Call Report, Schedule RC-B, item 3.
Line item 24 Non-agency MBS and ABS
securities:
Report all mortgage-backed and asset-backed
securities not guaranteed by the U.S. government or
issued by a state or political subdivision of the U.S.,
as defined in the Call Report, Schedule RC-B items
4.a.(3), 4.b.(3), 4.c.(1)(b), 4.c.(2)(b), and 5.a.
Line item 25 All other AFS securities:
Report all other securities that have not already been
reported in the securities categories in line items 22
through 24, as defined in the Call Report, Schedule
RC-B items 5.b., 6, and 7

Line item 29 Other real estate owned:
Report the net book value of all other real estate
owned (OREO), as defined in the Call Report,
Schedule RC, item 7.
Line item 30 All other assets:
Report all other assets that have not been reported in
line items 1 through 29 that comprise total
consolidated assets.
Line item 31 Total assets:
Report the sum of line items 15, 21, and 26 through
30 above, less line item 16 above. This is also
defined in the Call Report, Schedule RC, item 12.
Line item 32 Retail funding (core deposits):
Report all retail funding deposits as defined in Call
Report , Schedule RC, item 13.a less Schedule RC-E,
Part I, items M.1.c.(1), M.1.c.(2) and M.2.d.
Line item 33 Wholesale funding:
Report all wholesale funding deposits as defined in
the Call Report, Schedule RC, items 13.b, 14.a, 14.b,
Schedule RC-H, item 5, Schedule RC-E, items
M.1.c.(1), M.1.c.(2) and M.2.d for FFIEC 031 filers;
Schedule RC, 14.a ,14.b, 16, Schedule RC-E, items
M.1.c.(1), M.1.c.(2) and M.2.d for FFIEC 041 filers.
Line item 34 Trading liabilities:

Line item 26 Total AFS securities:

Report all trading liabilities, as defined in the Call
Report, Schedule RC, item 15.

Report the sum of items 22 through 25 above. This is
also defined in the Call Report, Schedule RC, item
2b.

Line item 35 All other liabilities:

Line item 27 Trading assets:
Report trading assets, as defined in the Call Report,
Schedule RC, item 5.
Line item 28 Total intangible assets:
Report all goodwill and intangible assets, as defined
in the Call Report, Schedule RC, item 10.a and 10.b.

Report all other liabilities, as item 36 less items 32,
33, and 34.
Institutions should take into account the projected
losses of unfunded loan commitments as they
develop projections for this line item. An allowance
for off-balance sheet credit exposures should be
recognized in this line item (and not part of the
ALLL).

12

Line item 36 Total liabilities:
Report total liabilities as defined in the Call Report,
Schedule RC, item 21.
Line item 37 Perpetual preferred stock and
related surplus:

incorporated into their DFA stress test until the
stress test cycle that begins on October 1, 2014. As
institutions will begin to comply with the revised
capital rules during that 2014 stress testing cycle,
these institutions are expected to implement the
requirements of the revised capital rules in their
DFA stress tests at that time.

Report perpetual preferred stock and related surplus,
as defined in the Call Report, Schedule RC, item 23.
Line item 38 Equity capital:
Report common stock (par value), as defined in the
Call Report, Schedule RC, item 24; surplus, as
defined in the Call Report, Schedule RC, item 25;
retained earnings, as defined in the Call Report,
Schedule RC, item 26.a; and other equity capital
components, as defined in the Call Report, Schedule
RC, item 26.b, 26.c, and 27.b.

Line item 40 Unrealized gains (losses) on AFS
securities:
Report unrealized gains (losses) on AFS securities,
as defined in the Call Report, Schedule RC-R, item
2.
Line item 41 Disallowed deferred tax asset:
Report disallowed deferred tax asset, as defined in
the Call Report, Schedule RC-R, item 9.b.

Line item 39 Total equity capital:
Line item 42 Tier 1 capital:
Report total equity capital, as defined in the Call
Report, Schedule RC, item 28.

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

Balance Sheet Schedule: Capital Section
This section collects projections of components of
equity capital and regulatory capital, components of
assets and liabilities, and deferred tax asset items.
When applicable, the definitions of the
institution's projections should map to the
definitions outlined by the corresponding MDRM
code within the Call Report.
The projections should clearly show any proposed
capital actions or other scenario-dependent actions
that would affect the institution's regulatory capital.
An institution is required to calculate for each
quarter end within the planning horizon the
potential impact on its regulatory capital levels and
ratios incorporating the effects of any expected
capital actions over the planning horizon. For the
2013 stress testing cycle institutions should use the
FDIC’s applicable risk-based capital rules as they
are effective as of September 30, 2013. Changes
from the recently revised capital rule should not be

Line item 43 Qualifying subordinated debt and
redeemable preferred stock:
Report qualifying subordinated debt and redeemable
preferred stock, as defined in the Call Report,
Schedule RC-R, item 12.
Line item 44 Allowance includible in Tier 2
capital:
Report allowance includible in tier 2 capital, as
defined in the Call Report, Schedule RC-R, item 14.
Line item 45 Tier 2 capital:
Report tier 2 capital, as defined in Call Report,
Schedule RC-R, item 17.
Line item 46 Total risk-based capital:
Report total risk-based capital, as defined in the Call
Report, Schedule RC-R, item 21

13

Line item 47 Total capital:
Report total capital, as defined in the Call Report,
Schedule RC-R, item 1.
Line item 48 Risk-weighted assets:
Report risk-weighted assets, as defined in the Call
Report, Schedule RC-R, item 62.
Line item 49 Total assets for leverage Purposes:
Report total assets for leverage purposes, as defined
in the Call Report, Schedule RC-R, item 27.
Line item 50 Tier 1 risk based capital ratio:
Report tier 1 risk based capital ratio as item 42
divided by item 48.
Line item 51 Tier 1 leverage ratio:
Report tier 1 leverage ratio as item 42 divided by
item 49.
Line item 52 Total risk-based capital ratio:
Report total risk-based capital ratio as item 46
divided by item 48.
Line item 53 Sale, conversion, acquisition, or
retirement of capital stock:
Report sale, conversion, acquisition, or retirement of
capital stock, as the sum of and defined in the Call
Report, Schedule RI-A, items 5 and 6.
Line item 54 Cash dividends declared on
preferred stock:
Report cash dividends declared on preferred stock, as
defined in the Call Report, Schedule RI-A, item 8.
Line item 55 Cash dividends declared on common
stock:
Report cash dividends declared on common stock, as
defined in the Call Report, Schedule RI-A, item 9.

14

APPENDIX A
QUALITATIVE
SUPPORTING
INFORMATION



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

Each institution is required under DFA stress test to
submit a summary of the qualitative information
supporting its projections. Supporting information
should include sufficient information to inform a
third party of an institution’s general approach and
assumptions, but remain summary in nature.
I n s t i t u t i o n s should provide appropriate
references to internal documents that provide more
detail on all the items to be discussed in the
submission. All institutions must submit the
completed Scenario Variables Schedule, if
applicable, and the qualitative supporting
information in Adobe Acrobat PDF format.

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

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

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

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

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

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

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

3. Capital

15

Summary of methodology, models, and
validation activities related to assumptions and
calculations used to calculate regulatory capital,
explanations of proposed capital actions, options
to maintain internally established capital goals on
a post-stress basis, and an explanation of causes
for changes in regulatory capital ratios. This
information should support the Balance Sheet
Schedule line items 40 to 52.
4. Loans
Summary of methodology, models, and
validation activities related to each loan portfolio
reported in total loans and leases, including the
associated ALLL. This information should
support Balance Sheet Schedule line items 1 to
16 and Income Statement Schedule line items 1
to 14.
5. Securities
Summary of methodology. models, and
validation activities related to projections of
HTM and AFS security balances, unrealized
losses, and OTTI. This information should
support Balance Sheet Schedule line items 17 to
26 and Income Statement Schedule line items 20
to 22 and 25.
6. Pre-provision Net Revenue
Summary of methodology, models, and
validation activities related to estimates of net
interest income, margins, fees, funding costs, and
related items. This information should support
Income Statement Schedule line items 15 to 18.
7. Balance Sheet
Summary of methodology, models, and
validation activities related to balance sheet
estimation, such as loan balances. This
information should support Balance Sheet
Schedule line items 1 to 39
The summary qualitative supporting documentation
should not include embedded files and should be
submitted in Adobe Acrobat PDF format. The file
size limit is 50 MB. If the file needs to be split up
into smaller files, the combined file size limit is 200
MB. When submitting multiple files in order to meet
the file size limit, the file name should indicate the
content of files submitted using the seven qualitative
supporting information summary categories

discussed above.
Example 1:
“ReportID_RSSD_SUMMARY_SUMMARY_
AND_GOVERNANCE_TO_CAPITAL_MMDDYY”;
and
“ReportID_RSSD_SUMMARY_LOANS_TO_BALAN
CE SHEET_MMDDYY”;
Example 2:
ReportID_RSSD_SUMMARY_SUMMARY_
AND_GOVERNANCE_TO_CAPITAL_MMDDYY”
and
“ReportID_RSSD_SUMMARY_LOANS_MMDDYY”
and
ReportID_RSSD_SUMMARY_SECURITIES_MMDD
YY” and “ReportID_RSSD_SUMMARY_PREPROVISION_NET_REVENUE_AND_BALANCE
SHEET_MMDDYY
etc.).

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

B. Summary Description of the
Methodologies used in the Stress Test
For each part of the Results Schedule and the
Scenario Variables Schedule, the institution should
submit supporting information that clearly describes
the methodology used to produce the projections.
Each institution should include a summary
description of how it translated the macroeconomic
and financial variables from the supervisory
scenarios into its projections and technical details
of any underlying statistical methods used.
Information should be provided for all elements of
the stress tests, including loss estimation, revenue

16

estimation, projections of the balance sheet and riskweighted assets, and capital levels and ratios. Where
judgment is an essential part of the projection,
each institution should describe the rationale and
magnitude, as well as the process involved to ensure
consistency of projections with scenario conditions.
Furthermore, the institution should include thorough
discussion of any material deviations from these
instructions and how they decided upon the
materiality of such deviations.
Discussion of methodologies should be consistent
with expectations in existing supervisory guidance
on stress testing issued by the Agencies. In
particular, the institution should provide a summary
of the design, theory, and logic underlying the
methodologies used.
Each
institution
should include summary
information supporting any additional scenario
variables used to conduct the DFA stress tests. The
information should detail the rationale behind
including additional scenario variables and the
process for projecting additional variables, including
the linkage with the macroeconomic and financial
scenarios provided by the FDIC.
If third-party models are used, an institution should
provide summary information about those models,
including model design, key assumptions, known
limitations, and implementation and execution.
Each institution should provide credible support for
all key assumptions used to derive loss and revenue
estimates, including assumptions related to the
components of loss, severity of loss, drivers of
revenue, and any known weaknesses in the translation
of assumptions into loss and revenue estimates. Each
institution should demonstrate that these assumptions
are clearly conditioned on the stated macroeconomic
and financial scenarios and are consistent with stated
business strategies including but not limited to
mergers, acquisitions, or divestitures of business lines
or entities and changes in strategic direction. If the
institution's models rely upon historical relationships,
describe the historical data used and clearly describe
why these relationships are expected to be maintained
in each scenario.
The impact of assumptions
concerning new growth or changes to credit policy on
forecasted loss estimates relative to historical
performance should be clearly explained.

Institutions should provide summary information on
the specific assumptions used to calculate regulatory
capital, including a discussion of any proposed capital
distributions.
When appropriate, clearly state
assumptions related to the corporate tax rate and the
evolution of the deferred tax assets. In situations
where the institution chose not to project components
of the balance sheet, those components should be held
constant at the last current level and the institution
should explain why the held constant assumption is
appropriate in the given scenario.
Each institution should submit any other summary
information and documentation necessary to
support or explain its capital calculations. For
example, an institution could show the
calculations related to the projections of the
deferred tax asset that may be disallowed for
regulatory capital purposes.
While judgment is an essential part of risk
measurement and risk management, including loss
forecasting, institutions should not be over-reliant
on judgment to prepare their loss estimations
without providing documentation or evidence of
transparency and discipline around the process.
Each institution should provide support for any
judgment applied or qualitative adjustments made
and explain how they are appropriate and in line
with scenario conditions.

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

17

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

18