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pdfSummary Submission Cover Sheet
All BHCs are expected to complete a version of the Summary template for each required scenario ‐ BHC Baseline, BHC Stress, Supervisory Baseline, and Supervisory Stress ‐ and additional scenarios that are named accordingly.
BHCs should complete all relevant cells in the corresponding worksheets, including this cover page. BHCs should not complete any shaded cells.
Please ensure that the data submitted in this Summary Template match what was submitted in other data templates.
Please do not change the structure of this workbook.
Please note that unlike FR Y‐9C reporting, all actual and projected income statement figures should be reported on a quarterly basis, and not on a cumulative basis.
Any questions should be directed to [email protected].
Institution Name:
RSSD ID:
Source:
Submission Date (MM/DD/YYYY):
When Received:
BHC XYZ, Inc.
1234567
BHC
9/4/14 2:20 PM
Please indicate the scenario associated with this submission using the following drop‐down menu:
BHC Baseline
Briefly describe the scenario below:
BHC Income Statement Worksheet: BHC XYZ, Inc. in BHC Baseline
Actual in $Millions
Notes
Item
Projected in $Millions
as of date
PQ 1
PQ 2
PQ 3
PQ 4
PQ 5
Sums in $Millions
PQ 6
PQ 7
PQ 8
PQ 9
P
Q
2 ‐
P
Q
5
PQ 6 ‐ PQ 9
9‐Quarter
LOSSES ASSOCIATED WITH LOANS HELD FOR INVESTMENT AT AMORTIZED COST
1
Real Estate Loans (in Domestic Offices)
2
3
4
5
6
7
8
9
10
11
12
13
14
First Lien Mortgages
First Lien Mortgages
First Lien HELOAN
Second / Junior Lien Mortgages
Closed‐End Junior Liens
HELOCs
CRE Loans
Construction
Multifamily
Nonfarm, Non‐residential
Owner‐Occupied
Non‐Owner‐Occupied
Loans Secured by Farmland
15
16
17
Real Estate Loans (Not in Domestic Offices)
First Lien Mortgages
Second / Junior Lien Mortgages
18
19
20
21
22
23
24
25
26
27
28
29
CRE Loans
Construction
Multifamily
Nonfarm, Non‐residential
Owner‐Occupied
Non‐Owner‐Occupied
Loans Secured by Farmland
C&I Loans
C&I Graded
Small Business (Scored/Delinquency Managed)
Business and Corporate Card
Credit Cards
30
31
32
33
34
35
36
37
38
39
40
41
42
43
Other Consumer
Auto Loans
Student Loans
Other loans backed by securities (non‐purpose lending)
Other
Other Loans
Loans to Foreign Governments
Agricultural Loans
Loans for purchasing or carrying securities (secured or unsecured)
Loans to Depositories and Other Financial Institutions
All Other Loans and Leases
All Other Loans (exclude consumer loans)
All Other Leases
Total Loans and Leases
Sum of items 2,
5, 8, and 14
Sum of items 3
and 4
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Sum of items 9, 10, ‐
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Sum of items 12 an ‐
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Sum of items 6 and ‐
Sum of items 16,
17, 18, and 24
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Sum of items 19,
20, and 21
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Sum of items 22 an ‐
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Sum of items 26 to ‐
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Sum of items 36 to ‐
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Sum of items 41 an ‐
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Sum of items 1, 15, 25, 29, 30, and 35
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Sum of items 45,
46, 47, and 48
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Sum of items 50,
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51, and 52
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Sum of items 44, 4 ‐
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Sum of items 31,
32, 33, and 34
‐
LOSSES ASSOCIATED WITH HELD FOR SALE LOANS AND LOANS ACCOUNTED FOR UNDER THE FAIR VALUE OPTION
44
45
46
47
48
Real Estate Loans (in Domestic Offices)
First Lien Mortgages
Second / Junior Lien Mortgages
CRE Loans
Loans Secured by Farmland
49
50
51
52
53
54
55
56
57
Real Estate Loans (Not in Domestic Offices)
Residential Mortgages
CRE Loans
Loans Secured by Farmland
C&I Loans
Credit Cards
Other Consumer
All Other Loans and Leases
Total Loans Held for Sale and Loans Accounted for under the Fair Value Option
TRADING ACCOUNT
58
Trading MTM Losses
59
Trading Incremental Default Losses (Trading IDR)
60
Counterparty Credit MTM Losses (CVA losses)
61
Counterparty Incremental Default Losses (CCR IDR)
62
Other CCR losses
63
64
65
66
67
Total Trading and Counterparty
OTHER LOSSES
Goodwill impairment
Valuation Adjustment for firm's own debt under fair value option (FVO)
Other losses (describe in supporting documentation)
Total Other Losses
68
Total Losses
69
ALLOWANCE FOR LOAN and LEASE LOSSES
ALLL, prior quarter
70
71
72
73
74
75
76
77
78
79
Real Estate Loans (in Domestic Offices)
Residential Mortgages
First Lien Mortgages
Closed‐End Junior Liens
HELOCs
CRE Loans
Construction
Multifamily
Nonfarm, Non‐residential
Loans Secured by Farmland
80
81
82
83
Real Estate Loans (Not in Domestic Offices)
Residential Mortgages
CRE Loans
Farmland
84
C&I Loans
Item 10 on
Trading
Worksheet
(flipped sign)
Item 1 on
Counterparty
Risk Worksheet
Item 2 on
Counterparty
Risk Worksheet
Item 3 on
Counterparty
Risk Worksheet
Item 4 on
Counterparty
Risk Worksheet
Sum of items 58,
59, 60, 61, and
62
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Sum of items 81,
82, and 83
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Sum of items 85,
86, and 87
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bhckc216
Sum of items 43,
57, 63, and 67
Sum of items 71,
75, and 79
Income Statement Worksheet
BHC Income Statement Worksheet: BHC XYZ, Inc. in BHC Baseline
Actual in $Millions
Item
85
86
87
88
89
90
91
92
Notes
C&I Graded
Small Business (Scored/Delinquency Managed)
Corporate and Business Cards
Credit Cards
Other Consumer
All Other Loans and Leases
Unallocated
Provisions during the quarter
93
94
95
96
97
98
99
100
101
102
Real Estate Loans (in Domestic Offices)
Residential Mortgages
First Lien Mortgages
Closed‐End Junior Liens
HELOCs
CRE Loans
Construction
Multifamily
Nonfarm, Non‐residential
Loans Secured by Farmland
103
104
105
106
Real Estate Loans (Not in Domestic Offices)
Residential Mortgages
CRE Loans
Farmland
bhck4230
Sum of items 94,
98, and 102
Projected in $Millions
as of date
PQ 1
PQ 2
PQ 3
PQ 4
PQ 5
Sums in $Millions
PQ 6
PQ 7
PQ 8
P
Q
2 ‐
P
Q
5
PQ 9
PQ 6 ‐ PQ 9
9‐Quarter
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Sum of items
104, 105, and
106
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Sum of items
108, 109, and
110
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107
108
109
110
111
112
113
114
115
C&I Loans
C&I Graded
Small Business (Scored/Delinquency Managed)
Corporate and Business Cards
Credit Cards
Other Consumer
All Other Loans and Leases
Unallocated
Net charge‐offs during the quarter
116
Other ALLL Changes
Item 41
bhckc233 less
bhck 5523
ALLL, current quarter
Items 69, 92, and
116 less item 115
= bhct3123
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Net interest income
PPNR Projections
Worksheet Item
13
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Noninterest income
PPNR Projections
Worksheet Item
26
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Noninterest expense
PPNR Projections
Worksheet Item
38
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Items 118 and
119 less item 120
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Item 121
Item 92 =
bhck4230
Item 63
Item 67
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bhck3196
bhck3521
Sum of items
122, 126, 128,
and 127, less
items 123, 124,
and 125
=bhck4301
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117
PRE‐PROVISION NET REVENUE
118
119
120
121
Pre‐Provision Net Revenue
122
CONDENSED INCOME STATEMENT
Pre‐Provision Net Revenue
123
124
125
126
127
128
129
Provisions during the quarter
Total Trading and Counterparty Losses
Total Other Losses
Other I/S items ‐ describe in supporting documentation
Realized Gains (Losses) on available‐for‐sale securities (forecast = OTTI)
Realized Gains (Losses) on held‐to‐maturity securities (forecast = OTTI)
Income (loss) before taxes and extraordinary items
130
Applicable income taxes (foreign and domestic)
131
Income (loss) before extraordinary items and other adjustments
bhck4302
Item 129 less
item 130
=bhck4300
132
133
Extraordinary items and other adjustments, net of income taxes
Net income (loss) attributable to BHC and minority interests
bhck4320
Sum of items 131
and 132 =
bhckg104
134
135
Net income (loss) attributable to minority interests
Net income (loss) attributable to BHC
bhckg103
Item 133 less
item 134 =
bhck4340 (must
match item 4 on
the Capital
Worksheet)
136
137
138
139
140
Effective Tax Rate (%)
‐
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Item 130 divided
by item 129,
multiplied by 100
REPURCHASE RESERVE/LIABILITY FOR MORTGAGE REPS AND WARRANTIES
Reserve, prior quarter
Provisions during the quarter
Net charges during the quarter
Reserve, current quarter
‐
Items 137 and
138 less item 139
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Income Statement Worksheet
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BHC Balance Sheet Worksheet: BHC XYZ, Inc. in BHC Baseline
Item
Notes
PQ 1
Projected in $Millions
PQ 3
PQ 4
PQ 2
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
Assets
1
2
3
4
5
SECURITIES
Held to Maturity (HTM)
Available for Sale (AFS)
Total Securities
Of which:
Securitizations (investment grade)
Securitizations (non‐investment grade)
bhck1754
bhck1773
Sum of items 1 and 2
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Sum of items 11 and 12
= bhdm5368
= bhdm1797
Sum of items 14, 15, and 16
= sum of bhckf158 and bhckf159
= bhdm1460
Sum of items 17 and 18
= bhckf160
= bhckf161
= bhdm1420
Sum of items 21, 22, 23,
and 29
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Total Loans and Leases
6
7
8
9
10
11
12
13
14
15
16
17
18
19
Real Estate Loans (in Domestic Offices)
First Lien Mortgages
First Lien Mortgages
First Lien HELOAN
Second / Junior Lien Mortgages
Closed‐End Junior Liens
HELOCs
CRE Loans
Construction
Multifamily
Nonfarm, Non‐residential
Owner‐Occupied
Non‐Owner‐Occupied
Loans Secured by Farmland
20
21
22
Real Estate Loans (Not in Domestic Offices)
First Lien Mortgages
Second / Junior Lien Mortgages
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
CRE Loans
Construction
Multifamily
Nonfarm, Non‐residential
Owner‐Occupied
Non‐Owner‐Occupied
Loans Secured by Farmland
C&I Loans
C&I Graded
Small Business (Scored/Delinquency Managed)
Corporate Card
Business Card
Credit Cards
Charge Card
Bank Card
38
39
40
41
42
43
44
45
46
47
48
49
50
51
Other Consumer
Auto Loans
Student Loans
Other loans backed by securities (non‐purpose lending)
Other
Other Loans and Leases
Loans to Foreign Governments
Agricultural Loans
Loans for purchasing or carrying securities (secured or unsecured)
Loans to Depositories and Other Financial Institutions
All Other Loans and Leases
All Other Loans (exclude consumer loans)
All Other Leases
Total Loans and Leases
Sum of items 7, 10, 13,
and 19
Sum of items 8 and 9 =
bhdm5367
Sum of items 24, 25, and
26
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Sum of items 27 and 28
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Sum of items 31 to 34
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Sum of items 36 and 37
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Sum of items 39, 40, 41,
and 42
= bhckk137
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Sum of items 44 to 48
= bhck2081
= bhck1590
= bhck1545
= bhck1292 + bhck1296 + bhckj454
Sum of items 49 and 50
= bhckj451
= bhckf163
Sum of items 6, 20, 30, 35,
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Sum of items 53, 56, 59,
and 65
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Sum of items 57 and 58
Sum of items 60, 61, and 62
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Sum of items 63 and 64
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LOANS HELD FOR INVESTMENT AT AMORTIZED COST
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
Real Estate Loans (in Domestic Offices)
First Lien Mortgages
First Lien Mortgages
First Lien HELOAN
Second / Junior Lien Mortgages
Closed‐End Junior Liens
HELOCs
CRE Loans
Construction
Multifamily
Nonfarm, Non‐residential
Owner‐Occupied
Non‐Owner‐Occupied
Loans Secured by Farmland
Real Estate Loans (Not in Domestic Offices)
First Lien Mortgages
Second / Junior Lien Mortgages
CRE Loans
Construction
Multifamily
Nonfarm, Non‐residential
Owner‐Occupied
Non‐Owner‐Occupied
Loans Secured by Farmland
C&I Loans
C&I Graded
Small Business (Scored/Delinquency Managed)
Business and Corporate Card
Credit Cards
Other Consumer
Auto Loans
Student Loans
Other loans backed by securities (non‐purpose lending)
Other
Other Loans and Leases
Loans to Foreign Governments
Agricultural Loans
Loans for purchasing or carrying securities (secured or unsecured)
Loans to Depositories and Other Financial Institutions
All Other Loans and Leases
All Other Loans (exclude consumer loans)
All Other Leases
Total Loans and Leases
Sum of items 54 and 55
Sum of items 67, 68, 69,
and 75
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Sum of items 70, 71, and
72
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Sum of items 73 and 74
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Sum of items 77, 78, and
79
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Sum of items 87 to 91
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Sum of items 92 and 93
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Sum of items 52, 66, 76, 80
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Sum of items 82, 83, 84,
and 85
Balance Sheet Worksheet
BHC Balance Sheet Worksheet: BHC XYZ, Inc. in BHC Baseline
Item
Notes
PQ 1
Projected in $Millions
PQ 3
PQ 4
PQ 2
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
Loans Held for Sale and Loans Accounted for under the Fair Value Option
95
96
97
98
99
Real Estate Loans (in Domestic Offices)
First Lien Mortgages
Second / Junior Lien Mortgages
CRE Loans
Loans Secured by Farmland
100
101
102
103
104
105
106
107
108
Real Estate Loans (Not in Domestic Offices)
Residential Mortgages
CRE Loans
Loans Secured by Farmland
C&I Loans
Credit Cards
Other Consumer
Other Loans and Leases
Total Loans Held for Sale and Loans Accounted for under the Fair Value Option
Sum of items 96, 97, 98,
and 99
Item 7 less 53
Item 10 less 56
Item 13 less 59
Item 19 less 65
Sum of items 101, 102,
and 103
Items 21 and 22 less 67 and
Item 23 less 69
Item 29 less 75
Item 30 less 76
Item 35 less 80
Item 38 less 81
Item 43 less 86
Sum of items 95, 100, 104,
109
110
111
Unearned Income on Loans
Allowance for Loan and Lease Losses
Loans and Leases (Held for Investment and Held for Sale), Net of Unearned Income and
Allowance for Loan and Lease Losses
bhck2123
bhck3123
Item 51 less items 109
and 110 = bhckb529
112
TRADING
Trading Assets
bhck3545
113
114
115
116
117
INTANGIBLES
Goodwill
Mortgage Servicing Rights
Purchased Credit Card Relationships and Nonmortgage Servicing Rights
All Other Identifiable Intangible Assets
Total Intangible Assets
bhck3163
bhck3164
bhckb026
bhck5507
Sum of items 113 to 116
118
OTHER
Cash and cash equivalent
119
120
121
122
123
124
125
126
127
128
129
130
131
Federal funds sold
Securities purchased under agreements to resell
Premises and Fixed Assets
OREO
Commercial
Residential
Farmland
Collateral Underlying Operating Leases for Which the Bank is the Lessor (1)
Autos
Other
Other Assets
Total Other
TOTAL ASSETS
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
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‐
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‐
bhck0081 + bhck0395 +
bhck0397
bhdmb987
bhckb989
bhck2145
Sum of items 123 to 125 = b
‐
‐
‐
‐
‐
‐
‐
‐
‐
Sum of items 127 and 128
‐
‐
‐
‐
‐
‐
‐
‐
‐
bhck2130 + bhck3656 +
bhck2160 less item 126
Sum of items 121 and 129
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
bhckc699
bhck2750
bhckb557
Sum of items 134 to 140 = b
‐
‐
‐
‐
‐
‐
‐
‐
‐
Sum of items 3, 111, 112,
117, and 130 = bhck2170
Liabilities
132
133
134
135
136
137
138
139
140
141
142
Deposits in domestic offices
Deposits in foreign offices, Edge and Agreement subsidiaries, and IBFs
Deposits
Federal funds purchased and securities sold under agreements to repurchase
Trading Liabilities
Other Borrowed Money
Subordinated Notes and Debentures
Subordinated Notes Payable to Unconsolidated Trusts Issuing TruPS and TruPS Issued by
Consolidated Special Purpose Entities
Other Liabilities
Memo: Allowance for off‐balance sheet credit exposures
Total Liabilities
bhdm6631 + bhdm6636
bhfn6631 + bhfn6636
Sum of items 132 and 133
bhdmb993 + bhckb995
bhck3548
bhck3190
bhck4062
Equity Capital
143
144
145
146
147
148
149
150
151
Perpetual Preferred Stock and Related Surplus
Common Stock (Par Value)
Surplus (Exclude All Surplus Related to Preferred Stock)
Retained Earnings
Accumulated Other Comprehensive Income (AOCI)
Other Equity Capital Components
bhck3283
bhck3230
bhck3240
bhck3247
bhckb530
bhcka130
Sum of items 143 to 148
= bhck3210 (must equal
item 17 of the HI‐A
section on the CCAR
Capital Worksheet)
‐
‐
‐
‐
‐
‐
‐
‐
‐
Noncontrolling (Minority) Interests in Consolidated Subsidiaries
Total Equity Capital
bhck3000
Sum of items 149 and 150 =
‐
‐
‐
‐
‐
‐
‐
‐
‐
Unused Commercial Lending Commitments and Letters of Credit
bhck3816 + bhckj457 +
bhckj458 + bhcj459 +
bhck6566 + bhck6550 +
bhck6570 + bhck3411
TRUE
TRUE
TRUE
TRUE
Total BHC Equity Capital
Other
152
The following cells provide checks of the internal consistency of the projected schedules. Please ensure that these cells are all "TRUE" before the worksheet is submitted.
BHC Equity Capital
TRUE
Balance Sheet
TRUE
Footnotes to the Balance Sheet Worksheet
(1)
Refers to the balance sheet carrying amount of any equipment or other asset rented to others
under operating leases, net of accumulated depreciation. The total should correspond to the
amount provided in Y‐9C Schedule HC‐F Line 6, item 13 in the instructions. The amount included
should only reflect collateral rented under operating leases and not include collateral subject to
capital/ financing type leases.
Balance Sheet Worksheet
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
BHC Capital Worksheet (CCAR): BHC XYZ, Inc. in BHC Baseline
Actual in $Millions
Projected in $Millions
Sums in $Millions
Item
As of Date
5
6
7
8
9
10
11
12
13
14
15
Schedule HI‐A—Changes in Bank Holding Company Equity Capital
Total bank holding company equity capital most recently reported for the end of previous QUARTER
Effect of changes in accounting principles and corrections of material accounting errors
Balance end of previous QUARTER as restated (sum of items 1 and 2)
Net income (loss) attributable to bank holding company
Sale of perpetual preferred stock (excluding treasury stock transactions):
Sale of perpetual preferred stock, gross
Conversion or retirement of perpetual preferred stock
Sale of common stock:
Sale of common stock, gross
Conversion or retirement of common stock
Sale of treasury stock
Purchase of treasury stock
Changes incident to business combinations, net
Cash dividends declared on preferred stock
Cash dividends declared on common stock
Other comprehensive income
Change in the offsetting debit to the liability for Employee Stock Ownership Plan (ESOP) debt guaranteed by the bank holding company
16
17
Other adjustments to equity capital (not included above)*
Total bank holding company equity capital end of current period (sum of items 3, 4, 5, 6, 7, 8, 9, 11, 14, 15, 16, less items 10, 12, 13)
18
19
20
21
Schedule HC‐R (or FFIEC 101 Schedule A for advanced approaches holding companies that exit parallel run only) per general risk‐based capital rules and 72
Federal Register 69288 (December 7, 2007)
Tier 1 capital
Total bank holding company equity capital
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)
Net unrealized loss on available‐for‐sale equity securities (report loss as a positive value)
Accumulated net gains (losses) on cash flow hedges (if a gain, report as a positive value; if a loss, report as a negative value)
PQ 1
PQ 2
PQ 3
PQ 4
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
PQ 6 ‐ PQ 9
9‐Quarter
‐
‐
‐
‐
‐
‐
‐
‐
bhck3577
bhck3578
‐
‐
‐
‐
bhck3579
bhck3580
bhck4782
bhck4783
bhck4356
bhck4598
bhck4460
bhckb511
bhck4591
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
N
1
2
3
4
bhck3217
bhckb507
bhckb508
M
bhck3581
M ‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
32
Nonqualifying perpetual preferred stock
Qualifying Class A noncontrolling (minority) interests in consolidated subsidiaries
Qualifying restricted core capital elements (other than cumulative perpetual preferred stock)
Qualifying mandatory convertible preferred securities of internationally active bank holding companies
Disallowed goodwill and other disallowed intangible assets
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 holding company's own creditworthiness (if a net gain, report as a positive value; if a net loss, report as a negative value)
Subtotal (sum of items 18, 23, 24, 25, less items 19, 20, 21, 22, 26, 27)
Disallowed servicing assets and purchased credit card relationships
Disallowed deferred tax assets
Shortfall of eligible credit reserves below total expected credit losses (50% of shortfall plus any Tier 2 carryover) (advanced approaches institutions that exit
parallel run only)
Gain‐on‐sale associated with securitization exposures (advanced approaches institutions that exit parallel run only)
33
34
35
36
37
Certain failed capital markets transactions (50% of deductions plus any Tier 2 carryover) (advanced approaches institutions that exit parallel run only)
Other securitization deductions (50% of deductions plus any Tier 2 carryover) (advanced approaches institutions that exit parallel run only)
Insurance underwriting subsidiaries' minimum regulatory capital (advanced approaches institutions that exit parallel run only)
Other additions to (deductions from) Tier 1 capital**
Tier 1 capital (sum of items 28 and 36, less items 29 through 35)
t ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
h
h
h
c
h
h
h
h
h
h
c
h ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
h
h
a
a
a
a
a
a
a
h
h ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
Tier 2 capital
Qualifying subordinated debt, redeemable preferred stock, and restricted core capital elements (except Class B noncontrolling (minority) interest) not
Cumulative perpetual preferred stock included in item 22 and Class B noncontrolling (minority) interest not included in item 24, but includable in Tier 2 capital
Allowance for loan and lease losses includable in Tier 2 capital (non‐advanced approaches institutions and advanced approaches institutions that have not
Excess of eligible credit reserves over total expected credit losses (up to 0.60% of credit risk‐weighted assets) (advanced approaches institutions that exit
Unrealized gains on available‐for‐sale equity securities includable in Tier 2 capital
Insurance underwriting subsidiaries' minimum regulatory capital (advanced approaches institutions that exit parallel run only)
Other additions to (deductions from) Tier 2 capital (advanced approaches institutions that exit parallel run only)
Shortfall of eligible credit reserves below total expected credit losses (up to lower of 50% of the shortfall or amount of Tier 2 capital) (advanced approaches
Certain failed capital markets transactions (up to lower of 50% of deductions from such failed transactions or amount of Tier 2 capital) (advanced approaches
Other securitization deductions (up to lower of 50% of deductions or amount of Tier 2 capital) (advanced approaches institutions that exit parallel run only)
Other Tier 2 capital components
Tier 2 capital (sum of items 38 through 42 and 44 and 48, less item 43 and items 45 through 47)
Allowable Tier 2 capital (lesser of item 37 or 49)
Deductions for total risk‐based capital
Total risk‐based capital (sum of items 37 and 50 less item 51)
b
b
b
a
b
a
a
a
a
a
b
b ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
b ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
b
h ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
53
Regulatory Capital per Revised Regulatory Capital Rule (July 2013)
AOCI opt‐out election? (enter "1" for Yes; enter "0" for No)
54
55
56
57
58
Common equity tier 1
Common stock and related surplus, net of treasury stock and unearned employee stock ownership plan (ESOP) shares
Retained earnings
Accumulated other comprehensive income (AOCI)
Common equity tier 1 minority interest includable in common equity tier 1 capital
Common equity tier 1 before adjustments and deductions (sum of items 54 through 57, reflective of transition provisions)
22
23
24
25
26
27
28
29
30
31
59
60
61
62
63
64
AOCI related adjustments: Amounts recorded in AOCI attributed to defined benefit postretirement plans resulting from the initial and subsequent application
of the relevant GAAP standards that pertain to such plans (if a gain, report as a positive value; if a loss, report as a negative value)
AOCI related adjustments: Net unrealized gains (losses) on held‐to‐maturity securities that are included in AOCI (if a gain, report as a positive value; if a loss,
report as a negative value)
If Item 53 is “0” for “No”, complete item 67 only for AOCI related adjustments.
AOCI related adjustments: Accumulated net gain (loss) on cash flow hedges included in AOCI, net of applicable tax effects, that relate to the hedging of items
that are not recognized at fair value on the balance sheet (if a gain, report as a positive value; if a loss, report as a negative value)
68
Other deductions from (additions to) common equity tier capital 1 before threshold‐based deductions: Unrealized net gain (loss) related to changes in the fair
value of liabilities that are due to changes in own credit risk (if a gain, report as a positive value; if a loss, report as a negative value)
69
70
76
77
78
Other deductions from (additions to) common equity tier capital 1 before threshold‐based deductions: All other deductions from (additions to) common
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
Subtotal (item 58 minus items 59 through 70, reflective of transition provisions)
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 (item 103)
MSAs, net of associated DTLs, that exceed the 10 percent common equity tier 1 capital deduction threshold (item 108)
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 (item 111)
Amount of significant investments in the capital of unconsolidated financial institutions in the form of common stock; 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 DTLs; that
exceeds the 15 percent common equity tier 1 capital deduction threshold (item 117)
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 72 through 76 reflective of transition provisions)
Common equity tier 1 capital
79
80
81
82
83
84
Additional tier 1 capital
Additional tier 1 capital instruments plus related surplus
Non‐qualifying capital instruments subject to phase out from additional tier 1 capital
Tier 1 minority interest not included in common equity tier 1 capital
Additional tier 1 capital before deductions, reflective of transition provisions
Additional tier 1 capital deductions
Additional tier 1 capital, reflective of transition provisions
71
72
73
74
75
85
Tier 1 capital
Tier 1 capital, reflective of transition provisions (sum of items 78 and 84)
92
93
94
95
96
Tier 2 capital
Tier 2 capital instruments plus related surplus
Non‐qualifying capital instruments subject to phase out from tier 2 capital
Total capital minority interest that is not included in tier 1 capital
Allowance for loan and lease losses includable in tier 2 capital
(Advanced approaches holding companies that exit parallel run only): eligible credit reserves includable in tier 2 capital
Unrealized gains on available‐for‐sale preferred stock classified as an equity security under GAAP and available‐for‐sale equity exposures includable in tier 2
capital
Tier 2 capital before deductions, reflective of transition provisions
(Advanced approaches holding companies that exit parallel run only): Tier 2 capital before deductions, reflective of transition provisions
Tier 2 capital deductions
Tier 2 capital, reflective of transition provisions
(Advanced approaches holding companies that exit parallel run only): Tier 2 capital, reflective of transition provisions
97
98
Total capital
Total capital, relfective of transition provisions (sum of items 85 and 95)
(Advanced approaches holding companies that exit parallel run only): Total capital, reflective of transition provisions (sum of items 85 and 96)
86
87
88
89
90
91
102
103
10%/15% Threshold Deductions Calculations
Significant investments in the capital of unconsolidated financial institutions in the form of common stock, net of associated DTLs
Gross significant investments in the capital of unconsolidated financial institutions in the form of common stock
Permitted offsetting short positions in relation to the specific gross holdings included above
Significant investments in the capital of unconsolidated financial institutions in the form of common stock net of short positions (greater of item 99 minus 100
or zero)
10 percent common equity tier 1 deduction threshold (10 percent of item 71)
Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 101 minus 10 percent of item 102 or zero)
104
105
MSAs, net of associated DTLs
Total mortgage servicing assets classified as intangible
Associated deferred tax liabilities which would be extinguished if the intangible becomes impaired or derecognized under the relevant accounting standards
106
107
108
Mortgage servicing assets net of related deferred tax liabilities (item 104 minus item 105)
10 percent common equity tier 1 deduction threshold (10 percent of item 71)
Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 106 minus 10 percent of item 107 or zero)
99
100
101
PQ 1
PQ 2
PQ 3
PQ 4
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
AOCI related adjustments: Net unrealized loss on available‐for‐sale preferred stock classified as an equity security under GAAP and available‐for‐sale equity
exposures (report loss as a positive value)
AOCI related adjustments: Accumulated net gains (losses) on cash flow hedges (if a gain, report as a positive value; if a loss, report as a negative value)
66
67
As of Date
Common equity tier 1 capital: adjustments and deductions
Goodwill net of associated deferred tax liabilities (DTLs)
Intangible assets (other than goodwill and mortgage servicing assets (MSAs)), net of associated DTLs
Deferred tax assets (DTAs) that arise from net operating loss and tax credit carryforwards, net of any related valuation allowances and net of DTLs
If Item 53 is “1” for “Yes”, complete items 62 through 66 only for AOCI related adjustments.
AOCI related adjustments: 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)
65
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net of DTLs
109
110
111
DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net of DTLs
10 percent common equity tier 1 deduction threshold (10 percent of item 71)
Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 109 minus 10 percent of item 110 or zero)
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
Aggregate of items subject to the 15% limit (significant investments, mortgage servicing assets and deferred tax assets arising from temporary differences)
112
113
114
115
Sum of items 101, 106, and 109
15 percent common equity tier 1 deduction threshold (15 percent of item 71)
Sum of items 103, 108, and 111
Item 112 minus item 114
P
Q
2 ‐
P
Q
5
Capital ‐ CCAR
BHC Capital Worksheet (CCAR): BHC XYZ, Inc. in BHC Baseline
Actual in $Millions
Projected in $Millions
Sums in $Millions
Item
As of Date
N
116
PQ 1
PQ 2
PQ 3
PQ 4
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
Amount to be deducted from common equity tier 1 due to 15 percent deduction threshold, before transition provision (greater of item 115 minus item 113 or
zero)
Amount to be deducted from common equity tier 1 due to 15 percent deduction threshold (item 116) multiplied by transition provision
‐
117
118
119
120
121
Total Assets for the Leverage Ratio
Average total consolidated assets
Deductions from common equity tier 1 capital and additional tier 1 capital (sum of items 59, 60, and 61, and 68)
Other deductions from (additions to) assets for leverage ratio purposes
Total assets for the leverage ratio (item 118 minus items 119 and 120, reflective of transition provisions)
‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
122
123
124
125
126
127
128
REGULATORY CAPITAL AND RATIOS
Tier 1 common capital***
Common equity tier 1 (item 78)
Tier 1 capital per general risk‐based capital rules (item 37)
Tier 1 capital per revised regulatory capital rule (item 85)
Total capital per general risk‐based capital rules (item 52)
Total capital per revised regulatory capital rule (item 97)
(Advanced approaches holding companies that exit parallel run only): Total capital per revised regulatory capital rule (item 98)
129
130
131
132
Total risk‐weighted assets using general risk‐based capital rules ('General RWA' worksheet item 5)
Total risk‐weighted assets using standardized approach ('General RWA' worksheet item 6)
(Advanced approaches holding companies that exit parallel run only): total risk‐weighted assets using advanced approaches rules (from 'Advanced RWA'
worksheet item 5)
Total assets for the leverage ratio per general risk‐based capital rules
133
Total assets for the leverage ratio per revised regulatory capital rule(item 121)
134
135
Tier 1 common ratio (%) (based upon generally applicable risk weighted assets) (item 122 divided by item 129)
(Advanced approaches holding companies that exit parallel run only): Tier 1 common ratio (%) (item 122 divided by item 131)
136
Common equity tier 1 ratio (%) (item 123 divided by item 129 or 130)
137
(Advanced approaches holding companies that exit parallel run only): Common equity tier 1 ratio (%) (item 123 divided by item 131)
138
139
Tier 1 capital ratio (%) (item 124 or 125 divided by item 129 or 130)
(Advanced approaches holding companies that exit parallel run only): Tier 1 capital ratio (%) (item 124 or 125 divided by item 131)
140
Total capital ratio (%) (item 126 or 127 divided by item 129 or 130)
141
(Advanced approaches holding companies that exit parallel run only): Total capital ratio (%) (item 128 divided by item 131)
142
Tier 1 leverage ratio (%) (item 124 or 125 divided by item 132 or 133)
143
144
145
146
147
148
149
150
151
152
Schedule HC‐R — Memoranda
Preferred stock (including related surplus) eligible for inclusion in Tier 1 capital:
Noncumulative perpetual preferred stock
Other noncumulative preferred stock eligible for inclusion in Tier 1 capital (e.g., REIT preferred securities)
Other cumulative preferred stock eligible for inclusion in Tier 1 capital (excluding TruPS)
Treasury stock (including offsetting debit to the liability for ESOP debt):
In the form of perpetual preferred stock
In the form of common stock
Restricted core capital elements included in Tier 1 capital:
Qualifying Class B no controlling (minority) interest
Qualifying Class C no controlling (minority) interest)
Qualifying cumulative perpetual preferred stock
Qualifying TruPS
Goodwill net of any associated deferred tax liability
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
bhck5479
bhckc498
bhcka507
bhckg219
bhckg220
bhck5990
bhckc502
bhckg221
A
n
155
Schedule HC‐G—Other Liabilities
Net deferred tax liabilities
bhck3049
Ye No
bhck3459
bhckg234
bhckg235
It ‐
1 ‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
It ‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
166
167
168
169
m ‐
(e) Amount of deferred tax assets that is dependent upon future taxable income
(f) Enter the portion of (e) that the bank holding company could realize within the next 12 months based on its projected future taxable income. Future taxable
income should not include net operating loss carryforwards to be used during the next 12 months or existing temporary differences that are expected to
reverse over the next 12 months
m ‐
(g) Enter minimum of (f) and (b)
m ‐
(h) Subtract (g) from (e), cannot be less than 0 (must equal item 30)
Future taxes paid used to determine item 166
Future taxable income consistent with item 166
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
170
171
172
Supplemental Capital Action Information (report in $Millions unless otherwise noted)*****
Cash dividends declared on common stock
Common shares outstanding (Millions)
Common dividends per share ($)
It ‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
173
174
175
Issuance of common stock for employee compensation
Other issuance of common stock
Total issuance of common stock
S ‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
176
177
178
Share repurchases to offset issuance for employee compensation
Other share repurchase
Total share repurchases
S ‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
179
180
Supplemental Information on Trust Preferred Securities Subject to Phase‐Out from Tier 1 Capital
Outstanding trust preferred securities
Trust preferred securities included in Item 24
164
165
Memoranda
*Please break out and explain below other adjustments to equity capital:
181
**Please break out and explain below other additions to (deductions from) Tier 1 capital:
182
***Tier 1 common is calculated as Tier 1 capital less non‐common elements, including perpetual preferred stock and related surplus, minority interest in subsidiaries, trust preferred securities and mandatory convertible preferred securities. Specifically, non‐common elements must include the following items captured in the FR Y‐9C: Schedule HC, line item
23 net of Schedule HC‐R, line item 5; Schedule HC‐R, line items 6a, 6b, and 6c; and Notes to the Balance Sheet ‐ Other as captured in Schedule HC‐R, line item 10.
183
184
185
****The carryback period is the prior two calendar tax years plus any current taxes paid in the year‐to‐date period. Please provide disaggregated data for item 163
as follows:
Taxes paid during the fiscal year ended two years ago
Taxes paid during the fiscal year ended one year ago
Taxes paid through the as‐of date of the current fiscal year
*****Please reconcile the Supplemental Capital Action and HI‐A projections (i.e., allocate the capital actions among the HI‐A buckets):
186
The following cells provide checks of the internal consistency of the projected schedules. Please ensure that these cells are all "TRUE" before the worksheet is
submitted.
HI‐A BHC equity capital vs HC BHC equity capital
Disallowed DTA
PQ 6 ‐ PQ 9
‐
bhck5483
bhck5484
bhck2148
159
160
161
162
163
‐
‐
‐
‐
‐
‐
‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
Is the bank holding company internationally active for purposes of the qualifying restricted core capital limit tests?
Disallowed Deferred Tax Assets Calculation (Schedule HC‐R Instructions)
(a) Enter the tier 1 subtotal
(b) Enter 10% of the tier 1 subtotal
(c) Enter the amount of deferred tax assets to be used when calculating the regulatory capital limit
Enter any optional adjustment made to item 155 in item 162 as allowed in the FR Y‐9C instructions
(d) Enter the amount of taxes previously paid that the bank holding company could recover through loss carrybacks if the bank holding company’s temporary
differences (both deductible and taxable) fully reverse at the report date****
‐
‐
‐
‐
‐
‐
‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
Schedule HC‐F—Other Assets
Net deferred tax assets
Schedule HC‐M—Memoranda
Total number of bank holding company common shares outstanding
Issuances associated with the U.S. Department of Treasury Capital Purchase Program:
Senior perpetual preferred stock or similar items
Warrants to purchase common stock or similar items
‐
‐
‐
‐
‐
‐
b
h
c
k
a
2
2
4
153
157
158
‐
‐
‐
‐
‐
‐
‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
154
156
‐
P
Q
2 ‐
P
Q
5
TRUE
TRUE
Capital ‐ CCAR
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
9‐Quarter
BHC Capital Worksheet (DFAST): BHC XYZ, Inc. in BHC Baseline
Actual in $Millions
Projected in $Millions
Sums in $Millions
Item
As of Date
5
6
7
8
9
10
11
12
13
14
15
Schedule HI‐A—Changes in Bank Holding Company Equity Capital
Total bank holding company equity capital most recently reported for the end of previous QUARTER
Effect of changes in accounting principles and corrections of material accounting errors
Balance end of previous QUARTER as restated (sum of items 1 and 2)
Net income (loss) attributable to bank holding company
Sale of perpetual preferred stock (excluding treasury stock transactions):
Sale of perpetual preferred stock, gross
Conversion or retirement of perpetual preferred stock
Sale of common stock:
Sale of common stock, gross
Conversion or retirement of common stock
Sale of treasury stock
Purchase of treasury stock
Changes incident to business combinations, net
Cash dividends declared on preferred stock
Cash dividends declared on common stock
Other comprehensive income
Change in the offsetting debit to the liability for Employee Stock Ownership Plan (ESOP) debt guaranteed by the bank holding company
16
17
Other adjustments to equity capital (not included above)*
Total bank holding company equity capital end of current period (sum of items 3, 4, 5, 6, 7, 8, 9, 11, 14, 15, 16, less items 10, 12, 13)
18
19
20
21
Schedule HC‐R (or FFIEC 101 Schedule A for advanced approaches holding companies that exit parallel run only) per general risk‐based capital rules and 72
Federal Register 69288 (December 7, 2007)
Tier 1 capital
Total bank holding company equity capital
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)
Net unrealized loss on available‐for‐sale equity securities (report loss as a positive value)
Accumulated net gains (losses) on cash flow hedges (if a gain, report as a positive value; if a loss, report as a negative value)
PQ 1
PQ 2
PQ 3
PQ 4
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
PQ 6 ‐ PQ 9
9‐Quarter
‐
‐
‐
‐
‐
‐
‐
‐
bhck3577
bhck3578
‐
‐
‐
‐
bhck3579
bhck3580
bhck4782
bhck4783
bhck4356
bhck4598
bhck4460
bhckb511
bhck4591
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
N
1
2
3
4
bhck3217
bhckb507
bhckb508
M
bhck3581
M ‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
28
29
30
31
32
33
34
35
36
37
Nonqualifying perpetual preferred stock
Qualifying Class A noncontrolling (minority) interests in consolidated subsidiaries
Qualifying restricted core capital elements (other than cumulative perpetual preferred stock)
Qualifying mandatory convertible preferred securities of internationally active bank holding companies
Disallowed goodwill and other disallowed intangible assets
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 holding company's own creditworthiness (if a net gain, report as a positive value; if a net loss, report as a negative value)
Subtotal (sum of items 18, 23, 24, 25, less items 19, 20, 21, 22, 26, 27)
Disallowed servicing assets and purchased credit card relationships
Disallowed deferred tax assets
Shortfall of eligible credit reserves below total expected credit losses (50% of shortfall plus any Tier 2 carryover) (advanced approaches institutions that exit
Gain‐on‐sale associated with securitization exposures (advanced approaches institutions that exit parallel run only)
Certain failed capital markets transactions (50% of deductions plus any Tier 2 carryover) (advanced approaches institutions that exit parallel run only)
Other securitization deductions (50% of deductions plus any Tier 2 carryover) (advanced approaches institutions that exit parallel run only)
Insurance underwriting subsidiaries' minimum regulatory capital (advanced approaches institutions that exit parallel run only)
Other additions to (deductions from) Tier 1 capital**
Tier 1 capital (sum of items 28 and 36, less items 29 through 35)
t ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
h
h
h
c
h
h
h
h
h
h
c
h ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
h
h
a
a
a
a
a
h
h ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
Tier 2 capital
Qualifying subordinated debt, redeemable preferred stock, and restricted core capital elements (except Class B noncontrolling (minority) interest) not
Cumulative perpetual preferred stock included in item 22 and Class B noncontrolling (minority) interest not included in item 24, but includable in Tier 2 capital
Allowance for loan and lease losses includable in Tier 2 capital (non‐advanced approaches institutions and advanced approaches institutions that have not
Excess of eligible credit reserves over total expected credit losses (up to 0.60% of credit risk‐weighted assets) (advanced approaches institutions that exit
Unrealized gains on available‐for‐sale equity securities includable in Tier 2 capital
Insurance underwriting subsidiaries' minimum regulatory capital (advanced approaches institutions that exit parallel run only)
Other additions to (deductions from) Tier 2 capital (advanced approaches institutions that exit parallel run only)
Shortfall of eligible credit reserves below total expected credit losses (up to lower of 50% of the shortfall or amount of Tier 2 capital) (advanced approaches
Certain failed capital markets transactions (up to lower of 50% of deductions from such failed transactions or amount of Tier 2 capital) (advanced approaches
Other securitization deductions (up to lower of 50% of deductions or amount of Tier 2 capital) (advanced approaches institutions that exit parallel run only)
Other Tier 2 capital components
Tier 2 capital (sum of items 38 through 42 and 44 and 48, less item 43 and items 45 through 47)
Allowable Tier 2 capital (lesser of item 37 or 49)
Deductions for total risk‐based capital
Total risk‐based capital (sum of items 37 and 50 less item 51)
b
b
b
a
b
a
a
a
a
a
b
b ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
b ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
b
h ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
53
Regulatory Capital per Revised Regulatory Capital Rule (July 2013)
AOCI opt‐out election? (enter "1" for Yes; enter "0" for No)
54
55
56
57
58
Common equity tier 1
Common stock and related surplus, net of treasury stock and unearned employee stock ownership plan (ESOP) shares
Retained earnings
Accumulated other comprehensive income (AOCI)
Common equity tier 1 minority interest includable in common equity tier 1 capital
Common equity tier 1 before adjustments and deductions (sum of items 54 through 57, reflective of transition provisions)
22
23
24
25
26
27
59
60
61
62
63
64
AOCI related adjustments: Amounts recorded in AOCI attributed to defined benefit postretirement plans resulting from the initial and subsequent application
of the relevant GAAP standards that pertain to such plans (if a gain, report as a positive value; if a loss, report as a negative value)
AOCI related adjustments: Net unrealized gains (losses) on held‐to‐maturity securities that are included in AOCI (if a gain, report as a positive value; if a loss,
report as a negative value)
If Item 53 is “0” for “No”, complete item 67 only for AOCI related adjustments.
AOCI related adjustments: Accumulated net gain (loss) on cash flow hedges included in AOCI, net of applicable tax effects, that relate to the hedging of items
that are not recognized at fair value on the balance sheet (if a gain, report as a positive value; if a loss, report as a negative value)
68
Other deductions from (additions to) common equity tier capital 1 before threshold‐based deductions: Unrealized net gain (loss) related to changes in the fair
value of liabilities that are due to changes in own credit risk (if a gain, report as a positive value; if a loss, report as a negative value)
69
70
76
77
78
Other deductions from (additions to) common equity tier capital 1 before threshold‐based deductions: All other deductions from (additions to) common
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
Subtotal (item 58 minus items 59 through 70, reflective of transition provisions)
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 (item 103)
MSAs, net of associated DTLs, that exceed the 10 percent common equity tier 1 capital deduction threshold (item 108)
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 (item 111)
Amount of significant investments in the capital of unconsolidated financial institutions in the form of common stock; 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 DTLs; that
exceeds the 15 percent common equity tier 1 capital deduction threshold (item 117)
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 72 through 76 reflective of transition provisions)
Common equity tier 1 capital
79
80
81
82
83
84
Additional tier 1 capital
Additional tier 1 capital instruments plus related surplus
Non‐qualifying capital instruments subject to phase out from additional tier 1 capital
Tier 1 minority interest not included in common equity tier 1 capital
Additional tier 1 capital before deductions, reflective of transition provisions
Additional tier 1 capital deductions
Additional tier 1 capital, reflective of transition provisions
85
Tier 1 capital
Tier 1 capital, reflective of transition provisions (sum of items 78 and 84)
71
72
73
74
75
PQ 1
PQ 2
PQ 3
PQ 4
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
AOCI related adjustments: Net unrealized loss on available‐for‐sale preferred stock classified as an equity security under GAAP and available‐for‐sale equity
exposures (report loss as a positive value)
AOCI related adjustments: Accumulated net gains (losses) on cash flow hedges (if a gain, report as a positive value; if a loss, report as a negative value)
66
67
As of Date
Common equity tier 1 capital: adjustments and deductions
Goodwill net of associated deferred tax liabilities (DTLs)
Intangible assets (other than goodwill and mortgage servicing assets (MSAs)), net of associated DTLs
Deferred tax assets (DTAs) that arise from net operating loss and tax credit carryforwards, net of any related valuation allowances and net of DTLs
If Item 53 is “1” for “Yes”, complete items 62 through 66 only for AOCI related adjustments.
AOCI related adjustments: 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)
65
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
92
93
94
95
96
Tier 2 capital
Tier 2 capital instruments plus related surplus
Non‐qualifying capital instruments subject to phase out from tier 2 capital
Total capital minority interest that is not included in tier 1 capital
Allowance for loan and lease losses includable in tier 2 capital
(Advanced approaches holding companies that exit parallel run only): eligible credit reserves includable in tier 2 capital
Unrealized gains on available‐for‐sale preferred stock classified as an equity security under GAAP and available‐for‐sale equity exposures includable in tier 2
capital
Tier 2 capital before deductions, reflective of transition provisions
(Advanced approaches holding companies that exit parallel run only): Tier 2 capital before deductions, reflective of transition provisions
Tier 2 capital deductions
Tier 2 capital, reflective of transition provisions
(Advanced approaches holding companies that exit parallel run only): Tier 2 capital, reflective of transition provisions
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
97
98
Total capital
Total capital, relfective of transition provisions (sum of items 85 and 95)
(Advanced approaches holding companies that exit parallel run only): Total capital, reflective of transition provisions (sum of items 85 and 96)
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
86
87
88
89
90
91
99
100
101
102
103
10%/15% Threshold Deductions Calculations
Significant investments in the capital of unconsolidated financial institutions in the form of common stock, net of associated DTLs
Gross significant investments in the capital of unconsolidated financial institutions in the form of common stock
Permitted offsetting short positions in relation to the specific gross holdings included above
Significant investments in the capital of unconsolidated financial institutions in the form of common stock net of short positions (greater of item 99 minus 100
or zero)
10 percent common equity tier 1 deduction threshold (10 percent of item 71)
Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 101 minus 10 percent of item 102 or zero)
104
105
MSAs, net of associated DTLs
Total mortgage servicing assets classified as intangible
Associated deferred tax liabilities which would be extinguished if the intangible becomes impaired or derecognized under the relevant accounting standards
106
107
108
Mortgage servicing assets net of related deferred tax liabilities (item 104 minus item 105)
10 percent common equity tier 1 deduction threshold (10 percent of item 71)
Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 106 minus 10 percent of item 107 or zero)
DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net of DTLs
109
110
111
DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net of DTLs
10 percent common equity tier 1 deduction threshold (10 percent of item 71)
Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 109 minus 10 percent of item 110 or zero)
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
Aggregate of items subject to the 15% limit (significant investments, mortgage servicing assets and deferred tax assets arising from temporary differences)
112
113
114
115
116
117
Sum of items 101, 106, and 109
15 percent common equity tier 1 deduction threshold (15 percent of item 71)
Sum of items 103, 108, and 111
Item 112 minus item 114
Amount to be deducted from common equity tier 1 due to 15 percent deduction threshold, before transition provision (greater of item 115 minus item 113 or
zero)
Amount to be deducted from common equity tier 1 due to 15 percent deduction threshold (item 116) multiplied by transition provision
P
Q
2 ‐
P
Q
5
Capital ‐ DFAST
BHC Capital Worksheet (DFAST): BHC XYZ, Inc. in BHC Baseline
Actual in $Millions
Projected in $Millions
Sums in $Millions
Item
As of Date
N
118
119
120
121
Total Assets for the Leverage Ratio
Average total consolidated assets
Deductions from common equity tier 1 capital and additional tier 1 capital (sum of items 59, 60, and 61, and 68)
Other deductions from (additions to) assets for leverage ratio purposes
Total assets for the leverage ratio (item 118 minus items 119 and 120, reflective of transition provisions)
122
123
124
125
126
127
128
REGULATORY CAPITAL AND RATIOS
Tier 1 common capital***
Common equity tier 1 (item 78)
Tier 1 capital per general risk‐based capital rules (item 37)
Tier 1 capital per revised regulatory capital rule (item 85)
Total capital per general risk‐based capital rules (item 52)
Total capital per revised regulatory capital rule (item 97)
(Advanced approaches holding companies that exit parallel run only): Total capital per revised regulatory capital rule (item 98)
129
130
131
132
Total risk‐weighted assets using general risk‐based capital rules ('General RWA' worksheet item 5)
Total risk‐weighted assets using standardized approach ('General RWA' worksheet item 6)
(Advanced approaches holding companies that exit parallel run only): total risk‐weighted assets using advanced approaches rules (from 'Advanced RWA'
worksheet item 5)
Total assets for the leverage ratio per general risk‐based capital rules
133
Total assets for the leverage ratio per revised regulatory capital rule(item 121)
134
135
Tier 1 common ratio (%) (based upon generally applicable risk weighted assets) (item 122 divided by item 129)
(Advanced approaches holding companies that exit parallel run only): Tier 1 common ratio (%) (item 122 divided by item 131)
136
Common equity tier 1 ratio (%) (item 123 divided by item 129 or 130)
137
(Advanced approaches holding companies that exit parallel run only): Common equity tier 1 ratio (%) (item 123 divided by item 131)
138
139
Tier 1 capital ratio (%) (item 124 or 125 divided by item 129 or 130)
(Advanced approaches holding companies that exit parallel run only): Tier 1 capital ratio (%) (item 124 or 125 divided by item 131)
140
Total capital ratio (%) (item 126 or 127 divided by item 129 or 130)
141
(Advanced approaches holding companies that exit parallel run only): Total capital ratio (%) (item 128 divided by item 131)
142
Tier 1 leverage ratio (%) (item 124 or 125 divided by item 132 or 133)
143
144
145
146
147
148
149
150
151
152
Schedule HC‐R — Memoranda
Preferred stock (including related surplus) eligible for inclusion in Tier 1 capital:
Noncumulative perpetual preferred stock
Other noncumulative preferred stock eligible for inclusion in Tier 1 capital (e.g., REIT preferred securities)
Other cumulative preferred stock eligible for inclusion in Tier 1 capital (excluding TruPS)
Treasury stock (including offsetting debit to the liability for ESOP debt):
In the form of perpetual preferred stock
In the form of common stock
Restricted core capital elements included in Tier 1 capital:
Qualifying Class B no controlling (minority) interest
Qualifying Class C no controlling (minority) interest)
Qualifying cumulative perpetual preferred stock
Qualifying TruPS
Goodwill net of any associated deferred tax liability
‐
‐
‐
‐
‐
PQ 6
PQ 7
PQ 8
PQ 9
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
bhck5479
bhckc498
bhcka507
bhck5483
bhck5484
bhckg219
bhckg220
bhck5990
bhckc502
bhckg221
A
n
155
Schedule HC‐G—Other Liabilities
Net deferred tax liabilities
bhck3049
Ye No
bhck3459
bhckg234
bhckg235
It ‐
1 ‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
It ‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
166
167
168
169
m ‐
(e) Amount of deferred tax assets that is dependent upon future taxable income
(f) Enter the portion of (e) that the bank holding company could realize within the next 12 months based on its projected future taxable income. Future taxable
income should not include net operating loss carryforwards to be used during the next 12 months or existing temporary differences that are expected to
reverse over the next 12 months
m ‐
(g) Enter minimum of (f) and (b)
m ‐
(h) Subtract (g) from (e), cannot be less than 0 (must equal item 30)
Future taxes paid used to determine item 166
Future taxable income consistent with item 166
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
170
171
172
Supplemental Capital Action Information (report in $Millions unless otherwise noted)*****
Cash dividends declared on common stock
Common shares outstanding (Millions)
Common dividends per share ($)
It ‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
173
174
175
Issuance of common stock for employee compensation
Other issuance of common stock
Total issuance of common stock
S ‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
176
177
178
Share repurchases to offset issuance for employee compensation
Other share repurchase
Total share repurchases
S ‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
179
180
Supplemental Information on Trust Preferred Securities Subject to Phase‐Out from Tier 1 Capital
Outstanding trust preferred securities
Trust preferred securities included in Item 24
164
165
Memoranda
*Please break out and explain below other adjustments to equity capital:
181
**Please break out and explain below other additions to (deductions from) Tier 1 capital:
182
***Tier 1 common is calculated as Tier 1 capital less non‐common elements, including perpetual preferred stock and related surplus, minority interest in subsidiaries, trust preferred securities and mandatory convertible preferred securities. Specifically, non‐common elements must include the following items captured in the FR Y‐9C: Schedule HC, line item
23 net of Schedule HC‐R, line item 5; Schedule HC‐R, line items 6a, 6b, and 6c; and Notes to the Balance Sheet ‐ Other as captured in Schedule HC‐R, line item 10.
183
184
185
****The carryback period is the prior two calendar tax years plus any current taxes paid in the year‐to‐date period. Please provide disaggregated data for item 163
as follows:
Taxes paid during the fiscal year ended two years ago
Taxes paid during the fiscal year ended one year ago
Taxes paid through the as‐of date of the current fiscal year
*****Please reconcile the Supplemental Capital Action and HI‐A projections (i.e., allocate the capital actions among the HI‐A buckets):
186
The following cells provide checks of the internal consistency of the projected schedules. Please ensure that these cells are all "TRUE" before the worksheet is
submitted.
HI‐A BHC equity capital vs HC BHC equity capital
Disallowed DTA
PQ 6 ‐ PQ 9
‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
bhck2148
159
160
161
162
163
PQ 5
‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
Is the bank holding company internationally active for purposes of the qualifying restricted core capital limit tests?
Disallowed Deferred Tax Assets Calculation (Schedule HC‐R Instructions)
(a) Enter the tier 1 subtotal
(b) Enter 10% of the tier 1 subtotal
(c) Enter the amount of deferred tax assets to be used when calculating the regulatory capital limit
Enter any optional adjustment made to item 155 in item 162 as allowed in the FR Y‐9C instructions
(d) Enter the amount of taxes previously paid that the bank holding company could recover through loss carrybacks if the bank holding company’s temporary
differences (both deductible and taxable) fully reverse at the report date****
PQ 4
b
h
c
k
a
2
2
4
Schedule HC‐F—Other Assets
Net deferred tax assets
Schedule HC‐M—Memoranda
Total number of bank holding company common shares outstanding
Issuances associated with the U.S. Department of Treasury Capital Purchase Program:
Senior perpetual preferred stock or similar items
Warrants to purchase common stock or similar items
PQ 3
‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
153
157
158
PQ 2
‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
154
156
PQ 1
P
Q
2 ‐
P
Q
5
TRUE
TRUE
Capital ‐ DFAST
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
TRUE
9‐Quarter
General RWA
BHC General RWA Worksheet: BHC XYZ, Inc. in BHC Baseline
1
2
3
4
5
6
General Credit RWA (General risk‐based capital rules)
Credit RWA per Standardized Approach (Revised regulatory capital rule, July 2013)
Market RWA
Other RWA and Adjustments
Total RWA (General risk‐based capital rules)
Total RWA (Standardized Approach per revised regulatory capital rule, July 2013)
FR Y‐9C reference multiplied by Actual in
$Millions
applicable credit conversion
as of date
factor and/or risk‐weight
‐
‐
‐
‐
‐
‐
General Credit Risk (Including counterparty credit risk and non‐trading credit risk) (General risk‐based capital rules)
7 General Credit RWA
8 Cash and due from depository institutions
bhck0010
9 Held‐to‐maturity securities (HTM)
bhcx1754
10 Available‐for‐sale securities (AFS)
bhcx1773
11 Federal funds sold and securities purchased under agreements to resell
bhckc225
12 Loans and leases
bhct5369+bhctb528‐bhcx3123
13 Derivative contracts
bhcea167
14 Unused commitments with an original maturity exceeding one year
bhck6572
Unused commitments with an original maturity of one year or less to asset‐backed commercial
15 paper conduits
bhckg591
16 Other off‐balance‐sheet
17 Other credit risk
Standardized Approach (Revised regulatory capital rule, July 2013)
18 RWA per Standardized Approach
19 Cash items in the process of collection
Exposures conditionally guaranteed by the U.S. government, its central bank, or U.S.
20 government agency
21 Claims on government‐sponsored entities
22 Claims on U.S. depository institutions and NCUA‐insured credit unions
Revenue bonds issued by state and local governments in the U.S., and general obligation claims
on and claims guaranteed by the full faith and credit of state and local governments (and any
23 other PSE) in the U.S.
24 Claims on and exposures guaranteed by foreign governments and their central banks
25 Claims on and exposures guaranteed by foreign banks
26 Claims on and exposures guaranteed by foreign PSEs
27 Multifamily mortgage loans and presold residential construction loans
28 Residential mortgage loans subject to 50% risk‐weight
29 Other residential mortgage loans
30 Past due exposures
31 High‐volatility commercial real estate loans
32 Commercial loans/Corporate exposures
33 Consumer loans and credit cards
34 Other revised regulatory capital rule risk‐weight items
Off‐balance sheet commitments with an original maturity of one year or less that are not
35 unconditionally cancelable
Off‐balance sheet commitments with an original maturity of more than one year that are not
36 unconditionally cancelable
37 Other off‐balance sheet exposures
38 Over‐the‐counter derivative contracts
39 Securitization exposures
40 Equity exposures
41 Other credit risk
PQ 1
‐
‐
‐
‐
‐
‐
PQ 2
‐
‐
‐
‐
‐
‐
PQ 3
‐
‐
‐
‐
‐
‐
Projected in $Millions
PQ 4
PQ 5
PQ 6
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
PQ 7
‐
‐
‐
‐
‐
‐
PQ 8
‐
‐
‐
‐
‐
‐
PQ 9
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
bhckb546+bhct6570+bhct3411+b
hck3429+bhct3433+bhcta250+bh
ckb541+bhckb675+bhckb681
bhcx3545+bhckb639
General RWA
Market Risk
42 Market RWA
43 VaR‐based capital requirement
44 Stressed VaR‐based capital requirement
45 Incremental risk capital requirement
46 Comprehensive risk capital requirement (excluding non‐modeled correlation)
47 Non‐modeled Securitization
48
Net Long
49
Net Short
50 Specific risk add‐on (excluding securitization and correlation)
51
Sovereign debt positions
52
Government sponsored entity debt positions
53
Depository institution, foreign bank, and credit union debt positions
54
Public sector entity debt positions
55
Corporate debt positions
56
Equity
57 Capital requirement for de minimis exposures
58
59
60
61
Other RWA
Excess allowance for loan and lease losses (General risk‐based capital rules)
Excess allowance for loan and lease losses (Revised regulatory capital rule, July 2013)
Allocated transfer risk reserve
bhck8764
65 Interest rate contracts
bhck3809 + bhck8766 + bhck8767
66 Foreign exchange contracts
bhck3812 + bhck8769 + bhck8770
67 Gold contracts
bhck8771 + bhck8772 + bhck8773
68 Other precious metals contracts
bhck8774 + bhck8775 + bhck8776
69 Other commodity contracts
bhck8777 + bhck8778 + bhck8779
bhcka000 + bhcka001 +
bhcka002
bhckg597 + bhckg598 +
bhckg599
bhckg600 + bhckg601 +
bhckg602
71 Investment grade credit derivative contracts
72 Subinvestment grade credit derivative contracts
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
bhcka222
Memoranda for Derivative Contracts (provide balances consistent with FR Y‐9C instructions for each MDRM code)
70 Equity derivative contracts
‐
bhck3128
62 Total RWA (General risk‐based capital rules)
63 Total RWA (Standardized Approach per revised regulatory capital rule, July 2013)
64 Current credit exposure across all derivative contracts covered by risk‐based capital standards
Notional principal amounts of derivative contracts:
‐
Advanced RWA
BHC Advanced RWA Worksheet: BHC XYZ, Inc. in BHC Baseline
FFIEC 101 reference
1
2
3
4
5
Advanced Approaches Credit RWA
Advanced Approaches Operational RWA
Market RWA
Other RWA and Adjustment
Total RWA
Actual in
$Millions
as of date
Projected in $Mill
PQ 4
PQ 5
PQ 1
PQ 2
PQ 3
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
Advanced Approaches Credit Risk (Including CCR and non‐trading credit risk), with 1.06 scaling factor and Operational Risk
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
Credit RWA
Wholesale Exposures
Corporate
Balance Sheet Amount
RWA
Bank
Balance Sheet Amount
RWA
Sovereign
Balance Sheet Amount
RWA
IPRE
Balance Sheet Amount
RWA
HVCRE
Balance Sheet Amount
RWA
Counterparty Credit Risk
RWA of eligible margin loans, repostyle transactions and OTC derivatives with crossproduct netting—EAD adjustment method
RWA of eligible margin loans, repostyle transactions and OTC derivatives with crossproduct netting—collateral reflected in LGD
RWA of eligible margin loans, repostyle transactions—no cross‐product netting—EAD adjustment method
RWA of eligible margin loans, repostyle transactions—no cross‐product netting—collateral reflected in LGD
RWA of OTC derivatives—no cross‐product netting—EAD adjustment method
RWA of OTC derivatives—no crossproduct netting—collateral reflected in LGD
Retail Exposures
Residential mortgage— closed‐end first lien exposures
Balance Sheet Amount
RWA
Residential mortgage— closed‐end junior lien exposures
Balance Sheet Amount
RWA
Residential mortgage—revolving exposures
Balance Sheet Amount
RWA
Qualifying revolving exposures
Balance Sheet Amount
RWA
Other retail exposures
Balance Sheet Amount
RWA
Securitization Exposures (72 Federal Register 69288, December 7, 2007)
Balance Sheet Amount
RWA
Securitization Exposures (Revised regulatory capital rule, July 2013)
Subject to supervisory formula approach (SFA)
Sum of AABGJ151,
AABGJ198
AABBJ124
AABGJ124
AABBJ125
AABGJ125
AABBJ126
AABGJ126
AABBJ127
AABGJ127
AABBJ128
AABGJ128
AABGJ129
AABGJ130
AABGJ131
AABGJ132
AABGJ133
AABGJ134
AABBJ135
AABGJ135
AABBJ136
AABGJ136
AABBJ137
AABGJ137
AABBJ138
AABGJ138
AABBJ139
AABGJ139
Sum of AABBJ140,
AABBJ141, AABBJ142
Sum of AABGJ140,
AABGJ141, AABGJ142,
AABGJ143
Advanced RWA
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
Balance Sheet Amount
RWA
Subject to simplified supervisory formula approach (SSFA)
Balance Sheet Amount
RWA
Subject to 1,250% risk‐weight
Balance Sheet Amount
RWA
Cleared Transactions (Revised regulatory capital rule, July 2013)
Derivative contracts and netting sets to derivatives
Balance Sheet Amount
RWA
Repo‐style transactions
Balance Sheet Amount
RWA
Default fund contributions
Balance Sheet Amount
RWA
Equity Exposures RWA
Other Assets
Balance Sheet Amount
RWA
CVA Capital Charge (risk‐weighted asset equivalent)(Revised regulatory capital rule, July 2013)
Advanced CVA Approach
Unstressed VaR with Multipliers
Stressed VaR with Multipliers
Simple CVA Approach
Assets subject to the general risk‐based capital requirements
Operational RWA
Operational RWA
Total risk‐based capital requirement for operational risk without dependence assumptions
Market Risk
63 Market RWA
64
VaR‐based capital requirement
65
Stressed VaR‐based capital requirement
66
Incremental risk capital requirement
67
Comprehensive risk capital requirement (excluding non‐modeled correlation)
68
Non‐modeled Securitization
69
Net Long
70
Net Short
71
Specific risk add‐on (excluding securitization and correlation)
72
Sovereign debt positions
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
Sum of AABGJ144,
AABGJ145,AABGJ146
Sum of AABBJ147,
AABBJ148, AABBJ149
Sum of AABGJ147,
AABGJ148, AABGJ149
AABGJ198
AABGJ154
AASAJ084
Advanced RWA
73
74
75
76
77
78
Government sponsored entity debt positions
Depository institution, foreign bank, and credit union debt positions
Public sector entity debt positions
Corporate debt positions
Equity
Capital requirement for de minimis exposures
79
80
Other RWA
Excess eligible credit reserves not included in tier 2 capital
81
Total RWA
AABGJ152
‐
‐
‐
‐
‐
‐
Advanced RWA
lions
PQ 6
PQ 7
PQ 8
PQ 9
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
Advanced RWA
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
Advanced RWA
‐
‐
‐
‐
BHC Retail Balance and Loss Projection Worksheet: BHC XYZ, Inc. in BHC Baseline
Actual in $Millions
Q3 Actual
Item
PQ 1
PQ 2
PQ 3
PQ 4
Projected in $Millions
PQ 5
PQ 6
PQ 7
PQ 8
First Lien Mortgages (in Domestic Offices)
1
Balances
2
New originations
3
Paydowns
4
Asset Purchases
5
Asset Sales
6
Loan Losses
7
8
Cumulative interim loan losses ‐ Non PCI
Cumulative interim loan losses ‐ PCI
First Lien HELOANs (in Domestic Offices)
9
Balances
10
New originations
11
Paydowns
12
Asset Purchases
13
Asset Sales
14
Loan Losses
15
16
Cumulative interim loan losses ‐ Non PCI
Cumulative interim loan losses ‐ PCI
Closed‐End Junior Liens (in Domestic Offices)
17
Balances
18
New originations
19
Paydowns
20
Asset Purchases
21
Asset Sales
22
Loan Losses
23
24
Cumulative interim loan losses ‐ Non PCI
Cumulative interim loan losses ‐ PCI
HELOCs (in Domestic Offices)
25
26
27
28
Balances
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
Balance from vintage PQ 6 ‐ PQ 9
Paydowns
30
Asset Purchases
31
Asset Sales
32
Loan Losses
34
‐
Balance from vintage PQ 1 ‐ PQ 5
29
33
‐
Balance from vintages < PQ 1
Cumulative interim loan losses ‐ Non PCI
Cumulative interim loan losses ‐ PCI
First Lien Mortgages and HELOANs (International)
35
Balances
36
New originations
37
Paydowns
38
Asset Purchases
39
Asset Sales
40
Loan Losses
41
42
Cumulative interim loan losses ‐ Non PCI
Cumulative interim loan losses ‐ PCI
Closed‐End Junior Liens and HELOCs (International)
43
Balances
44
New originations
45
Paydowns
46
Asset Purchases
47
Asset Sales
48
Loan Losses
49
Cumulative interim loan losses ‐ Non PCI
50
Cumulative interim loan losses ‐ PCI
Corporate Card (Domestic)
51
Balances
52
Paydowns
53
Asset Purchases
54
Asset Sales
55
Loan Losses
Business Card (Domestic)
56
Balances
57
Paydowns
58
Asset Purchases
59
Asset Sales
60
Loan Losses
Charge Card (Domestic)
61
62
63
64
Balances
Balance from vintages < PQ 1
Balance from vintage PQ 1 ‐ PQ 5
Balance from vintage PQ 6 ‐ PQ 9
65
Paydowns
66
Asset Purchases
67
Asset Sales
68
Loan Losses
Bank Card (Domestic)
69
70
71
72
Balances
Balance from vintages < PQ 1
Balance from vintage PQ 1 ‐ PQ 5
Balance from vintage PQ 6 ‐ PQ 9
73
Paydowns
74
Asset Purchases
75
Asset Sales
76
Loan Losses
Business and Corporate Card (International)
77
Balances
78
Paydowns
79
Asset Purchases
80
Asset Sales
81
Loan Losses
Bank and Charge Card (International)
82
Balances
83
Paydowns
84
Asset Purchases
85
Asset Sales
86
Loan Losses
Auto Loans (Domestic)
87
Balances
88
New originations
89
Paydowns
90
Asset Purchases
91
Asset Sales
92
Loan Losses
Auto Loans (International)
93
Balances
94
New originations
95
Paydowns
96
Asset Purchases
97
Asset Sales
98
Loan Losses
99
Balances
100
New originations
Auto Leases (Domestic)
101
Paydowns
102
Asset Purchases
103
Asset Sales
104
Loan Losses
Auto Leases (International)
105
Balances
106
New originations
107
Paydowns
108
Asset Purchases
109
Asset Sales
110
Loan Losses
Student Loan
111
Balances
112
New originations
113
Paydowns
114
Asset Purchases
115
Asset Sales
116
Loan Losses
Small Business Loan ‐ Scored (Domestic)
117
118
Balances
New originations
119
Paydowns
120
Asset Purchases
121
Asset Sales
122
Loan Losses
Small Business Loan ‐ Scored (International)
123
Balances
124
New originations
125
Paydowns
126
Asset Purchases
127
Asset Sales
128
Loan Losses
Other Consumer Loans and Leases (Domestic)
129
Balances
130
New originations
131
Paydowns
132
Asset Purchases
133
Asset Sales
134
Loan Losses
Other Consumer Loans and Leases (International)
135
Balances
136
New originations
137
Paydowns
138
Asset Purchases
139
Asset Sales
140
Loan Losses
PQ 9
‐
‐
‐
Table A.1 LOANS SOLD TO FANNIE MAE, BHC ABLE TO REPORT OUTSTANDING UPB AND DELINQUENCY
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Delinquency Status as of 3Q (Excluding Exempt Population)
Current
Past due 30 to 89 days
Past due 90 to 179 days
Past due 180+ days
Net Credit Loss Realized to‐date (Excluding Exempt Population)
Repurchase Requests Outstanding (Excluding Exempt Population)
Estimated Lifetime Net Credit Losses (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
Table A.2 LOANS SOLD TO FANNIE MAE, BHC UNABLE TO REPORT OUTSTANDING UPB OR DELINQUENC
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
Table A.3 Loss Projections for LOANS SOLD TO FANNIE MAE
$Millions
Projected Future Losses to BHC Charged to Repurchase Reserve
Table B.1 LOANS SOLD TO FREDDIE MAC, BHC ABLE TO REPORT OUTSTANDING UPB AND DELINQUENC
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Delinquency Status as of 3Q (Excluding Exempt Population)
Current
Past due 30 to 89 days
Past due 90 to 179 days
Past due 180+ days
Net Credit Loss Realized to‐date (Excluding Exempt Population)
Repurchase Requests Outstanding (Excluding Exempt Population)
Estimated Lifetime Net Credit Losses (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
Table B.2 LOANS SOLD TO FREDDIE MAC, BHC UNABLE TO REPORT OUTSTANDING UPB OR DELINQUEN
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
Table B.3 Loss Projections for LOANS SOLD TO FREDDIE MAC
$Millions
Projected Future Losses to BHC Charged to Repurchase Reserve
Table C.1 LOANS INSURED BY THE US GOVERNMENT (e.g. FHA, VA), BHC ABLE TO REPORT OUTSTANDI
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Delinquency Status as of 3Q (Excluding Exempt Population)
Current
Past due 30 to 89 days
Past due 90 to 179 days
Past due 180+ days
Net Credit Loss Realized to‐date (Excluding Exempt Population)
Repurchase Requests Outstanding (Excluding Exempt Population)
Loss to‐date due to Denied Insurance
Estimated Lifetime Net Credit Losses (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
Table C.2 LOANS INSURED BY THE US GOVERNMENT (e.g. FHA, VA), BHC UNABLE TO REPORT OUTSTAN
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
Table C.3 Loss Projections for LOANS INSURED BY THE US GOVERNMENT (e.g. FHA, VA)
$Millions
Projected Future Losses to BHC Charged to Repurchase Reserve
Table D.1 LOANS SECURITIZED WITH MONOLINE INSURANCE, BHC ABLE TO REPORT OUTSTANDING UP
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Delinquency Status as of 3Q (Excluding Exempt Population)
Current
Past due 30 to 89 days
Past due 90 to 179 days
Past due 180+ days
Net Credit Loss Realized to‐date (Excluding Exempt Population)
Repurchase Requests Outstanding (Excluding Exempt Population)
Estimated Lifetime Net Credit Losses (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
Table D.2 LOANS SECURITIZED WITH MONOLINE INSURANCE, BHC UNABLE TO REPORT OUTSTANDING
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
Table D.3 Loss Projections for LOANS SECURITIZED WITH MONOLINE INSURANCE
$Millions
Projected Future Losses to BHC Charged to Repurchase Reserve
Table E.1 LOANS SECURITIZED WITHOUT MONOLINE INSURANCE, BHC ABLE TO REPORT OUTSTANDING
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Delinquency Status as of 3Q (Excluding Exempt Population)
Current
Past due 30 to 89 days
Past due 90 to 179 days
Past due 180+ days
Net Credit Loss Realized to‐date (Excluding Exempt Population)
Repurchase Requests Outstanding (Excluding Exempt Population)
Estimated Lifetime Net Credit Losses (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
Table E.2 LOANS SECURITIZED WITHOUT MONOLINE INSURANCE, BHC UNABLE TO REPORT OUTSTAND
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
Table E.3 Loss Projections for LOANS SECURITIZED WITHOUT MONOLINE INSURANCE
$Millions
Projected Future Losses to BHC Charged to Repurchase Reserve
Table F.1 WHOLE LOANS SOLD, BHC ABLE TO REPORT OUTSTANDING UPB AND DELINQUENCY INFORM
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Delinquency Status as of 3Q (Excluding Exempt Population)
Current
Past due 30 to 89 days
Past due 90 to 179 days
Past due 180+ days
Net Credit Loss Realized to‐date (Excluding Exempt Population)
Repurchase Requests Outstanding (Excluding Exempt Population)
Estimated Lifetime Net Credit Losses (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
Table F.2 WHOLE LOANS SOLD, BHC UNABLE TO REPORT OUTSTANDING UPB OR DELINQUENCY INFOR
$Millions
Original UPB
Original UPB (Excluding Exempt Population)
Outstanding UPB (Excluding Exempt Population)
Projected Future Losses to BHC Charged to Repurchase Reserve (Excluding Exempt Population)
Table F.3 Loss Projections for WHOLE LOANS SOLD
$Millions
Projected Future Losses to BHC Charged to Repurchase Reserve
Table G.3 TOTAL Loss Projections
$Millions
Projected Future Losses to BHC Charged to Repurchase Reserve
REPURCHASE RESERVE/LIABILITY FOR MORTGAGE REPS AND WARRANTIES
Reserve, prior quarter
Provisions during the quarter
Net charges during the quarter
Reserve, current quarter
BHC Retail Repurchase Worksheet: BHC XYZ, Inc. in BHC Baseline
Y INFORMATION REQUESTED IN TABLE A.1
Vintage
2004
2005
2006
2007
2008
2009
2010
CY INFORMATION REQUESTED IN TABLE A.1
Vintage
2004
2005
2006
2007
2008
2009
2010
PQ1
PQ2
PQ3
PQ4
PQ5
Projected in $Millions
PQ6
PQ7
2007
2008
2009
CY INFORMATION REQUESTED IN TABLE B.1
Vintage
2004
2005
2006
2010
NCY INFORMATION REQUESTED IN TABLE B.1
Vintage
2004
PQ1
2005
PQ2
2006
PQ3
2007
PQ4
2008
2009
2010
PQ5
Projected in $Millions
PQ6
PQ7
NG UPB AND DELINQUENCY INFORMATION REQUESTED IN TABLE C.1
Vintage
2004
2005
2006
2007
2008
2009
2010
NDING UPB OR DELINQUENCY INFORMATION REQUESTED IN TABLE C.1
Vintage
2004
PQ1
2005
PQ2
2006
PQ3
2007
PQ4
2008
2009
2010
PQ5
Projected in $Millions
PQ6
PQ7
PB AND DELINQUENCY INFORMATION REQUESTED IN TABLE D.1
Vintage
2004
2005
2006
2007
2008
2009
2010
G UPB OR DELINQUENCY INFORMATION REQUESTED IN TABLE D.1
Vintage
2004
2005
2006
2007
2008
2009
2010
PQ1
PQ2
PQ3
PQ4
PQ5
Projected in $Millions
PQ6
PQ7
G UPB AND DELINQUENCY INFORMATION REQUESTED IN TABLE E.1
Vintage
2004
2005
2006
2007
2008
2009
2010
DING UPB OR DELINQUENCY INFORMATION REQUESTED IN TABLE E.1
Vintage
2004
2005
2006
2007
2008
2009
2010
PQ1
PQ2
PQ3
PQ4
PQ5
Projected in $Millions
PQ6
PQ7
MATION REQUESTED IN TABLE F.1
Vintage
2004
2005
2006
2007
2008
2009
2010
RMATION REQUESTED IN TABLE F.1
Vintage
2004
2005
2006
2007
2008
2009
2010
PQ1
PQ2
PQ3
PQ4
PQ5
Projected in $Millions
PQ6
PQ7
Projected in $Millions
PQ1
‐
Actual in
Q3 2013
‐
‐
‐
‐
PQ2
‐
PQ3
‐
PQ4
‐
PQ5
‐
PQ6
‐
PQ7
‐
Scenarios for which row
should be reported
2011
2011
PQ8
2011
2012
2012
PQ9
2012
2013
2013
Unallocated
Unallocated
PQ10 or Later
2013
Unallocated
Total
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
‐
‐
‐
‐
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
All Scenarios
Total
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
Total
‐
All Scenarios
Total
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
‐
‐
‐
‐
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
All Scenarios
2011
PQ8
2011
2012
PQ9
2012
2013
Unallocated
PQ10 or Later
2013
Unallocated
Total
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
Total
‐
All Scenarios
Total
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
‐
‐
‐
‐
‐
‐
2011
PQ8
2012
PQ9
2013
PQ10 or Later
Unallocated
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
All Scenarios
Total
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
Total
‐
All Scenarios
2011
2011
PQ8
2011
2012
2012
PQ9
2012
2013
2013
Unallocated
Unallocated
PQ10 or Later
2013
Unallocated
Total
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
‐
‐
‐
‐
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
All Scenarios
Total
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
Total
‐
All Scenarios
Total
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
‐
‐
‐
‐
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
All Scenarios
2011
PQ8
2011
2011
PQ8
2012
PQ9
2012
2012
PQ9
2013
Unallocated
PQ10 or Later
2013
2013
PQ10 or Later
Unallocated
Unallocated
Total
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
Total
‐
All Scenarios
Total
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
‐
‐
‐
‐
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
All Scenarios
Total
‐
‐
‐
‐
BHC Baseline Only
BHC Baseline Only
BHC Baseline Only
All Scenarios
Total
‐
All Scenarios
PQ8
‐
PQ9
‐
PQ10 or Later
‐
Total
‐
All Scenarios
Delinquency
Validity Check
TRUE
Projection Validity
Check
TRUE
Delinquency
Validity Check
TRUE
Projection Validity
Check
TRUE
Delinquency
Validity Check
TRUE
Projection Validity
Check
TRUE
Delinquency
Validity Check
TRUE
Projection Validity
Check
TRUE
Delinquency
Validity Check
TRUE
Projection Validity
Check
TRUE
Delinquency
Validity Check
TRUE
Projection Validity
Check
TRUE
BHC ASC 310‐30 Worksheet: BHC XYZ, Inc. in BHC Baseline
Yes
Actual in
$Millions
Item
First Lien Mortgages
Data Clarifications:
1
2
3
Carry Value
Allowance
Net Carry Value
Input as Positive
Input as Positive
Calculated
4
Unpaid Principal Balance
Input as Positive
5
Initial Day 1 Non‐Accretable Difference (NAD) to Absorb Cash Flow Shortfalls on PCI
Input as Positive
Loans
6
Quarter Ending Non Accretable Difference (NAD)
Input as Positive
7
8
Cumulative Charge‐offs to Date (to NAD)
Cumulative Charge‐offs to Date (to Allowance)
Input as Negative
Input as Negative
9
Provisions to Allowance
Prov/(Reverse)
10
11
Quarterly Charge‐offs to NAD
Quarterly Charge‐offs to Allowance
Input as Negative
Input as Negative
12
Accretable Yield Remaining
Input as Positive
13
Accretable Yield Accreted to Income
Input as Negative
14
Effective Yield (%)
Input as Percentage
Second Lien HELOANs
Data Clarifications:
1
2
3
Carry Value
Allowance
Net Carry Value
Input as Positive
Input as Positive
Calculated
4
Unpaid Principal Balance
Input as Positive
5
Initial Day 1 Non‐Accretable Difference (NAD) to Absorb Cash Flow Shortfalls on PCI
Input as Positive
Loans
6
Quarter Ending Non Accretable Difference (NAD)
Input as Positive
7
8
Cumulative Charge‐offs to Date (to NAD)
Cumulative Charge‐offs to Date (to Allowance)
Input as Negative
Input as Negative
Item
9
Provisions to Allowance
Prov/(Reverse)
10
11
Quarterly Charge‐offs to NAD
Quarterly Charge‐offs to Allowance
Input as Negative
Input as Negative
12
Accretable Yield Remaining
Input as Positive
13
Accretable Yield Accreted to Income
Input as Negative
14
Effective Yield (%)
Input as Percentage
Item
1
2
HELOCs
Data Clarifications:
Carry Value
Allowance
Input as Positive
Input as Positive
as of date
‐
Projected in $Millions
PQ 1
PQ 2
PQ 3
PQ 4
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
‐
‐
‐
‐
‐
‐
‐
‐
‐
Q1 2013
Q2 2013
Projected in $Millions
Q3 2013 Q4 2013 Q1 2014
Q2 2014
Q3 2014
Q4 2014
‐
‐
‐
‐
‐
‐
Q1 2013
Q2 2013
Projected in $Millions
Q3 2013 Q4 2013 Q1 2014
Q2 2014
Q3 2014
Q4 2014
Actual in
$Millions
Q3 2012 Q4 2012
‐
‐
Actual in
$Millions
Q3 2012 Q4 2012
‐
‐
3
Net Carry Value
Calculated
4
Unpaid Principal Balance
Input as Positive
5
Initial Day 1 Non‐Accretable Difference (NAD) to Absorb Cash Flow Shortfalls on PCI
Input as Positive
Loans
6
Quarter Ending Non Accretable Difference (NAD)
Input as Positive
7
8
Cumulative Charge‐offs to Date (to NAD)
Cumulative Charge‐offs to Date (to Allowance)
Input as Negative
Input as Negative
9
Provisions to Allowance
Prov/(Reverse)
10
11
Quarterly Charge‐offs to NAD
Quarterly Charge‐offs to Allowance
Input as Negative
Input as Negative
12
Accretable Yield Remaining
Input as Positive
13
Accretable Yield Accreted to Income
Input as Negative
14
Effective Yield (%)
Input as Percentage
Item
Other (specify in documentation)
Data Clarifications:
1
2
3
Carry Value
Allowance
Net Carry Value
Input as Positive
Input as Positive
Calculated
4
Unpaid Principal Balance
Input as Positive
5
Initial Day 1 Non‐Accretable Difference (NAD) to Absorb Cash Flow Shortfalls on PCI
Input as Positive
Loans
6
Quarter Ending Non Accretable Difference (NAD)
Input as Positive
7
8
Cumulative Charge‐offs to Date (to NAD)
Cumulative Charge‐offs to Date (to Allowance)
Input as Negative
Input as Negative
9
Provisions to Allowance
Prov/(Reverse)
10
11
Quarterly Charge‐offs to NAD
Quarterly Charge‐offs to Allowance
Input as Negative
Input as Negative
12
Accretable Yield Remaining
Input as Positive
13
Accretable Yield Accreted to Income
Input as Negative
14
Effective Yield (%)
Input as Percentage
‐
‐
Actual in
$Millions
Q3 2012 Q4 2012
‐
‐
‐
‐
‐
Q1 2013
Q2 2013
‐
‐
‐
‐
‐
‐
Projected in $Millions
Q3 2013 Q4 2013 Q1 2014
Q2 2014
Q3 2014
Q4 2014
‐
‐
‐
‐
‐
‐
‐
Item
Portfolio to be acquired (specify in documentation)
Data Clarifications:
1
2
3
Carry Value
Allowance
Net Carry Value
Input as Positive
Input as Positive
Calculated
4
Unpaid Principal Balance
Input as Positive
5
Initial Day 1 Non‐Accretable Difference (NAD) to Absorb Cash Flow Shortfalls on PCI
Input as Positive
Loans
6
Quarter Ending Non Accretable Difference (NAD)
Input as Positive
7
8
Cumulative Charge‐offs to Date (to NAD)
Cumulative Charge‐offs to Date (to Allowance)
Input as Negative
Input as Negative
9
Provisions to Allowance
Prov/(Reverse)
10
11
Quarterly Charge‐offs to NAD
Quarterly Charge‐offs to Allowance
Input as Negative
Input as Negative
12
Accretable Yield Remaining
Input as Positive
13
Accretable Yield Accreted to Income
Input as Negative
14
Effective Yield (%)
Input as Percentage
Actual in
$Millions
Q3 2012 Q4 2012
‐
‐
Q1 2013
Q2 2013
Projected in $Millions
Q3 2013 Q4 2013 Q1 2014
Q2 2014
Q3 2014
Q4 2014
‐
‐
‐
‐
‐
‐
‐
‐
BHC Projected OTTI for AFS Securities and HTM Securities by CUSIP: BHC XYZ, Inc. in BHC Baseline
Projected OTTI for AFS Securities and HTM Securities by CUSIP
For each position that incurred a loss in P&L, please state the identifier value (CUSIP or ISIN) and the amount of loss projected (over the entire forecast horizon). Create a
separate line item for each position. Total projected losses should reconcile to the total sum of projected losses (across all quarters) provided in the Securities OTTI by
Portfolio tab of this schedule. Responses should be provided in $Millions.
Identifier Value
(CUSIP/ISIN)
GRAND TOTAL
Actual
MM/DD/YYYY
Amortized Cost
‐
Credit Loss
Portion
‐
Non‐ Credit
Loss Portion
‐
Securities OTTI by CUSIP
Total OTTI
‐
BHC High‐Level OTTI Methodology and Assumptions for AFS and HTM Securities by Portfolio: BHC XYZ, Inc. in BHC Baseline
High‐Level OTTI Methodology and Assumptions for AFS and HTM Securities by Portfolio
Please complete the unshaded cells in the table provided.
Discount Rate Methodology
Threshold for Determining OTTI
(please provide one of the following responses: price‐
based threshold, ratings‐based threshold, cash flow
model‐based threshold, or other threshold)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
Aggregate Cumulative Lifetime Loss on Underlying
Collateral
(% Original Balance)
(please state whether a market‐based or accounting‐
based (e.g., book price/purchase price) discount rate
is used)
AFS and HTM Securities
Agency MBS
Auction Rate Securities
CDO
CLO
CMBS
Common Stock (Equity)
Auto ABS
Credit Card ABS
Student Loan ABS
Other ABS (excl HEL ABS)
Corporate Bond
Domestic Non‐Agency RMBS (incl HEL ABS)
Alt‐A (Option ARM)
Alt‐A FRM
Alt‐A ARM
Closed‐End Second
HELOC
Scratch & Dent
Subprime
Prime Fixed
Prime ARM
Foreign RMBS
Municipal Bond
Mutual Fund
Preferred Stock (Equity)
Sovereign Bond
US Treasuries & Agencies
Other*
*For 'Other' AFS and HTM securities, please provide name of security type in row 28 above (currently labeled "Other"). Please add additional rows if necessary.
Securities OTTI Methodology
Please provide the name(s) of any vendor(s) and any
vendor model(s) that are used
Were all securities reviewed for potential OTTI
(yes/no) for stress testing?
Macroeconomic/financial variables used in loss
estimation
Securities OTTI Methodology
BHC Projected OTTI for AFS and HTM Securities by Portfolio: BHC XYZ, Inc. in BHC Baselin
Projected OTTI for AFS and HTM Securities by Portfolio
Please provide the credit loss portion and non‐credit loss portion of projected OTTI (for relevant portfolios) for the quarters detailed in the tables below. Responses should be provided in $Millions. Values should be quarterly, not cumulative.
OTTI related to the security’s credit loss is recognized in earnings, whereas the OTTI related to other factors (defined as the non‐credit loss portion) is included as part of a separate component of other comprehensive income (OCI). For only those securities determined to be other‐than‐temporarily impaired, BHCs should provide both projected losses that would be recognized in earnings and any projected losses that would be captured in OCI.
Amortized Cost should represent all Securities held, regardless of if they are impaired or not.
Only securities projected to experience an other‐than‐temporary impairment loss in the P&L should be reported in the "Credit Loss Portion" and "Non‐Credit Loss Portion" columns below. Securities not projected to be other‐than‐temporarily impaired (for example, any securities implicitly or explicitly guaranteed by the U.S. government or any other securities for which no OTTI is projected) should not be reported in this tab. OTTI values should be stated as positive values.
PQ 1
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
AFS Securities
Agency MBS
Auction Rate Securities
CDO
CLO
CMBS
Common Stock (Equity)
Auto ABS
Credit Card ABS
Student Loan ABS
Other ABS (excl HEL ABS)
Corporate Bond
Domestic Non‐Agency RMBS (incl HEL ABS)
Alt‐A (Option ARM)
Alt‐A FRM
Alt‐A ARM
Closed‐End Second
HELOC
Scratch & Dent
Subprime
Prime Fixed
Prime ARM
Foreign RMBS
Municipal Bond
Mutual Fund
Preferred Stock (Equity)
Sovereign Bond
US Treasuries & Agencies
Other*
GRAND TOTAL
Actual MM/DD/YYYY
Amortized Cost
Credit Loss
Portion
Non‐ Credit Loss
Portion
PQ 2
Total OTTI
Credit Loss
Portion
Non‐ Credit Loss
Portion
PQ 4
PQ 3
Total OTTI
Credit Loss
Portion
Non‐ Credit Loss
Portion
Total OTTI
Credit Loss
Portion
Non‐ Credit Loss
Portion
PQ 5
Total OTTI
Credit Loss
Portion
Non‐ Credit Loss
Portion
PQ 6
Total OTTI
Credit Loss
Portion
Non‐ Credit Loss
Portion
PQ 7
Total OTTI
Credit Loss
Portion
Non‐ Credit Loss
Portion
PQ 8
Total OTTI
Credit Loss
Portion
Non‐ Credit Loss
Portion
PQ 9
Total OTTI
Credit Loss
Portion
Non‐ Credit Loss
Portion
Total OTTI
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
0
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
*For 'Other' AFS securities, please provide name of security type in row 28 above (currently labeled "Other"). Please add additional rows if necessary. If adding additional rows, please ensure that grand totals sum appropriately.
PQ 1
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
HTM Securities
Agency MBS
Auction Rate Securities
CDO
CLO
CMBS
Common Stock (Equity)
Auto ABS
Credit Card ABS
Student Loan ABS
Other ABS (excl HEL ABS)
Corporate Bond
Domestic Non‐Agency RMBS (incl HEL ABS)
Alt‐A (Option ARM)
Alt‐A FRM
Alt‐A ARM
Closed‐End Second
HELOC
Scratch & Dent
Subprime
Prime Fixed
Prime ARM
Foreign RMBS
Municipal Bond
Mutual Fund
Preferred Stock (Equity)
Sovereign Bond
US Treasuries & Agencies
Other
GRAND TOTAL
Actual MM/DD/YYYY
Amortized Cost
Credit Loss
Portion
Non‐ Credit Loss
Portion
PQ 2
Total OTTI
Credit Loss
Portion
Non‐ Credit Loss
Portion
PQ 3
Total OTTI
Credit Loss
Portion
Non‐ Credit Loss
Portion
PQ 4
Total OTTI
Credit Loss
Portion
Non‐ Credit Loss
Portion
PQ 5
Total OTTI
Credit Loss
Portion
Non‐ Credit Loss
Portion
PQ 6
Total OTTI
Credit Loss
Portion
Non‐ Credit Loss
Portion
PQ 7
Total OTTI
Credit Loss
Portion
Non‐ Credit Loss
Portion
PQ 8
Total OTTI
Credit Loss
Portion
Non‐ Credit Loss
Portion
PQ 9
Total OTTI
Credit Loss
Portion
Non‐ Credit Loss
Portion
Total OTTI
‐
‐
‐
‐
‐
‐
‐
‐
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‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
‐
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‐
‐
‐
0
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
0
0 ‐
*For 'Other' AFS securities, please provide name of security type in row 28 above (currently labeled "Other"). Please add additional rows if necessary. If adding additional rows, please ensure that grand totals sum appropriately.
Securities OTTI by Portfolio
Securities OTTI by Portfolio
Securities OTTI by Portfolio
BHC Projected OCI and Fair Value for AFS Securities: BHC XYZ, Inc. in BHC Baseline
Projected OCI and Fair Value for AFS Securities
BHCs should estimate and provide fair market values of AFS securities based on a re‐pricing of positions held on the reporting date. Responses should be provided in $Millions.
Projected OCI Based on Macro‐Economic Scenario
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
AFS Securities
Agency MBS
Auction Rate Securities
CDO
CLO
CMBS
Common Stock (Equity)
Auto ABS
Credit Card ABS
Student Loan ABS
Other ABS (excl HEL ABS)
Corporate Bond
Domestic Non‐Agency RMBS (incl HEL ABS)
Alt‐A (Option ARM)
Alt‐A FRM
Alt‐A ARM
Closed‐End Second
HELOC
Scratch & Dent
Subprime
Prime Fixed
Prime ARM
Foreign RMBS
Municipal Bond
Mutual Fund
Preferred Stock (Equity)
Sovereign Bond
US Treasuries & Agencies
Other*
GRAND TOTAL
* For 'Other' AFS securities, please provide name of
Total Actual Fair
Market Value
Projected OCI ‐
PQ 1
Projected OCI ‐
PQ 2
Projected OCI ‐
PQ 3
Projected OCI ‐
PQ 4
Projected OCI ‐
PQ 5
Projected OCI ‐
PQ 6
Projected OCI ‐
PQ 7
Projected OCI ‐
PQ 8
Projected OCI ‐
PQ 9
Total Projected OCI Estimated Total Fair Market Value after OCI Shock applied to all
Quarters
in all Quarters
‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐ ‐
Securities AFS OCI by Portfolio
BHC Actual AFS and HTM Fair Market Value Sources by Portfolio: BHC XYZ, Inc. in BHC Baseline
Actual AFS and HTM Fair Market Value Sources by Portfolio
Please provide information on actual fair market values as of the reporting date.
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
AFS and HTM Securities
Agency MBS
Auction Rate Securities
CDO
CLO
CMBS
Common Stock (Equity)
Auto ABS
Credit Card ABS
Student Loan ABS
Other ABS (excl HEL ABS)
Corporate Bond
Domestic Non‐Agency RMBS (incl HEL ABS)
Alt‐A (Option ARM)
Alt‐A FRM
Alt‐A ARM
Closed‐End Second
HELOC
Scratch & Dent
Subprime
Prime Fixed
Prime ARM
Foreign RMBS
Municipal Bond
Mutual Fund
Preferred Stock (Equity)
Sovereign Bond
US Treasuries & Agencies
Other*
Principal Market Value Source
Please state whether a vendor or proprietary model is used. If using a 3rd In general, how often are securities normally marked (e.g., daily, weekly,
party vendor, please provide the name(s) of the 3rd party vendor(s).
quarterly, etc.)?
*For 'Other' AFS and HTM securities, please provide name of security type in row 28 above (currently labeled "Other"). Please add additional rows if necessary.
Securities Market Value Sources
BHC Trading Worksheet: BHC XYZ, Inc. in BHC Baseline
Effective date:
(A)
P/L Results in $Millions
Firmwide
Total
1
2
3
4
5
6
7
8
9
10
Equity
FX
Rates
Commodities
Securitized Products
Other Credit
Private Equity
Other Fair Value Assets
Cross‐Asset Terms
Total
(B)
(C)
Contributions from:
Higher‐
Order Risks CVA Hedges
‐
1‐6) The categories above (Equities, FX, Rates, etc.) are NOT meant to denote lines of business
or desks, but rather firmwide totals by risk stripe.
5) "Securitized Products" is defined as the contribution to P/L from exposures detailed on the
Securitized Products and Agencies worksheets.
6) "Other Credit" is defined as the contribution from all credit products other than those
specified on the "Securitized Products" or "Agencies" worksheets.
9) Cross‐Asset Terms are those intra‐asset risks attributable to the co‐movement of mulitple asset classes.
For example, an equity option paying off in a foreign currency would have both Equity and FX risk. The
P/L due to this co‐dependence would be entered into row 9.
(B) Higher order risks are those inter‐asset risks attributable to terms not represented in the FR‐Y14Q.
The highest order term represented in the 14Q will vary based on the specific asset class. For example,
the commodity spot vol grids do not capture risks attributable to the co‐movement of multiple
underlying commodities.
When reporting P/L numbers above, report profits as positive numbers and losses as negative numbers.
Printed: 9/4/2014
52
BHC Counterparty Risk Worksheet: BHC XYZ, Inc. in BHC Baseline
$Millions
Losses should be reported as a positive value.
1 Trading Incremental Default Losses (Trading IDR)
1a
Trading Incremental Default losses from securitized products
1b
Trading Incremental Default losses from other credit sensitive instruments
‐
2 Counterparty Credit MTM Losses (CVA losses)
2a
Counterparty CVA losses
2b
Offline reserve CVA losses
‐
3 Counterparty Incremental Default Losses (CCR IDR)
3a
Impact of CCR IDR hedges (as defined in the Instructions)
4 Other CCR losses
Page 54
BHC PPNR Projections Worksheet: BHC XYZ, Inc. in BHC Baseline
Instructions: Bank Holding Company (BHC) to complete non shaded cells only; all shaded cells with embedded formulas will self populate. Quarterly items should be reported by quarter, and not on a year‐to‐date basis.
Please indicate if deposits are 25% or more of total liabilities
Net Interest Income Designation Field ‐ Populated Automatically
$Millions
Projected in $Millions
FR Y9C Codes
PQ 1
Net Interest Income by Business Segment: (17)
1
1A
1B
1C
Retail and Small Business
Domestic (11)
Credit and Charge Cards (10)
Mortgages
1D
1E
1F
1G
2
3
4
5
5A
5B
6
7
8
9
10
11
12
Home Equity
Retail and Small Business Deposits
Other Retail and Small Business Lending
International Retail and Small Business (16)
Commercial Lending
Investment Banking
Merchant Banking / Private Equity
Sales and Trading
Prime Brokerage
Other
Investment Management
Investment Services
Treasury Services
Insurance Services
Retirement / Corporate Benefits Products
Corporate / Other
Optional Immaterial Business Segments (7)
13
Total Net Interest Income (1)
14
14A
14B
14C
14D
14E
14F
14G
14H
14I
14J
14K
Non Interest Income by Business Segment: (17)
Retail and Small Business
Domestic
Credit and Charge Cards (10)
Credit and Charge Card Interchange Revenues ‐ Gross
Other
Mortgages and Home Equity
Production
Gains/(Losses) on Sale (18)
Other
Servicing
Servicing & Ancillary Fees
MSR Amortization (20)
14L
14M
14N
PQ 2
PQ 3
PQ 4
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
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‐
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‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
MSR Value Changes due to Changes in Assumptions/Model Inputs/Other Net of Hedge
Performance (19)(21)
Other
Provisions to Repurchase Reserve / Liability for Residential Mortgage Representations and
Warranties (contra‐revenue) (12)
14O
14P
14Q
14R
14S
14T
15
16
16A
16B
16C
16D
17
17A
17B
17C
18
18A
18B
18C
18D
18E
18F
18G
18H
18I
18J
18K
18L
18M
19
19A
19B
20
20A
20B
20C
20D
20E
21
22
23
24
25
Retail and Small Business Deposits
Non Sufficient Funds / Overdraft Fees ‐ Gross
Debit Interchange ‐ Gross
Other (22)
Other Retail and Small Business Lending
International Retail and Small Business (16)
Commercial Lending
Investment Banking
Advisory
Equity Capital Markets
Debt Capital Markets
Syndicated / Corporate Lending
Merchant Banking / Private Equity
Net Investment Mark‐to‐Market
Management Fees
Other
Sales and Trading
Equities
Commission and Fees
Other (23)
Fixed Income
Rates
Credit
Other
Commodities
Commission and Fees
Other
Prime Brokerage
Commission and Fees
Other
Investment Management
Asset Management
Wealth Management / Private Banking
Investment Services
Asset Servicing
Securities Lending
Other
Issuer Services
Other
Treasury Services
Insurance Services
Retirement / Corporate Benefits Products
Corporate / Other
Optional Immaterial Business Segments (7)
26
Total Non‐Interest Income (2) (26)
‐
‐
‐
‐
‐
‐
‐
‐
27
Total Revenues
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
31
32
33
34
34A
34B
35
36
37
Non Interest Expense:
Compensation Expense
Salary (14)
Benefits (14)
Commissions (6)
Stock Based Compensation
Cash Variable Pay
Operational Risk Expense (8)
Provisions to Repurchase Reserve / Liability for Residential Mortgage Representations and
Warranties (12)
Professional and Outside Services Expenses (13)
Expenses of Premises and Fixed Assets
BHCK4217
Amortization Expense and Impairment Losses for Other Intangible Assets
BHCKC232
Marketing Expense
Domestic Credit and Charge Card Marketing Expense (10)(15)(17)
Other
Other Real Estate Owned Expense
Provision for Unfunded Off‐Balance Sheet Credit Exposures (to build/decrease item 139 (BHCKB557) in Balance Sheet)
Other Non‐Interest Expense (4)
38
Total Non‐Interest Expense (3)
28
28A
28B
28C
28D
28E
29
30
39
Projected PPNR (5)
40
41
42
Valuation Adjustment for firm's own debt under fair value option (FVO) (9) (27)
Goodwill Impairment
Loss resulting from trading shock exercise (if applicable) (24) (25)
BHCK4074‐
BHCK4079‐
BHCK4093+BHCKC2
16‐Line Item #40
BHCKC216
Footnotes to the PPNR Projections Worksheet
(1) Amount should equal item 49 of the PPNR NII Worksheet, if completed.
(2) Excludes Valuation Adjustment for firm's own debt under fair value option (FVO) in item 40.
(3) Excludes Goodwill Impairment included in item 41.
(4) Provide a further break out of significant items included in Other Non‐Interest Expense such that no more than 5% of Non Interest Expense are reported
without further breakout:
(5)
(6)
(7)
By definition, PPNR will calculate as Net Interest Income plus Non‐Interest Income less Non‐Interest Expense, excluding items broken out in items 40‐41.
Report commissions only in "Commissions" line item 28C; do not report commissions in any other compensation line items.
See instructions for guidance on related thresholds. List segments included in this line item.
(8)
All operational loss items, including operational losses that are contra revenue amounts or cannot be separately identified, should be reported in the
operational risk expense. Any legal consultation or retainer fees specifically linked to an operational risk event should be included in the Operational
Risk Expense. Include all Provisions to Litigation Reserves / Liability for Claims related to Sold Residential Mortgages and all Litigation Settlements &
Penalties in this line item and not any other items.
(9)
List segments from which item was excluded:
(10)
(11)
(12)
Include domestic BHC issued credit and charge cards including those that result from a partnership agreement.
Applies to line items 1A‐1F; US and Puerto Rico only.
Provisions to build any non‐litigation reserves/accrued liabilities that have been established for losses related to sold or government‐insured residential
mortgage loans (first or second lien). Do not report such provisions in any other items; report them only in line items 14N or 30, as applicable.
(13)
Include routine legal expenses (i.e legal expenses not related to operational losses) here.
(14)
(15)
Do not report stock based and cash variable pay compensation here.
Include both direct and allocated expenses. Report any expenses that are made to expand the company’s card member and/or merchant base, facilitate greater segment penetration,
enhance the perception of the company’s credit card brand, and/or increase the utilization of the existing card member base across the spectrum of marketing and advertising mediums.
(16)
(17)
(18)
Revenues from regions outside the US and Puerto Rico.
See Instructions for description of standardized Business Segments/Lines. Unless specified otherwise, all numbers are global.
Gains/(Losses) from the sale of mortgages and home equity originated through all production channels (retail, broker, correspondent, etc.) with the intent to sell. Such gains/losses should
include deferred fees and costs that are reported as adjustments to the carrying balance of the sold loan, fair value changes on loan commitments with rate locks that are accounted for as
derivatives, fair value changes on mortgage loans held‐for‐sale designated for fair value treatment, lower‐of‐cost or market adjustments on mortgage loans held‐for‐sale not designated for
fair value treatment, fair value changes on derivative instruments used to hedge loan commitments and held‐of‐sale mortgages, and value associated with the initial capitalization of the
MSR upon sale of the loan.
(19)
(20)
(21)
(22)
Report changes in the MSR value here and not in any other items. Report changes in the MSR hedges here and not in any other items.
Include economic amortization or scheduled and unscheduled payments, net of defaults under both FV and LOCOM accounting methods.
Include MSR changes under both FV and LOCOM accounting methods.
Among items included here are debit card contra‐revenues and overdraft waivers, as applicable.
(23)
Report all Non‐Interest Income for Equities Sales and Trading, excluding Prime Brokerage (to be reported as a separate line item) and excluding Commissions and Fees. This includes
trading profits and other non‐interest non‐commission income.
(24)
(25)
BHCs should not report changes in value of the MSR asset or hedges within the trading book.
List segments from which item was excluded:
(26)
(27)
Exclude result of trading shock exercise (where applicable), as it is reported in item 42.
List FR Y‐9C HI Schedule items in which this item is normally reported although excluded from PPNR for this report:
The following cells provide checks of the internal consistency of the PPNR Template schedules. Please ensure that these cells are all "TRUE," or "N/A" before the worksheet is submitted.
Net Interest Income agrees between worksheets
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
BHC PPNR Net Interest Income Worksheet: BHC XYZ, Inc. in BHC Baseline
Instructions: All BHCs for which deposits comprise 25% or more of total liabilities for any reported period in any FR Y‐14Q must complete this worksheet. BHCs to complete non shaded cells only; all shaded cells with embedded formulas will self
populate. Quarterly items should be reported by quarter, and not on a year‐to‐date basis.
Please indicate if deposits are 25% or more of total liabilities
Net Interest Income Designation Field ‐ Populated Automatically
1
2
2A
2B
3
4
5
6
6A
6B
6C
AverageAsset Balances ($Millions) (1)
First Lien Residential Mortgages (in Domestic Offices)
Second / Junior Lien Residential Mortgages (in Domestic Offices)
Closed‐End Junior Liens
Home Equity Lines Of Credit (HELOCs)
C&I Loans (7)
CRE Loans (in Domestic Offices)
Credit Cards
Other Consumer
Auto Loans
Student Loans
7
Real Estate Loans (Not in Domestic Offices)
Residential Mortgages (First and Second Lien)
Other
Other Loans & Leases (10)
Nonaccrual Loans (5)
Securities (AFS and HTM) ‐ Treasuries and Agency Debentures
Securities (AFS and HTM) ‐ Agency RMBS (both CMOs and pass‐throughs)
Securities (AFS and HTM) ‐ Other
Trading Assets
Deposits with Banks & Other
Other Interest/Dividend Bearing Assets (2)
Other Assets
Total Average Asset Balances
18
19
19A
19B
20
21
22
23
23A
23B
23C
24
24A
24B
25
26
27
28
29
30
31
32
Average Rates Earned (%) (9)
First Lien Residential Mortgages (in Domestic Offices)
Second / Junior Lien Residential Mortgages (in Domestic Offices)
Closed‐End Junior Liens
HELOCs
C&I Loans (7)
CRE Loans (in Domestic Offices)
Credit Cards
Other Consumer
Auto Loans
Student Loans
Other, incl. loans backed by securities (non‐purpose lending)
Real Estate Loans (Not in Domestic Offices)
Residential Mortgages (First and Second Lien)
Other
Other Loans & Leases
Nonaccrual Loans (5)
Securities (AFS and HTM) ‐ Treasuries and Agency Debentures
Securities (AFS and HTM) ‐ Agency RMBS (both CMOs and pass‐throughs)
Securities (AFS and HTM) ‐ Other
Trading Assets
Deposits with Banks & Other
Other Interest/Dividend Bearing Assets
33
Total Interest Income
34
34A
34B
34C
34D
34E
35
35A
35B
36
36A
36B
36C
37
38
39
40
41
PQ 2
PQ 3
Projected in $Millions
PQ 5
PQ 4
PQ 6
PQ 7
PQ 8
PQ 9
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
Other, incl. loans backed by securities (non‐purpose lending)
7A
7B
8
9
10
11
12
13
14
15
16
17
PQ 1
‐
Average Liability Balances ($Millions)
Deposits‐Domestic (6)
Non‐Interest‐Bearing Demand
Money Market Accounts
Savings
NOW, ATS, and other Transaction Accounts
Time Deposits
Deposits‐Foreign (6)
Foreign Deposits
Foreign Deposits‐Time
Fed Funds, Repos, & Other Short Term Borrowing
Fed Funds
Repos
Other Short Term Borrowing (11)
Trading Liabilities
Subordinated Notes Payable to Unconsolidated Trusts Issuing Trust Preferred
Securities (TruPS) and TruPS Issued by Consolidated Special Purpose Entities
Other Interest‐Bearing Liabilities (3)(11)
Other Liabilities (11)
Total Average Liability Balances
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
47
Average Liability Rates (%) (9)
Deposits‐Domestic (6)
Non‐Interest‐Bearing Demand (8)
Money Market Accounts
Savings
Negotiable Order of Withdrawal (NOW), Automatic Transfer Service (ATS), and other
Transaction Accounts
Time Deposits
Deposits‐Foreign (6)
Foreign Deposits
Foreign Deposits‐Time
Fed Funds, Repos, & Other Short Term Borrowing
Fed Funds
Repos
Other Short Term Borrowing
Trading Liabilities
Subordinated Notes Payable to Unconsolidated Trusts Issuing TruPS and TruPS Issued
by Consolidated Special Purpose Entities
Other Interest‐Bearing Liabilities (3)(11)
48
Total Interest Expense
‐
‐
‐
‐
‐
‐
‐
‐
‐
49
Total Net Interest Income (4)
‐
‐
‐
‐
‐
‐
‐
‐
‐
42
42A
42B
42C
42D
42E
43
43A
43B
44
44A
44B
44C
45
46
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
Footnotes to the Net Interest Income Worksheet
(1) Exclude nonaccrual loans from lines 1‐8, reporting these balances in item 9. Include purchased credit impaired loans.
(2) Break out and explain nature of significant items included in Other Interest/Dividend Bearing Assets such that no more
than 5% of total Average Asset Balances are reported without a further breakout.
(3)
Break out and explain nature of significant items included in All Other Interest Bearing Liabilities Balances such that no more than 5% of total Liability Balances are reported without a further breakout.
(4)
(5)
(6)
(7)
(8)
(9)
(10)
(11)
Amount should equal item 13 of the PPNR Projections Worksheet.
Institutions are to provide additional details within the supporting documentation; the composition of the non‐accrual loans by key loan type over the reported time periods for each of the scenarios.
A sum of average domestic and foreign deposits should be equal to a sum of average BHDM6631, BHDM6636, BHFN6631, and BHFN6636.
Report C&I Graded, Small Business (Scored/Delinquency Managed), Corporate Card, Business Card
Rates are equal to zero by definition.
All rates are annualized.
Include loans secured by farmland here (BHDM1420) and other loans not accounted for in the other categories.
A Sum of line items 35C and 38 equals a sum of BHCK3190, BHCK4062, and interest‐bearing liabilities reported in BHCK2750; line item 39 captures non‐interest bearing liabilities in BHCK2750
Are Other Average Interest‐Bearing Asset Balances more than 5% of Total Average Interest‐
Bearing Asset Balances?
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
Are Other Average Deposit and Interest‐Bearing Non‐Deposit Liability Balances more than
5% of Total Average Interest‐Bearing Liability Balances?
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
BHC PPNR Metrics Worksheet: BHC XYZ, Inc. in BHC Baseline
Instructions: BHCs to complete non shaded cells only; all shaded cells with embedded formulas will self populate. Quarterly items should be reported by quarter, and not on a year‐to‐date basis.
FR Y9C Codes
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
A. Metrics by Business Segment/Lin e (9)
Retail and Small Business Segment
Domestic (24)
Credit and Charge Cards
Total Open Accounts – End of Period
Credit and Charge Card Purchase Volume
Credit and Charge Card Rewards/Partner Sharing Expense (23) (34)
Mortgages and Home Equity
Average Third‐Party Residential Mortgages Serviced (3)
Residential Mortgage Originations Industry Market Size – Volume (25)
Mortgages and Home Equity Sold during the quarter (26)
43
44
45
45A
45B
45C
45D
46
47
48
48A
48B
49
49A
49B
49C
50
B. Firm Wide Metrics: PPNR Projections Worksheet
Number of Employees
Revenues ‐ International
Revenues ‐ APAC (2) (16)
Revenues ‐ EMEA (2) (17)
Revenues ‐ LatAm (2) (18)
Revenues ‐ Canada (2)
Revenues ‐ Domestic
Severance Costs (14)
Collateral Underlying Operating Leases for Which the Bank is the Lessor (22)
Auto
Other
OREO Balance
Commercial
Residential
Farmland
Non‐Recurring PPNR Items (32)
37
37A
37B
37C
38
39
39A
39B
39C
40
41
42
51
52
Trading Revenue
Net Gains/(Losses) on Sales of Other Real Estate Owned (19)
82
83
84
85
86
87
88
88A
88B
88C
Index rate (if single term assumed) (29)
Spread relative to the Index Rate (29)
Projected
PQ 5
PQ 6
PQ 7
PQ 8
PQ 9
$Millions
#
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
#
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
‐
‐
‐
‐
‐
‐
‐
‐
‐
$Millions
$Millions
$Millions
$Millions
$Millions
#
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
$Millions
#
BHCK4150
BHCK2150
BHCKA220
BHCK8561
#
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
$Millions
$Millions
Quarter End Weighted Average Life of Assets (4) (6)
First Lien Residential Mortgages (in Domestic Offices) (33)
Closed‐End Junior Residential Liens (in Domestic Offices)
Home Equity Lines Of Credit (HELOCs)
C&I Loans
CRE Loans (in Domestic Offices)
Credit Cards
Auto Loans
Student Loans
Other, incl. loans backed by securities (non‐purpose lending) (7)
Residential Mortgages (First and Second Lien, Not in Domestic Offices)
Other Real Estate Loans (Not in Domestic Offices)
Other Loans & Leases
Securities (AFS and HTM) ‐ Treasuries and Agency Debentures
Securities (AFS and HTM) ‐ Agency RMBS (both CMOs and pass‐throughs)
Securities (AFS and HTM) ‐ Other
Trading Assets
All Other Earning Assets
Average Domestic Deposit Repricing Beta in a 'Normal Environment' (5)
Money Market Accounts
Savings
NOW, ATS, and other Transaction Accounts
Time Deposits
Average Foreign Deposit Repricing Beta in a 'Normal Environment' (5)
Foreign Deposits
Foreign Deposits‐Time
New Domestic Business Pricing for Time Deposits (27)
Curve (if multiple terms assumed) (28)
PQ 4
#
#
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
80
81
PQ 3
$Millions
$Millions
53
54
55
56
Quarter End Weighted Average Life of Liabilities (4) (6)
Domestic Deposits ‐ Time
Foreign Deposits‐Time
Fed Funds
Repos
Other Short Term Borrowing
Trading Liabilities
Subordinated Notes Payable to Unconsolidated Trusts Issuing TruPS and TruPS Issued by
Consolidated Special Purpose Entities
All Other Interest Bearing Liabitilies
PQ 2
$Millions
$Millions
BHCKF070+BHCKF071+BH
DMF674+BHDMF675
C. Firm Wide Metrics: Net Interest Income Worksheet (Required only for BHCs that were required to complete the Net Interest Income Worksheet)
Carrying Value of Purchased Credit Impaired (PCI) Loans
BHCKC780
$Millions
Net Accretion of discount on PCI Loans included in interest Revenues
$Millions
Loans Held for Sale ‐ First Lien Residential Liens in Domestic Offices (Average Balances)
$Millions
Average Rate on Loans Held for Sale‐First Lien Residential Liens in Domestic Offices
%
74
75
76
77
78
79
PQ 1
#
$Millions
$Millions
Servicing Expenses (8)
Retail and Small Business Deposits
Total Open Checking and Money Market Accounts – End of Period (31)
Debit Card Purchase Transactions
International Retail and Small Business (12)
Credit Card Revenues (1)
Investment Banking Segment
Number of Employees (15)
Compensation ‐ Total (8)
Stock Based Compensation and Cash Variable Pay (8)
Advisory
Deal Volume
Industry Market Size ‐ Fees
Industry Market Size ‐ Completed Deal Volume
Backlog (30)
Equity Capital Markets
Deal Volume
Industry Market Size ‐ Fees
Industry Market Size ‐ Volume
Debt Capital Markets
Deal Volume
Industry Market Size ‐ Fees
Industry Market Size ‐ Volume
Syndicated Lending
Deal Volume
Industry Market Size ‐ Fees
Industry Market Size ‐ Volume
Merchant Banking / Private Equity
AUM (10)
Sales and Trading Segment
Number of Employees (15)
Total Proprietary Trading Revenue
Compensation ‐ Total (8)
Stock Based Compensation and Cash Variable Pay (8)
Equities
Average Asset Balance
Fixed Income
Average Asset Balance
Commodities
Average Asset Balance
Prime Brokerage
Average Client Balances (13)
Transaction Volume
Investment Management Segment
Asset Management
AUM ‐ Total (10)
AUM ‐ Equities
AUM ‐ Fixed Income
AUM ‐ Other
Net Inflows/Outflows
Wealth Management/Private Banking
AUM ‐ Total (10)
AUM ‐ Equities
AUM ‐ Fixed Income
AUM ‐ Other
Net Inflows/Outflows
Number of Financial Advisors (11)
Investment Services Segment
Asset Servicing
Assets under Custody and Administration
Issuer Services
Corporate Trust Deals Administered
Units
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
For upward rate
movements
basis points
basis points
basis points
basis points
basis points
basis points
basis points
For downward rate
movements
Assumed Floor
(1)
(2)
(3)
(4)
Footnotes to the PPNR Metrics Worksheet
Provide metrics data for all quarters, but only if International Retail and Small Business Segment revenues exceeded 5% of Total Retail and Small Business Segment and Total Retail and Small Business revenue
exceeded 5% of total revenues in any of the last four actual quarters requested in the PPNR schedule.
Provide regional breakouts for all quarters but only if international revenue exceeded 5% of the total revenue in any of the last four actual quarters requested in the PPNR schedule.
Average oustanding principal balance fo residential mortgage loans the BHC services for others.
The Weighted Average Life should reflect the current position, the impact of new business activity, as well as the impact of behavioral assumptions such as prepayments or defaults, based on the expected remaining
lives, inclusive of behavioral assumptions. It should reflect the weighted average of time to principal actual repayment (as modeled) for all positions in that portfolio, rounded to the nearest monthly term. For
revolving products, the WAL should reflect the underlying repayment behavior assumptions assumed by the institution, which would include contractual repayments, any assumed excess payments or prepayments,
and defaults. The WAL for the FR Y‐14Q disclosures should reflect the spot balance sheet position for each time period. For the FR Y‐14A, given that it covers forecasted time periods, the WAL should be forward‐
looking which incorporates the changes to the projected WAL, including new business activity.
(5)
A rate movement in an environment where the repricing assumption assumed by each of the major deposit products is not restricted by a cap, floor, or zero. Beta should be reported as a balance‐weighted average of
the betas of the line items that contribute to the roll up point requested, with an as‐of date equal to the reporting date.
(6)
(7)
(8)
(9)
Reference PPNR Net Interest Income worksheet for product definitions.
Corresponds to line item 7C on the Net Interest Income worksheet
Include both direct and allocated expenses.
"Metrics by Business Segment/Line" correspond to Business Segments/Lines on PPNR Submission worksheet, unless explicitly stated otherwise. See Instructions for defintions of standardized Business
Segments/Lines. Unless specified otherwise, all numbers are global. Only line items with "Industry Market Size" in the name are industry/market‐wide items; all other items are BHC‐specific.
(10)
(11)
Assets under Management
Provide a relevant headcount number (e.g. financial advisors, portfolio managers) to facilitate the assessment of revenue productivity in the Wealth Management/Private Banking business line.
(12)
(13)
(14)
Regions outside the US and Puerto Rico.
Report the grossed up "interest balances" that result from prime brokerage activities.
List items on PPNR Projections worksheet that include this item if any:
(15)
(16)
(17)
(18)
(19)
Full‐time equivalent employees at end of current period (BHCK4150) for a given segment only.
Asia and Pacific region (incl. South Asia, Australia, and New Zealand)
Europe, Middle East, and Africa
Latin America, including Mexico
List Business Segments reported on PPNR Projections Worksheet that include this item if any:
(20)
List Business Segments reported on PPNR Projections Worksheet that include this item if any:
(21)
List Business Segments reported on PPNR Projections Worksheet that include this item if any:
(22)
Refers to the balance sheet carrying amount of any equipment or other asset rented to others under operating leases, net of accumulated depreciation. The total in line item 49
should correspond to the amount provided in Y‐9C Schedule HC‐F Line 6, item 13 in the instructions. The amount included should only reflect collateral rented under operating
leases and not include collateral subject to capital/ financing type leases.
(23)
Credit cards (including charge cards). List which line item(s) on PPNR Submission worksheet contain(s) the Cards Rewards/Partner Sharing contra‐revenues and/or expenses.
(24)
(25)
(26)
(27)
Applies to line items 1‐9; US and Puerto Rico only.
Total domestic mortgages originated during the quarter.
FR Y‐9C name is "Residential Mortgages Sold During the Quarter"; this metric need not be limited to Mortgages and Home Equity business line.
New business pricing for time deposits refers to the anticipated average rate on newly issued domestic time deposits, including renewals. Given that time deposits have a stated maturity, all time deposits issued for
that time period are considered new business.
(28)
The term “curve” refers to the reference rate used to price time deposits. Given that the pricing of time deposits is dependent on the term, the institution should provide the overall curve used to price time deposits.
If the institution only assumes a single maturity term for new issuances, complete line 88B and 88C only, otherwise complete line 88A only.
If the institution only assumes a single maturity term for new issuance, then the institution should provide the relative index and spread used to estimate new business pricing in lieu of the curve.
(29)
(30)
A backlog should be based on probability weighted fees. The data should be consistent with historical internal reporting, not by market measurement. The last quarter should be
the BHC’s latest backlog estimate.
(31)
Provide description of the accounts included in this line item (e.g. Negotiable Order of Withdrawal, Interest Bearing Checking, Non Interest Bearing Demand Deposit Account,
Money Market Savings, etc.)
(32)
Please break out and explain nature of non‐recurring items included in PPNR. Also indicate
which items on PPRN Projections worksheet include the items broken out in footnote 32:
(a)
Revenues (Net Interest Income + Non Interest Income)
$ Milllion
$ Milllion
$ Milllion
$ Milllion
$ Milllion
$ Milllion
$ Milllion
(b)
Non Interest Expenses
$ Milllion
$ Milllion
$ Milllion
$ Milllion
$ Milllion
$ Milllion
$ Milllion
(33)
For WAL, exclude from the reported number Loans Held For Sale
(34)
Note if this item includes any contra‐revenues other than Rewards/Partner Sharing (e.g. Marketing Expense Amortization)
Do international revenues exceed 5% of total revenues?
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
| File Type | application/pdf |
| File Title | FR_Y-14A_Summary_template.xlsx |
| Author | m1dbn00 |
| File Modified | 2014-09-04 |
| File Created | 2014-09-04 |