Scenario Schedule Cover Sheet

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Overview

Scenario Cover Sheet
Scenario Variable Definitions
DFAST Baseline Scenario
DFAST Adverse Scenario
DFAST Severely Adverse Scenario
Bank Baseline Scenario
Bank Stress Scenario
Additional Scenario #1

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Sheet 1: Scenario Cover Sheet

DFAST-14A Scenario Schedule Cover Sheet
In addition to providing the name, RSSD ID, and charter ID of your institution on this cover sheet, all firms are expected to complete the following four tabs in this workbook: Scenario Variable Definitions, DFAST Baseline Scenario, DFAST Adverse Scenario, and DFAST Severely Adverse Scenario. If the firm so chooses, it can provide bank baseline, bank stress, and/or additional stress scenarios on additional tabs.
Please see the submission instructions for additional guidance on completing these worksheets.
Institution Name:
RSSD ID:
Submission Date (MM/DD/YYYY):
OCC Charter ID:

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Sheet 2: Scenario Variable Definitions

DFAST Baseline Scenario (additional variables used beyond those supplied)

Variable Number

Variable Name

Variable Definition

Variable Type

Economic Category

Geographic Code

Unit of Measure

Frequency

Model Category: Retail - Residential Real Estate (including construction)

Model Category: Retail - Credit Cards

Model Category: Retail - Other

Model Category: Wholesale - Commercial Real Estate

Model Category: Wholesale - Commercial and Industrial

Model Category: Wholesale - Other

Model Category: Loans HFS and Loans Under FVO

Model Category: AFS/HTM Securities

Model Category: Trading

Model Category: Counterparty Credit Risk

Model Category: Operational Risk

Model Category: PPNR

Model Category: MSR

Model Category: Other

Rate

1

Index

2

Level

3

Ratio

4

Other

5

6

7

8

9

10

DFAST Adverse Scenario (additional variables used beyond those supplied)

Variable Number

Variable Name

Variable Definition

Variable Type

Economic Category

Geographic Code

Unit of Measure

Frequency

Model Category: Retail - Residential Real Estate (including construction)

Model Category: Retail - Credit Cards

Model Category: Retail - Other

Model Category: Wholesale - Commercial Real Estate

Model Category: Wholesale - Commercial and Industrial

Model Category: Wholesale - Other

Model Category: Loans HFS and Loans Under FVO

Model Category: AFS/HTM Securities

Model Category: Trading

Model Category: Counterparty Credit Risk

Model Category: Operational Risk

Model Category: PPNR

Model Category: MSR

Model Category: Other

1

2

3

4

5

6

7

8

9

10

DFAST Severely Adverse Scenario (additional variables used beyond those supplied)

Variable Number

Variable Name

Variable Definition

Variable Type

Economic Category

Geographic Code

Unit of Measure

Frequency

Model Category: Retail - Residential Real Estate (including construction)

Model Category: Retail - Credit Cards

Model Category: Retail - Other

Model Category: Wholesale - Commercial Real Estate

Model Category: Wholesale - Commercial and Industrial

Model Category: Wholesale - Other

Model Category: Loans HFS and Loans Under FVO

Model Category: AFS/HTM Securities

Model Category: Trading

Model Category: Counterparty Credit Risk

Model Category: Operational Risk

Model Category: PPNR

Model Category: MSR

Model Category: Other

1

2

3

4

5

6

7

8

9

10

Bank Baseline Scenario

Variable Number

Variable Name

Variable Definition

Variable Type

Economic Category

Geographic Code

Unit of Measure

Frequency

Model Category: Retail - Residential Real Estate (including construction)

Model Category: Retail - Credit Cards

Model Category: Retail - Other

Model Category: Wholesale - Commercial Real Estate

Model Category: Wholesale - Commercial and Industrial

Model Category: Wholesale - Other

Model Category: Loans HFS and Loans Under FVO

Model Category: AFS/HTM Securities

Model Category: Trading

Model Category: Counterparty Credit Risk

Model Category: Operational Risk

Model Category: PPNR

Model Category: MSR

Model Category: Other

1

2

3

4

5

6

7

8

9

10

Bank Stress Scenario

Variable Number

Variable Name

Variable Definition

Variable Type

Economic Category

Geographic Code

Unit of Measure

Frequency

Model Category: Retail - Residential Real Estate (including construction)

Model Category: Retail - Credit Cards

Model Category: Retail - Other

Model Category: Wholesale - Commercial Real Estate

Model Category: Wholesale - Commercial and Industrial

Model Category: Wholesale - Other

Model Category: Loans HFS and Loans Under FVO

Model Category: AFS/HTM Securities

Model Category: Trading

Model Category: Counterparty Credit Risk

Model Category: Operational Risk

Model Category: PPNR

Model Category: MSR

Model Category: Other

1

2

3

4

5

6

7

8

9

10

Additional Scenario #1

Variable Number

Variable Name

Variable Definition

Variable Type

Economic Category

Geographic Code

Unit of Measure

Frequency

Model Category: Retail - Residential Real Estate (including construction)

Model Category: Retail - Credit Cards

Model Category: Retail - Other

Model Category: Wholesale - Commercial Real Estate

Model Category: Wholesale - Commercial and Industrial

Model Category: Wholesale - Other

Model Category: Loans HFS and Loans Under FVO

Model Category: AFS/HTM Securities

Model Category: Trading

Model Category: Counterparty Credit Risk

Model Category: Operational Risk

Model Category: PPNR

Model Category: MSR

Model Category: Other

1

2

3

4

5

6

7

8

9

10

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Sheet 3: DFAST Baseline Scenario

Actual

Projected

Variable Name

HQ1

HQ2

HQ3

HQ4

PQ1

PQ2

PQ3

PQ4

PQ5

PQ6

PQ7

PQ8

PQ9

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Sheet 4: DFAST Adverse Scenario

Actual

Projected

Variable Name

HQ1

HQ2

HQ3

HQ4

PQ1

PQ2

PQ3

PQ4

PQ5

PQ6

PQ7

PQ8

PQ9

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Sheet 5: DFAST Severely Adverse Scenario

Actual

Projected

Variable Name

HQ1

HQ2

HQ3

HQ4

PQ1

PQ2

PQ3

PQ4

PQ5

PQ6

PQ7

PQ8

PQ9

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Sheet 6: Bank Baseline Scenario

Actual

Projected

Variable Name

HQ1

HQ2

HQ3

HQ4

PQ1

PQ2

PQ3

PQ4

PQ5

PQ6

PQ7

PQ8

PQ9

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Sheet 7: Bank Stress Scenario

Actual

Projected

Variable Name

HQ1

HQ2

HQ3

HQ4

PQ1

PQ2

PQ3

PQ4

PQ5

PQ6

PQ7

PQ8

PQ9

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Sheet 8: Additional Scenario #1

Actual

Projected

Variable Name

HQ1

HQ2

HQ3

HQ4

PQ1

PQ2

PQ3

PQ4

PQ5

PQ6

PQ7

PQ8

PQ9