DFAST 10-50B Results Template

March 30, 2016

O
Office of the Comptroller of the Currency

Instructions for Preparation of

Annual Company-Run Stress Test Reporting Template and Documentation
for Covered Institutions with Total Consolidated Assets of $10 Billion to $50
Billion under the Dodd-Frank Wall Street Reform and Consumer
Protection Act
Reporting Form OCC DFAST 10-50
Effective for the Annual Report Submission Beginning on July 31, 2016

1

GENERAL INSTRUCTIONS
The Annual Dodd-Frank Act (DFA) Stress Testing
Report (OCC DFAST 10-50 report) collects
detailed data on covered institutions’1 quantitative
projections of income, losses, assets, liabilities, and
capital across a range of macroeconomic scenarios
and qualitative supporting information on the
methodologies and processes used to develop
internal projections of capital across scenarios.
Further information regarding the requirements of
the qualitative supporting information is provided
in Appendix A. The Office of the Comptroller of
the Currency (OCC) will provide details about the
macroeconomic scenarios to institutions.
1

Who Must Report
Reporting Criteria
Institutions with total consolidated assets greater
than $10 billion but less than $50 billion, as defined
by the final stress test rule 12 CFR part 46, must
file the OCC DFAST 10-50 report.
The OCC’s final stress test rule defines total
consolidated assets as the average of the
institution’s total consolidated assets over the four
most recent consecutive quarters as reported on the
institution’s Consolidated Report of Condition and
Income (Call Report FFIEC 031 or FFIEC 041).
Per the final stress test rule, if the institution has not
filed a Call Report for each of the four most recent
consecutive quarters, the average of the institution’s
total consolidated assets in the most recent quarter
or consecutive quarters as reported on the Call
Report should be used in the calculation.

national bank or federal savings association that
exceeds the asset threshold for the first time after
March 31 of a given year must comply with the
company-run stress test requirements beginning
January 1 of the second year following that given
year, unless that time is extended by the OCC in
writing.
For example, if an institution reported $9.5 billion
in total consolidated assets as reported on Schedule
RC of its Call Report as of June 30 and September
30, 2015 and $11 billion as of December 31, 2015
and March 31, 2016, the average total assets over
the four-quarter period is calculated as $10.25
billion and the institution would meet the
requirement to conduct its first stress test for the
2017 stress test cycle commencing on January 1,
2017 and reporting in July 2017.
For example, If an institution reported $9.5 billion in
total consolidated assets as reported on Schedule HC
of its Call Report as of September 30 and December
31, 2015, and $11 billion as of March 31 and June
30, 2016, the average total assets over the fourquarter period is calculated as $10.25 billion and the
institution would meet the requirement to conduct its
first stress test for the 2018 stress test cycle
commencing on January 1, 2018 and reporting in
July 2018.

Once an institution meets the asset threshold, it will
remain subject to the final stress test rule
requirements unless and until the total consolidated
assets (not average assets) of the institution are less
than $10 billion for each of four consecutive quarters
as reported on the Call Report, as applicable
(measured on the as-of date of the fourth consecutive
Call Report). An institution that has reduced its total
consolidated assets below $10 billion for four
Compliance after 3/31/15
consecutive quarters will again become subject to the
requirements of this rule if it meets the asset
A national bank or federal savings association that threshold at a later date.
exceeds the asset threshold for the first time on or
before March 31 of a given year must comply with
the company-run stress test requirements beginning Exemptions
January 1 of the following year, unless that time is
extended by the OCC in writing. Similarly, a Institutions that do not meet the reporting criteria
listed above are exempt from reporting.
1

Covered institutions are national banks and federal
savings associations with consolidated assets exceeding
$10 billion.

Shifts in Reporting
If an institution filing the report reaches total

2

consolidated assets of $50 billion or more in any
calendar year, as defined by the stress testing final
rule (12 CFR 225.8), it will be required to submit
the DFAST-14A stress testing report to the OCC in
the next calendar year.

Where to Submit the Report

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

Organization of the Report

The agencies’ close collaboration in developing a
streamlined and simplified DFA stress test
regulatory report will facilitate a uniform electronic
collection process for all companies. All companies
should submit their completed reports electronically
through Reporting Central, the Federal Reserve’s
electronic reports submission application. Reporting
Central is a central point of entry for Federal
Reserve, FFIEC, and Treasury Department for
certain electronic reports submission and file
uploads, and is a system many institutions already
use for other regulatory reports. Per each agency’s
final stress test rules, each primary federal regulator
will have access to their respective institutions’
submissions.
For general Reporting Central procedures and
information, institutions should contact the OCC or
go
to
www.frbservices.org/centralbank/reportingcentral/
index.html. For instructions on how to create and
submit the OCC DFAST 10-50 report, institutions can
access the link below.
https://www.frbservices.org/files/reporting/pdf/fry16
_fdic_dfast_transfer_guide.pdf
All institutions must submit the qualitative
supporting information in Adobe Acrobat PDF
format. For requirements regarding the submission
of these items, see Appendix A of these instructions.

When to Submit the Report
The OCC DFAST 10-50 report is required to reflect
financials as of December 31 and to be submitted
by the close of business July 31 of each calendar
year, unless that time is extended by the OCC in
writing. Close of business is defined as 5:00 P.M.,
local time. The term “submission date” is defined
as the date by which the OCC must receive the
institution’s OCC DFAST 10-50 report.

3

General Information
The annual company-run DFA stress test will cover
a nine-quarter planning horizon beginning on the
first day of a stress test cycle (on January 1) and use
financial information as of December 31 of a
reporting year (for a total of ten quarters of
information reported). Institutions will report on the
OCC DFAST 10-50 their quantitative projections
of losses, resources available to absorb those losses,
balance sheet positions and capital composition on
a quarterly basis over the duration of the scenarios
and planning horizon. The OCC will provide details
about the macroeconomic scenarios to institutions.
The OCC DFAST 10-50 report is organized into
the following sections:
A. Scenario Variables Schedule
B. Results Schedule
a.
Summary Schedule
b.
Baseline Scenario
i. Income Statement
ii. Balance Sheet Statement
c.
Adverse Scenario
i. Income Statement
ii. Balance Sheet Statement
d.
Severely Adverse Scenario
i. Income Statement
ii. Balance Sheet Statement
C. Appendix A - Qualitative Supporting
Information
In addition to the projections collected on the
OCC DFAST 10-50 report, institutions are also
required to submit summary qualitative
information supporting their projections. The
report of the results of the stress test must include,
under the baseline, adverse, and severely adverse
scenarios: a description of the types of risks

included in the stress test, a summary description
of the methodologies used in the stress test, an
explanation of the most significant causes for the
changes in regulatory capital ratios, and the use of
the stress test results. Please see Appendix A for
more details.

E. Technical Details
The following instructions apply generally to the
OCC DFAST 10-50 report, unless otherwise
specified.

How to Prepare the Reports
A.

Applicability of U.S. GAAP

Institutions are required to prepare and file the
OCC DFAST 10-50 schedules in accordance with
U.S. generally accepted accounting principles
(GAAP) and these instructions. The financial
records of the institutions should be maintained in
such a manner and scope to ensure the OCC
DFAST 10-50 report is prepared in accordance with
these instructions and reflects a fair presentation of
the institutions’ financial condition and assessment
of performance under stressed scenarios.
B. Rules of Consolidation
Respondents should reference the Call Report for
general instructions on the rules of consolidation.
Unless otherwise noted, items map directly to the
respondent’s Call Report for the actual quarterly
data provided for December 31 of the reporting
year while all remaining quarterly data over the
nine-quarter horizon are based on the institution’s
quarterly projections.
C. Projections
The report includes one quarter of actual data
followed by nine quarters of projected data. The
“planning horizon” refers to the nine quarters of
projected data, starting with the first quarter
following the actual data, which would be the first
quarter of the following year, or March 31st.
Column headings will refer to each corresponding
quarter.

a. Report income and loss data on a quarterly basis
and not on a cumulative or year-to-date basis.
b. Ensure that any internal consistency checks are
complete prior to submission.
c. An amount or zero should generally be entered
for all items, except in those cases where other
options such as “not available” or “other” are
specified. If information is not available or not
applicable and no such options are offered, the
field should be left blank.
d. MDRM codes and formulas are provided in the
"FFIEC 031 or 041 Call Report Item" column
for most line items. Definitions in the Call
Report for those items should be used.
F. Rounding
All dollar amounts must be reported in thousands,
with the figures rounded to the nearest thousand.
Rounding could result in details not adding to
their stated totals. However, to ensure consistent
reporting, the rounded detail items should be
adjusted so that the totals and the sums of their
components are identical.
G. Negative Entries
Negative entries are generally not appropriate on
the OCC DFAST 10-50 balance sheet and should
not be reported. Hence, assets with credit balances
must be reported in liability items and liabilities
with debit balances must be reported in asset
items, as appropriate, and in accordance with
these instructions. When negative entries do occur
in one or more of these items, they should be
recorded with a minus (-) sign rather than in
parentheses.
H. Confidentiality

D. Order of Precedence
If there is a conflict in guidance, institutions should
first use the information contained in these
instructions and then the instructions available in
the latest Call Report.

4

As these data will be collected as part of the
supervisory process, they are subject to
confidential treatment under exemption 8 of the
Freedom of Information Act (5 U.S.C. 552(b)(8)).
In addition, the information contained in this
report may be exempt from disclosure under

Exemption 4. 5 U.S.C. 552(b)(4). Disclosure
determinations would be made on a case-by-case
basis.
I.

Amended Reports

When the OCC’s interpretation of how GAAP or
these instructions should be applied to a specified
event or transaction (or series of related events or
transactions) differs from the reporting institution’s
interpretation, the OCC may require the institution
to reflect the event(s) or transaction(s) in its OCC
DFAST 10-50 report in accordance with the OCC’s
interpretation and to amend previously submitted
reports. The OCC will consider the materiality of
such event(s) or transaction(s) in making a
determination about requiring the institution to
apply the OCC’s interpretation and to amend
previously submitted reports. Materiality is a
qualitative characteristic of accounting information
which is defined in FASB Concepts No. 2 as ‘‘the
magnitude of an omission or misstatement of
accounting information that, in the light of
surrounding circumstances, make it probable that
the judgment of a reasonable person relying on the
information would have been changed or
influenced by the omission or misstatement.’’
The OCC may require the filing of an amended
OCC DFAST 10-50 report if previously submitted
reports contain significant errors. In addition, an
institution should file an amended report when
internal or external auditors make audit adjustments
that result in a restatement of financial statements
previously submitted to the OCC.
For further information regarding OCC DFAST 1050 amended reports, please see the Amended
Reports section in the general instructions of the
Call Report.
If resubmissions are required, institutions should
contact the OCC.

same level of consolidation as is required for the
OCC DFAST 10-50 report, the duplicate data items
do not need to be reported and may be left blank on
the OCC DFAST 10-50 report form. For
institutions, the data will be collected from the Call
Report. December 31 data for certain line items
does not map to existing MDRM codes in the Call
Report. As such, institutions will need to report the
actual 12/31 data for the following line items for
each scenario:



Income statement memoranda line items
26-31, 32-37, and 38-43 for all reporters.

K. Questions
Questions and requests for interpretations of
matters appearing in any part of these instructions
should be addressed to the OCC DFAST mailbox:
[email protected].

SCENARIO VARIABLES
SCHEDULE
To conduct the stress test required, an institution
m a y choose to project additional economic and
financial variables beyond the mandatory
scenarios provided to estimate losses or revenues
for some or all of its portfolios. The OCC expects
an institution to ensure that the paths of any
additional variables (including their timing) are
consistent with the general economic environment
assumed in the scenarios. If additional variables
are used, the institution must complete the
following information for each scenario where the
institution chose to use additional variables. The
following instructions provide guidance for
institutions that choose to use additional scenario
variables to report. The Scenarios Variables
Schedule should be reported in a data format (not
pdf) and submitted through the Reporting Central
application.

A. Scenario Variable Definitions

J. Data Items Automatically Retrieved from
Other Reports
The actual 12/31 data that is required to be
submitted in the OCC DFAST 10-50 report may
also be collected in other reports submitted to the
OCC. If the institution files the other reports at the

5

This schedule should be used to list and define the
variables used by an institution that chooses to go
beyond those variables defined in the mandatory
scenarios provided by the OCC.



The schedule provides space for the baseline
scenario, adverse scenario, and severely
adverse scenario.



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

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



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



The forecasts and historical data for all of the
additional scenario variables should be
constructed on the same basis. Thus, if a
variable is, over history, constructed as an
average, its forecast should be interpreted as an
average as well.
The following definitions and basis (i.e., period
average or period-end) of the financial market
variables were included in the 2015 mandatory
scenarios and are provided as an example for
institutions to describe any additional scenario
variables used in its stress test:2
o

o
o
o



U.S. 10-year Treasury yield: Quarterly
average of the yield on 10-year U.S.
Treasury bonds.
U.S. mortgage rate: Quarterly average of
weekly series of Freddie Mac data.
U.S. Dow Jones Total Stock Market Index:
End of quarter value, Dow Jones.
U.S. Market Volatility Index (VIX):
Chicago
Board
Options
Exchange
converted to quarterly by using the
maximum value in any quarter.

For convenience, the schedule provides space

2

See the following for more information on the 2015
scenarios:
http://www.occ.gov/tools -forms/forms/bankoperations/stress-test-reporting.html

6

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

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

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

B. All Scenarios


The Scenarios Variables Schedule should be
submitted when additional variables are used
beyond those provided by the regulators.



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



List quarterly values for the variables starting
with the last realized value (actual 12/31)
through the end of the planning horizon
(projected quarter one through nine).
Reporting Central does not allow variable
values with decimal places on the Scenario
Variable Schedule. For variables that are not
reported in thousands (such as ratios or rates)

the respondent should provide the unit of
measure in the Variable Definition field to
indicate the metrics of a given variable. For
example, if Interest Rate is the Variable Name,
the corresponding Variable Definition should
identify the metrics in which the data are
reported (basis points, 1 as 1%; and 554 as
5.54%, etc.).


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

The Scenario Variables Schedule should be
submitted in a data format (not pdf) through
the Reporting Central application.

Income Statement Schedule

C. DFA Stress Test Baseline Scenario
Respondents should report the values of any
additional variables generated for the DFA stress
test baseline scenario.

D. DFA Stress Test Adverse Scenario
Respondents should report the values of any
additional variables generated for the DFA stress
test adverse scenario.

E. DFA Stress Test Severely Adverse
Scenario
Respondents should report the values of any
additional variables generated for the DFA stress
test severely adverse scenario.

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

7

For the Income Statement schedule, MDRM codes
corresponding to the related Call Report line items
are provided for many of the line items.
Differences between the FFIEC 031 and FFIEC
041 are noted; otherwise, assume that they are the
same. Respondents should report income and loss
data on a quarterly basis and not on a cumulative or
year-to-date basis. When applicable, the definitions
of the institution’s projections should map
to
the
definitions
outlined
by
the
corresponding MDRM code within the Call Report.
The institution should include income or losses tied
to the relevant balances reported on the Balance
Sheet Schedule.

General Instructions
This schedule collects various income statement
items similar to items found on Schedules RI, RIA, and RI-B on the Call Report. Net charge-offs on
this schedule is defined as gross charge-offs less
recoveries for the various line items. As stated in
the Call Report instructions, institutions should also
include write-downs to fair values on loans (and
leases) transferred to the held-for-sale account
during the calendar year-to-date that occurred when
(1) the institution decided to sell loans that were not
originated or otherwise acquired with the intent to
sell and (2) the fair value of those loans had
declined for any reason other than a change in the
general market level of interest or foreign exchange
rates.
For those institutions required to establish and
maintain an allocated transfer risk reserve, as
specified in Section 905(a) of the International
Lending Supervision Act of 1983, in the agency
regulations implementing the Act (12 CFR part 28,
Subpart C), and in any guidelines or instructions
issued by the OCC, columns A and B of part I of

schedule RI-B include loans and leases charged off
against and amounts recovered, respectively,
through the allocated transfer risk reserve. These
instructions should be read in conjunction with the
instructions for schedule RI-B and the glossary
entries for “allowance for loan and lease losses”
and “domicile” in the Call Report instructions.
Line item 1 First lien mortgages (net chargeoffs):

Line item 6 Other construction loans (net
charge-offs):
Report all other construction loans and all land
development and other land loans, as defined in the
Call Report, Schedule RI-B, item 1.a.(2).
Line item 7 Multifamily loans (net charge -offs):

Report all closed-end loans secured by first liens on
1–4 family residential properties, as defined in the
Call Report, Schedule RI-B, item 1.c.(2)(a).

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

Line item 2 Closed-end junior liens (net charge offs):

Line item 8 Non-farm, non-residential owner
occupied loans (net charge-offs):

Report all closed-end loans secured by junior liens
on 1–4 family residential properties, as defined in
the Call Report, Schedule RI-B, item 1.c.(2)(b).
Include loans secured by junior liens in this item
even if the institution also holds a loan secured by a
first lien on the same 1–4 family residential
property and there are no intervening junior liens.

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

Line item 3 Home equity lines of credit
(HELOCs) (net charge-offs):
Report all revolving, open-end loans in domestic
offices secured by 1–4 family residential properties
and extended under lines of credit, as defined in the
Call Report, Schedule RI-B, item 1.c.(1).
Line item 4 Commercial and industrial (C&I)
loans (net charge -offs):
Report all commercial and industrial loans, as
defined in the Call Report FFIEC 041, Schedule
RI-B, item 4 and FFIEC 031, Schedule RI-B, item
4.a, commercial and industrial loans to U.S.
addressees, and all commercial and industrial loans
to non-U.S. addressees, as defined in the FFIEC
031, Schedule RI-B, item 4.b.
Line item 5 1-4 family construction loans (net
charge-offs):

Line item 10 Credit cards (net charge -offs):
Report all extensions of credit under credit card
loans, as defined in the Call Report, Schedule RIB, item 5.a.
Line item 11 Automobile loans (net chargeoffs):
Report all automobile loans, as defined in Call
Report, Schedule RI-B, item 5.b.
Line item 12 Other consumer loans (net chargeoffs):
Report all other consumer loans, as defined in the
Call Report, Schedule RI-B, item 5.c.
Line item 13 All other loans and leases (net
charge-offs):

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

8

Report all other loans and leases that have not been
reported in the loan charge-off categories above

(line items 1-12).
Line item 14 Total loans and leases (net chargeoffs):
Report the sum of line items 1 through 13. It can
also be found on the Call Report, Schedule RI-B,
item 9).
Line item 15 Net interest income:
Report net interest income, as defined in the Call
Report, Schedule RI, item 3.

items, other adjustments, less the net income (loss)
attributable to non-controlling (minority) interests
[if net income of non-controlling interest is positive
subtract out and if there is a net loss, add back], and
any other items that are not either (i) reported
above line 22 or (ii) in taxes reported in item 23.
The amounts reported in line 22 comprise the
remaining portion of net income reported in line
24. Corresponding Call Report line items are
defined in Schedule RI, items 11 and 13.
Line item 23 Taxes:
Report the applicable income taxes, as defined in
the Call Report, Schedule RI, item 9.

Line item 16 Non-interest income:
Report non-interest income, as defined in the Call
Report, Schedule RI, item 5.m.

Line item 24 Net income:
Report the total of lines 18, 19, 20, 21, 22, and 23
using the following logic (item 18 - item 19 + item
20 + item 21 + item 22 – item 23). If this amount is
a net loss, report with a minus (-) sign. Report the
applicable net income, as defined in the Call
Report, Schedule RI, item 14.

Line item 17 Non-interest expense:
Report non-interest expense, as defined in the Call
Report, Schedule RI, item 7.e.
Line item 18 Pre-provision net revenue:

Memoranda items:
Report the sum of lines 15 and 16 above, less line
17.

Line item 25 Other than temporary impairment
(OTTI) losses:

Line item 19 Provision for loan and lease losses:
Report other than temporary impairment losses, as
defined in the Call Report, Schedule RI, Memo
item 14a.

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

Line items 26 through 43

Line item 20 Realized gains (losses) on HTM
securities:
Report the realized gain (losses) on held-tomaturity securities, as defined in the Call Report,
Schedule RI, item 6.a.

These line items should be used to list the
projected segment amounts of
non-interest
income, non-interest expense, and all other gains
(losses) that exceed 15% of each line item,
respectively.



Line item 21 Realized gains (losses) on AFS
securities:
Report the realized gain (losses) on available-forsale securities, as defined in the Call Report,
Schedule RI, item 6.b.
Line item 22 All other gains (losses):
Report all other gains (losses) from extraordinary

9

The measurement to determine if segments of
non-interest income, non-interest expense, and
all other gains (losses) are greater than 15
percent should be performed for the initial
period (actual as of 12/31) and amounts should
be reported for projected quarters one through
nine if a category is greater than 15 percent as
of the actual 12/31 period (even if the value of
the category item decreases to less than 15

percent in the projected periods).

Balance Sheet Schedule



These line items must be completed for each
scenario if a segment of non-interest income,
non-interest expense, and all other gains
(losses) are greater than 15 percent as of the
actual 12/31 period.



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



List the quarterly values for the segments
starting with the last realized value (actual
12/31) through the end of the planning horizon
(projected quarters one through nine).

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



Line items 1 through 15 Loans
For each scenario used, input the loan balance
projections in the various line items in this
schedule, net of any unearned income. Domestic
refers to portfolios in the domestic U.S. offices (as
defined in the Call Report), and International refers
to portfolios outside of the domestic U.S. offices.

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

Line items 26-31 Itemize and describe amounts
greater than 15 percent of non-interest income
(Line item 16):

Unlike the loan balances reported in the Call
Report Schedule RC-C, for this schedule separately
report the loans covered by loss-sharing
agreements with the FDIC (line 14). 3

List and describe specific segments of non-interest
income that exceed 15 percent of “total noninterest income” line item 16 as of the actual 12/31
period.

Line item 1 First lien mortgages:

Line items 32-37 Itemize and describe amounts
greater than 15 percent of non-interest expense
(Line item 17):
List and describe specific segments of non-interest
expense that exceed 15 percent of “total noninterest expense” line item 17 as of the actual 12/31
period.
Line items 38-43 Itemize and describe amounts
greater than 15 percent of all othe r gains
(losses) (Line item 22):
List and describe specific segments of all other
gains (losses) that exceed 15 percent of “all other
gains/losses” line item 22 as of the actual 12/31
period.

Report closed-end loans secured by first liens on
1-4 family residential properties held in domestic
offices, as defined in the Call Report, Schedule
RC-C, item 1.c.(2)(a), less relevant loans covered
by loss-sharing agreements with the FDIC
(Schedule RC-M, item 13.a.(1)(c)(2)(a)).
Line item 2 Closed-end junior liens:
Report closed-end loans secured by junior (i.e.,
other than first) liens on 1-4 family residential
properties held in domestic offices, as defined in
the Call Report, Schedule RC-C, item 1.c.(2)(b),
less relevant loans covered by loss-sharing
agreements with the FDIC (Schedule RC-M, item
13.a.(1)(c)(2)(b)).
3

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

10

Report loans secured by owner-occupied non-farm
non-residential properties held in domestic offices,
as defined in the Call Report, Schedule RC-C, item
1.e.(1), less relevant loans covered by loss- sharing
agreements with the FDIC (Schedule RC- M, item
13.a.(1)(e)(1)).

Line item 3 Home equity lines of credit:
(HELOCs)
Report the amount outstanding under revolving,
open-end lines of credit secured by 1-4 family
residential properties held in domestic offices, as
defined in the Call Report, Schedule RC-C, item
1.c.(1), less relevant loans covered by loss-sharing
agreements with the FDIC (Schedule RC-M, item
13.a.(1)(c)(1)).

Line item 9 Non-farm, non-residential other
loans:
Report non-farm non-residential real estate loans
that are not secured by owner-occupied non-farm
non-residential properties, held in domestic offices,
as defined in the Call Report, Schedule RC-C, item
1.e.(2), less relevant loans covered by loss-sharing
agreements with the FDIC (Schedule RC-M, item
13.a.(1)(e)(2)).

Line item 4 Commercial and industrial (C&I)
loans:
Report all commercial and industrial (C&I) loans,
as defined in the Call Report, Schedule RC-C,
item 4 (FFIEC 041) and items 4.a and 4.b (FFIEC
031), less relevant loans covered by loss-sharing
agreements with the FDIC (Schedule RC-M, item
13.a.(3)).

Line item 10 Credit cards:
Report all extensions of credit to individuals for
household, family, and other personal expenditures
arising from credit cards, held in domestic offices,
as defined in the Call Report, Schedule RC-C, item
6.a, less relevant loans covered by loss-sharing
agreements with the FDIC (Schedule RC-M, item
13.a.(4)(a)).

Line item 5 1-4 family construction loans:
Report loans secured by 1-4 family residential
construction loans held in domestic offices, as
defined in the Call Report, Schedule RC-C, item
1.a.(1), less relevant loans covered by loss-sharing
agreements with the FDIC (Schedule RC-M, item
13.a.(1)(a)(1)).

Line item 11 Automobile loans:

Line item 6 Other construction loans:
Report construction loans for purposes other than
constructing 1-4 family residential properties, land
development loans, and all other land loans held in
domestic offices, as defined in the Call Report,
Schedule RC-C, items 1.a.(2), less relevant loans
covered by loss-sharing agreements with the FDIC
(Schedule RC-M, item 13.a.(1)(a)(2)).
Line item 7 Multifamily loans:
Report loans secured by multifamily (5 or more)
residential properties held in domestic offices, as
defined in the Call Report, Schedule RC-C, item
1.d, less relevant loans covered by loss-sharing
agreements with the FDIC (Schedule RC-M, item
13.a.(1)(d)).
Line item 8 Non-farm, non-residential owneroccupied loans:

11

Report all auto loans held in domestic offices, as
defined in the Call Report, Schedule RC-C, item
6.c, less relevant loans covered by loss-sharing
agreements with the FDIC (Schedule RC-M, item
13.a.(4)(b)).
Line item 12 Other consumer loans:
Report all other consumer loans held in domestic
offices not reported in line items 10 or 11, as
defined in the Call Report, Schedule RC-C, items
6.b and 6.d, less relevant loans covered by losssharing agreements with the FDIC (Schedule RCM, item 13.a.(4)(c)).
Line item 13 All other loans and leases:
Report all other loans and leases that have not
already been reported in the loan categories in line
items 1 through 12, excluding loans covered by
FDIC loss-sharing agreements (reported in line
14).

Line item 14 Loans covered by FDIC losssharing agreements:

Line item 20 All other HTM securities:

Report all loans covered by loss-sharing
agreements with the FDIC, as defined in the Call
Report, Schedule RC-M items 13.a.(1)(a)(1)
through 13.a.(5).

Report all other securities that have not already
been reported in the securities categories in line
items 17 through 19, as defined in the Call Report,
Schedule RC-B items 5.b.(1), 5.b.(2), 5.b.(3), 6.a,
and 6.b.

Line item 15 Total loans and leases:

Line item 21 Total HTM securities:

Report the sum of items 1 through 14 above. This
is also defined in the Call Report, Schedule RC-C,
Part I, item 12.
Line item 16 Allowance for loan and lease
losses:

Report the sum of items 17 through 20 above. This
is also defined in the Call Report, Schedule RC,
item 2a and Schedule RC-B, item 8, Column A.
Line items 22 through 26 Securities: Availablefor-sale (AFS)

Report the allowance for loan and lease losses, as
defined in the Call Report, Schedule RC, item 4.c.

For line items 22 through 26, report the fair value
of available-for-sale securities, which corresponds
to securities reported in the Call Report, Schedule
RC-B, column D.

Line items 17 through 21 Securities: Held-tomaturity (HTM)
For line items 17 through 21, report the amortized
cost
of securities held-to-maturity, which
corresponds to securities reported in the Call
Report, Schedule RC-B, column A.
Line item 17 U.S. government obligations and
obligations of GSE:
Report securities issued by the U.S. Government
and by U.S. government agencies, as defined in the
Call Report, Schedule RC-B, items 1, 2.a, 2.b,
4.a.(1), 4.a.(2), 4.b.(1), 4.b.(2), 4.c.(1)(a), and
4.c.(2)(a).
Line item 18 Securities issued by states and
political subdivisions of the U.S.:
Report securities issued by the states and political
subdivisions of the U.S., as defined in the Call
Report, Schedule RC-B, item 3.
Line item 19 Non-agency MBS and ABS
securities:
Report all mortgage-backed and asset-backed
securities not guaranteed by the U.S. government or
issued by a state or political subdivision of the
U.S., as defined in the Call Report, Schedule RC- B
items 4.a.(3), 4.b.(3), 4.c.(1)(b), 4.c.(2)(b), and 5.a.

12

Line item 22 U.S. government obligations and
obligations of GSE:
Report securities issued by the U.S. Government
and by U.S. government agencies, as defined in
the Call Report, Schedule RC-B, items 1, 2.a, 2.b,
4.a.(1), 4.a.(2), 4.b.(1), 4.b.(2), 4.c.(1)(a), and
4.c.(2)(a).

Line item 23 Securities issued by states and
political subdivisions of the U.S.:
Report securities issued by the states and political
subdivisions of the U.S., as defined in the
Call Report, Schedule RC-B, item 3.
Line item 24 Non-agency MBS and ABS
securities:
Report all mortgage-backed and asset-backed
securities not guaranteed by the U.S. government
or issued by a state or political subdivision of the
U.S., as defined in the Call Report, Schedule RCB items 4.a.(3), 4.b.(3), 4.c.(1)(b), 4.c.(2)(b), and
5.a.
Line item 25 All other AFS securities:
Report all other securities that have not already

been reported in the securities categories in line
items 22 through 24, as defined in the Call Report,
Schedule RC-B items 5.b., 6, and 7

items M.1.c.(1), M.1.c.(2) and M.2.d for FFIEC
031 filers; Schedule RC, 14.a, 14.b, 16, Schedule
RC-E, items M.1.c.(1), M.1.c.(2) and M.2.d for
FFIEC 041 filers.

Line item 26 Total AFS securities:
Line item 34 Trading liabilities:
Report the sum of items 22 through 25 above.
This is also defined in the Call Report, Schedule
RC, item 2b and Schedule RC-B, item 8, Column
D.

Report all trading liabilities, as defined in the Call
Report, Schedule RC, item 15.
Line item 35 All other liabilities:

Line item 27 Trading assets:

Report all other liabilities, as item 36 less items 32,
33, and 34.

Report trading assets, as defined in the Call
Report, Schedule RC, item 5.

Institutions should take into account the projected
losses of unfunded loan commitments as they
develop projections for this line item. An
allowance for off-balance sheet credit exposures
should be recognized in this line item (and not part
of the ALLL).

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

Line item 36 Total liabilities:
Line item 29 Other real estate owned:
Report the net book value of all other real estate
owned (OREO), as defined in the Call Report,
Schedule RC, item 7.

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

Line item 30 All other assets:
Report all other assets that have not been reported
in line items 1 through 29 that comprise total
consolidated assets.

Report perpetual preferred stock and related
surplus, as defined in the Call Report, Schedule
RC, item 23.
Line item 38 Equity capital:

Line item 31 Total assets:
Report the sum of line items 15, 21, and 26 through
30 above, less line item 16 above. This is also
defined in the Call Report, Schedule RC, item 12.
Line item 32 Retail funding:
Report all retail funding deposits as defined in Call
Report, Schedule RC, item 13.a less Schedule RCE, Part I, items M.1.c.(1), M.1.c.(2) and M.2.d.

Report common stock (par value), as defined in
the Call Report, Schedule RC, item 24; surplus, as
defined in the Call Report, Schedule RC, item 25;
retained earnings, as defined in the Call Report,
Schedule RC, item 26.a; and other equity capital
components, as defined in the Call Report,
Schedule RC, item 26.b, 26.c, and 27.b.
Line item 39 Total equity capital:
Report total equity capital, as defined in the Call
Report, Schedule RC, item 28.

Line item 33 Wholesale funding:
Report all wholesale funding deposits as defined in
the Call Report, Schedule RC, items 13.b, 14.a,
14.b, Schedule RC-H, item 5, Schedule RC-E,

13

that “opt- in” of the requirement to include
components of AOCI adjustments (i.e. unrealized
holding gains and losses) in Common Equity Tier
1 Capital.

Balance Sheet Schedule: Capital Section
This section collects projections of components of
equity capital and regulatory capital, components
of assets and liabilities, and deferred tax asset
items. When applicable, the definitions of the
institution's projections should map to the
definitions outlined by the corresponding MDRM
code within the Call Report.

Opt-out Institutions: Report the net unrealized
gains (losses) on AFS securities, as defined in the
Call Report, Schedule RC-R, Part I, item 9.A. Per
Call Report instructions, this line item represents
the amount of net unrealized gains (losses) on
available-for-sale securities, net of applicable
taxes, that is included in Schedule RC, item 26.b,
“Accumulated other comprehensive income.

The projections should clearly show any proposed
capital actions or other scenario-dependent actions
that would affect the institution’s regulatory
capital, including any assumptions required under
the OCC’s final stress test rule.

Opt-in
Institutions:
Advanced
approaches
institutions that must “opt-in” and non-advanced
approaches institutions that decide to “opt-in” must
calculate the net unrealized holding gains (losses)
on AFS securities and report actual data for
Balance Sheet Statement line item 40. Line tem 40
will not be derived for AOCI opt-in institutions and
must be input manually.

An institution is required to calculate for each
quarter end within the planning horizon the
potential impact on its regulatory capital levels and
ratios incorporating the effects of any expected
capital actions over the planning horizon.
MDRM codes in this section reference both
Advanced
Approach
and
Non-Advanced
Approach MDRMs. As noted, institutions should
provide projections consistent with quarterly Call
Report filings. For example, if an institution is not
subject to an advanced approach capital
framework, reporting in this section will reflect
non-advanced approach MDRMs. It is expected
that this will be case for the majority of
organizations filing the $10-$50 form. Use of
advanced approach MDRMs may be utilized in the
atypical instance that an institution is part of a
larger company that is subject to the advanced
approach capital framework.

Line item 41 Deferred tax assets:
Report deferred tax assets, as defined in the Call
Report, Schedule RC-R, Part I, item 8. The
description of this line item in Part I of the RC-R is
“Deferred tax assets (DTAs) that arise from net
operating loss and tax credit carryforwards, net of
any related valuation allowances and net of DTLs”.
Line item 42 Common equity tier 1 capital
Report common equity tier 1 capital, as defined by
the revised regulatory capital rule and in the Call
Report, Schedule RC-R, Part I item 19

Line item 40 Unrealized gains (losses) on AFS
securities:

Line item 43 Tier 1 capital:
Report tier 1 capital, as defined in the Call Report,
Schedule RC-R, Part I, item 26.

Report unrealized gains (losses) on AFS securities,
as defined in the Call Report, Schedule RC-R, Part
I, item 9.a. Per the Call Report instructions, this
line item represents the amount of net unrealized
gains (losses) on available-for-sale securities, net
of applicable taxes, that is included in Schedule
RC,
item
26.b,
“Accumulated
other
comprehensive income”.

Line item 44 Allowance includible in Tier 2
capital:
Report allowance includible in tier 2 capital, as
defined in the Call Report, Schedule RC-R, Part I,
item 30.a.

Effective March 31, 2015, the reporting of net
unrealized gains (losses) on AFS securities will
differ for institutions that “opt-out” and for those

Line item 45 Tier 2 capital:

14

Report tier 2 capital, as defined in Call Report,
Schedule RC-R, Part I, item 34.a.

Line item 54 Sale, conversion, acquisition, or
retirement of capital stock:

Line item 46 Total capital:

Report sale, conversion, acquisition, or retirement
of capital stock , as defined in the Call Report,
Schedule RI-A, items 5 and 6. Report this item on
a quarterly basis and not on a cumulative or yearto-date basis.

Report total capital, as defined in the Call Report,
Schedule RC-R, Part I, item 35.a. The description
of this item in Part I.A of Schedule RC-R is
“Total Risk-Based Capital” and the description of
this line item in Part I of the Schedule RC-R is
“Total Capital”.

Line item 55 Cash dividends declared on
preferred stock:

Line item 47 Total bank equity capital:
Report total bank equity capital as defined in the
Call Report, Schedule RC, item 27.a.

Report cash dividends declared on preferred stock,
as defined in the Call Report, Schedule RI-A, item
8. Report this item on a quarterly basis and not
on a cumulative or year-to-date basis.
Line item 56 Cash dividends declared on
common stock:

Line item 48 Risk-weighted assets:
Report risk-weighted assets, as defined in the Call
Report, Schedule RC-R, Part II, item 31 and Part I,
item 40.a.
Line item 49 Total assets for leverage purposes:

Report cash dividends declared on common stock,
as defined in the Call Report, Schedule RI-A, item
9. Report this item on a quarterly basis and not
on a cumulative or year-to-date basis.

Report total assets for leverage purposes, as
defined in the Call Report, Schedule RC-R Part I,
item 39.

APPENDIX A: QUALITATIVE
SUPPORTING INFORMATION

Line item 50 Common equity tier 1 risk-based
capital ratio

Each institution is required under the DFA final
stress test rule to submit a summary of the
qualitative information supporting its projections.
Supporting information should include sufficient
information to inform a third party of an
institution’s general approach and assumptions, but
remain summary in nature. Institutions should
provide appropriate references to internal
documents that provide more detail and support for
the items to be discussed in the submission, such as
detail that supports model documentation. Such
references should be clearly identified for access to
such documents from on or offsite examination
staff. All institutions must submit the qualitative
supporting information in Adobe Acrobat PDF
format.

Report common equity tier 1 risk based capital
ratio, as defined in the Call Report, Schedule RC-R,
Part I item 41.
Line item 51 Tier 1 risk-based capital ratio:
Report tier 1 risk-based capital ratio as defined in
the Call Report, Schedule RC-R, Part I, item 42. .
Line item 52 Tier 1 leverage ratio:
Report tier 1 leverage ratio as defined in the Call
Report, Schedule RC-R, Part I, item 44.

The qualitative supporting information summary
file
should
be
titled
as
“ReportID_RSSD_SUMMARY_MMDDYY”.

Line item 53 Total risk-based capital ratio:
Report total risk-based capital ratio as defined
in the Call Report, Schedule RC-R, Part I, item 43.



15

The “ReportID” in the file name should be as
follows for the following respondents:

o
o
o


“FRY16” for BHCs, SLHCs, and SMBs
“OCCDFAST1050” for national banks
and savings banks
“FDICDFAST1050” for nonmember
banks and state savings banks

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

The “MMDDYY” should be the as-of date of the
stress test cycle (for example, 12/31/15for the 2016
stress test cycle).
The purpose of the summary document is to
provide an overview of the stress testing process as
required in the agencies' final stress test rules and is
repeated in Appendix A. Significant detailed
information, such as program language coding that
accompanies model estimations (for example, SAS
coding) should not be included in the summary
document. Detailed documents will be requested
and reviewed as part of the supervisory process.
Sections that should be addressed in the summary
document are listed below, as well as a description
of items that should be included.
1. Summary and Governance
Executive summary, general risk overview,
including a description of the risks used in the
stress test; summary reports describing the stress
testing process, senior management and board
roles; internal governance and
model risk
management practices; and any other items related
to the overall process. Each institution should
describe how senior management provided the
board of directors with sufficient information to
facilitate the board’s full understanding of the stress
testing used by the institution and allow for the
appropriate level of challenge of assumptions and
outcomes.
In addition, the following subsections (1.A through
1.D) should be included as part of the summary and
governance section:
A. Description of the Types of Risks included in
the Stress Test
For each part of the Results Schedule and the
Scenario Variables Schedule, each institution
should submit supporting qualitative information

16

that clearly describes the types of risks and
exposures captured in the stress test scenarios for all
lines of business and activities. This includes
information about risks that may threaten or
adversely affect the institution’s capital position
through increased losses, reduced revenues, and
changes in the balance sheet or risk-weighted
assets. The information should discuss the extent to
which risks are wholly or only partially covered by
the stress tests (for example, if not all aspects of
interest rate risk are captured by the tests with the
given scenarios provided).
B. Summary Description of the Methodologies
used in the Stress Test
For each part of the Results Schedule and the
Scenario Variables Schedule, the institution should
submit supporting information that clearly
describes the methodology used to produce the
projections. Each institution should include a
summary description of how it translated the
macroeconomic and financial variables from the
scenarios into its projections and technical details
of any underlying statistical methods used.
Information should be provided for all elements of
the stress tests, including loss estimation, revenue
estimation, projections of the balance sheet and
risk-weighted assets, and capital levels and ratios.
Where judgment is an essential part of the
projection, each institution should describe the
rationale and magnitude, as well as the process
involved to ensure consistency of projections with
scenario conditions. Furthermore, the institution
should include a thorough discussion of any
material deviations from these instructions and how
they decided upon the materiality of such
deviations.
Discussion of methodologies should be consistent
with expectations in existing supervisory guidance
on stress testing issued by the agencies. In
particular, the institution should provide a
summary of the design, theory, and logic
underlying the methodologies used.
If third-party models are used, an institution should
provide summary information about those models,
including model design, key assumptions, known
limitations, and implementation and execution.

with scenario conditions.
Each institution should provide credible support for
all key assumptions used to derive loss and revenue
estimates, including assumptions related to the
components of loss, severity of loss, drivers of
revenue, and any known weaknesses in the
translation of assumptions into loss and revenue
estimates. Each institution should demonstrate that
these assumptions are clearly conditioned on the
stated macroeconomic and financial scenarios and
are consistent with stated business strategies
including but not limited to mergers, acquisitions,
or divestitures of business lines or entities and
changes in strategic direction. If the institution's
models rely upon historical relationships, describe
the historical data used and clearly describe why
these relationships are expected to be maintained in
each scenario. The impact of assumptions
concerning new growth or changes to credit policy
on forecasted loss estimates relative to historical
performance should be clearly explained.
Institutions should provide summary information
on the specific assumptions used to calculate
regulatory capital, including a discussion of any
proposed capital distributions. When appropriate,
clearly state assumptions related to the corporate
tax rate and the projection of the deferred tax
assets. In situations where the institution chose not
to project components of the balance sheet, those
components should be held constant at the last
current level and the institution should explain why
the held constant assumption is appropriate in the
given scenario.
Each institution should submit any other summary
information and documentation necessary to
support or explain its capital calculations. For
example, an institution could show the calculations
related to the projections of the deferred tax asset
for regulatory capital purposes.
While judgment is an essential part of risk
measurement and risk management, including loss
forecasting, institutions should not be over- reliant
on judgment to prepare their loss estimations
without providing documentation or evidence of
transparency and discipline around the process.
Each institution should provide support for any
judgment applied or qualitative adjustments made
and explain how they are appropriate and in line

C.
Explanation of the Most Significant Causes
for the Changes in Regulatory Capital Ratios
For each part of the Results Schedule and the
Scenario Variables Schedule, each institution
should provide a clear explanation of the changes
in regulatory capital ratios from the stress test
scenarios over the planning horizon. For instance,
an institution may indicate that a major component
of the reduction in regulatory capital ratios resulted
from deterioration in the quality of its retail credit
exposures over the planning horizon. The
explanation should take into account the risks
identified and describe the changes in capital by
material income statement and balance sheet
statement line items affected by the stress test
scenario.
D. Use of Stress Test Results
Institutions should provide summary information
as to how they use these stress test results in the
normal course of business, including in the capital
planning, assessment of capital adequacy, and risk
management practices of the institution. This
summary should describe the manner in which the
stress test is used for key decisions about capital
adequacy, including capital actions and capital
contingency plans. The institution should indicate
the extent to which this stress test is used in
conjunction with other capital assessment tools,
especially if the stress test may not necessarily
capture an institution’s full range of risks,
exposures, activities, and vulnerabilities that have
the potential to affect capital adequacy. In addition,
an institution should include summary information
as to how post-stress capital results remain aligned
with its internal capital goals. The institution
should mention any cases in which post-stress
capital results are not aligned with its internal
capital goals, and describe options that senior
management and the board would consider to bring
them into alignment.
2. Scenarios
Summary of methodology, models, and validation
activities related to the process used to translate
macro variables, including the use of additional
scenario variables, if applicable. If additional
scenario variables are used beyond the scenario

17

variables provided by the agencies, each respondent
should complete the scenario variables schedule as
previously indicated in the reporting instructions.
In addition, each institution should include
summary information supporting any additional
scenario variables used to conduct the DFA stress
tests. The information should detail the rationale
behind including additional scenario variables and
the process for projecting additional variables,
including the linkage with the macroeconomic and
financial scenarios provided by the OCC.
3. Capital
Summary of methodology, models, and validation
activities related to assumptions and calculations
used to calculate regulatory capital, explanations of
proposed capital actions, options to maintain
internally established capital goals on a post-stress
basis, and an explanation of causes for changes in
regulatory capital ratios. This information should
support the Balance Sheet Schedule line items 40 to
53.

Summary of methodology, models, and validation
activities related to balance sheet estimation, such
as loan balances. This information should support
Balance Sheet Schedule line items 1 to 39.
The summary qualitative supporting information
should not include embedded files and should be
submitted in Adobe Acrobat PDF format. The file
size limit is 50 MB. If the file needs to be split up
into smaller files, the combined file size limit is 200
MB. When submitting multiple files in order to
meet the file size limit, the file name should
indicate the content of files submitted using the
seven qualitative supporting information summary
categories discussed above.
Example 1:
“ReportID_RSSD_SUMMARY_SUMMARY_
AND_GOVERNANCE_TO_CAPITAL_MMD
DYY” and
“ReportID_RSSD_SUMMARY_LOANS_TO_
BALANCE SHEET_MMDDYY”;

4. Loans

Example 2:

Summary of methodology, models, and validation
activities related to each loan portfolio reported in
total loans and leases, including the associated
ALLL. This information should support Balance
Sheet Schedule line items 1 to 16 and Income
Statement Schedule line items 1 to 14.

“ReportID_RSSD_SUMMARY_SUMMARY_
AND_GOVERNANCE_TO_CAPITAL_MMD
DYY” and
“ReportID_RSSD_SUMMARY_LOANS_MM
DDYY” and
“ReportID_RSSD_SUMMARY_SECURITIES
_MMDDYY” and
“ReportID_RSSD_SUMMARY_PREPROVISION_NET_REVENUE_AND_BALA
NCE SHEET_MMDDYY”.

5. Securities
Summary of methodology, models, and validation
activities related to projections of HTM and AFS
security balances, unrealized losses, and OTTI.
This information should support Balance Sheet
Schedule line items 17 to 26 and Income Statement
Schedule line items 20 to 22 and 25.
6. Pre-provision Net Revenue
Summary of methodology, models, and validation
activities related to estimates of net interest income,
margins, fees, funding costs and related items. This
information should support Income Statement
Schedule line items 15 to 18.
7. Balance Sheet

18