Bank Holding Companies and Savings and Loan Holding Companies

Regulatory Capital Reporting for Institutions Subject to the Advanced Capital Adequacy Framework

FFIEC101_201606_i

Bank Holding Companies and Savings and Loan Holding Companies

OMB: 7100-0319

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FFIEC 101

Reporting Instructions for Schedules A through S

FFIEC 101

Effective June 2016

FFIEC 101

CONTENTS

INSTRUCTIONS FOR PREPARATION OF
FFIEC 101 – Regulatory Capital Reporting for Institutions
Subject to the Advanced Capital Adequacy Framework
TABLE OF CONTENTS
General Instructions
Schedule A: Advanced Approaches Regulatory Capital
Schedule B: Summary Risk-Weighted Asset Information for Banks Approved to Use
Advanced Internal Ratings-Based and Advanced Measurement Approaches for Regulatory
Capital Purposes
Schedule C: Wholesale Exposure - Corporate
Schedule D: Wholesale Exposure – Bank
Schedule E: Wholesale Exposure – Sovereign
Schedule F: Wholesale Exposure – IPRE
Schedule G: Wholesale Exposure – HVCRE
Schedule H: Wholesale Exposure – Eligible Margin Loans, Repo-Style Transactions and
OTC Derivatives (With Cross-Product Netting)
Schedule I: Wholesale Exposure – Eligible Margin Loans, Repo-Style Transactions (No
Cross-Product Netting)
Schedule J: Wholesale Exposure – OTC Derivatives (No Cross-Product Netting)
Schedule K: Retail Exposure – Residential Mortgage – Closed-end First Lien Exposures
Schedule L: Retail Exposure – Residential Mortgage – Closed-end Junior Lien Exposures
Schedule M: Retail Exposure – Residential Mortgage – Revolving Exposures
Schedule N: Retail Exposure – Qualifying Revolving Exposures
Schedule O: Retail Exposure – Other Retail Exposures

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TABLE OF CONTENTS (Continued)
Schedule P: Securitization Exposures
Schedule Q: Cleared Transactions
Schedule R: Equity Exposures
Schedule S: Operational Risk

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GENERAL INSTRUCTIONS
Who Must Report
A. Scope and Reporting Criteria
An institution (that is a bank, savings association, bank holding company, or savings and loan holding
company) must apply the advanced approaches risk-based capital rule 1 if the institution:
(i)
(ii)

(iii)

(iv)
(v)

Has consolidated total assets (excluding assets held by an insurance underwriting subsidiary) on
its most recent year-end regulatory report equal to $250 billion or more;
Has consolidated total on-balance sheet foreign exposure on its most recent year-end regulatory
report equal to $10 billion or more (excluding exposures held by an insurance underwriting
subsidiary);
Is a subsidiary of a depository institution that uses the advanced approaches pursuant to subpart E
of 12 CFR part 3 (OCC), 12 CFR part 217 (Board), or 12 CFR part 324 (FDIC) to calculate its
total risk-weighted assets;
Is a subsidiary of a bank holding company or savings and loan holding company that uses the
advanced approaches pursuant to 12 CFR part 217 to calculate its total risk-weighted assets; or
Elects to use the advanced approaches to calculate its total risk-weighted assets.

An institution meeting any of the above criteria (the first four of which are the threshold criteria) must
submit an FFIEC 101 report in accordance with the timing requirements discussed in Section B of these
General Instructions. For purposes of this report, the advanced approaches risk-based capital rule is
referred to as the “advanced approaches rule” throughout these instructions.2
An institution that is subject to the advanced approaches rule remains subject to the rule unless its primary
federal supervisor determines in writing that application of the rule is not appropriate in light of the
institution’s asset size, level of complexity, risk profile, or scope of operations.
B. FFIEC 101 Reporting Requirements
The institutions specified in Section A above must begin reporting on the FFIEC 101, Schedule A, except
for a few specific line items, at the end of the quarter after the quarter in which the institution triggers one
of the threshold criteria for applying the advanced approaches rule or elects to use the advanced
approaches rule (an opt-in institution), 3 and must begin reporting data on the remaining schedules of the
FFIEC 101 at the end of the first quarter in which they have begun their parallel run period. (See Section
K of these General Instructions for further information on confidentiality.) All institutions specified in
Section A will continue to file the regulatory capital schedule in the Call Report or FR Y-9C, as
appropriate, as well as the FFIEC 101.

See the advanced approaches risk-based capital rule: 12 CFR part 3, subpart E (OCC); 12 CFR part 217, subpart E
(Board); and 12 CFR part 324, subpart E (FDIC).
2
See footnote 1.
3
An institution is deemed to have elected to use the advanced approaches rule on the date that its primary federal
supervisor receives from the institution a board-approved implementation plan pursuant to section 121(b)(2) of the
revised regulatory capital rules. After that date, in addition to being required to report on the FFIEC 101, Schedule
A, the institution may no longer apply the AOCI opt-out election in section 22(b)(2) of the revised regulatory capital
rules and it becomes subject to the supplementary leverage ratio in section 10(c)(4) of the revised regulatory capital
rules and its associated transition provisions.

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Consistent with section 100 of the advanced approaches rule, an institution identified in Section A above
remains subject to the FFIEC 101 reporting requirements until the institution is no longer subject to the
rule as described in Section A.

What Must Be Reported
C. Reporting Schedules and Instructions
The information contained in the attached reporting schedules must be completed in accordance with the
instructions accompanying these schedules. The schedules and instructions are collectively referred to as
the FFIEC 101.
D. Organization of the Instructions
These instructions cover the FFIEC 101 report schedules. They are divided into the following sections:
(1) The General Instructions that describe overall reporting requirements.
(2) Line item instructions for each schedule of the FFIEC 101.
The instructions and definitions in (1) and (2) are not necessarily self-contained; reference to the
advanced approaches rule may be needed for more detailed definitions and regulatory capital treatments.

Where to Submit the Reports
E. Electronic Submission
All reporting institutions must submit their completed reports electronically using the Federal Reserve’s
Reporting Central application. Reporting institutions with questions about reporting via Reporting Central
should contact their Reporting and Reserves District Contact
(https://www.frbservices.org/contacts/index.jsp#RR). Each institution is responsible for ensuring that the
data reported each quarter reflects fully and accurately the line item reporting requirements for that report
date, including any changes that may be made from time to time. This responsibility cannot be
transferred or delegated to software vendors, servicers, or others outside the reporting entity.
F. Frequency of Reporting
Each reporting institution must submit a report as of the end of each quarter on a calendar year basis. The
“as-of” date for each reporting period is March 31, June 30, September 30, and December 31 of each
calendar year.
G. When to Submit the Reports
For report dates before a reporting institution has completed its parallel run period, the information
required to be reported in its FFIEC 101 must be submitted electronically via Reporting Central within 60
days after the as-of date of the report. That is, the March 31 report must be submitted by May 30, the
June 30 report is due by August 29, the September 30 report is due by November 29, and the December
31 report is due by March 1 (or February 29 if a leap year) of the subsequent year. Before the completion
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of a reporting institution’s parallel run period, if the submission deadline falls on a weekend or holiday,
the report must be received on the first business day after the Saturday, Sunday, or holiday.
For report dates after a reporting institution has completed its parallel run period, the submission date for
each FFIEC 101 report will be the same as the submission date for the reporting institution’s Call Report
or FR Y-9C, as appropriate.
The report is due by the end of the reporting day on the submission date (5:00 P.M.).
H. Preparation of the Reports
Each reporting institution must prepare and file the FFIEC 101 report in accordance with the instructions
provided. All reports must be prepared in a consistent manner.
Questions and requests for interpretations of matters appearing in any part of the instructions should be
addressed to the reporting entity’s primary federal supervisor. Regardless of whether a reporting entity
requests an interpretation of a matter appearing in these instructions, when the reporting entity’s primary
federal supervisor’s interpretation of the instructions differs from that of the reporting entity, the federal
supervisor may require the reporting entity to prepare its FFIEC 101 report in accordance with its
interpretation and may require amended filings for previously submitted reports.
I. Rounding
For reporting institutions with total assets of less than $10 billion, all dollar amounts must be reported in
thousands, with the figures rounded to the nearest thousand. Items less than $500 will be reported as zero.
For reporting institutions with total assets of $10 billion or more, all dollar amounts may be reported in
thousands, but each institution, at its option, may round the figures reported to the nearest million, with
zeroes reported for the thousands. For reporting institutions exercising this option, amounts less than
$500,000 will be reported as zero. When reporting numeric amounts, including dollar amounts, commas
should not be used to separate thousands, millions, and billions.
Report “weighted averages,” which may be numbers or percentages, rounded to two decimal places,
except as otherwise noted. Report capital ratios and buffers as percentages, rounded to four decimal
places.
J. Negative Entries
Except as indicated in the reporting instructions for specific reporting items, negative entries are generally
not appropriate in this report.
K. Confidentiality and Parallel Run
For report dates before a reporting institution has completed its parallel run period, Schedule A will be
available to the public, except for items 78 (total eligible credit reserves calculated under the advanced
approaches rules); 79 (amount of eligible credit reserves includable in tier 2 capital); 86 (expected credit
loss that exceeds eligible credit reserves); 87 (advanced approaches risk-weighted assets); 88 (common
equity tier 1 capital ratio calculated using the advanced approaches); 89 (additional tier 1 capital ratio
calculated using the advanced approaches); and 90 (total capital ratio using the advanced approaches). All
of the information reported in the other schedules of the FFIEC 101 will be confidential. In addition,
before the completion of its parallel run period, an institution must report a zero in item 12 (expected

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credit loss that exceeds eligible credit reserves) of Schedule A and must complete item 50 (eligible credit
reserves) and item 60 (total risk-weighted assets) of Schedule A by applying the standardized approach.
For report dates after a reporting institution has completed its parallel run period, all items reported in
Schedules A and B (except for Schedule B, items 31.a and 31.b, column D) and items 1 and 2 of Schedule
S will be available to the public. All other items reported in the FFIEC 101 will be confidential. In
addition, after the completion of its parallel run period, an institution must begin to complete item 12
(expected credit loss that exceeds eligible credit reserves), item 50 (eligible credit reserves), and item 60
(total risk-weighted assets) of Schedule A using the advanced approaches rule.
A reporting institution may request confidential treatment for some or all of the portions of the FFIEC
101 report that will be made available to the public if the institution is of the opinion that disclosure of
specific commercial or financial information in the report would likely result in substantial harm to its
competitive position, or that disclosure of the submitted information would result in an unwarranted
invasion of personal privacy. In certain limited circumstances, the reporting institution’s primary federal
supervisor may approve confidential treatment of some or all of the items for which such treatment has
been requested if the institution has clearly provided a compelling justification for the request. A request
for confidential treatment must be submitted in writing prior to the electronic submission of the report.
The written request must identify the specific items for which confidential treatment is requested, provide
justification for the confidential treatment requested for the identified items, and demonstrate the specific
nature of the harm that would result from public release of the information. Merely stating that
competitive harm would result or that information is personal is not sufficient. Information for which
confidential treatment is requested may subsequently be released by the reporting institution’s primary
federal supervisors if it determines that the disclosure of such information is in the public interest.
L. Verification and Signatures
Verification. All entries should be double-checked before reports are submitted. Totals and subtotals
should be cross-checked against the corresponding line items which they tabulate and any relevant
supporting materials.
Signatures. The report must be signed by a senior officer of the reporting entity who can attest that the
risk estimates and other information submitted in this report meet the requirements set forth in the
advanced approaches rule and the reporting instructions for this report. The senior officer may be the
chief financial officer, the chief risk officer, or equivalent senior officer. The cover page of this report
form should be used to fulfill the signature and attestation requirement and should be attached to the
printout of the completed FFIEC 101 report placed in the reporting institution’s files.
M. Amended Reports
The agencies may require the filing of amended reports if reports as previously submitted contain
significant errors. In addition, a reporting institution must file an amended report when it discovers
significant errors or omissions subsequent to submission of a report. Failure to file amended reports on a
timely basis may subject the institution to supervisory action.
N. Retention of Reports
In general, a reporting entity should maintain in its files a signed and attested record of its completed
FFIEC 101 report, including any amended reports, and the related work papers and supporting
documentation for five years after the report date, unless there are applicable state requirements that
mandate a longer retention time.
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O. Consolidation
Exposure amounts and risk weighted asset amounts should be reported on a consolidated basis using the
same consolidation rules applied to the reporting institution’s Call Report or FR Y-9C, as appropriate.

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FFIEC 101

SCHEDULE A

Schedule A – Advanced Approaches Regulatory Capital
General Instructions
Information collected on this FFIEC 101 Schedule A will be publicly available for reports filed after an
advanced approaches institution conducts a satisfactory parallel run. While the institution conducts its
parallel run, the information collected on this schedule will be publicly available, except for line items 78,
79, as well as items 86 through 90.
The instructions below should be read in conjunction with the regulatory capital rules issued by the
reporting institution’s primary federal supervisor, as well as the reporting instructions for the Call Report,
Schedule RC-R, or the FR Y-9C, Schedule HC-R. References to Schedule RC-R and Schedule HC-R item
numbers in the instructions for this Schedule A are to items in Part 1, not to items in Part II, of Schedule
RC-R and Schedule HC-R.

Item Instructions
Item No.

Caption and Instructions

Common Equity Tier 1 Capital
1

Common stock plus related surplus, net of treasury stock. Report the amount of the
institution’s common stock plus related surplus, net of treasury stock, as reported in Schedule RC-R
of the Call Report or Schedule HC-R of the FR Y-9C, item 1.
Retained earnings. Report the amount of the institution’s total retained earnings as reported in
Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C, item 2.

Accumulated other comprehensive income (AOCI). Report the amount of the institution’s
AOCI as reported in Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C, item 3.

Directly issued capital subject to phase out from common equity tier 1 capital. Not applicable:
do not complete this line item.

Common equity tier 1 minority interest includable in common equity tier 1 capital. Report the
amount of the institution’s common equity tier 1 minority interest includable in common equity tier
1 capital as reported in Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C, item
4.

Common equity tier 1 capital before regulatory deductions and adjustments. Report the sum
of items 1, 2, 3, and 5.

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Common equity tier 1 capital: adjustments and deductions
7

Prudential valuation adjustments. Not applicable: do not complete this line item.

Goodwill net of associated deferred tax liabilities (DTLs). Report the amount of the institution’s
goodwill net of associated DTLs as reported in Schedule RC-R of the Call Report or Schedule HC-R
of the FR Y-9C, item 6.

Other intangible assets, net of associated DTLs, other than goodwill and mortgage servicing
assets (MSAs). Report the amount of the institution’s intangible assets (other than goodwill and
MSAs), net of associated DTLs, as reported in Schedule RC-R of the Call Report or Schedule HC-R
of the FR Y-9C, item 7.

Deferred tax assets (DTAs) that arise from net operating loss and tax credit carryforwards,
net of any related valuation allowances and net of DTLs. Report the amount of the institution’s
DTAs that arise from net operating loss and tax credit carryforwards, net of any related valuation
allowances and net of DTLs, as reported in Schedule RC-R of the Call Report or Schedule HC-R of
the FR Y-9C, item 8.

Accumulated net gain or loss on cash-flow hedges included in AOCI, net of applicable income
taxes, that relate to the hedging of items that are not recognized at fair value on the balance
sheet (if a gain, report as a positive value; if a loss, report as a negative value). Report the
amount of the institution’s accumulated net gain or loss on cash-flow hedges included in AOCI, net
of applicable income taxes, that relate to the hedging of items that are not recognized at fair value
on the balance sheet as reported in Schedule RC-R of the Call Report or Schedule HC-R of the FR
Y-9C, item 9.f.

Expected credit loss that exceeds eligible credit reserves. Report the amount of expected credit
loss that exceeds the amount of eligible credit reserves as follows.
Before an institution either begins or completes its parallel run process, report zero in line item 12. If
an institution is in the parallel run process, also report expected credit loss that exceeds eligible
credit reserves in item 86.
When the institution completes its parallel run process, the amount of expected credit loss that
exceeds the amount of eligible credit reserves is reported in this line item, as well as included in
Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C, item 10.b.
Transition provisions: Follow the transition provisions described in Schedule RC-R of the Call
Report or Schedule HC-R of the FR Y-9C, item 8. As described in that item, a specified percentage
of the expected credit loss that exceeds eligible credit reserves will be deducted from common
equity tier 1 capital, while the balance is deducted from additional tier 1 capital during the transition
period.

Gain-on-sale associated with a securitization exposure. Report the amount of the institution’s
gain-on-sale associated with a securitization exposure as included in Schedule RC-R of the Call
Report or Schedule HC-R of the FR Y-9C, item 10.b.

Unrealized gain or loss related to changes in the fair value of liabilities that are due to changes
in own credit risk. Report the amount of the institution’s total unrealized gain or loss related to

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SCHEDULE A

changes in the fair value of liabilities that are due to changes in own credit risk as reported in
Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C, item 10.a.
15

Defined benefit pension fund assets, net of associated DTLs. Report the amount of the
institution’s defined benefit pension fund assets, net of associated DTLs, as included in Schedule
RC-R of the Call Report or Schedule HC-R of the FR Y-9C, item 10.b.

Investments in own shares to the extent not excluded above as part of treasury stock. Report
the amount of the institution’s investments in own shares to the extent not excluded as part of
treasury stock as included in Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C,
item 10.b.

Reciprocal cross-holdings in the common equity of financial institutions. Report the amount of
the institution’s reciprocal cross-holdings in the common equity of financial institutions as included
in Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C, item 10.b.
Institutions that are not holding companies must also include in this line the amount of equity
investments in financial subsidiaries that is included in Schedule RC-R of the Call Report, item
10.b.

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. Report
the amount of the institution’s 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 as reported in Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C,
item 11.

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. Report the amount of the institution’s 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 as reported in
Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C, item 13.

MSAs, net of associated DTLs, that exceed the 10 percent common equity tier 1 capital
deduction threshold. Report the amount of the institution’s MSAs net of associated DTLs that
exceed the 10 percent common equity tier 1 capital deduction threshold as reported in Schedule RCR of the Call Report or Schedule HC-R of the FR Y-9C, item 14.

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. Report the amount of the
institution’s total 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 as reported in Schedule RC-R of the Call
Report or Schedule HC-R of the FR Y-9C, item 15.

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Amount of significant investments in the capital of unconsolidated financial institutions in the
form of common stock, net of associated DTLs; MSAs, net of associated DTLs; and DTAs
arising from temporary differences that could not be realized through net operating loss
carrybacks, net of related valuation allowances and net of DTLs, that exceeds the 15 percent
common equity tier 1 capital deduction threshold. Report the amount of the institution’s total
amount of significant investments in the capital of unconsolidated financial institutions in the form
of common stock, net of associated DTLs; MSAs, net of associated DTLs; and DTAs arising from
temporary differences that could not be realized through net operating loss carrybacks, net of related
valuation allowances and net of associated DTLs, that exceeds the 15 percent common equity tier 1
capital deduction threshold as reported in Schedule RC-R of the Call Report or Schedule HC-R of
the FR Y-9C, item 16.

of which: significant investments in the capital of unconsolidated financial institutions in the
form of common stock, net of associated DTLs. Report the pro- rated amount of significant
investments in the capital of unconsolidated financial institutions in the form of common stock, net
of associated DTLs. An example of this calculation is provided in a worksheet calculation table,
step 7, in Schedule RC-R or Schedule HC-R, item 16.

of which: MSAs, net of associated DTLs. Report the pro-rated amount of MSAs, net of
associated DTLs. An example of this calculation is provided in a worksheet calculation table, step
7, in Schedule RC-R or Schedule HC-R, item 16.

of which: DTAs arising from temporary differences that could not be realized through net
operating loss carrybacks, net of related valuation allowances and net of DTLs. Report the
pro-rated amount of DTAs arising from temporary differences that could not be realized through net
operating loss carrybacks, net of related valuation allowances and net of DTLs. An example of this
calculation is provided in a worksheet calculation table, step 7, in Schedule RC-R or Schedule HCR, item 16.

National specific regulatory adjustments. Not applicable: do not complete this line item.

Deductions applied to common equity tier 1 capital due to insufficient amounts of additional
tier 1 capital and tier 2 capital to cover deductions. Report the amount of the institution’s total
deductions applied to common equity tier 1 capital due to insufficient amounts of additional tier 1
capital and tier 2 capital to cover deductions.
Before an institution either begins or completes its parallel run process, report the amount of the
institution’s deductions applied to common equity tier 1 capital due to insufficient amount
additional tier 1 capital and tier 2 capital to cover deductions as reported in Schedule RC-R of the
Call Report or Schedule HC-R of the FR Y-9C, item 17. In addition, if an institution is in the
parallel run process, adjust the calculation of the advanced approaches regulatory capital ratios in
Schedule A, items 88 through 90, using the advanced approaches rules to calculate deductions
applied to common equity tier 1 capital due to insufficient amounts of additional tier 1 capital and
tier 2 capital to cover deductions.
When the institution completes its parallel run process, report this item 27 using the advanced
approaches rule. As described in Schedule RC-R of the Call Report and Schedule HC-R of the FR
Y-9C, item 33, advanced approaches institutions with insufficient tier 2 capital for deductions will
make the following adjustments: an advanced approaches institution will make deductions on
Schedule RC-R or Schedule HC-R under the generally applicable rules that apply to all banking
organizations. It will use FFIEC 101 Schedule A, to calculate its capital requirements

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under the advanced approaches. Therefore, in the case of an advanced approaches institution with
insufficient tier 2 capital to make tier 2 deductions, it will use the corresponding deduction approach
and the generally applicable rules to take excess tier 2 deductions from additional tier 1 capital in
Schedule RC-R or Schedule HC-R, item 24, and if necessary from common equity tier 1 capital in
Schedule RC-R or Schedule HC-R, item 17. It will use the advanced approaches rules to take
deductions on the FFIEC 101 form to calculate advanced approaches regulatory capital ratios.
For example, assume tier 2 capital is $100 under the advanced approaches and $98 under the
generally applicable rules (due to the difference between the amount of eligible credit reserves
includable in tier 2 capital under the advanced approaches, and ALLL includable in tier 2 capital
under the standardized approach). If the required deduction from tier 2 capital is $110, then the
advanced approaches institution would add $10 to the required additional tier 1 capital deductions
(on FFIEC 101 Schedule A, line 42, and FFIEC 101 Schedule A, line 27, if necessary), and would
add $12 to its required additional tier 1 capital deductions for the calculation of the standardized
approach regulatory capital ratios in Schedule RC-R or Schedule HC-R, item 24, and Schedule RCR or Schedule HC-R, item 17, if necessary.
28

Total adjustments and deductions for common equity tier 1 capital. Report the sum of items 8
through 22, plus item 27.

Common equity tier 1 capital. Report item 6 less item 28.

Additional Tier 1 capital
30

Additional tier 1 capital instruments plus related surplus. Report the amount of the institution’s
total additional tier 1 capital instruments plus related surplus as reported in Schedule RC-R of the Call
Report or Schedule HC-R of the FR Y-9C, item 20.

of which: classified as equity under GAAP. Not applicable: do not complete this line item.

of which: classified as liabilities under GAAP. Not applicable: do not complete this line item.

Non-qualifying capital instruments subject to phase out from additional tier 1 capital. Report
the amount of the institution’s non-qualifying capital instruments subject to phase out from
additional tier 1 capital, as reported in Schedule RC-R of the Call Report or Schedule HC-R of the
FR Y-9C, item 21.

Tier 1 minority interest not included in common equity tier 1 capital. Report the amount of an
institution’s total tier 1 minority interest not included in common equity tier 1 capital as reported in
Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C, item 22.

of which: amount subject to phase out. Report the portion of the institution’s total tier 1 minority
interest not included in common equity tier 1 capital that is subject to phase out.

Additional tier 1 capital before deductions. Report the sum of items 30, 33, and 34.

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Additional tier 1 capital deductions
37

Investments in own additional tier 1 capital instruments. Report the amount of the institution’s
total investments in own additional tier 1 capital instruments as included in Schedule RC-R of the
Call Report or Schedule HC-R of the FR Y-9C, item 24.

Reciprocal cross-holdings in the additional tier 1 capital of financial institutions. Report the
amount of the institution’s total reciprocal cross-holdings in the additional tier 1 capital of financial
institutions as included in Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C,
item 24.

Non-significant investments in additional tier 1 capital of unconsolidated financial institutions
that exceed the 10 percent threshold for non-significant investments. Report the amount of the
institution’s total non-significant investments in additional tier 1 capital of unconsolidated financial
institutions that exceed the 10 percent threshold for non-significant investments as included in
Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C, item 24.

Significant investments in financial institutions not in the form of common stock to be
deducted from additional tier 1 capital. Report the amount of the institution’s total significant
investments in financial institutions not in the form of common stock to be deducted from
additional tier 1 capital as included in Schedule RC-R of the Call Report or Schedule HC-R of the
FR Y-9C, item 24.

Other deductions from additional tier 1 capital. Report the amount of the institution’s other
deductions from additional tier 1 capital as included in Schedule RC-R of the Call Report or
Schedule HC-R of the FR Y-9C, item 24 that are not included in items 37 through 40 of this
schedule.
Advanced approaches institutions with insurance underwriting activities: include 50 percent of the
amount equal to the regulatory capital requirement for insurance underwriting risks established by
the regulator of any insurance underwriting activities of the institution.

Deductions applied to additional tier 1 capital due to insufficient tier 2 capital to cover
deductions. Report the amount of the institution’s total deductions applied to additional tier 1
capital due to insufficient amount of tier 2 capital to cover deductions as described in item 27 of
this schedule A.

Total additional tier 1 capital deductions. Report the sum of items 37 through 42.

Additional tier 1 capital. Report the greater of item 36 less item 43 or zero.

Tier 1 capital
45

Tier 1 capital. Report the sum of items 29 and 44.

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Tier 2 capital
46

Tier 2 capital instruments plus related surplus. Report the amount of the institution’s total tier 2
capital instruments plus related surplus as reported in Schedule RC-R of the Call Report or
Schedule HC-R of the FR Y-9C, item 27.

Non-qualifying capital instruments subject to phase out from tier 2 capital. Report the amount
of the institution’s total non-qualifying capital instruments subject to phase out from tier 2 capital,
as reported in Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C, item 28.

Total capital minority interest that is not included in tier 1 capital. Report the amount of the
institution’s total capital minority interest not included in tier 1 capital as reported in Schedule RCR of the Call Report or Schedule HC-R of the FR Y-9C, item 29.

of which: instruments subject to phase out. Report the portion of the institution’s total capital
minority interest that is not included in tier 1 capital that is subject to phase out.

Eligible credit reserves includable in tier 2 capital. If the institution has completed its parallel
run process: If eligible credit reserves exceed total expected credit losses, then report the amount by
which eligible credit reserves exceed expected credit losses, up to a maximum amount of 0.60
percent of credit risk-weighted assets.
If the institution is in the parallel run process: Report the amount of the institution’s allowable
allowance for loan and leases losses includable in tier 2 capital, as reported in Schedule RC-R of the
Call Report or Schedule HC-R of the FR Y-9C, item 30.a. In addition, report eligible credit
reserves includable in tier 2 capital in this Schedule A, item 79. This amount is confidential while
the institution is in the parallel run process. Once the institution has completed its parallel run
process, the reported amount is publicly available on this schedule and on Schedule RC-R of the
Call Report or Schedule HC-R of the FR Y-9C, item 30.b.

Tier 2 capital before deductions. Report the sum of items 46, 47, 48, and 50, plus the amount
reported in Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C, item 31.

Tier 2 capital deductions
52

Investments in own tier 2 capital instruments. Report the amount of the institution’s total
investments in own tier 2 capital instruments as included in Schedule RC-R of the Call Report or
Schedule HC-R of the FR Y-9C, item 33.

Reciprocal cross-holdings in the tier 2 capital of unconsolidated financial institutions. Report
the amount of the institution’s total reciprocal cross-holdings in tier 2 capital of unconsolidated
financial institutions as included in Schedule RC-R of the Call Report or Schedule HC-R of the FR
Y-9C, item 33.

Non-significant investments in the tier 2 capital of unconsolidated financial institutions that
exceed the 10 percent threshold for non-significant investments. Report the amount of the
institution’s non-significant investments in the tier 2 capital of unconsolidated financial institutions
that exceed the 10 percent threshold for non-significant investments, as included in Schedule RC-R
of the Call Report or Schedule HC-R of the FR Y-9C, item 33.
FFIEC 101
A-7
SCHEDULE A
(9-14)

FFIEC 101

SCHEDULE A

Significant investments in financial institutions not in the form of common stock to be
deducted from tier 2 capital. Report the amount of the institution’s total significant investments in
financial institutions not in the form of common stock to be deducted from tier 2 capital as included
in Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C, item 33.

Other deductions from tier 2 capital. Report the amount of the institution’s other deductions
from tier 2 capital as included in Schedule RC-R of the Call Report or Schedule HC-R of the FR Y9C, item 33 that are not included in items 52 through 55 of this schedule.
Advanced approaches institutions with insurance underwriting activities: include 50 percent of the
amount equal to the regulatory capital requirement for insurance underwriting risks established by
the regulator of any insurance underwriting activities of the institution.

Total tier 2 capital deductions. Report the sum of items 52 through 56.

Tier 2 capital. Report the greater of: item 51 less item 57 or zero.

Total capital
59

Total capital. Report the sum of items 45 and 58.

Total risk-weighted assets
60

Total risk-weighted assets (RWAs). If the institution has completed its parallel run process: report
the amount of the institution’s total RWAs calculated using the advanced approaches as reported in
FFIEC 101, Schedule B, item 36.
If the institution is in the parallel run process: Report total RWAs as calculated under the
standardized approach as reported in Schedule RC-R of the Call Report or Schedule HC-R of the
FR Y-9C, item 40.a. In addition, report total RWAs calculated using the advanced approaches in
this Schedule A, item 87. The latter amount is confidential while the institution is conducting its
parallel run.

Capital ratios and buffers (line items 64-68 are effective starting January 1, 2016)
61

Common equity tier 1 capital ratio. Report the institution’s common equity tier 1 risk-based
capital ratio as a percentage, calculated as item 29 divided by item 60, rounded to four decimal
places.

Tier 1 capital ratio. Report the institution’s tier 1 risk-based capital ratio as a percentage,
calculated as item 45 divided by item 60, rounded to four decimal places.

Total capital ratio. Report the institution’s total risk-based capital ratio as a percentage, calculated
as item 59 divided by item 60, rounded to four decimal places.

FFIEC 101

A-8
(3-16)

SCHEDULE A

FFIEC 101
64

SCHEDULE A

Institution-specific buffer (as a percent of RWA) necessary to avoid limitations on capital
distributions and discretionary bonus payments. Report the sum of the institution’s minimum
common equity tier 1 capital requirement, capital conservation buffer, countercyclical capital buffer
(if applicable), and G-SIB buffer (if applicable) as a percentage, rounded to four decimal places.
This is equal to line 1 in Table 1.
Table 1 – Institution-specific buffer and payout ratio worksheet
Calculations
1. Enter the sum of the common equity tier 1 requirement
plus the total of all Regulatory Buffers (i.e. Capital
Conservation Buffer + Countercyclical Buffer + G-SIB
Buffer)
Example: an advanced approaches bank has 7.25% common
equity tier 1; 9.75% tier 1, and 11.25% total capital ratios. The
bank has $10,000 in risk-weighted assets; $8,000 in private
sector credit exposures; $1,600 (or 20%) of which are in
Country B which has imposed a countercyclical buffer of 2.5%.
Country B is the only jurisdiction to impose a countercyclical
buffer. Country B exposures provide a contributing weight of
0.5. There are no other additional buffers (G-SIB or other) that
apply to this bank.
2. Common equity tier 1 ratio LESS Minimum common
equity tier 1 requirement
Example: 7.25% - 4.50% = 2.75%
3. Tier 1 ratio LESS Minimum tier 1 requirement
Example: 9.75% - 6.00% = 3.75%
4. Total capital ratio LESS Minimum total capital
requirement
Example: 11.25% - 8.00% = 3.25%
5. Applicable total buffer
Enter the lowest buffer from steps 2 through 4.
6. Maximum payout ratio based on total regulatory buffers
The percentage of eligible retained income that a bank may pay
out during the current calendar quarter. Note that in the
example, the applicable buffer is 2.75%. Payout ratio is based on
the total of all buffers which is 3.0%.
7. Eligible retained income
Net income for the four preceding quarters, net of capital
distributions and tax effects not already reflected in net
income.
8. Maximum payout amount
9. Capital distributions and discretionary bonus payments
during the quarter (actual amounts plus obligations
created)

FFIEC 101

A-9
(3-16)

7.5000%,
composed of the
sum of the
4.5000% minimum
common equity
tier 1 requirement,
the 2.5000%
capital
conservation
buffer, and a
countercyclical
buffer of 0.5000%
2.7500%

3.7500%
3.2500%

2.7500%
60%

$100

$100*60% = $60
$0

SCHEDULE A

FFIEC 101
65

SCHEDULE A

of which: capital conservation buffer. Report the applicable capital conservation buffer as a
percentage, rounded to four decimal places.
Transition provisions: Applicable capital conservation buffer is equal to:
Table 2 - Transition provisions for capital conservation buffer
Transition Period
Capital Conservation Buffer
Calendar year 2014
0.0000%
Calendar year 2015
0.0000%
Calendar year 2016
0.6250%
Calendar year 2017
1.2500%
Calendar year 2018
1.8750%
Calendar year 2019
2.5000%
and thereafter

of which: countercyclical capital buffer. If applicable, report the institution’s countercyclical
capital buffer (as a percentage of RWAs, rounded to four decimal places). This is equal to the
amount of the countercyclical capital buffer in the calculation of line 1 in Table 1.

of which: G-SIB buffer requirement. If applicable, report the institution’s G-SIB buffer
requirement (as a percentage of RWAs, rounded to four decimal places). This is equal to the
amount of the G-SIB buffer in the calculation of line 1 in Table 1.

Common equity tier 1 capital available to meet the buffer in item 64 (as a percentage of
RWA). Report common equity tier 1 capital available to meet the buffer in item 64 (as a percentage
of RWAs, rounded to four decimal places). This is equal to line 5 in Table 1.

Regulatory minimums if different from Basel III
69

Minimum common equity tier 1 capital ratio: 4.5%. Not applicable: do not complete this line
item.

Minimum tier 1 capital ratio: 6.0%. Not applicable: do not complete this line item.

Minimum total capital ratio: 8.0%. Not applicable: do not complete this line item.

Amounts not deducted as a result of applicable thresholds (before risk-weighting)
72

Non-significant investments in the capital of unconsolidated financial institutions that are not
deducted. Report the amount of non-significant investments in the capital of unconsolidated
financial institutions that are not deducted from common equity tier 1, additional tier 1 or total
capital (that is, not reported in items 18, 39, and 54 of this Schedule A).

FFIEC 101

A-10
(3-16)

SCHEDULE A

FFIEC 101

SCHEDULE A

Significant investments in the capital of unconsolidated financial institutions in the form of
common, net of associated DTLs, stock that are not deducted. Report the amount of significant
investments in the capital of unconsolidated financial institutions in the form of common stock, net
of associated DTLs, that are not deducted from common equity tier 1 (that is, not reported in items
19 or 23 of this Schedule A).

MSAs net of associated DTLs that are not deducted. Report the amount of MSAs net of
associated DTLs that are not deducted from common equity tier 1 capital (that is, not reported in
items 20 or 24 of this Schedule A).

DTAs arising from temporary differences that could not be realized through net operating
loss carrybacks, net of related valuation allowances and net of DTLs, that are not deducted.
Report the amount of DTAs arising from temporary differences that could not be realized through
net operating loss carrybacks, net of related valuation allowances and net of DTLs, that are not
deducted from common equity tier 1 capital (that is, not reported in items 21 or 25 of this Schedule
A).

Limitations on the amount of provisions included in tier 2 capital
76

Total allowance for loan and lease losses (ALLL) under the standardized approach. Report
the amount of total ALLL under the standardized approach, which is equal to Schedule RC, item
4.c, “Allowance for loan and lease losses,” less Schedule RI-B, part II, Memorandum item 1,
“Allocated transfer risk reserve included in Schedule RI-B, part II, item 7, above,” plus Schedule
RC-G, item 3, “Allowance for credit losses on off-balance sheet credit exposures.”

Amount of ALLL includable in tier 2 capital under the standardized approach. Report the
amount of the institution’s ALLL includable in tier 2 capital under the standardized approach as
reported in Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C, item 30.a.

Note: Items 78 and 79 are kept confidential on reports filed during an institution’s parallel run process.
78

Total eligible credit reserves (calculated using advanced approaches). Report the amount of
total eligible credit reserves.

Amount of eligible credit reserves includable in tier 2 capital. If eligible credit reserves exceed
total expected credit losses, then report the amount by which eligible credit reserves exceed
expected credit losses, up to a maximum amount of 0.60 percent of credit risk-weighted assets.

Non-qualifying capital instruments
80

Cap on common equity tier 1 non-qualifying capital instruments subject to phase-out. Report
0 for this item.

Amount of common equity tier 1 non-qualifying capital instruments excluded. Report 0 for
this item.

FFIEC 101

A-11
(12-14)

SCHEDULE A

FFIEC 101

SCHEDULE A

Cap on additional tier 1 non-qualifying capital instruments subject to phase-out. Report the
maximum amount of additional tier 1 non-qualifying capital instruments that is includable in tier 1
capital subject to phase-out as described below.
a. Depository institution holding companies: multiply the aggregate principal amount of nonqualifying additional tier 1 capital instruments that were outstanding as of January 1, 2014 by the
percentage in Table 3 for the corresponding calendar year.

Table 3 - Transition provisions for non-qualifying capital instruments for depository
institution holding companies greater than $15 billion
Cap on non-qualifying capital
Transition Period
instruments
Calendar year 2014
50%
Calendar year 2015
25%
Calendar year 2016
0%
and thereafter
b. Depository institutions: multiply the aggregate principal amount of non-qualifying additional
tier 1 capital instruments that were outstanding as of January 1, 2014 by the percentage in Table 4
for the corresponding calendar year.
Table 4—Transition provisions for non-qualifying capital instruments for depository
institutions
Transition period
Cap on non-qualifying capital instruments
Calendar year 2014
80
Calendar year 2015
70
Calendar year 2016
60
Calendar year 2017
50
Calendar year 2018
40
Calendar year 2019
30
Calendar year 2020
20
Calendar year 2021
10
Calendar year 2022 and
0
thereafter

Amount of additional tier 1 non-qualifying capital instruments excluded. Report the total
amount of non-qualifying capital instruments that were excluded from additional tier 1 capital as a
result of the application of the cap in Schedule A, item 82.

Cap on tier 2 non-qualifying capital instruments subject to phase-out. Report the maximum
amount of tier 2 non-qualifying capital instruments that are includable in total capital subject to
phase-out as described below.

a. Depository institution holding companies: multiply the aggregate principal amount of nonqualifying tier 2 capital instruments that were outstanding as of January 1, 2014 by the percentage
in Table 3 for the corresponding calendar year.
FFIEC 101
A-12
SCHEDULE A
(9-14)

FFIEC 101

SCHEDULE A

Also include in this line item the amount excluded from Schedule A, item 82 that may be included
in tier 2 capital as follows:
(i) From January 1, 2014, until December 31, 2015: non-qualifying capital instruments that
are phased out of tier 1 capital according to Table 3 are fully includable in tier 2 capital
until December 31, 2015.
(ii) From January 1, 2016, until December 31, 2021: include non-qualifying capital
instruments that have been fully excluded from tier 1 capital multiplied by the appropriate
percentage in Table 5 below.
Table 5—Transition provisions for non-qualifying capital instruments includable in tier 2 capital for
depository institution holding companies starting on January 1, 2016
Transition period
Cap on non-qualifying capital instruments
Calendar year 2016
60
Calendar year 2017
50
Calendar year 2018
40
Calendar year 2019
30
Calendar year 2020
20
Calendar year 2021
10
Calendar year 2022
0
and thereafter
Example: A depository institution holding company has $100 in tier 1 non-qualifying capital instruments
subject to phase out as of January 1, 2014. These are the amounts that it would report in items 82 and 84,
notwithstanding any reduction in tier 1 non-qualifying capital instruments subject to phase out:
Calendar year

2014
2015
2016
2017

Item 82: Cap on additional tier 1
non-qualifying capital
instruments subject to phase out
50 (table 3)
25 (table 3)
0 (table 3)
0 (table 3)

Item 84: Cap on tier 2 nonqualifying capital instruments
subject to phase out
50 (table 3)
75 (table 3)
60 (table 5)
50 (table 5)

b. Depository institutions: multiply the aggregate principal amount of non-qualifying tier 2 capital
instruments that were outstanding as of January 1, 2014 by the percentage in Table 4 for the corresponding
calendar year.

Amount of tier 2 non-qualifying capital instruments excluded. Report the total amount of
instruments that were excluded from tier 2 capital as a result of the application of the cap in
Schedule A, item 84.

Memoranda
Note: Items 86-90 are kept confidential on reports filed during an institution’s parallel run process.

FFIEC 101

A-13
(9-14)

SCHEDULE A

FFIEC 101

SCHEDULE A

Expected credit loss that exceeds eligible credit reserves. Report the amount of expected credit
loss that exceeds the amount of eligible credit reserves, as calculated under the advanced
approaches rules.

Advanced approaches RWA (from FFIEC 101, Schedule B, item 36). Report the amount of the
institution’s total RWAs calculated under the revised advanced approaches rules.

Common equity tier 1 capital ratio (calculated using advanced approaches). If an institution is
in the parallel run process: Report common equity tier 1 capital ratio calculated using the revised
advanced approaches rules. Specifically, to calculate the numerator of this ratio, an institution must
deduct from item 29 the amount of expected credit loss that exceeds eligible credit reserves, reported
in item 86, subject to the transition provisions. To calculate the denominator of this ratio, the
institution must use the amount of the advanced approaches risk-weighted assets reported in item
87. Round the ratio to four decimal places.
After the institution completes its parallel run process: Report common equity tier 1 capital ratio
calculated under the revised advanced approaches rules as item 29 divided by item 60, rounded to
four decimal places.

Tier 1 capital ratio (calculated using advanced approaches). If an institution is in the parallel
run process: Report tier 1 capital ratio calculated using the revised advanced approaches rules.
Specifically, to calculate the numerator of this ratio, add (i) common equity tier 1 capital reported
in item 29, net of expected credit loss that exceeds eligible credit reserves, reported in item 86,
subject to the transition provisions, and (ii) additional tier 1 capital as reported in item 44. To
calculate the denominator of this ratio, the institution must use the amount of the advanced
approaches risk-weighted assets reported in item 87. Round the ratio to four decimal places.

After the institution completes its parallel run process: Report tier 1 capital ratio calculated
using the advanced approaches rule as item 45 divided by item 60, rounded to four decimal places.
90

Total capital ratio (calculated using advanced approaches). If an institution is in the parallel
run process: Report total capital ratio calculated using the revised advanced approaches rules.
Specifically, to calculate the numerator of this ratio, add (i) common equity tier 1 capital reported
in item 29, net of expected credit loss that exceeds eligible credit reserves, reported in item 86,
subject to the transition provisions, (ii) additional tier 1 capital as reported in item 44, and (iii) tier
2 capital reported in item 58, net of the institution’s allowance for loan and lease losses reported in
item 50 and plus eligible credit reserves includable in tier 2 capital as reported in item 79. To
calculate the denominator of this ratio, the institution must use the amount of the advanced
approaches risk-weighted assets reported in item 87. Round the ratio to four decimal places.

After the institution completes its parallel run process: Report total capital ratio calculated
under the revised advanced approaches rules as item 59 divided by item 60, rounded to four
decimal places.

FFIEC 101

A-14
(3-16)

SCHEDULE A

FFIEC 101

SCHEDULE A

Supplementary Leverage Ratio (effective date for items 91 through 98 to be determined)
Report in line items 91 through 94 the values as of the last day of each month in the reporting quarter.
91

Carrying value of all on-balance sheet assets minus amounts deducted from tier 1 capital.
Report the amount of the institution’s total on-balance sheet assets as reported in the Call Report or
the FR Y-9C minus amounts deducted from tier 1 capital.

Total potential future exposure amount for each derivative contract. Report the potential
future exposure amount for each derivative contract.

10 percent of the notional amount of unconditionally cancellable commitments. Report 10
percent of the notional amount of unconditionally cancellable commitments.

Total notional amounts of all other off-balance sheet exposures. Report the notional amount of
all other off-balance sheet exposures of the bank (excluding securities lending, securities
borrowing, reverse repurchase transactions, derivatives and unconditionally cancellable
commitments).

Month-end total leverage exposure for the supplementary leverage ratio. Report the sum of
items 91 through 94.

Month-end tier 1 capital for the supplementary leverage ratio calculation. Report month-end
tier 1 capital.

Monthly supplementary leverage ratio. Report item 96 divided by item 95.

Supplementary leverage ratio: mean of the 3 monthly ratios reported in item 97, columns A,
B, and C. Report the supplementary leverage ratio, calculated as the simple arithmetic mean of the
3 monthly ratios reported in item 97, columns A, B, and C.

FFIEC 101

A-15
(3-15)

SCHEDULE A

FFIEC 101

SCHEDULE B

Schedule B – Summary Risk-Weighted Asset Information for Banks
Approved to Use Advanced Internal Ratings-Based and Advanced
Measurement Approaches for Regulatory Capital Purposes
General Instructions
Definitions. Apply the definitions provided in the advanced approaches rule for the following terms:
credit valuation adjustment (CVA). All other relevant advanced approaches rule definitions are listed
in Schedules C through S, to which Schedule B refers.
All OTC derivatives must apply a CVA as described in section 132(e) of the advanced approaches rule.
With respect to its OTC derivative contracts, an institution must calculate a CVA risk-weighted asset
amount for each counterparty using the simple CVA approach described in section 132(e)(5) of the
advanced approaches rule or, with prior written approval of its primary Federal supervisory, the
advanced CVA approach described in section 132(e)(6) of the advanced approaches rule. A bank that
receives prior supervisory approval to calculate its CVA risk-weighted asset amounts for a class of
counterparties using the advanced CVA approach must continue to use that approach for that class of
counterparties until it notifies its primary Federal supervisor in writing that the bank expects to begin
calculating its CVA risk- weighted asset amount using the simple CVA approach. Such notice must
include an explanation of the bank’s rationale and the date upon which the bank will begin to calculate
its CVA risk-weighted asset amount using the simple CVA approach. Banks should be consistent in
their methodology for determining the weighted average maturity (e.g., if a bank is using a one-year
floor, than that should be reflected in the weighted average maturity calculation).

Item Instructions
Item No.

Caption and Instructions

Wholesale Exposures
1

Corporate
In column A, the weighted average probability of default is derived from cell A-13 of
Schedule C -Wholesale Exposure – Corporate.
In column B, the total balance sheet amount is derived from cell C-13 of Schedule C Wholesale Exposure – Corporate.
In column C, the total dollar volume of undrawn exposures is derived from cell D-13 of
Schedule C -Wholesale Exposure – Corporate.
In column D, the total dollar volume of exposure at default is derived from cell E-13 of
Schedule C- Wholesale Exposure – Corporate.
In column E, the weighted average effective maturity in years is derived from cell F-13 of
Schedule C - Wholesale Exposure – Corporate.
In column F, the weighted average loss given default is derived from cell H-13 of
Schedule C -Wholesale Exposures – Corporate.

FFIEC 101

B-1
(3-14)

SCHEDULE B

FFIEC 101

SCHEDULE B

In column G, the total amount of risk weighted assets is derived from cell K-13 of
Schedule C - Wholesale Exposure – Corporate.
In column H, the total dollar volume of expected credit loss is derived from cell L-13 of
Schedule C - Wholesale Exposure – Corporate.
2

Bank
In column A, the weighted average probability of default is derived from cell A-13 of
Schedule D - Wholesale Exposure – Bank.
In column B, the total balance sheet amount is derived from cell C-13 of Schedule D Wholesale Exposure – Bank.
In column C, the total dollar volume of undrawn exposures is derived from cell D-13 of
Schedule D-Wholesale Exposure – Bank.
In column D, the total dollar volume of exposure at default is derived from cell E-13 of
Schedule D -Wholesale Exposure – Bank.
In column E, the weighted average effective maturity in years is derived from cell F-13 of
Schedule D-Wholesale Exposure – Bank.
In column F, the weighted average loss given default is derived from cell H-13 of
Schedule D-Wholesale Exposures – Bank.
In column G, the total amount of risk weighted assets is derived from cell J-13 of
Schedule D - Wholesale Exposure – Bank.
In column H, the total dollar volume of expected credit loss is derived from cell K-13 of
Schedule D - Wholesale Exposure – Bank.

Sovereign
In column A, the weighted average probability of default is derived from cell A-13 of
Schedule E - Wholesale Exposure – Sovereign.
In column B, the total balance sheet amount is derived from cell C-13 of Schedule E Wholesale Exposure – Sovereign.
In column C, the total dollar volume of undrawn exposures is derived from cell D-13 of
Schedule E - Wholesale Exposure – Sovereign.
In column D, the total dollar volume of exposure at default is derived from cell E-13 of
Schedule E - Wholesale Exposure – Sovereign.
In column E, the weighted average effective maturity in years is derived from cell F-13 of
Schedule E -Wholesale Exposure – Sovereign.

FFIEC 101

B-2
(3-14)

SCHEDULE B

FFIEC 101

SCHEDULE B
In column F, the weighted average loss given default is derived from cell H-13 of
Schedule E - Wholesale Exposures – Sovereign.
In column G, the total amount of risk weighted assets is derived from cell J-13 of
Schedule E - Wholesale Exposure – Sovereign.
In column H, the total dollar volume of expected credit loss is derived from cell K-13 of
Schedule E- Wholesale Exposure – Sovereign.

Income-Producing Real Estate (IPRE)
In column A, the weighted average probability of default is derived from cell A-13 of
Schedule F - Wholesale Exposure –IPRE.
In column B, the total balance sheet amount is derived from cell C-13 of Schedule F Wholesale Exposure – IPRE.
In column C, the total dollar volume of undrawn exposures is derived from cell D-13 of
Schedule F - Wholesale Exposure – IPRE.
In column D, the total dollar volume of exposure at default is derived from cell E-13 of
Schedule F - Wholesale Exposure – Construction IPRE.
In column E, the weighted average effective maturity in years is derived from cell F-13 of
Schedule F - Wholesale Exposure – IPRE.
In column F, the weighted average loss given default is derived from cell H-13 of
Schedule F -Wholesale Exposures – IPRE.
In column G, the total amount of risk weighted assets is derived from cell K-13 of
Schedule F - Wholesale Exposure – IPRE.
In column H, the total dollar volume of expected credit loss is derived from cell L-13 of
Schedule F - Wholesale Exposure – IPRE.

High-Volatility Commercial Real Estate (HVCRE)
In column A, the weighted average probability of default is derived from cell A-13 of
Schedule G - Wholesale Exposure – HVCRE.
In column B, the total balance sheet amount is derived from cell C-13 of Schedule G Wholesale Exposure – HVCRE.
In column C, the total dollar volume of undrawn exposures is derived from cell D-13 of
Schedule G - Wholesale Exposure – HVCRE.
In column D, the total dollar volume of exposure at default is derived from cell E-13 of
Schedule G - Wholesale Exposure – HVCRE.
In column E, the weighted average effective maturity in years is derived from cell F-13 of
Schedule G - Wholesale Exposure – HVCRE.

FFIEC 101

B-3
(3-14)

SCHEDULE B

FFIEC 101

SCHEDULE B

In column F, the weighted average loss given default is derived from cell H-13 of
Schedule G - Wholesale Exposures – HVCRE.
In column G, the total amount of risk weighted assets is derived from cell K-13 of
Schedule G - Wholesale Exposure – HVCRE.
In column H, the total dollar volume of expected credit loss is derived from cell L-13 of
Schedule G - Wholesale Exposure – HVCRE.
6

Eligible Margin Loans, Repo-Style Transactions and OTC Derivatives With CrossProduct Netting – EAD Adjustment Method
In column A, the weighted average probability of default is derived from cell A-14 of
Schedule H - Wholesale Exposure – Eligible margin loans, repo-style transactions and
OTC Derivatives with Cross Product Netting.
In column D, the total dollar volume of exposure at default is derived from cell C-14 of
Schedule H - Wholesale Exposure – Eligible margin loans, repo-style transactions and
OTC Derivatives with Cross Product Netting.
In column E, the weighted average effective maturity in years is derived from cell B-14
of Schedule H - Wholesale Exposure – Eligible margin loans, repo-style transactions and
OTC Derivatives with Cross Product Netting.
In column F, the weighted average loss given default is derived from cell D-14 of
Schedule H - Wholesale Exposures – Eligible margin loans, repo-style transactions and
OTC Derivatives with Cross Product Netting.
In column G, the total amount of risk weighted assets is derived from cell E-14 of
Schedule H - Wholesale Exposure – Eligible margin loans, repo-style transactions and
OTC Derivatives with Cross Product Netting.
In column H, the total dollar volume of expected credit loss is derived from cell F-14 of
Schedule H - Wholesale Exposure – Eligible margin loans, repo-style transactions and
OTC Derivatives with Cross Product Netting.

Eligible Margin Loans, Repo-Style Transactions and OTC Derivatives With CrossProduct Netting – Collateral Reflected in LGD
In column A, the weighted average probability of default is derived from cell G-14 of
Schedule H - Wholesale Exposure – Eligible margin loans, repo-style transactions and
OTC Derivatives with Cross Product Netting.
In column D, the total dollar volume of exposure at default is derived from cell I-14 of
Schedule H - Wholesale Exposure – Eligible margin loans, repo-style transactions and
OTC Derivatives with Cross Product Netting.
In column E, the weighted average effective maturity in years is derived from cell H-14
of Schedule H - Wholesale Exposure – Eligible margin loans, repo-style transactions and
OTC Derivatives with Cross Product Netting.

FFIEC 101

B-4
(3-14)

SCHEDULE B

FFIEC 101

SCHEDULE B

In column F, the weighted average loss given default is derived from cell J-14 of
Schedule H - Wholesale Exposures – Eligible margin loans, repo-style transactions and
OTC Derivatives with Cross Product Netting.
In column G, the total amount of risk weighted assets is derived from cell K-14 of
Schedule H - Wholesale Exposure – Eligible margin loans, repo-style transactions and
OTC Derivatives with Cross Product Netting.
In column H, the total dollar volume of expected credit loss is derived from cell L-14 of
Schedule H - Wholesale Exposure – Eligible margin loans, repo-style transactions and
OTC Derivatives with Cross Product Netting.
8

Eligible Margin Loans, Repo-Style Transactions -- No Cross-Product Netting – EAD
Adjustment Method
In column A, the weighted average probability of default is derived from cell A-14 of
Schedule I - Wholesale Exposure – Eligible margin loans, repo-style transactions - No
Cross Product Netting.
In column D, the total dollar volume of exposure at default is derived from cell C-14 of
Schedule I - Wholesale Exposure – Eligible margin loans, repo-style transactions - No
Cross Product Netting.
In column E, the weighted average effective maturity in years is derived from cell B-14
of Schedule I - Wholesale Exposure – Eligible margin loans, repo-style transactions - No
Cross Product Netting.
In column F, the weighted average loss given default is derived from cell D-14 of
Schedule I - Wholesale Exposures – Eligible margin loans, repo-style transactions - No
Cross Product Netting.
In column G, the total amount of risk weighted assets is derived from cell E-14 of
Schedule I - Wholesale Exposure – Eligible margin loans, repo-style transactions - No
Cross Product Netting.
In column H, the total dollar volume of expected credit loss is derived from cell F-14 of
Schedule I - Wholesale Exposure – Eligible margin loans, repo-style transactions - No
Cross Product Netting.

Eligible Margin Loans, Repo-Style Transactions -- No Cross-Product Netting –
Collateral Reflected in LGD
In column A, the weighted average probability of default is derived from cell G-14 of
Schedule I - Wholesale Exposure – Eligible margin loans, repo-style transactions - No
Cross Product Netting.
In column D, the total dollar volume of exposure at default is derived from cell I-14 of
Schedule I - Wholesale Exposure – Eligible margin loans, repo-style transactions - No
Cross Product Netting.

FFIEC 101

B-5
(3-14)

SCHEDULE B

FFIEC 101

SCHEDULE B
In column E, the weighted average effective maturity in years is derived from cell H-14
of Schedule I - Wholesale Exposure – Eligible margin loans, repo-style transactions - No
Cross Product Netting.
In column F, the weighted average loss given default is derived from cell J-14 of
Schedule I - Wholesale Exposures – Eligible margin loans, repo-style transactions - No
Cross Product Netting.
In column G, the total amount of risk weighted assets is derived from cell K-14 of
Schedule I - Wholesale Exposure – Eligible margin loans, repo-style transactions - No
Cross Product Netting.
In column H, the total dollar volume of expected credit loss is derived from cell L-14 of
Schedule I - Wholesale Exposure – Eligible margin loans, repo-style transactions - No
Cross Product Netting.

OTC Derivatives – No Cross-Product Netting – EAD Adjustment Method
In column A, the weighted average probability of default is derived from cell A-13 of
Schedule J - Wholesale Exposure – OTC Derivatives - No Cross Product Netting.
In column D, the total dollar volume of exposure at default is derived from cell C-13 of
Schedule J - Wholesale Exposure – OTC Derivatives - No Cross Product Netting.
In column E, the weighted average effective maturity in years is derived from cell B-13
of Schedule J - Wholesale Exposure – OTC Derivatives - No Cross Product Netting.
In column F, the weighted average loss given default is derived from cell D-13 of
Schedule J - Wholesale Exposures – OTC Derivatives - No Cross Product Netting.
In column G, the total amount of risk weighted assets is derived from cell E-13 of
Schedule J - Wholesale Exposure – OTC Derivatives - No Cross Product Netting.
In column H, the total dollar volume of expected credit loss is derived from cell F-13 of
Schedule J - Wholesale Exposure – OTC Derivatives - No Cross Product Netting.

OTC Derivatives – No Cross-Product Netting – Collateral Reflected in LGD
In column A, the weighted average probability of default is derived from cell G-13 of
Schedule J - Wholesale Exposure – OTC Derivatives - No Cross Product Netting.
In column D, the total dollar volume of exposure at default is derived from cell I-13 of
Schedule J - Wholesale Exposure – OTC Derivatives - No Cross Product Netting.
In column E, the weighted average effective maturity in years is derived from cell H-13
of Schedule J - Wholesale Exposure – OTC Derivatives - No Cross Product Netting.
In column F, the weighted average loss given default is derived from cell J-13 of
Schedule J - Wholesale Exposures – OTC Derivatives - No Cross Product Netting.

FFIEC 101

B-6
(3-14)

SCHEDULE B

FFIEC 101

SCHEDULE B
In column G, the total amount of risk weighted assets is derived from cell K-13 of
Schedule J - Wholesale Exposure – OTC Derivatives - No Cross Product Netting.
In column H, the total dollar volume of expected credit loss is derived from cell L-13 of
Schedule J - Wholesale Exposure – OTC Derivatives - No Cross Product Netting.

Retail Exposures
12

Residential Mortgage – Closed-end First Lien Exposures
In column A, the weighted average probability of default is derived from cell A-16 of
Schedule K - Retail Exposure – Residential Mortgage – Closed-end First Lien Exposures.
In column B, the total balance sheet amount is derived from cell C-16 of Schedule K Retail Exposure – Residential Mortgage – Closed-end First Lien Exposures.
In column C, the total dollar volume of undrawn exposures is derived from cell D-16 of
Schedule K - Retail Exposure – Residential Mortgage – Closed-end First Lien Exposures.
In column D, the total dollar volume of exposure at default is derived from cell E-16 of
Schedule K - Retail Exposure – Residential Mortgage – Closed-end First Lien Exposures.
In column F, the weighted average loss given default is derived from cell G-16 of
Schedule K - Retail Exposure – Residential Mortgage – Closed-end First Lien Exposures.
In column G, the total amount of risk weighted assets is derived from cell H-16 of
Schedule K - Retail Exposure – Residential Mortgage – Closed-end First Lien Exposures.
In column H, the total dollar volume of expected credit loss is derived from cell I-16 of
Schedule K - Retail Exposure – Residential Mortgage – Closed-end First Lien Exposures.

Residential Mortgage – Closed-end Junior Lien Exposures
In column A, the weighted average probability of default is derived from cell A-16 of
Schedule L - Retail Exposure – Residential Mortgage – Closed-end Junior Lien
Exposures.
In column B, the total balance sheet amount is derived from cell C-16 of Schedule L Retail Exposure – Residential Mortgage – Closed-end Junior Lien Exposures.
In column C, the total dollar volume of undrawn exposures is derived from cell D-16 of
Schedule L - Retail Exposure – Residential Mortgage – Closed-end Junior Lien
Exposures.
In column D, the total dollar volume of exposure at default is derived from cell E-16 of
Schedule L - Retail Exposure – Residential Mortgage – Closed-end Junior Lien
Exposures.
In column F, the weighted average loss given default is derived from cell G-16 of
Schedule L - Retail Exposure – Residential Mortgage – Closed-end Junior Lien
Exposures.

FFIEC 101

B-7
(3-14)

SCHEDULE B

FFIEC 101

SCHEDULE B

In column G, the total amount of risk weighted assets is derived from cell H-16 of
Schedule L - Retail Exposure – Residential Mortgage – Closed-end Junior Lien
Exposures.
In column H, the total dollar volume of expected credit loss is derived from cell I-16 of
Schedule L - Retail Exposure – Residential Mortgage – Closed-end Junior Lien
Exposures.
14

Residential Mortgage – Revolving Exposures
In column A, the weighted average probability of default is derived from cell A-16 of
Schedule M - Retail Exposure – Residential Mortgage – Revolving Exposures.
In column B, the total balance sheet amount is derived from cell C-16 of Schedule M Retail Exposure – Residential Mortgage – Revolving Exposures.
In column C, the total dollar volume of undrawn exposures is derived from cell D-16 of
Schedule M - Retail Exposure – Residential Mortgage – Revolving Exposures.
In column D, the total dollar volume of exposure at default is derived from cell E-16 of
Schedule M - Retail Exposure – Residential Mortgage – Revolving Exposures.
In column F, the weighted average loss given default is derived from cell G-16 of
Schedule M - Retail Exposure – Residential Mortgage – Revolving Exposures.
In column G, the total amount of risk weighted assets is derived from cell H-16 of
Schedule M - Retail Exposure – Residential Mortgage – Revolving Exposures.
In column H, the total dollar volume of expected credit loss is derived from cell I-16 of
Schedule M - Retail Exposure – Residential Mortgage – Revolving Exposures.

Qualifying Revolving Exposures
In column A, the weighted average probability of default is derived from cell A-16 of
Schedule N - Retail Exposure – Qualifying Revolving Exposures.
In column B, the total balance sheet amount is derived from cell C-16 of Schedule N Retail Exposure – Qualifying Revolving Exposures.
In column C, the total dollar volume of undrawn exposures is derived from cell D-16 of
Schedule N - Retail Exposure – Qualifying Revolving Exposures.
In column D, the total dollar volume of exposure at default is derived from cell E-16 of
Schedule N - Retail Exposure – Qualifying Revolving Exposures.
In column F, the weighted average loss given default is derived from cell G-16 of
Schedule N -Retail Exposure – Qualifying Revolving Exposures.
In column G, the total amount of risk weighted assets is derived from cell H-16 of
Schedule N - Retail Exposure – Qualifying Revolving Exposures.

FFIEC 101

B-8
(3-14)

SCHEDULE B

FFIEC 101

SCHEDULE B

In column H, the total dollar volume of expected credit loss is derived from cell I-16 of
Schedule N - Retail Exposure – Qualifying Revolving Exposures.
16

Other Retail Exposures
In column A, the weighted average probability of default is derived from cell A-16 of
Schedule O - Retail Exposure – Other Retail Exposures.
In column B, the total balance sheet amount is derived from cell C-16 of Schedule O Retail Exposure – Other Retail Exposures.
In column C, the total dollar volume of undrawn exposures is derived from cell D-16 of
Schedule O - Retail Exposure – Other Retail Exposures.
In column D, the total dollar volume of exposure at default is derived from cell E-16 of
Schedule O - Retail Exposure – Other Retail Exposures.
In column F, the weighted average loss given default is derived from cell G-16 of
Schedule O - Retail Exposure – Other Retail Exposures.
In column G, the total amount of risk weighted assets is derived from cell H-16 of
Schedule O - Retail Exposure – Other Retail Exposures.
In column H, the total dollar volume of expected credit loss is derived from cell I-16 of
Schedule O - Retail Exposure – Other Retail Exposures.

Securitization Exposures

Subject to the Supervisory Formula Approach. In column B, the total amount of
securitization exposures subject to the Supervisory Formula Approach is derived by
summing cells A-1 and D-1 of Schedule P – Securitization Exposures Schedule.
In column G, the total amount of risk weighted assets of securitization exposures
outstanding subject to the Supervisory Formula Approach is derived by summing cells B1 and E-1 of Schedule P – Securitization Exposures Schedule.

Subject to the Simplified Supervisory Formula Approach. In column B, the total
amount of securitization exposures subject to the Simplified Supervisory Formula
Approach is derived by summing cells A-2 and D-2 of Schedule P – Securitization
Exposures Schedule.
In column G, the total amount of risk weighted assets of securitization exposures
outstanding subject to the Simplified Supervisory Formula Approach is derived by
summing cells B-2 and E-2 of Schedule P – Securitization Exposures Schedule.

FFIEC 101

Subject to 1,250% risk weight. In column B, the total amount of securitization
exposures subject to 1,250% risk weight is derived by summing cells A-3 and D-3 of
Schedule P – Securitization Exposures Schedule.
B-9
(3-16)

SCHEDULE B

FFIEC 101

SCHEDULE B

In column G, the total amount of risk weighted assets of securitization exposures
outstanding subject to 1,250% risk weight is derived by summing cells B-3 and E-3 of
Schedule P – Securitization Exposures Schedule.
Cleared Transactions
20

Derivative Contracts or Netting Sets of Derivative Contracts. In column B, the total
amount of exposures is derived by summing cells A-1, B-1, A-3 and B-3 of Schedule Q –
Cleared Transactions.
In column G, the total amount of risk weighted assets of exposures is derived by summing
cells D-1 and D-3 of Schedule Q – Cleared Transactions.

Repo-style transactions. In column B, the total amount of exposures is derived by
summing cells A-2, B-2, A-4 and B-4 of Schedule Q – Cleared Transactions.
In column G, the total amount of risk weighted assets of exposures is derived by summing
cells D-2 and D-4 of Schedule Q – Cleared Transactions.

Default Fund Contributions. In column B, the total amount of default fund
contributions is derived by summing cells C-5 and C-6 of Schedule Q – Cleared
Transactions.
In column G, the total amount of risk weighted assets of default fund contributions is
derived by summing cells D-5 and D-6 of Schedule Q – Cleared Transactions.

Equity Exposures
23

Simple Risk Weight Method (SRWA). In column G, the total amount of risk weighted
assets for equity exposures subject to the SRWA plus investment funds is derived from
cell B-16 of Schedule R – Equity Exposures. Complete only if the SRWA is used.

Full Internal Models Approach (IMA). In column G, the total amount of risk weighted
assets for equity exposures is derived from cell D-21 of Schedule R – Equity Exposures.
Complete only if the bank uses internal models to estimate potential losses for both
publicly traded and non-publicly traded equity exposures.

Partial IMA, Partial SRWA. In column G, the total amount of risk weighted assets for
equity exposures is derived from cell F-25 of Schedule R – Equity Exposures. Complete
only if the bank uses internal models to estimate potential losses only for publicly traded
equity exposures.

Unsettled Transactions. In column B, report the balance sheet amount of unsettled
transactions.
In column G, report the total amount of risk weighted assets of unsettled transactions, as
determined by section 135 of the advanced approaches rule.

FFIEC 101

Assets Not Included in a Defined Exposure Category. In column B, report the balance
sheet amount of assets not defined in an exposure category, as described in paragraph
B-10
(3-14)

SCHEDULE B

FFIEC 101

SCHEDULE B
(e)(3) of section 131 of the advanced approaches rule, but excluding the balance sheet
amount of significant investments in unconsolidated financial institutions in the form of
common stock that are not deducted from capital, which is reported in cell A-7 of
Schedule R – Equity Exposures.
In column G, report the total amount of risk weighted assets for assets not defined in an
exposure category, as determined by paragraph (e)(3) of section 131 of the advanced
approaches rule.

Non-material Portfolios of Exposures. In column B, report the balance sheet amount of
assets in non-material portfolios of exposures as described in paragraph (e)(4) of section
131 of the advanced approaches rule.
In column G, report the total amount of risk weighted assets for non-material portfolios
of exposures as determined by paragraph (e)(4) of section 131 of the advanced
approaches rule, for non-material exposures.

Sum of Column G. In column G, report the sum of G-1 through G-28.

Total Credit Risk Weighted Assets. In column G, report the product of G-29 and 1.06.

31.a

Credit Valuation Adjustment (CVA) – Simple Approach. In column D, report the
sum of all EADitotal included in the Simple CVA calculation associated with OTC
derivative transactions, as described in section 132(e)(5) of the advanced approaches
rule.
In column G, report the Simple CVA total risk-weighted assets associated with OTC
derivative transactions.

31.b

Credit Valuation Adjustment (CVA) – Advanced Approach. In column D, report the
sum of all EEi included in the Advanced CVA calculation associated with OTC
derivative transactions, as described in section 132(e)(6) of the advanced approaches
rule.
In column G, report the Advanced CVA total risk-weighted assets associated with OTC
derivative transactions.

Assets Subject to the General Risk-Based Capital Requirements. In column G, report
risk-weighted assets subject to the merger and acquisition transitional arrangements as
described in section 124 of the advanced approaches rule.

Excess Eligible Credit Reserves Not Included in Tier 2 Capital. In column G, report
excess eligible credit reserves not included in tier 2 capital, consistent with paragraph
(a)(2) of section 113 of the advanced approaches rule.

Advanced Market Risk Equivalent Assets.
In column G, report “Advanced Market Risk-Weighted Assets” as determined under
subpart F, section 204(a)(2) of the revised regulatory capital rules: 12 CFR Part 3
(national banks and federal savings associations) (OCC); 12 CFR Part 217 (holding

FFIEC 101

B-11
(12-15)

SCHEDULE B

FFIEC 101

SCHEDULE B
companies and state member banks) (Board); and 12 CFR Part 324 (state nonmember
banks and state savings associations) (FDIC).

Operational Risk. In column G, the amount of risk-weighted assets for operational risk
is derived from the product of line 1 of Schedule S - Operational Risk and 12.5.

Total. In column G, report the sum of cells G-30, G-31, G-32, G-34, and G-35 minus
cell G-33 above.

FFIEC 101

B-12
(12-15)

SCHEDULE B

FFIEC 101

SCHEDULES C-G

Schedules C through G – Wholesale Exposures
General Instructions
Definitions. Apply the definitions provided in the advanced approaches rule for the following terms: (1)
probability of default (PD); (2) loss given default (LGD); (3) exposure at default (EAD); (4) effective
maturity (M); (5) expected credit loss (ECL); (6) guarantee; (7) credit derivatives; (8) obligor; (9) credit
risk mitigant; (10) eligible margin loan; (11) eligible purchased wholesale exposure; (12) high volatility
commercial real estate (HVCRE); (13) multilateral development bank; (14) repo-style transaction; (15)
sovereign exposure; and (16) wholesale exposure.
The PD substitution approach and the LGD adjustment approach are described in section 133 of the
advanced approaches rule. The double default treatment is described in section 134 of the advanced
approaches rule.
Weighted Averages. Weighted average obligor PD as used in this section is calculated by: (1)
determining the obligors and their exposures that fall within each of the PD ranges indicated, (2)
multiplying each obligor’s PD by its total EAD, (3) summing the products from step (2) for all exposures
within each PD range, and (4) dividing the summed products from step (3) by the sum of the EADs of all
exposures in the same PD range.
Weighted Average LGD without effects of guarantees and credit derivatives, but with effect of collateral
as used in this section is calculated by: (1) determining the obligors and their exposures that fall within
each of the PD ranges indicated, (2) multiplying each exposure’s LGD before considering effects of
guarantees and credit derivatives, but after considering collateral by its EAD, (3) summing the products
from step (2) for all exposures within each PD range, and (4) dividing the summed products from step (3)
by the sum of the EADs of all exposures in the same PD range.
Weighted average LGD with effects of guarantees, credit derivatives and collateral as used in this section
is calculated by: (1) determining the obligors and their exposures that fall within each of the PD ranges
indicated, (2) multiplying each exposure’s LGD with effects of credit risk mitigants (guarantees, credit
derivatives and collateral) by its EAD, (3) summing the products from step (2) for all exposures within
each PD range, and (4) dividing the summed products from step (3) by the sum of the EADs of all
exposures in the same PD range.
Weighted average M as used in this section is calculated by: (1) determining the obligors and their
exposures that fall within each of the PD ranges indicated, (2) multiplying each exposure’s estimated M
by its EAD, (3) summing the products from step (2) for all exposures within each PD range, and (4)
dividing the summed products from step (3) by the sum of the EADs of all exposures in the same PD
range.
Exposure Categorization. The underlying obligor should be used as the basis for determining on which
wholesale schedule to report an exposure. If the bank does not assign an obligor PD, then the bank
should use the guarantor as the basis for determining on which schedule to report an exposure. The bank
should also use the guarantor PD as the basis for assigning the exposure to the appropriate supervisory PD
band.
Treatment of Eligible Purchased Wholesale Exposures. Consistent with paragraph (d)(4) of section 131
of the advanced approaches rule, reporting of eligible purchased wholesale exposures should be based on
segment-level risk estimates for PD, LGD, EAD, M, and ECL.
FFIEC 101

C-G - 1
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES C-G

Correlation factor for certain regulated and unregulated financial institutions. Banking organizations
must apply a multiplier of 1.25 to the correlation factor for wholesale exposures to unregulated financial
institutions that generate a majority of their revenue from financial activities, regardless of asset size.
This category includes highly leveraged entities such as hedge funds and financial guarantors. Banking
organizations must also apply a multiplier of 1.25 to the correlation factor for wholesale exposures to
regulated financial institutions with consolidated assets of greater than or equal to $100 billion. These
exposure amounts must be included with those reported in line items 1 through 12 (the sum of which
flows to Schedule B) and also reported separately in M2 and M3 (in Schedules C and D).
Cleared Transactions: Cleared transactions and default fund contributions, as described in section
133(b), section 133(c) and section 133(d) of the advanced approaches rule, should only be reported in
Schedule Q, and not in Schedules C through G.

FFIEC 101

C-G - 2
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES C-G

Schedule C – Wholesale Exposures - Corporate
Report all Wholesale Exposures – Corporate, which include all wholesale exposures as defined in the
advanced approaches rule, except those which are to be specifically included in the Wholesale Exposures
– Bank (Schedule D), Wholesale Exposures – Sovereign (Schedule E), Wholesale Exposures – Income
Producing Real Estate (Schedule F), Wholesale Exposures – High Volatility Commercial Real Estate
(Schedule G), or Wholesale Exposures – Eligible Margin Loans, Repo-Style Transactions, or OTC
Derivatives schedules (Schedules H through I). Include in this schedule government-related entities
whose exposures do not have the full faith and credit support of a sovereign such as the Federal Home
Loan Bank or the Federal Agricultural Mortgage Corporation.
Item No.
1-12

Instructions
In column A, report the weighted average obligor PD of exposures categorized as
wholesale corporate where the obligor PD falls within the indicated PD range. Cell A-12
equals 100.
In column B, report the total number of obligors included in this row for column A.
In column C, report the total balance sheet amount of exposures included in this row for
column A. Do not report any undrawn amounts in this column.
In column D, report the total dollar value of available but undrawn balance of exposures
(for example, from loan commitments, lines of credit, trade-related letters of credit, or
transaction-related contingencies) included in this row for column A.
In column E, report the total EAD of exposures included in this row for column A.
In column F, report the weighted average M in years of exposures included in this row
for column A.
In column G, report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of collateral but not the effects of
guarantees or credit derivatives.
In column H, report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of credit risk mitigants (guarantees,
credit derivatives and collateral).
In column I, report the estimated benefit arising from the application of the PD
substitution approach or the LGD adjustment approach to exposures included in this row,
expressed in terms of a reduction in risk-weighted assets in dollars but only in cases
where risk is mitigated through the use of eligible credit derivatives. The estimate can be
derived by deducting the aggregated risk-weighted assets that would have resulted from
the application of the IRB Wholesale risk-weight formula to all underlying obligations
contained in this row if the PD Substitution approach and LGD Adjustment approach had
not been applied from the amount in column K of this row (this resulting amount would
normally be negative). No estimate is required in cases where risk is mitigated through
the use of eligible guarantees.

FFIEC 101

C-G - 3
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES C-G
In column J, report the estimated benefit arising from the application of the double
default treatment to exposures included in this row, expressed in terms of a reduction in
risk-weighted assets in dollars. The estimate can be derived by deducting the aggregated
risk-weighted assets that would have resulted from the application of the IRB Wholesale
risk-weight formula to all underlying obligations contained in this row as if double
default treatment had not been applied from the amount in column K of this row (this
resulting amount would normally be negative). The estimate should reflect only credit
risk mitigation benefits derived from the application of the double default treatment.
In column K, report the total risk weighted assets associated with all exposures included
in this row for column A - after any credit risk mitigation adjustments including
application of double default treatment.
In column L, report the dollar amount of ECL for exposures included in this row for
column A.

In column A, the EAD-weighted average PD (WAPD) in percentage terms is calculated
as follows:

 12

 ∑ Ai ⋅ Ei 

WAPD(%) =  i =112
∑ Ei
i =1

where Ai and Ei are the weighted average PD (%) and EAD ($) reported in columns A
and E, respectively, for the ith PD range in item numbers 1 through 12 of this schedule.
Note that A12 equals 100.
In column F, the EAD-weighted average effective maturity (WAEM) in years is
calculated as follows:


 12
 ∑ Fi ⋅ Ei 

WAEM (Years ) =  i =112
∑ Ei
i =1

where Fi and Ei are the weighted average effective maturity (years) and EAD ($) reported
in columns F and E, respectively, for the ith PD range in item numbers 1 through 12 of
this schedule.
In column G, the EAD-weighted average LGD before consideration of eligible
guarantees and credit derivatives (WALGD_Pre) in percentage terms is calculated as
follows:

 12

 ∑ Gi ⋅ Ei 

WALGD _ Pr e(%) =  i =1 12
∑ Ei
i =1

FFIEC 101

C-G - 4
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES C-G
where Gi and Ei are the weighted average LGD before consideration of eligible
guarantees and credit derivatives (%) and EAD ($) reported in columns G and E,
respectively, for the ith PD range in item numbers 1 through 12 of this schedule.
In column H, the EAD-weighted average LGD after consideration of consideration of
credit risk mitigants (WALGD_Post) in percentage terms is calculated as follows:

 12

 ∑ H i ⋅ Ei 

WALGD _ Post (%) =  i =1 12
∑ Ei
i =1

where Hi and Ei are the LGD after consideration of credit risk mitigants (%) and EAD ($)
reported in columns H and E, respectively, for the ith PD range in item numbers 1 through
12 of this schedule.
In columns B, C, D, E, I, J, K, and L, the sums are calculated as the total of amounts
reported in item numbers 1 through 12 of this schedule for each of these respective
columns.
Memoranda Items
M1

Report the risk weighted assets of non-material portfolios reportable in this schedule, but
not included in the cells above.

FFIEC 101

C-G - 5
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES C-G
In column I, report the estimated benefit arising from the application of the PD
substitution approach or the LGD adjustment approach to exposures included in this row,
expressed in terms of a reduction in risk-weighted assets in dollars but only in cases
where risk is mitigated through the use of eligible credit derivatives. The estimate can be
derived by deducting the aggregated risk-weighted assets that would have resulted from
the application of the IRB Wholesale risk-weight formula to all underlying obligations
contained in this row if the PD Substitution approach and LGD Adjustment approach had
not been applied from the amount in column K of this row (this resulting amount would
normally be negative). No estimate is required in cases where risk is mitigated through
the use of eligible guarantees.
In column J, report the estimated benefit arising from the application of the double default
treatment to exposures included in this row, expressed in terms of a reduction in riskweighted assets in dollars. The estimate can be derived by deducting the aggregated riskweighted assets that would have resulted from the application of the IRB Wholesale riskweight formula to all underlying obligations contained in this row as if double default
treatment had not been applied from the amount in column K of this row (this resulting
amount would normally be negative). The estimate should reflect only credit risk
mitigation benefits derived from the application of the double default treatment.
In column K, report the total risk weighted assets associated with all exposures included
in this row for column A - after any credit risk mitigation adjustments including
application of double default treatment.
In column L, report the dollar amount of ECL for exposures included in this row for
column A.

FFIEC 101

C-G - 6
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES C-G

In column I, report the estimated benefit arising from the application of the PD
substitution approach or the LGD adjustment approach to exposures included in this row,
expressed in terms of a reduction in risk-weighted assets in dollars but only in cases
where risk is mitigated through the use of eligible credit derivatives. The estimate can be
derived by deducting the aggregated risk-weighted assets that would have resulted from
the application of the IRB Wholesale risk-weight formula to all underlying obligations
contained in this row if the PD Substitution approach and LGD Adjustment approach had
not been applied from the amount in column K of this row (this resulting amount would
normally be negative). No estimate is required in cases where risk is mitigated through
the use of eligible guarantees.
In column J, report the estimated benefit arising from the application of the double default
treatment to exposures included in this row, expressed in terms of a reduction in riskweighted assets in dollars. The estimate can be derived by deducting the aggregated riskweighted assets that would have resulted from the application of the IRB Wholesale riskweight formula to all underlying obligations contained in this row as if double default
treatment had not been applied from the amount in column K of this row (this resulting
amount would normally be negative). The estimate should reflect only credit risk
mitigation benefits derived from the application of the double default treatment.
In column K, report the total risk weighted assets associated with all exposures included
in this row for column A - after any credit risk mitigation adjustments including
application of double default treatment.
In column L, report the dollar amount of ECL for exposures included in this row for
column A.

FFIEC 101

C-G - 7
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES C-G

Schedule D – Wholesale Exposures - Bank
Report all Wholesale Exposures - Bank. For this schedule, Bank includes the following entities: (1)
banks and depository institutions as defined in the Glossary of the Reports of Condition and Income
under the following headings: Banks, U.S. and Foreign; and Depository Institutions in the U.S.; (2)
securities firms; and (3) multi-lateral development banks that do not have full faith and credit backing of
sovereign entities.
Item No.
1-12

Instructions
In column A, report the weighted average obligor PD of exposures categorized as
wholesale bank where the obligor PD falls within the indicated PD range. Cell A-12
equals 100.
In column B, report the total number of obligors included in this row for column A.
In column C, report the total balance sheet amount of exposures included in this row for
column A. Do not report any undrawn amounts in this column.
In column D, report the total dollar value of available but undrawn balance of exposures
(for example, from loan commitments, lines of credit, trade-related letters of credit, or
transaction-related contingencies) included in this row for column A.
In column E, report the total EAD of exposures included in this row for column A.
In column F, report the weighted average M in years of exposures included in this row
for column A.
In column G, report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of collateral but not the effects of
guarantees or credit derivatives.
In column H, report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of credit risk mitigants (guarantees,
credit derivatives, and collateral).
In column I, report the estimated benefit arising from the application of the PD
substitution approach or the LGD adjustment approach to exposures included in this row,
expressed in terms of a reduction in risk-weighted assets in dollars but only in cases
where risk is mitigated through the use of eligible credit derivatives. The estimate can be
derived by deducting the aggregated risk-weighted assets that would have resulted from
the application of the IRB Wholesale risk-weight formula to all underlying obligations
contained in this row if the PD Substitution approach and LGD Adjustment approach had
not been applied from the amount in column J of this row (this resulting amount would
normally be negative). No estimate is required in cases where risk is mitigated through
the use of eligible guarantees.
In column J, report the total risk weighted assets associated with all exposures included in
this row for column A - after any credit risk mitigation adjustments.

FFIEC 101

C-G - 8
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES C-G
In column K, report the dollar amount of ECL for exposures included in this row for
column A.

In column A, the EAD-weighted average PD (WAPD) in percentage terms is calculated
as follows:

 12

 ∑ Ai ⋅ Ei 

WAPD(%) =  i =112
∑ Ei
i =1

 12

 ∑ Fi ⋅ Ei 

WAEM (Years ) =  i =112
∑ Ei
i =1

 12

 ∑ Gi ⋅ Ei 

WALGD _ Pr e(%) =  i =1 12
∑ Ei
i =1

where Gi and Ei are the weighted average LGD before consideration of eligible
guarantees and credit derivatives (%) and EAD ($) reported in columns G and E,
respectively, for the ith PD range in item numbers 1 through 12 of this schedule.
In column H, the EAD-weighted average LGD after consideration of consideration of
credit risk mitigants (WALGD_Post) in percentage terms is calculated as follows:

 12

 ∑ H i ⋅ Ei 

WALGD _ Post (%) =  i =1 12
∑ Ei
i =1

FFIEC 101

C-G - 9
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES C-G
where Hi and Ei are the LGD after consideration of credit risk mitigants (%) and EAD ($)
reported in columns H and E, respectively, for the ith PD range in item numbers 1 through
12 of this schedule.
In columns B, C, D, E, I, J, and K, the sums are calculated as the total of amounts
reported in item numbers 1 through 12 of this schedule for each of these respective
columns.

Memoranda Items
M1

Report the risk weighted assets of non-material portfolios reportable in this schedule, but
not included in the cells above.

In column A, report the weighted average obligor PD of wholesale exposures to regulated
financial institutions with at least $100 billion in assets.
In column B, report the total number of obligors included in this row for column A.
In column C, report the total balance sheet amount of exposures included in this row for
column A. Do not report any undrawn amounts in this column.
In column D, report the total dollar value of available but undrawn balance of exposures
(for example, from loan commitments, lines of credit, trade-related letters of credit, or
transaction-related contingencies) included in this row for column A.
In column E, report the total EAD of exposures included in this row for column A.
In column F, report the weighted average M in years of exposures included in this row for
column A.
In column G, report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the LGDs of collateral but not the LGDs of
guarantees or credit derivatives.
In column H, report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of credit risk mitigants (guarantees,
credit derivatives and collateral).
In column I, report the estimated benefit arising from the application of the PD
substitution approach or the LGD adjustment approach to exposures included in this row,
expressed in terms of a reduction in risk-weighted assets in dollars but only in cases
where risk is mitigated through the use of eligible credit derivatives. The estimate can be
derived by deducting the aggregated risk-weighted assets that would have resulted from
the application of the IRB Wholesale risk-weight formula to all underlying obligations
contained in this row if the PD Substitution approach and LGD Adjustment approach had
not been applied from the amount in column K of this row (this resulting amount would
normally be negative). No estimate is required in cases where risk is mitigated through
the use of eligible guarantees.

FFIEC 101

C-G - 10
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES C-G
In column J, report the total risk weighted assets associated with all exposures included in
this row for column A - after any credit risk mitigation adjustments including application
of double default treatment.
In column K, report the dollar amount of ECL for exposures included in this row for
column A.

In column A, report the weighted average obligor PD unregulated financial institutions
that generate a majority of their revenue from financial activities.
In column B, report the total number of obligors included in this row for column A.
In column C, report the total balance sheet amount of exposures included in this row for
column A. Do not report any undrawn amounts in this column.
In column D, report the total dollar value of available but undrawn balance of exposures
(for example, from loan commitments, lines of credit, trade-related letters of credit, or
transaction-related contingencies) included in this row for column A.
In column E, report the total EAD of exposures included in this row for column A.
In column F, report the weighted average M in years of exposures included in this row for
column A.
In column G, report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the LGDs of collateral but not the LGDs of
guarantees or credit derivatives.
In column H, report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of credit risk mitigants (guarantees,
credit derivatives and collateral).
In column I, report the estimated benefit arising from the application of the PD
substitution approach or the LGD adjustment approach to exposures included in this row,
expressed in terms of a reduction in risk-weighted assets in dollars but only in cases
where risk is mitigated through the use of eligible credit derivatives. The estimate can be
derived by deducting the aggregated risk-weighted assets that would have resulted from
the application of the IRB Wholesale risk-weight formula to all underlying obligations
contained in this row if the PD Substitution approach and LGD Adjustment approach had
not been applied from the amount in column K of this row (this resulting amount would
normally be negative). No estimate is required in cases where risk is mitigated through
the use of eligible guarantees.
In column J, report the total risk weighted assets associated with all exposures included in
this row for column A - after any credit risk mitigation adjustments including application
of double default treatment.
In column K, report the dollar amount of ECL for exposures included in this row for
column A.

FFIEC 101

C-G - 11
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES C-G

Schedule E – Wholesale Exposures - Sovereign
Report all Wholesale Exposures – Sovereign (Sovereign exposures)
Item No.
1-12

Instructions
In column A, report the weighted average obligor PD of exposures categorized as
wholesale sovereign where the obligor PD falls within the indicated PD range. Cell A-12
equals 100.
In column B, report the total number of obligors included in this row for column A.
In column C, report the total balance sheet amount of exposures included in this row for
column A. Do not report any undrawn amounts in this column.
In column D, report the total dollar value of available but undrawn balance of exposures
(for example, from loan commitments, lines of credit, trade-related letters of credit, or
transaction-related contingencies) included in this row for column A.
In column E, report the total EAD of exposures included in this row for column A.
In column F, report the weighted average M in years of exposures included in this row
for column A.
In column G, report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of collateral but not the effects of
guarantees or credit derivatives.
In column H, report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of credit risk mitigants (guarantees,
credit derivatives, and collateral).
In column I, report the estimated benefit arising from the application of the PD
substitution approach or the LGD adjustment approach to exposures included in this row,
expressed in terms of a reduction in risk-weighted assets in dollars but only in cases
where risk is mitigated through the use of eligible credit derivatives. The estimate can be
derived by deducting the aggregated risk-weighted assets that would have resulted from
the application of the IRB Wholesale risk-weight formula to all underlying obligations
contained in this row if the PD Substitution approach and LGD Adjustment approach had
not been applied from the amount in column J of this row (this resulting amount would
normally be negative). No estimate is required in cases where risk is mitigated through
the use of eligible guarantees.
In column J, report the total risk weighted assets associated with all exposures included in
this row for column A - after any credit risk mitigation adjustments.
In column K, report the dollar amount of ECL for exposures included in this row for
column A.

FFIEC 101

C-G - 12
(3-14)

SCHEDULES C-G

FFIEC 101
13

SCHEDULES C-G
In column A, the EAD-weighted average PD (WAPD) in percentage terms is calculated
as follows:

 12

 ∑ Ai ⋅ Ei 

WAPD (%) =  i =112
∑ Ei
i =1


 12
 ∑ Fi ⋅ Ei 

WAEM (Years ) =  i =112
∑ Ei
i =1

 12

 ∑ Gi ⋅ Ei 

WALGD _ Pr e(%) =  i =1 12
∑ Ei
i =1

 12

 ∑ H i ⋅ Ei 

WALGD _ Post (%) =  i =1 12
∑ Ei
i =1

where Hi and Ei are the LGD after consideration of credit risk mitigants (%) and EAD ($)
reported in columns H and E, respectively, for the ith PD range in item numbers 1 through
12 of this schedule.

FFIEC 101

C-G - 13
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES C-G
In columns B, C, D, E, I, J, and K, the sums are calculated as the total of amounts
reported in item numbers 1 through 12 of this schedule for each of these respective
columns.

Memoranda Item
M1

FFIEC 101

Report the risk weighted assets of non-material portfolios reportable in this schedule, but
not included in the cells above.

C-G - 14
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES C-G

Schedule F – Wholesale Exposures – Income-Producing Real Estate (IPRE)
IPRE includes exposures that finance the acquisition, development, or construction (ADC) of one-to-four
family residential properties, or commercial real estate projects that are not defined as HVCRE as well as
permanent financing of commercial real estate and apartment buildings.
Item No.
1-12

Instructions
In column A, report the weighted average obligor PD of exposures categorized as
wholesale IPRE where the obligor PD falls within the indicated PD range. Cell A-12
equals 100.
In column B, report the total number of obligors included in this row for column A.
In column C, report the total balance sheet amount of exposures included in this row for
column A. Do not report any undrawn amounts in this column.
In column D, report the total dollar value of available but undrawn balance of exposures
(for example, from loan commitments, lines of credit, trade-related letters of credit, or
transaction-related contingencies) included in this row for column A.
In column E, report the total EAD of exposures included in this row for column A.
In column F, report the weighted average M in years of exposures included in this row
for column A.
In column G, report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of collateral but not the effects of
guarantees or credit derivatives.
In column H, report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of credit risk mitigants (guarantees,
credit derivatives and collateral).
In column I, report the estimated benefit arising from the application of the PD
substitution approach or the LGD adjustment approach to exposures included in this row,
expressed in terms of a reduction in risk-weighted assets in dollars but only in cases
where risk is mitigated through the use of eligible credit derivatives. The estimate can be
derived by deducting the aggregated risk-weighted assets that would have resulted from
the application of the IRB Wholesale risk-weight formula to all underlying obligations
contained in this row if the PD Substitution approach and LGD Adjustment approach had
not been applied from the amount in column K of this row (this resulting amount would
normally be negative). No estimate is required in cases where risk is mitigated through
the use of eligible guarantees.
In column J, report the estimated benefit arising from the application of the double
default treatment to exposures included in this row, expressed in terms of a reduction in
risk-weighted assets in dollars. The estimate can be derived by deducting the aggregated
risk-weighted assets that would have resulted from the application of the IRB Wholesale
risk-weight formula to all underlying obligations contained in this row as if double

FFIEC 101

C-G - 15
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES C-G
default treatment had not been applied from the amount in column K of this row (this
resulting amount would normally be negative). The estimate should reflect only credit
risk mitigation benefits derived from the application of the double default treatment.
In column K, report the total risk weighted assets associated with all exposures included
in this row for column A - after any credit risk mitigation adjustments including
application of double default treatment.
In column L, report the dollar amount of ECL for exposures included in this row for
column A.

In column A, the EAD-weighted average PD (WAPD) in percentage terms is calculated
as follows:

 12

 ∑ Ai ⋅ Ei 

WAPD(%) =  i =112
∑ Ei
i =1

 12

 ∑ Fi ⋅ Ei 

WAEM (Years ) =  i =112
∑ Ei
i =1

 12

 ∑ Gi ⋅ Ei 

WALGD _ Pr e(%) =  i =1 12
∑ Ei
i =1

FFIEC 101

C-G - 16
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES C-G
In column H, the EAD-weighted average LGD after consideration of consideration of
credit risk mitigants (WALGD_Post) in percentage terms is calculated as follows:

 12

 ∑ H i ⋅ Ei 

WALGD _ Post (%) =  i =1 12
∑ Ei
i =1

FFIEC 101

Report the risk weighted assets of non-material portfolios reportable in this schedule, but
not included in the cells above.

C-G - 17
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES C-G

Schedule G – Wholesale Exposures – High Volatility Commercial Real Estate
(HVCRE)
Report all Wholesale Exposures – High Volatility Commercial Real Estate (HVCRE)
Item No.
1-12

Instructions
In column A, report the weighted average obligor PD of exposures categorized as
wholesale HVCRE where the obligor PD falls within the indicated PD range. Cell A-12
equals 100.
In column B, report the total number of obligors included in this row for column A.
In column C, report the total balance sheet amount of exposures included in this row for
column A. Do not report any undrawn amounts in this column.
In column D, report the total dollar value of available but undrawn balance of exposures
(for example, from loan commitments, lines of credit, trade-related letters of credit, or
transaction-related contingencies) included in this row for column A.
In column E, report the total EAD of exposures included in this row for column A.
In column F, report the weighted average M in years of exposures included in this row
for column A.
In column G, report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of collateral but not the effects of
guarantees or credit derivatives.
In column H, report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of credit risk mitigants (guarantees,
credit derivatives and collateral).
In column I, report the estimated benefit arising from the application of the PD
substitution approach or the LGD adjustment approach to exposures included in this row,
expressed in terms of a reduction in risk-weighted assets in dollars but only in cases
where risk is mitigated through the use of eligible credit derivatives. The estimate can be
derived by deducting the aggregated risk-weighted assets that would have resulted from
the application of the IRB Wholesale risk-weight formula to all underlying obligations
contained in this row if the PD Substitution approach and LGD Adjustment approach had
not been applied from the amount in column K of this row (this resulting amount would
normally be negative). No estimate is required in cases where risk is mitigated through
the use of eligible guarantees.
In column J, report the estimated benefit arising from the application of the double
default treatment to exposures included in this row, expressed in terms of a reduction in
risk-weighted assets in dollars. The estimate can be derived by deducting the aggregated
risk-weighted assets that would have resulted from the application of the IRB Wholesale
risk-weight formula to all underlying obligations contained in this row as if double
default treatment had not been applied from the amount in column K of this row (this

FFIEC 101

C-G - 18
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES C-G
resulting amount would normally be negative). The estimate should reflect only credit
risk mitigation benefits derived from the application of the double default treatment.
In column K, report the total risk weighted assets associated with all exposures included
in this row for column A - after any credit risk mitigation adjustments including
application of double default treatment.
In column L, report the dollar amount of ECL for exposures included in this row for
column A.

In column A, the EAD-weighted average PD (WAPD) in percentage terms is calculated
as follows:

 12

 ∑ Ai ⋅ Ei 

WAPD (%) =  i =112
∑ Ei
i =1

 12

 ∑ Fi ⋅ Ei 

WAEM (Years ) =  i =112
∑ Ei
i =1

 12

 ∑ Gi ⋅ Ei 

WALGD _ Pr e(%) =  i =1 12
∑ Ei
i =1

C-G - 19
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES C-G

 12

 ∑ H i ⋅ Ei 

WALGD _ Post (%) =  i =1 12
∑ Ei
i =1

FFIEC 101

Report the risk weighted assets of non-material portfolios reportable in this schedule, but
not included in the cells above.

C-G - 20
(3-14)

SCHEDULES C-G

FFIEC 101

SCHEDULES H-J

Schedules H through J – Wholesale Exposures - Eligible Margin Loans, RepoStyle Transactions, OTC Derivatives, and Combinations of these Instruments
Subject to Qualifying Master Netting Agreements
General Instructions
Definitions. Apply the definitions provided in the advanced approaches rule for the following terms: (1)
probability of default (PD); (2) loss given default (LGD); (3) exposure at default (EAD); (4) effective
maturity (M); (5) expected credit loss (ECL); (6) qualifying cross-product master netting agreement; (7)
eligible margin loan; (8) obligor; (9) OTC derivative contract; (10) qualifying master netting agreement;
(11) repo-style transaction; (12) Value-at-Risk (VaR); (13) wholesale exposure; and (14) default.
The EAD adjustment approaches are described in section 132(b)(2), section 132(b)(3), and section 132(d)
of the advanced approaches rule.
For these schedules, report all repo-style transactions, eligible margin loans, and OTC derivatives,
including those that are covered positions under the market risk rule, except for credit derivatives and
equity derivative contracts for which the bank does not compute a separate counterparty credit risk capital
requirement in accordance with sections 132(c)(3) and (4) of the advanced approaches rule.
Weighted Averages. Weighted average obligor PD as used in this section is generally calculated by: (1)
determining the obligors and their exposures that fall within each of the PD ranges indicated, (2)
multiplying each obligor’s PD by its total EAD, (3) summing the products from step (2) for all exposures
within each PD range, and (4) dividing the summed products from step (3) by the sum of the EADs of all
exposures in the same PD range. If the EAD for exposures within a given PD range sums to zero, a
simple average (i.e., the sum of PDs within a PD range divided by the number of exposures) should be
reported.
Weighted average LGD as used in this section is generally calculated by: (1) determining the obligors and
their exposures that have estimated PDs that fall within each of the PD ranges indicated, (2) multiplying
each exposure’s LGD by its EAD, (3) summing the products from step (2) for all exposures within each
PD range, and (4) dividing the summed products from step (3) by the sum of the EADs of all exposures in
the same PD range. If the EAD for exposures within a given PD range sums to zero, a simple average
(i.e., the sum of LGDs within a PD range divided by the number of exposures) should be reported.
Weighted average M as used in this section is generally calculated by: (1) determining the obligors and
their exposures that have estimated PDs prior to considering the effects of credit risk mitigation that fall
within each of the PD ranges indicated, (2) multiplying each exposure’s estimated M by its EAD, (3)
summing the products from step (2) for all exposures within each PD range, and (4) dividing the summed
products from step (3) by the sum of the EADs of all exposures in the same PD range. If the EAD for
exposures within a given PD range sums to zero, a simple average (i.e., the sum of Ms within a PD range
divided by the number of exposures) should be reported.
Correlation factor for certain regulated and unregulated financial institutions. Banking organizations
must apply a multiplier of 1.25 to the correlation factor for wholesale exposures to unregulated financial
institutions that generate a majority of their revenue from financial activities, regardless of asset size.
This category includes highly leveraged entities such as hedge funds and financial guarantors. Banking
organizations must also apply a multiplier of 1.25 to the correlation factor for wholesale exposures
to regulated financial institutions with consolidated assets of greater than or equal to $100 billion.
FFIEC 101

H-J - 1
(3-14)

SCHEDULES H-J

FFIEC 101

SCHEDULES H-J

Schedule H – Wholesale Exposures – Eligible Margin Loans, Repo-style
Transactions, and OTC Derivatives with Cross-Product Netting
Report all eligible margin loans, repo-style transactions and OTC derivatives positions that are subject to
a qualifying cross-product master netting agreement. Exposures that are not covered by qualifying crossproduct master netting agreements are reported separately in Schedules I and J.
Exposures Where the EAD Adjustment Method is Used
Item No.
1-12

Instructions
In column A, report the weighted average obligor PD of all eligible margin loans, repostyle transactions, and OTC derivatives covered by qualified cross-product master netting
agreements where the obligor PD falls within each PD range indicated. Cell A-12 equals
100.
In column B, report the weighted average M in years of exposures included in this row
for column A.
In column C, report the total EAD of exposures included in this row for column A.
In column D, report the weighted average LGD of exposures included in this row for
column A.
In column E, report the total risk weighted assets associated with all exposures included
in this row for column A.
In column F, report the ECL associated with the exposures aggregated in this row for
column A.

In column C, report the EAD of eligible margin loans where a 300 percent risk weight
has been assigned.
In column E, report the risk weighted assets of eligible margin loans where a 300 percent
risk weight has been assigned.

In column A, the EAD-weighted average PD (WAPD) in percentage terms is calculated
as follows:

 12

 ∑ Ai ⋅ Ci 

WAPD (%) =  i =112
∑ Ci
i =1

where Ai and Ci are the weighted average PD (%) and EAD ($) reported in columns A
and C, respectively, for the ith PD range in item numbers 1 through 12 of this schedule.
Note that A12 equals 100.

FFIEC 101

H-J - 2
(3-14)

SCHEDULES H-J

FFIEC 101

SCHEDULES H-J
In column B, the EAD-weighted average effective maturity (WAEM) in years is
calculated as follows:

 12

 ∑ Bi ⋅ Ci 

WAEM (Years ) =  i =112
∑ Ci
i =1

where Bi and Ci are the weighted average effective maturity (years) and EAD ($) reported
in columns B and C, respectively, for the ith PD range in item numbers 1 through 12 of
this schedule.
In column D, the percent EAD-weighted average LGD (WALGD) in percentage terms is
calculated as follows:

 12

 ∑ Di ⋅ Ci 

WALGD(%) =  i =1 12
∑ Ci
i =1

where Di and Ci are the weighted average LGD (%) and EAD ($) reported in columns D
and C, respectively, for the ith PD range in item numbers 1 through 12 of this schedule.
In columns C and E, the sums are calculated as the total of amounts reported in item
numbers 1 through 13 of this schedule for each of these respective columns.
In column F, the sum is calculated as the total of amounts reported in item numbers 1
through 12 of this schedule for column F.
Exposures Where Collateral is Reflected in LGD
1-12

In column G, report the weighted average obligor PD of all eligible margin loans, repostyle transactions, and OTC derivatives covered by qualified cross-product master netting
agreements where the obligor PD falls within each PD range indicated. Cell G-12 equals
100.
In column H, report the weighted average M in years of exposures included in this row
for column G.
In column I, report the total EAD of exposures included in this row for column G.
In column J, report the weighted average LGD of exposures included in this row for
column G.
In column K, report the total risk weighted assets associated with all exposures included
in this row for column G.
In column L, report the ECL associated with the exposures aggregated in this row for
column G.

FFIEC 101

H-J - 3
(3-14)

SCHEDULES H-J

FFIEC 101
14

SCHEDULES H-J
In column G, the EAD-weighted average PD (WAPD) in percentage terms is calculated
as follows:

 12

 ∑ Gi ⋅ I i 

WAPD (%) =  i =1 12
∑ Ii
i =1

where Gi and Ii are the weighted average PD (%) and EAD ($) reported in columns G and
I, respectively, for the ith PD range in item numbers 1 through 12 of this schedule. Note
that G12 equals 100.
In column H, the EAD-weighted average effective maturity (WAEM) in years is
calculated as follows:

 12

 ∑ Hi ⋅ Ii 

WAEM (Years ) =  i =1 12
∑ Ii
i =1

where Hi and Ii are the weighted average effective maturity (years) and EAD ($) reported
in columns H and I, respectively, for the ith PD range in item numbers 1 through 12 of
this schedule.
In column J, the EAD-weighted average LGD (WALGD) in percentage terms is
calculated as follows:

 12

 ∑ J i ⋅ Ii 

WALGD(%) =  i =112
∑ Ii
i =1

where Ji and Ii are the weighted average LGD (%) and EAD ($) reported in columns J and
I, respectively, for the ith PD range in item numbers 1 through 12 of this schedule.
In columns I, K, and L, the sums are calculated as the total of amounts reported in item
numbers 1 through 12 of this schedule for each of these respective columns.
Memoranda Items
Exposures Where the EAD Adjustment Method is Used
M1-M2

FFIEC 101

In column A, report the weighted average obligor PD of all eligible margin loans, repostyle transactions, and OTC derivatives covered by qualified cross-product master
netting agreements that are to regulated financial institutions with at least $100 billion
in assets (M1) or unregulated financial institutions that generate a majority of their
revenue from financial activities (M2).

H-J - 4
(3-14)

SCHEDULES H-J

FFIEC 101

SCHEDULES H-J
In column B, report the weighted average M in years of exposures included in this
row for column A.
In column C, report the total EAD of exposures included in this row for column A.
In column D, report the weighted average LGD of exposures included in this row
for column A.
In column E, report the total risk weighted assets associated with all exposures
included in this row for column A.

In column F, report the ECL associated with the exposures aggregated in this
row for column A.
Exposures Where Collateral is Reflected in LGD
M1-M2

In column G, report the weighted average obligor PD of all eligible margin loans, repostyle transactions, and OTC derivatives covered by qualified cross-product master
netting agreements that are to regulated financial institutions with at least $100 billion
in assets (M1) or unregulated financial institutions that generate a majority of their
revenue from financial activities (M2).
In column H, report the weighted average M in years of exposures included in this
row for column G.
In column I, report the total EAD of exposures included in this row for column G.
In column J, report the weighted average LGD of exposures included in this row
for column G.
In column K, report the total risk weighted assets associated with all exposures
included in this row for column G.
In column L, report the ECL associated with the exposures aggregated in this row
for column G.

Transaction meeting the criteria below for columns A and C should be reported only in
column C (related to eligible margin loans, repo-style transactions, and OTC
derivatives covered by qualified cross-product master netting agreements where more
than two margin disputes lasted longer than the holding period or margin period of
risk over the previous two quarters)
In column A, report the exposure amount of all eligible margin loans, repo-style
transactions, and OTC derivatives covered by qualified cross-product master
netting agreements that are subject to a 20-day holding period (under the collateral
haircut or VaR approaches) or 20-day margin period of risk (under the IMM).
In column B, report the total risk weighted assets associated with all exposures
included in this row for column A.

FFIEC 101

H-J - 5
(3-14)

SCHEDULES H-J

FFIEC 101

SCHEDULES H-J
In column C, report the exposure amount of all eligible margin loans, repo-style
transactions, and OTC derivatives covered by qualified cross-product master netting
agreements where more than two margin disputes lasted longer than the holding
period or margin period of risk over the previous two quarters.
In column D, report the total risk weighted assets associated with all exposures
included in this row for column C.
In column E, report the exposure amount of eligible margin loans, repo-style
transactions, and OTC derivatives covered by qualified cross-product master netting
agreements that are that exhibit specific wrong-way risk for which the bank would
otherwise apply the IMM.
In column F, report the total risk weighted assets associated with all exposures
included in this row for column E.

FFIEC 101

H-J - 6
(3-14)

SCHEDULES H-J

FFIEC 101

SCHEDULES H-J

Schedule I – Wholesale Exposures – Eligible Margin Loans and Repo-style
Transactions with No Cross-Product Netting
Report all eligible margin loans and repo-style transactions that are NOT subject to a qualifying crossproduct master netting agreement.
Exposures Where the EAD Adjustment Method is Used
Item No.
1-12

Instructions
In column A, report the weighted average obligor PD of all eligible margin loans and
repo-style transactions not covered by qualified cross-product master netting agreements
where the obligor PD falls within each PD range indicated. Cell A-12 equals 100.
In column B, report the weighted average M in years of exposures included in this row
for column A.
In column C, report the total EAD of exposures included in this row for column A.
In column D, report the weighted average LGD of exposures included in this row for
column A.
In column E, report the total risk weighted assets associated with all exposures included
in this row for column A.
In column F, report the ECL associated with the exposures aggregated in this row for
column A.

In column A, the EAD-weighted average PD (WAPD) in percentage terms is calculated
as follows:

 12

 ∑ Ai ⋅ Ci 

WAPD (%) =  i =112
∑ Ci
i =1

where Ai and Ci are the weighted average PD (%) and EAD ($) reported in columns A
and C, respectively, for the ith PD range in item numbers 1 through 12 of this schedule.
Note that A12 equals 100.
In column B, the EAD-weighted average effective maturity (WAEM) in years is
calculated as follows:
FFIEC 101

H-J - 7
(3-14)

SCHEDULES H-J

FFIEC 101

SCHEDULES H-J

 12

 ∑ Bi ⋅ Ci 

WAEM (Years ) =  i =112
∑ Ci
i =1

where Bi and Ci are the weighted average effective maturity (years) and EAD ($) reported
in columns B and C, respectively, for the ith PD range in item numbers 1 through 12 of
this schedule.
In column D, the EAD-weighted average LGD (WALGD) in percentage terms is
calculated as follows:

 12

 ∑ Di ⋅ Ci 

WALGD(%) =  i =1 12
∑ Ci
i =1

In column G, report the weighted average obligor PD of all eligible margin loans and
repo-style transactions not covered by qualified cross-product master netting agreements
where the obligor PD falls within each PD range indicated. Cell G-12 equals 100.
In column H, report the weighted average M in years of exposures included in this row
for column G.
In column I, report the total EAD of exposures included in this row for column G.
In column J, report the weighted average LGD of exposures included in this row for
column G.
In column K, report the total risk weighted assets associated with all exposures included
in this row for column G.
In column L, report the ECL associated with the exposures aggregated in this row for
column G.

FFIEC 101

In column G, the EAD-weighted average PD (WAPD) in percentage terms is calculated
as follows:
H-J - 8
(3-14)

SCHEDULES H-J

FFIEC 101

SCHEDULES H-J

 12

 ∑ Gi ⋅ I i 

WAPD (%) =  i =1 12
∑ Ii
i =1

 12

 ∑ Hi ⋅ Ii 

WAEM (Years ) =  i =1 12
∑ Ii
i =1


 12
 ∑ J i ⋅ Ii 

WALGD(%) =  i =112
∑ Ii
i =1

In column A, report the percentage, rounded to one decimal place, of total EAD for this
schedule (item 14, column C) calculated using collateral haircuts.
In column B, report the percentage, rounded to one decimal place, of total EAD for this
schedule (item 14, column C) calculated using simple VaR.
In column C, report the percentage, rounded to one decimal place, of total EAD for this
schedule (item 14, column C) calculated using internal models methodology (IMM).

FFIEC 101

H-J - 9
(3-16)

SCHEDULES H-J

FFIEC 101

SCHEDULES H-J

Exposures Where the EAD Adjustment Method is Used
M2-M3

In column A, report the weighted average obligor PD of all eligible margin loans and
repo-style transactions not covered by qualified cross-product master netting
agreements that are to regulated financial institutions with at least $100 billion in assets
(M2) or unregulated financial institutions that generate a majority of their revenue from
financial activities (M3).
In column B, report the weighted average M in years of exposures included in this
row for column A.
In column C, report the total EAD of exposures included in this row for column A.
In column D, report the weighted average LGD of exposures included in this row
for column A.
In column E, report the total risk weighted assets associated with all exposures
included in this row for column A.
In column F, report the ECL associated with the exposures aggregated in this row
for column A.

Exposures Where Collateral is Reflected in LGD
M2-M3

In column G, report the weighted average obligor PD of all eligible margin loans and
repo-style transactions not covered by qualified cross-product master netting
agreements that are to regulated financial institutions with at least $100 billion in assets
(M2) or unregulated financial institutions that generate a majority of their revenue from
financial activities (M3).
In column H, report the weighted average M in years of exposures included in this
row for column G.
In column I, report the total EAD of exposures included in this row for column G.
In column J, report the weighted average LGD of exposures included in this row for
column G.
In column K, report the total risk weighted assets associated with all exposures
included in this row for column G.
In column L, report the ECL associated with the exposures aggregated in this row for
column G.

FFIEC 101

Transaction meeting the criteria below for columns A and C should be reported only in
column C (related eligible margin loans and repo-style transactions not covered by
qualified cross-product master netting agreements where more than two margin disputes
lasted longer than the holding period or margin period of risk over the previous two
quarters).
H-J - 10
(3-14)

SCHEDULES H-J

FFIEC 101

SCHEDULES H-J
In column A, report the exposure amount of all eligible margin loans and repo-style
transactions not covered by qualified cross-product master netting agreements that are
subject to a 20-day holding period (under the collateral haircut or VaR approaches) or
20- day margin period of risk (under the IMM).
In column B, report the total risk weighted assets associated with all exposures
included in this row for column A.
In column C, report the exposure amount of all eligible margin loans and repo-style
transactions not covered by qualified cross-product master netting agreements where
more than two margin disputes lasted longer than the holding period or margin period
of risk over the previous two quarters.
In column D, report the total risk weighted assets associated with all exposures
included in this row for column C.
In column E, report the exposure amount of eligible margin loans and repo-style
transactions not covered by qualified cross-product master netting agreements that
exhibit specific wrong-way risk for which the bank would otherwise apply the IMM.
In column F, report the total risk weighted assets associated with all exposures included
in this row for column E.

FFIEC 101

H-J - 11
(3-14)

SCHEDULES H-J

FFIEC 101

SCHEDULES H-J

Schedule J – Wholesale Exposures – OTC Derivatives with No Cross-Product
Netting
Report all OTC derivative positions which are NOT subject to a qualifying cross-product master netting
agreement.
Exposures Where the EAD Adjustment Method is Used
Item No.
1-12

Instructions
In column A, report the weighted average obligor PD of all OTC derivatives transactions
not covered by qualified cross-product master netting agreements where the obligor PD
falls within each PD range indicated. Cell A-12 equals 100.
In column B, report the weighted average M in years of exposures included in this row
for column A.
In column C, report the total EAD of exposures included in this row for column A.
In column D, report the weighted average LGD of exposures included in this row for
column A.
In column E, report the total risk weighted assets associated with all exposures included
in this row for column A.
In column F, report the ECL associated with the exposures aggregated in this row for
column A.

In column A, the EAD-weighted average PD (WAPD) in percentage terms is calculated
as follows:

 12

 ∑ Ai ⋅ Ci 

WAPD (%) =  i =112
∑ Ci
i =1

 12

 ∑ Bi ⋅ Ci 

WAEM (Years ) =  i =112
∑ Ci
i =1

FFIEC 101

H-J - 12
(3-14)

SCHEDULES H-J

FFIEC 101

SCHEDULES H-J
where Bi and Ci are the weighted average effective maturity (years) and EAD ($) reported
in columns B and C, respectively, for the ith PD range in item numbers 1 through 12 of
this schedule.
In column D, the EAD-weighted average LGD (WALGD) in percentage terms is
calculated as follows:

 12

 ∑ Di ⋅ Ci 

WALGD(%) =  i =1 12
∑ Ci
i =1

where Di and Ci are the weighted average LGD (%) and EAD ($) reported in columns D
and C, respectively, for the ith PD range in item numbers 1 through 12 of this schedule.
In columns C, E, and F, the sums are calculated as the total of amounts reported in item
numbers 1 through 12 of this schedule for each of these respective columns.
Exposures for Which the Bank Uses the Current Exposure Methodology to Determine EAD and
Reflects Collateral, if any, in LGD.
1-12

In column G, report the weighted average obligor PD of all OTC derivatives transactions
not covered by qualified cross-product master netting agreements where the obligor PD
falls within each PD range indicated. Cell G-12 equals 100.
In column H, report the weighted average M in years of exposures included in this row
for column G.
In column I, report the total EAD of exposures included in this row for column G.
In column J, report the weighted average LGD of exposures included in this row for
column G.
In column K, report the total risk weighted assets associated with all exposures included
in this row for column G.
In column L, report the ECL associated with the exposures aggregated in this row for
column G.

In column G, the EAD-weighted average PD (WAPD) in percentage terms is calculated
as follows:

 12

 ∑ Gi ⋅ I i 

WAPD (%) =  i =1 12
∑ Ii
i =1

FFIEC 101

SCHEDULES H-J

In column H, the EAD-weighted average effective maturity (WAEM) in years is
calculated as follows:

 12

 ∑ Hi ⋅ Ii 

WAEM (Years ) =  i =1 12
∑ Ii
i =1


 12
 ∑ J i ⋅ Ii 

WALGD(%) =  i =112
∑ Ii
i =1

In column A, report the percentage, rounded to one decimal place, of total EAD for this
schedule (item 13, column C) calculated using collateral haircuts.
In column B, report the percentage, rounded to one decimal place, of total EAD for this
schedule (item 13, column C) calculated using internal models methodology (IMM).

Exposures Where the EAD Adjustment Method is Used
M2-M3

In column A, report the weighted average obligor PD of all OTC derivatives transactions
not covered by qualified cross-product master netting agreements that are to regulated
financial institutions with at least $100 billion in assets (M2) or unregulated financial
institutions that generate a majority of their revenue from financial activities (M3).
In column B, report the weighted average M in years of exposures included in this row
for column A.
In column C, report the total EAD of exposures included in this row for column A.
In column D, report the weighted average LGD of exposures included in this row for
column A.

FFIEC 101

H-J - 14
(3-16)

SCHEDULES H-J

FFIEC 101

SCHEDULES H-J

In column E, report the total risk weighted assets associated with all exposures included
in this row for column A.
In column F, report the ECL associated with the exposures aggregated in this row for
column A.
Exposures Where Collateral is Reflected in LGD
M2-M3

In column G, report the weighted average obligor PD of all OTC derivatives transactions
not covered by qualified cross-product master netting agreements that are to regulated
financial institutions with at least $100 billion in assets (M2) or unregulated financial
institutions that generate a majority of their revenue from financial activities (M3).
In column H, report the weighted average M in years of exposures included in this row
for column G.
In column I, report the total EAD of exposures included in this row for column G.
In column J, report the weighted average LGD of exposures included in this row for
column G.
In column K, report the total risk weighted assets associated with all exposures included
in this row for column G.
In column L, report the ECL associated with the exposures aggregated in this row for
column G.

Transaction meeting the criteria below for columns A and C should be reported only in
column C (related OTC derivatives transactions not covered by qualified cross-product
master netting agreements where more than two margin disputes lasted longer than the
holding period or margin period of risk over the previous two quarters).
In column A, report the exposure amount of all OTC derivatives transactions not covered
by qualified cross-product master netting agreements that are subject to a 20-day holding
period (under the collateral haircut or VaR approaches) or 20-day margin period of risk
(under the IMM).
In column B, report the total risk weighted assets associated with all exposures included
in this row for column A.
In column C, report the exposure amount of all OTC derivatives transactions not covered
by qualified cross-product master netting agreements where more than two margin
disputes lasted longer than the holding period or margin period of risk over the previous
two quarters.
In column D, report the total risk weighted assets associated with all exposures included
in this row for column C.

FFIEC 101

H-J - 15
(3-14)

SCHEDULES H-J

FFIEC 101

SCHEDULES H-J
In column E, report the exposure amount of all OTC derivatives transactions not covered
by qualified cross-product master netting agreements that exhibit specific wrong-way risk
for which the bank would otherwise apply the IMM.
In column F, report the total risk weighted assets associated with all exposures
included in this row for column E.

FFIEC 101

H-J - 16
(3-14)

SCHEDULES H-J

FFIEC 101

SCHEDULES K-O

Schedules K through O – Retail Exposures
General Instructions
These schedules should reflect summary or aggregate information based on the bank’s own segmentation
system for risk-based capital purposes. For each retail category, banks should use the PDs calculated in
its segmentation process as the basis for assigning exposures to rows that correspond to a specified
supervisory PD band in each schedule.
Definitions. Apply the definitions provided in the advanced approaches rule for the following terms: (1)
probability of default (PD); (2) loss given default (LGD); (3) exposure at default (EAD); (4) expected
credit loss (ECL);.(5) other retail exposure; (6) residential mortgage exposure; (7) default; (8) retail
exposure; (9) credit risk mitigant; and (10) qualifying revolving exposure (QRE). Account age is
described below.
Loan-to-Value. Loan-to–Value (LTV): Where LTV information is requested, reporting of these cells is
required only if LTVs are available. If LTVs are used in the segmentation process, report the LTV that is
used in the segmentation process. If LTVs are not used in the segmentation process, report the most
recent well-supported LTV for the exposures (original or well supported updated LTV).
For closed-end first lien exposures, LTV ratios should be calculated with respect to only the bank’s first
lien exposure amount. For closed-end junior liens and revolving mortgage exposures, LTV ratios should
be calculated with respect to the bank’s junior lien exposures combined with any prior liens.
Credit Risk Score. Credit Risk Score: Reporting of these cells is required only if the scores are available.
Report scores only from credit scoring systems with a common mapping from scores to default
probabilities and/or expected losses. Where two or more credit scoring systems with different mappings
are used in the same portfolio, report scores only from the system used for the largest number of
exposures in that portfolio.
Weighted Averages. Weighted average PD as used in this section is calculated by: (1) determining the
exposures that are in segments whose PDs fall within each of the PD ranges indicated, (2) multiplying
each segment’s PD by its EAD, (3) summing the products from step (2) for all segments within each PD
range, and (4) dividing the summed products from step (3) by the sum of the EADs of all segments in the
same PD range.
Weighted average LGD as used in this section is calculated by: (1) determining the segments that have
PDs that fall within each of the PD ranges indicated, (2) multiplying each segment’s LGD by its EAD, (3)
summing the products from step (2) for all segments within each PD range, and (4) dividing the summed
products from step (3) by the sum of the EADs of all segments in the same PD range.
Weighted average age as used in this section is calculated by: (1) determining the segments that have PDs
that fall within each of the PD ranges indicated, (2) determining an average (or weighted average) age for
each segment using the account age definitions described below, (3) multiplying each segment’s average
age by its EAD, (4) summing the products from step (3) for all segments within each PD range, and (5)
dividing the summed products from step (4) by the sum of EADs of all segments in the same PD range.
Weighted average credit scores are calculated in a similar manner as weighted average age. The
difference is that the sum in the denominator only includes EADs of exposures in the exposure category

FFIEC 101

K-O - 1
(3-14)

SCHEDULES K-O

FFIEC 101

SCHEDULES K-O

that have a credit risk score available. Report weighted average credit scores for each of the PD ranges
indicated to one decimal place.
Account Age. The following definitions should be used to determine the age of accounts: (i) for mortgage
exposures and other types of closed-end loans, account age is defined as the number of months since
origination; (ii) for qualifying revolving exposures, account age is defined as the number of months on the
bank’s books; and (iii) for other retail exposures, account age should be determined using the number of
months since whatever reference point the bank uses within its systems to identify the age of an account.

FFIEC 101

K-O - 2
(3-14)

SCHEDULES K-O

FFIEC 101

SCHEDULES K-O

Schedule K – Retail Exposures – Residential Mortgage – Closed-end First
Lien Exposures
Report all residential mortgage exposures that (1) are secured by first liens, and (2) are not revolving.
Item No.
1-15

Instructions
In column A, report the weighted average PD of all segments of exposures applicable to
this section as noted above, whose PD falls within each range indicated. Cell A-15
equals 100.
In column B, report the total number of exposures in all segments included in this row for
column A.
In column C, report the total balance sheet amount of exposures within the segments
included in this row for column A.
In column D, report the dollar volume of available but undrawn balances of exposures
within the segments included in this row for column A. Include undrawn commitments
to lend, including available negative amortization and unfunded mortgage commitments.
In column E, report the total EAD of segments of exposures included in this row for
column A.
In column F, report the weighted average age in months of exposures in the segments
included in this row for column A.
In column G, report the weighted average LGD of exposures in the segments included in
this row for column A.
In column H, report total risk-weighted assets associated with all segments of exposures
included in this row for column A.
In column I, report the dollar volume of ECL, after consideration of credit risk
mitigation, for segments of exposures included in this row for column A.
In column J, report the EAD of exposures included in this row for column A that have
less than a 70% LTV.
In column K, report the EAD of exposures included in this row for column A that have at
least a 70% but less than 80% LTV.
In column L, report the EAD of exposures included in this row for column A that have at
least an 80% but less than 90% LTV.
In column M, report the EAD of exposures included in this row for column A that have at
least a 90% but less than 100% LTV.
In column N, report the EAD of exposures included in this row for column A that have an
LTV greater than or equal to 100%.

FFIEC 101

K-O - 3
(3-14)

SCHEDULES K-O

FFIEC 101

SCHEDULES K-O

In column O, report the weighted average credit risk score of exposures in the segments
included in this row for column A, rounded to one decimal place.
In column P, report the EAD of accounts that are included in the segments reported in
this row where the LTV has been updated since the last report date, that is, the updated
LTV is based upon a refreshed assessment of the collateral value. If LTVs were not
updated for any accounts in the segments reported in the row since the last report date,
report 0.
16

In column A, the EAD-weighted average PD (WAPD) in percentage terms is calculated
as follows:

 15

 ∑ Ai ⋅ Ei 

WAPD (%) =  i =115
∑ Ei
i =1

where Ai and Ei are the weighted average PD (%) and EAD ($) reported in columns A
and E, respectively, for the ith PD range in item numbers 1 through 15 of this schedule.
Note that A15 equals 100.
In column F, the EAD-weighted average age (WAA) in months is calculated as follows:


 15
 ∑ Fi ⋅ Ei 

WAA( Months ) =  i =115
∑ Ei
i =1

where Fi and Ei are the weighted average age (months) and EAD ($) reported in columns
F and E, respectively, for the ith PD range in item numbers 1 through 15 of this schedule.
In column G, the EAD-weighted average LGD (WALGD) in percentage terms is
calculated as follows:

 15

 ∑ Gi ⋅ Ei 

WALGD(%) =  i =1 15
∑ Ei
i =1

where Gi and Ei are the weighted average LGD (%) and EAD ($) reported in columns G
and E, respectively, for the ith PD range in item numbers 1 through 15 of this schedule.
In column O, report the EAD-weighted average bureau score (WABS), rounded to the
nearest whole number, using the following calculation:

FFIEC 101

K-O - 4
(3-16)

SCHEDULES K-O

FFIEC 101

SCHEDULES K-O

 15

 ∑ Oi ⋅ Ei' 

WABS =  i =1 15
∑ Ei'
i =1

where Oi is the weighted average bureau score reported in column O and Ei is the EAD
($) of exposures with a bureau score available, for the ith PD range in item numbers 1
through 15 of this schedule. The EAD reported in column Ei will be greater or equal to
'

the EAD of exposures with a bureau score available, Ei .
In columns B, C, D, E, H, I, J, K, L, M, N, and P, the sums are calculated as the total of
amounts reported in item numbers 1 through 15 of this schedule for each of these
respective columns.
Memoranda Items
M1

Report the risk-weighted assets of non-material portfolios reportable in this schedule but
not included in the above cells.

Report the name of the credit bureau or credit scoring system used to produce the values
in column O. Leave blank if not applicable.

FFIEC 101

K-O - 5
(3-14)

SCHEDULES K-O

FFIEC 101

SCHEDULES K-O

Schedule L – Retail Exposures – Residential Mortgage – Closed-end Junior
Lien Exposures
Report all residential mortgage exposures that (1) are secured by liens subordinate to any other lien, and
(2) are not revolving.
Item No.
1-15

FFIEC 101

K-O - 6
(3-14)

SCHEDULES K-O

FFIEC 101

SCHEDULES K-O
In column N, report the EAD of exposures included in this row for column A that have an
LTV greater than or equal to 100%.
In column O, report the weighted average credit risk score of exposures in the segments
included in this row for column A, rounded to one decimal place.
In column P, report the EAD of accounts that are included in the segments reported in
this row where the LTV has been updated since the last report date, that is, the updated
LTV is based upon a refreshed assessment of the collateral value. If LTVs were not
updated for any accounts in the segments reported in the row since the last report date,
report 0.

In column A, the EAD-weighted average PD (WAPD) in percentage terms is calculated
as follows:

 15

 ∑ Ai ⋅ Ei 

WAPD (%) =  i =115
∑ Ei
i =1


 15
 ∑ Fi ⋅ Ei 

WAA( Months ) =  i =115
∑ Ei
i =1


 15
 ∑ Gi ⋅ Ei 

WALGD(%) =  i =1 15
∑ Ei
i =1

FFIEC 101

K-O - 7
(3-16)

SCHEDULES K-O

FFIEC 101

SCHEDULES K-O

 15

 ∑ Oi ⋅ Ei' 

WABS =  i =1 15
∑ Ei'
i =1

Report the risk-weighted assets of non-material portfolios reportable in this schedule but
not included in the above cells.

Report the name of the credit bureau or credit scoring system used to produce the values
in column O. Leave blank if not applicable.

FFIEC 101

K-O - 8
(3-14)

SCHEDULES K-O

FFIEC 101

SCHEDULES K-O

Schedule M – Retail Exposures – Residential Mortgage – Revolving
Exposures
Report all residential mortgage exposures that are revolving.
Item No.
1-15

FFIEC 101

K-O - 9
(3-14)

SCHEDULES K-O

FFIEC 101

SCHEDULES K-O

In column A, the EAD-weighted average PD (WAPD) in percentage terms is calculated
as follows:

 15

 ∑ Ai ⋅ Ei 

WAPD (%) =  i =115
∑ Ei
i =1

 15

 ∑ Fi ⋅ Ei 

WAA( Months ) =  i =115
∑ Ei
i =1

 15

 ∑ Gi ⋅ Ei 

WALGD(%) =  i =1 15
∑ Ei
i =1

FFIEC 101

K-O - 10
(3-16)

SCHEDULES K-O

FFIEC 101

SCHEDULES K-O

 15

 ∑ Oi ⋅ Ei' 

WABS =  i =1 15
∑ Ei'
i =1

Report the risk-weighted assets of non-material portfolios reportable in this schedule but
not included in the above cells.

Report the name of the credit bureau or credit scoring system used to produce the values
in column O. Leave blank if not applicable.

FFIEC 101

K-O - 11
(3-14)

SCHEDULES K-O

FFIEC 101

SCHEDULES K-O

Schedule N – Retail Exposures – Qualifying Revolving Exposures
Report all qualifying revolving exposures.
Item No.
1-15

Instructions
In column A, report the weighted average PD of the segments whose PDs fall within each
of the PD ranges indicated. Cell A-15 equals 100.
In column B, report the total number of exposures in all segments included in this row for
column A.
In column C, report the total balance sheet amount of exposures within the segments
included in this row for column A.
In column D, report the dollar amount of available but undrawn balances of exposures
within the segments included in this row for column A.
In column E, report the total EAD of segments of exposures included in this row for
column A.
In column F, report the total EAD for the exposures in the segments included in this row
for column A that are less than 2 years old. Report zero if all exposures in this row are
more than 2 years old.
In column G, report the weighted average LGD of exposures in the segments included in
this row for column A.
In column H, report total risk-weighted assets associated with all segments of exposures
included in this row for column A.
In column I, report the dollar amount of ECL, after consideration of credit risk
mitigation, for segments of exposures included in this row for column A.
In column J, report the weighted average credit risk score of exposures in the segments
included in this row for column A, rounded to one decimal place.

In column A, the EAD-weighted average PD (WAPD) in percentage terms is calculated
as follows:

 15

 ∑ Ai ⋅ Ei 

WAPD (%) =  i =115
∑ Ei
i =1

where Ai and Ei are the weighted average PD (%) and EAD ($) reported in columns A
and E, respectively, for the ith PD range in item numbers 1 through 15 of this schedule.
Note that A15 equals 100.

FFIEC 101

K-O - 12
(3-16)

SCHEDULES K-O

FFIEC 101

SCHEDULES K-O
In column G, the EAD-weighted average LGD (WALGD) in percentage terms is
calculated as follows:

 15

 ∑ Gi ⋅ Ei 

WALGD(%) =  i =1 15
∑ Ei
i =1

where Gi and Ei are the weighted average LGD (%) and EAD ($) reported in columns G
and E, respectively, for the ith PD range in item numbers 1 through 15 of this schedule.
In column J, report the EAD-weighted average bureau score (WABS), rounded to the
nearest whole number, using the following calculation:

 15


J i ⋅ E i' 


WABS =  i =115
E i'

∑

∑
i =1

where Ji is the weighted average bureau score reported in column J and Ei is the EAD ($)
of exposures with a bureau score available, for the ith PD range in item numbers 1
through 15 of this schedule. The EAD reported in column Ei will be greater or equal to
'

the EAD of exposures with a bureau score available, Ei .
In columns B, C, D, E, F, H, and I, the sums are calculated as the total of amounts
reported in item numbers 1 through 15 of this schedule for each of these respective
columns.
Memoranda Items
M1

Report the risk-weighted assets of non-material portfolios reportable in this schedule but
not included in the above cells.

Report the name of the credit bureau or credit scoring system used to produce the values
in column J. Leave blank if not applicable.

FFIEC 101

K-O - 13
(3-14)

SCHEDULES K-O

FFIEC 101

SCHEDULES K-O

Schedule O – Retail Exposures – Other Retail Exposures
Report other retail exposures.
Item No.
1-15

In column A, the EAD-weighted average PD (WAPD) in percentage terms is calculated
as follows:

 15

 ∑ Ai ⋅ Ei 

WAPD (%) =  i =115
∑ Ei
i =1

where Ai and Ei are the weighted average PD (%) and EAD ($) reported in columns A
and E, respectively, for the ith PD range in item numbers 1 through 15 of this schedule.
Note that A15 equals 100.

FFIEC 101

K-O - 14
(3-16)

SCHEDULES K-O

FFIEC 101

SCHEDULES K-O
In column G, the EAD-weighted average LGD (WALGD) in percentage terms is
calculated as follows:

 15

 ∑ Gi ⋅ Ei 

WALGD(%) =  i =1 15
∑ Ei
i =1

 15


J i ⋅ E i' 


WABS =  i =115
E i'

∑

∑
i =1

Report the risk-weighted assets of non-material portfolios reportable in this schedule but
not included in the above cells.

Report the name of the credit bureau or credit scoring system used to produce the values
in column J. Leave blank if not applicable.

FFIEC 101

K-O - 15
(3-14)

SCHEDULES K-O

FFIEC 101

SCHEDULE P

Schedule P – Securitization Exposures
General Instructions
Definitions. Apply the definitions from the advanced approaches rule to the following terms: (1)
securitization exposure; (2) securitization; (3) securitization position; (4) resecuritization exposure; (5)
resecuritization; (6) resecuritization position; (7) early amortization provision; (8) exposure at default
(EAD); and (9) synthetic securitization.
The Supervisory Formula Approach (SFA) and Simplified Supervisory Formula Approach (SSFA) are
described in sections 143, 144, and 145, respectively, of the advanced approaches rule.
Reporting under specific cases defined in the advanced approaches rule.
Proration of adjustments to capital requirements across multiple exposure categories within a single
securitization transaction. If, according to the provisions of section 142(d) of the advanced approaches
rule, an adjustment is made to the capital requirements of a securitization that involves multiple exposure
categories, the adjustment to risk-weighted assets should be allocated across these exposures in proportion
to associated exposure amounts such that the total risk-based capital requirements equal the maximum
risk-based capital requirements for the securitization transaction.
Implicit support. According to section 142(h) of the advanced approaches rule, banks and savings
associations that provide implicit support to a securitization are required to hold regulatory capital against
the underlying exposures as if the exposures had not been securitized. Banks and savings associations
should not report such exposures in Schedule P. Instead, banks and savings associations should report the
underlying exposures in the schedule appropriate for those exposures according to the instructions for that
schedule.
Item No.

Instructions

In column A, report the amount of exposures under the SFA for securitizations that are
not resecuritizations.
In column B, report the risk-weighted assets associated with the exposures in column A.
In column D, report the amount of exposures under the SFA for resecuritizations.
In column E, report the risk-weighted assets associated with the exposures in column D.

In column A, report the amount of exposures under the SSFA for securitizations that are
not resecuritizations.
In column B, report the risk-weighted assets associated with the exposures in column A.
In column D, report the amount of exposures under the SSFA for resecuritizations.
In column E, report the risk-weighted assets associated with the exposures in column D.

FFIEC 101

P-1
(3-14)

SCHEDULE P

FFIEC 101
3

SCHEDULE P
In column A, report the amount of exposures subject to 1,250% risk weight for
securitizations that are not resecuritizations.
In column B, report the risk-weighted assets associated with the exposures in column A.
In column D, report the amount of exposures subject to 1,250% risk weight for
resecuritizations.
In column E, report the risk-weighted assets associated with the exposures in column D.

In column C, report the aggregate amount that must be deducted for all other
securitizations that are not resecuritizations. Do not use columns A or B.
In column F, report the aggregate amount that must be deducted for all other
resecuritization exposures. Do not use columns A or B.

FFIEC 101

In columns A, B, D, and E the sums are calculated as the total of amounts reported in
item numbers 1 through 4 of this schedule for each of these respective columns. Do not
use columns C and F.

P-2
(3-14)

SCHEDULE P

FFIEC 101

SCHEDULE Q

Schedule Q – Cleared Transactions
General Instructions
Definitions. Apply the definitions provided in the advanced approaches rule for the following terms:
(1) cleared transaction; (2) clearing member; (3) clearing member client; (4) default fund contribution;
(5) central counterparty (CCP); (6) qualifying central counterparty (QCCP); (7) derivative contract;
(8) OTC derivative contract; (9) repo-style transaction; (10) netting set; (11) exposure at default
(EAD); and (12) trade exposure amount.
The calculations for the exposure amounts and risk weighted assets of cleared transactions and default
fund contributions are described in section 133(b), section 133(c) and section 133(d) of the advanced
approaches rule. As described in section 133(b)(2), the definition of trade exposure amount is inclusive
of initial margin.
Item No.

1-4

Instructions

Report the aggregate amount of exposures (either to derivative contracts, netting sets of
derivative contracts, or repo-style transactions) in each line item that corresponds with
exposures to clearing member client banks or clearing member banks.
In Column A, report the aggregate amount qualifying for the 2 percent risk weight
treatment (consistent with section 133(b) and section 133(c) of the advanced approaches
rule).
In column B, report the aggregate amount that does not qualify for the 2 percent risk weight
treatment (consistent with section 133(b) and section 133(c) of the advanced approaches
rule).
In column D, report the risk-weighted assets for each line item. Do not use column C.

5-6

Report the aggregate amount of default fund contributions (either to QCCPs and nonQCCPs) in each line item.
In column C, report the aggregate amount of default fund contributions (consistent with
section 133(d) of the advanced approaches rule). Do not use columns A or B.
In column D, report the risk-weighted assets for each line item.

FFIEC 101

In columns A, B, C and D, the sums are calculated as the total amounts reported in item
numbers 1 through 6 of this schedule for each respective column.

Q-1
(3-14)

SCHEDULE Q

FFIEC 101

SCHEDULE R

Schedule R – Equity Exposures
General Instructions
Definitions. Apply the definitions provided in the advanced approaches rule for the following terms: (1)
publicly traded; (2) investment fund; (3) equity exposure; and (4) separate account.
The following terms are described in section 152 of the advanced approaches rule: (1) community
development equity exposures; (2) hedge pairs and measures of an effective hedge; and (3) nonsignificant equity exposures.
The term adjusted carrying value is described in section 151 of the advanced approaches rule.
Investments in a separate account (such as bank-owned life insurance) must be treated as if they were an
equity exposure to an investment fund as described in section 154 of the advanced approaches rule.
The Simple Risk Weight Approach (SRWA) and the Internal Models Approach (IMA) are described in
sections 152 and 153, respectively, of the advanced approaches rule. The effective and ineffective portion
of a hedge pair are described in section 152(c) of the advanced approaches rule.
Banks subject to the SRWA should complete only columns A and B. Banks subject to the full IMA
should complete only columns C and D. Banks subject to the IMA for only publicly-traded equity
exposures (referred to hereafter as the partial IMA) should complete only columns E and F.
Item No.
1

Instructions
Total Equity Exposures. In column A, report the aggregate adjusted carrying value of
equity exposures that are subject to the SRWA. Do not include equity exposures subject
to the market risk capital framework.
In column C, report the aggregate adjusted carrying value of equity exposures that are
subject to the full IMA. Do not include equity exposures subject to the market risk
capital framework.
In column E, report the aggregate adjusted carrying value of equity exposures that are
subject to the partial IMA. Do not include equity exposures subject to the market risk
capital framework.

0% Risk Weight. For banks subject to the SRWA, report in column A the adjusted
carrying value of equity exposures that are sovereign exposures or exposures to the Bank
for International Settlements, the International Monetary Fund, the European
Commission, the European central bank or a multilateral development bank, to which the
bank assigns a rating grade associated with a PD of less than 0.03 percent.
For banks subject to the SRWA, report 0 in column B.
For banks subject to the full IMA, report in column C the adjusted carrying value of
equity exposures that are sovereign exposures or exposures to the Bank for International
Settlements, the International Monetary Fund, the European Commission, the European
central bank or a multilateral development bank, to which the bank assigns a rating grade
associated with a PD of less than 0.03 percent.

FFIEC 101

R-1
(3-14)

SCHEDULE R

FFIEC 101

SCHEDULE R

For banks subject to full IMA, report 0 in column D.
For banks subject to the partial IMA, report in column E the adjusted carrying value of
equity exposures that are sovereign exposures or exposures to the Bank for International
Settlements, the International Monetary Fund, the European Commission, the European
central bank or a multilateral development bank, to which the bank assigns a rating grade
associated with a PD of less than 0.03 percent.
For banks subject to the partial IMA, report 0 in column F.
3

20% Risk Weight. For banks subject to the SRWA, report in column A the adjusted
carrying value of equity exposures to a Federal Home Loan Bank and Farmer Mac.
For banks subject to the SRWA, report 20 percent of the amount in column A for this
item in column B.
For banks subject to the full IMA, report in column C the adjusted carrying value of
equity exposures to a Federal Home Loan Bank and Farmer Mac.
For banks subject to the full IMA, report 20 percent of the amount in column C for this
item in column D.
For banks subject to the partial IMA, report in column E the adjusted carrying value of
equity exposures to a Federal Home Loan Bank and Farmer Mac.
For banks subject to the partial IMA, report 20 percent of the amount in column E for this
item in column F.

Community Development Equity Exposures. For banks subject to the SRWA, report
in column A the adjusted carrying value of community development equity exposures.
For banks subject to the SRWA, report 100 percent of the amount in column A for this
item in column B.
For banks subject to the full IMA, report in column C the adjusted carrying value of
community development equity exposures.
For banks subject to the full IMA, report 100 percent of the amount in column C for this
item in column D.
For banks subject to the partial IMA, report in column E the adjusted carrying value of
community development equity exposures.
For banks subject to the partial IMA, report 100 percent of the amount in column E for
this item in column F.

Simple Risk Weight Approach (SRWA)
5

FFIEC 101

Effective Portion of Hedge Pairs. For bank subject to the SRWA, report in column A
the effective portion of each hedge pair.
R-2
(3-14)

SCHEDULE R

FFIEC 101

SCHEDULE R

For banks subject to the SRWA, report 100 percent of the amount in column A for this
item in column B.
This item is not applicable to banks subject to the full IMA or the partial IMA.
6

Non-Significant Equity Exposures. For banks subject to the SRWA, report in column
A the adjusted carrying value of non-significant equity exposures, as described in section
152(b)(3)(iii) of the advanced approaches rule.
For banks subject to the SRWA, report 100 percent of the amount in column A for this
item in column B.
This item is not applicable to banks subject to the full IMA or the partial IMA.

Significant Investments in Unconsolidated Financial Institutions. For banks subject
to the SRWA, report in column A the adjusted carrying value of the bank’s significant
investments in unconsolidated financial institutions in the form of common stock that are
not deducted from capital and are not included in column A, items 2 through 6, and are
not subject to a 600 percent risk weight per the advanced approaches rule.
For banks subject to the SRWA, report 100 percent of the amount in column A for this
item in column B. (Banks will be required to report 250 percent of the amount in column
A for this item in column B beginning January 2018.)
This item is not applicable to banks subject to the full IMA or the partial IMA.

Publicly Traded Equity Exposures Under the SRWA. For banks subject to the
SRWA, report in column A the adjusted carrying value of the bank’s publicly traded
equity exposures not included in column A, items 2 through 6, and not subject to a 600
percent risk weight per the advanced approaches rule, including the ineffective portion of
each hedge pair.
For banks subject to the SRWA, report 300 percent of the amount in column A for this
item in column B.
This item is not applicable to banks subject to the full IMA or the partial IMA.

Non-Publicly Traded Equity Exposures Under the SRWA. For banks subject to the
SRWA, report in column A the adjusted carrying value of the bank’s non-publicly traded
equity exposures not included in column A, items 2 through 6, and not subject to a 600
percent risk weight per the advanced approaches rule.
For banks subject to the SRWA, report 400 percent of the amount in column A for this
item in column B.
For banks subject to partial IMA, report in column E the adjusted carrying value of the
bank’s non-publicly traded equity exposures not included in column E, items 2 through 6,
and not subject to a 600 percent risk weight per the final rule.

FFIEC 101

R-3
(3-14)

SCHEDULE R

FFIEC 101

SCHEDULE R
For banks subject to the partial IMA, report 400 percent of the amount in column E for
this item in column F.
This item is not applicable to banks subject to the full IMA.

600% Risk Weight Equity Exposures Under the SRWA. For banks subject to the
SRWA, report in column A the adjusted carrying value of the bank’s equity exposures
subject to a 600 percent risk weight under paragraph (b)(6) of section 152 of the
advanced approaches rule.
For banks subject to the SRWA, report 600 percent of the amount in column A for this
item in column B.
For banks subject to partial IMA, report in column E the adjusted carrying value of the
bank’s equity exposures subject to a 600 percent risk weight under paragraph (b)(6) of
section 152 of the final rule.
For banks subject to the partial IMA, report 600 percent of the amount in column E for
this item in column F.
This item is not applicable to banks subject to the full IMA.

Total Risk Weighted Assets (RWA) Under the SRWA. For banks subject to the
SRWA, report in column B the sum of amounts in column B, items 2 through 10.
This item is not applicable to banks subject to the full IMA or the partial IMA.

Equity Exposures to Investment Funds
12

Full Look-through Approach. For banks subject to the SRWA, report in column A the
adjusted carrying value of all equity exposures to investment funds to which the bank
applies the full look-through approach as described in paragraph (b) of section 154 of the
advanced approaches rule.
For banks subject to the SRWA, report the risk weighted assets of the amount in column
A for this item in column B.
For banks subject to full IMA, report in column C the adjusted carrying value of all
equity exposures to investment funds to which the bank applies the full look-through
approach as described in paragraph (b) of section 154 of the final rule.
For banks subject to the full IMA, report the risk weighted assets of the amount in
column C for this item in column D.
For banks subject to the partial IMA, report in column E the adjusted carrying value of all
equity exposures to investment funds to which the bank applies the full look-through
approach as described in paragraph (b) of section 154 of the final rule.
For banks subject to the partial IMA, report the risk weighted assets of the amount in
column E for this item in column F.

FFIEC 101

R-4
(3-14)

SCHEDULE R

FFIEC 101
13

SCHEDULE R
Simple Modified Look-through Approach. For banks subject to the SRWA, report in
column A the adjusted carrying value of all equity exposures to investment funds to
which the bank applies the simple modified look-through approach as described in
paragraph (c) of section 154 of the advanced approaches rule.
For banks subject to the SRWA, report the risk weighted assets for the amount in column
A for this item in column B.
For banks subject to the full IMA, report in column C the adjusted carrying value of all
equity exposures to investment funds to which the bank applies the simple modified lookthrough approach as described in paragraph (c) of section 154 of the final rule.
For banks subject to the full IMA, report the risk weighted assets for the amount in
column C for this item in column D.
For banks subject to the partial IMA, report in column E the adjusted carrying value of all
equity exposures to investment funds to which the bank applies the simple modified lookthrough approach as described in paragraph (c) of section 154 of the final rule.
For banks subject to the partial IMA, report the risk weighted assets for the amount in
column E for this item in column F.

Alternative Modified Look-through Approach. For banks subject to the SRWA,
report in column A the adjusted carrying value of all equity exposures to investment
funds for which the bank applies the alternative modified look-through approach as
described in paragraph (d) of section 154 of the advanced approaches rule.
For banks subject to the SRWA, report the risk weighted assets for the amount in column
A for this item in column B.
For banks subject to the full IMA, report in column C the adjusted carrying value of all
equity exposures to investment funds for which the bank applies the alternative modified
look-through approach as described in paragraph (d) of section 154 of the final rule.
For banks subject to the full IMA, report the risk weighted assets for the amount in
column C for this item in column D.
For banks subject to the partial IMA, report in column E the adjusted carrying value of all
equity exposures to investment funds for which the bank applies the alternative modified
look-through approach as described in paragraph (d) of section 154 of the final rule.
For banks subject to the partial IMA, report the risk weighted assets for the amount in
column E for this item in column F.

Total Risk Weighted Assets for Investment Funds. For banks subject to the SRWA,
report in column B the sum of amounts in column B, items 12 through 14.
For banks subject to the full IMA, report in column D the sum of amounts in column D,
items 12 through 14.

FFIEC 101

R-5
(3-14)

SCHEDULE R

FFIEC 101

SCHEDULE R
For banks subject to the partial IMA, report in column F the sum of amounts in column F,
items 12 through 14.

Total: SRWA. For banks subject to the SRWA, report in column B the sum of column
B, items 11 and 15.
This item is not applicable to banks subject to the full IMA or the partial IMA.

Full Internal Models Approach (Full IMA)

Estimate of Potential Losses on Equity Exposures. For banks subject to the full IMA,
report in column C the estimated potential losses on the bank’s equity exposures,
excluding those exposures reported in column C, items 2 through 4 of this schedule and
equity exposures to investment funds.
For banks subject to the full IMA, report 12.5 times the amount in column C for this item
in column D.
This item is not applicable to banks subject to the SRWA or the partial IMA.

Floors for Full IMA
18

Publicly Traded. For banks subject to the full IMA, report in column C the sum of (i)
the aggregated adjusted carrying value of the bank’s publicly traded equity exposures that
do not belong to a hedge pair, are not reported in column C, items 2 through 4 of this
schedule, and are not equity exposures to an investment fund, and (ii) the aggregate
ineffective portion of all hedge pairs.
For banks subject to the full IMA, report 200 percent of the amount in column C for this
item in column D.
This item is not applicable to banks subject to the SRWA or the partial IMA.

Non-publicly Traded. For banks subject to the full IMA, report in column C the
aggregated adjusted carrying value of the bank’s equity exposures that are not publicly
traded, are not reported in column C, items 2 through 4 of this schedule, and are not
equity exposures to an investment fund.
For banks subject to the full IMA, report 300 percent of the amount in column C for this
item in column D.
This item is not applicable to banks subject to the SRWA or the partial IMA.

Risk Weighted Asset Floors. For banks subject to the full IMA, report in column D the
sum of column D, items 18 and 19.
This item is not applicable to banks subject to the SRWA or the partial IMA.

FFIEC 101

Total Risk Weighted Assets – Full IMA. For banks subject to the full IMA, report in
column D the larger of column D, item 17 or column D, item 20.
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This item is not applicable to banks subject to the SRWA or the partial IMA.
22

Total: Full IMA. For banks subject to the full IMA, report in column D the sum of
column D, items 3, 4, 15, and 21.
This item is not applicable to banks subject to the SRWA or the partial IMA.

Publicly-Traded Internal Models Approach (Partial IMA)
23

Estimate of Potential Losses on Publicly Traded Equity Exposures. For banks
subject to the partial IMA, report in column E the estimated potential losses on the bank’s
publicly traded equity exposures, excluding those reported in column E, items 2, 3, 4, 9,
and 10 of this schedule, and equity exposures to investment funds.
For banks subject to the partial IMA, report 12.5 times the amount in column E for this
item in column F.
This item is not applicable to banks subject to the SRWA or the full IMA.

Floor for Partial IMA
24

Publicly Traded. For banks subject to the partial IMA, report in column E sum of (i) the
aggregated adjusted carrying value of the bank’s publicly traded equity exposures that do
not belong to a hedge pair, are not reported in column E, items 2 through 4 of this
schedule, and are not equity exposures to an investment fund, and (ii) the ineffective
portion of all hedge pairs.
For banks subject to the partial IMA, report 200 percent of the amount in column E for
this item in column F.
This item is not applicable to banks subject to the SRWA or the full IMA.

Total Risk Weighted Assets – Partial IMA. For banks subject to the partial IMA,
report in column F the larger of column F, item 23 or column F, item 24.
This item is not applicable to banks subject to the SRWA or the full IMA.

Total: Partial IMA, Partial SRWA. For banks subject to the partial IMA, report in
column F the sum of column F, items 3, 4, 9, 10, 15 and 25.
This item is not applicable to banks subject to the SRWA or the full IMA.

FFIEC 101

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Schedule S – Operational Risk
Operational Risk Capital
Definitions. Apply the definitions provided in the advanced approaches rule for the following terms: (1)
business environment and internal control factors; (2) dependence; (3) eligible operational risk offsets; (4)
expected operational loss; (5) operational loss event; (6) operational risk; (7) operational risk exposure;
(8) GAAP; (9) scenario analysis; (10) unexpected operational loss; and (11) unit of measure. Frequency
Distribution means the statistical distribution used to calculate the frequency of losses. Severity
Distribution means the statistical distribution used to calculate the severity of losses.
All line items described in this schedule should be completed based on available data. The agencies
recognize that certain circumstances may pose reporting challenges for banks. For example, the inherent
flexibility of the Advanced Measurement Approach (AMA) or a bank’s use, with prior written
supervisory approval, of an alternative operational risk quantification system may result in a bank having
limited data to report for certain line items. In determining its response to each line item, a bank should
carefully review the instructions and report the information it has available. In instances where a bank
does not have information to report for a particular line item, it should leave the reported item blank.
Item No.

Caption and Instructions

Public Items
1

Risk-based Capital Requirement for Operational Risk. Report the dollar amount of
the risk-based capital requirement for operational risk pursuant to the requirements of the
advanced approaches rule.

Is item 1 generated from an "alternative operational risk quantification system?"
Report whether the risk-based capital figure reported in item 1 results from an
“alternative operational risk quantification system” (as discussed in section 122(h)(3)(ii)
of the advanced approaches rule) by indicating “1” for (yes) or “0” for (no) for this item.

Confidential Items
Expected Operational Loss (EOL) and Eligible Operational Risk Offsets
3

Expected Operational Loss (EOL). Report the dollar amount of the expected value of
the distribution of potential aggregate operational losses, as generated by the bank’s
operational risk quantification system using a one-year horizon.

Total Eligible Operational Risk Offsets.

4.a

Eligible GAAP reserves. Report the dollar amount of reserves calculated in a manner
consistent with GAAP.

4.b

Other eligible offsets. Report the dollar amount of offsets approved by the institution’s
supervisor outside of GAAP reserves reported in item 4.a above.

FFIEC 101

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FFIEC 101

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Total Risk-based Capital Requirement for Operational Risk without:
The effects of each of the following three adjustments on risk-based capital for operational risk should be
calculated independently (e.g., item 7 should only exclude Risk Mitigants from the calculation, and
should continue to include adjustments for dependence assumptions and those related to business
environment and internal control factors).
5

Dependence Assumptions. Report the risk-based capital requirement for operational
risk without any diversification benefits. The reported number should result from
calculating the capital requirement separately for each unit of measure and then summing
up the stand-alone capital requirements from all units of measure.

Adjustments Reflecting Business Environment and Internal Control Factors. Report
the risk-based capital requirement for operational risk excluding the effects of qualitative
adjustments that account for business environment and internal control factors.

Risk Mitigants (e.g., insurance). Report the risk-based capital requirement for
operational risk excluding the effects of qualifying operational risk mitigants, as
discussed in section 161 of the advanced approaches rule.

Internal Operational Loss Event Data Characteristics
Note on Legal Reserves: In the subsequent items 8 – 15, legal reserves should be
included for the purpose of determining frequency counts, total loss amounts and loss
maximums.
8

Date ranges of internal operational loss event data used in modeling operational risk
capital. For items 8.a through 8.d, all dates should be expressed in a MMYYYY format.
If the distributions identified in 8.a through 8.d are not used, then leave these items blank.

8.a

Starting date for frequency distribution (if applicable). Report the earliest date
relevant to the internal operational loss event data used in modeling the frequency
distribution for operational risk capital.

8.b

Ending date for frequency distribution (if applicable). Report the latest date relevant
to the internal operational loss event data used in modeling the frequency distribution for
operational risk capital.

8.c

Starting date for severity distribution (if applicable). Report the earliest date relevant
to the internal operational loss event data used in modeling the severity distribution for
operational risk capital.

8.d

Ending date for severity distribution (if applicable). Report the latest date relevant to
the internal operational loss event data used in modeling the severity distribution for
operational risk capital.

FFIEC 101

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FFIEC 101

SCHEDULE S

Highest dollar threshold applied in modeling internal operational loss event data.
Report the dollar threshold below which operational loss events are excluded from
operational risk capital modeling. If more than one threshold is applied in the modeling
process, report the highest threshold used. If no thresholds are used, report “0” for this
item.

Does the dollar threshold change across units of measure? Report whether the
thresholds for the internal loss data used in modeling operational risk capital differ across
units of measure by indicating “1” for (yes) or “0” for (no) for this item. As defined in
the advanced approaches rule, unit of measure is the level (for example, organizational
unit or operational loss event type) at which the bank’s operational risk quantification
system generates a separate distribution of potential operational losses.

Total number of loss events. Report the total number of internal loss events used in
modeling the severity distribution to determine the risk-based capital requirement for
operational risk. A loss event may encompass one loss transaction or may comprise
multiple loss transactions all related to the same event. For example, individual losses of
$2,000, $6,000, and $12,000 that all relate to a single loss event should be considered one
loss (amounting to $20,000) for purposes of calculating this item. Conversely, losses that
do not relate to the same event should be considered separate loss events. For example, a
bank may group losses together for certain purposes (e.g., because of similarity in causal
factors), but these losses should be counted separately for reporting purposes if they do
not relate to the same event.

Total dollar amount of loss events. Report the total dollar amount of internal loss
events used in modeling the severity distribution to determine the risk-based capital
requirement for operational risk.

Dollar amount of largest loss event. Report the dollar value of the largest single
internal loss event used in modeling the severity distribution to determine the risk-based
capital requirement for operational risk. The largest internal loss event should include all
the loss transactions related to the single event.

Number of loss events in the following ranges (e.g., ≥ $10,000 and < $100,000).
14.a.
14.b.
14.c.
14.d.
14.e.
14.f.
14.g.

Less than $10,000
$10,000 to $100,000
$100,000 to $1 Million
$1 Million to $10 Million
$10 Million to $100 Million
$100 Million to $1 Billion
$1 Billion or Greater

For each range, report the total number of internal losses used in the model to determine
the risk-based capital requirement for operational risk. If the bank has set a threshold for
its internal loss event data capture and events below that threshold are not captured, that
should be reflected by marking “0” in the ranges that are below the threshold. In
addition, if no losses have been experienced in a particular range, report “0” for that item.
The number of losses should be calculated on an event basis to ensure that related losses
are counted as a single loss.
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FFIEC 101

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Total dollar amount of losses in the following ranges (e.g., ≥ $10,000 and <
$100,000).
15.a.
15.b.
15.c.
15.d.
15.e.
15.f.
15.g.

Less than $10,000
$10,000 to $100,000
$100,000 to $1 Million
$1 Million to $10 Million
$10 Million to $100 Million
$100 Million to $1 Billion
$1 Billion or Greater

For each range, report the total dollar amount of internal losses used in the model to
determine the risk-based capital requirement for operational risk. If the bank has set a
threshold for its internal loss event data capture and events below that threshold are not
captured, that should be reflected by marking “0” in the ranges that are below the
threshold. In addition, if no losses have been experienced in a particular range, report “0”
for that item.
The dollar amount of losses should be calculated on an event basis to ensure that related
losses are summed for purposes of calculating the total dollar amount for each range.
Scenario Analysis
16

How many individual scenarios were used in calculating the risk-based capital
requirement for operational risk? Report the total number of scenarios that impacts
the calculation of the risk-based capital requirement for operational risk.

What is the dollar value of the largest individual scenario? Report the dollar value of
the largest scenario that impacts the calculation of the risk-based capital requirement for
operational risk.

Number of scenarios in the following ranges (e.g., ≥ $1 Million and < $10 Million).
For each range, report the total number of scenarios that impacts the calculation of the
risk-based capital requirement. Report “0” for any ranges where there were no scenarios
or they do not apply.
18.a.
18.b.
18.c.
18.d.
18.e.
18.f.

Less than $1 million
$1 Million to $10 Million
$10 Million to $100 Million
$100 Million to $500 Million
$500 Million to $1 Billion
$1 Billion or Greater

Distributional Assumptions
19

FFIEC 101

How many units of measure were used in calculating the risk-based capital
requirement for operational risk? Report the number of units of measure for which a
separate distribution of potential operational losses is generated by the institution’s
operational risk quantification system.

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FFIEC 101

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Frequency Distribution: Across how many individual units of measure did the
choice of frequency distribution change since the last reporting period? Report the
total number of units of measure for which the statistical distribution(s) used this
reporting period to estimate loss frequency differs from those used in the prior reporting
period. This refers to changes in the distribution type. If frequency distributions are not
used, leave the item blank.

Severity Distribution: Across how many individual units of measure did the choice
of severity distribution change since the last reporting period? Report the total
number of units of measure for which the statistical distribution(s) used this reporting
period to estimate loss severity differs from those used in the prior reporting period. This
refers to changes in the distribution type. If frequency distributions are not used, leave
the item blank.

Loss Caps
Items 22 through 24 solicit information on the extent to which such loss caps are used and the levels at
which those caps are set.
22

How many loss caps are used in calculating the risk-based capital requirement for
operational risk? Report the number of loss caps used to limit loss size in the
quantification process for determining the risk-based capital requirement for operational
risk. If loss caps are not used, report “0” for this item.

What is the dollar amount of the smallest cap used (if applicable)? Report the dollar
amount of the smallest cap used to limit loss size in the quantification process for
determining the risk-based capital requirement for operational risk. If “0” is reported in
item 22, leave this item blank.

What is the dollar amount of the largest cap used (if applicable)? Report the dollar
amount of the largest cap used to limit loss size in the quantification process for
determining the risk-based capital requirement for operational risk. If “0” is reported in
item 22, leave this item blank.

FFIEC 101

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