FFIEC 101 Regulatory Capital Reporting for Institutions Subject to

Board of Governors of the Federal Reserve System OMB Number 7100-0319
Federal Deposit Insurance Corporation
OMB Number 3064-0159
Office of the Comptroller of the Currency
OMB Number 1557-0239
Approval expires March 31, 2022
Page 1 of 38

Federal Financial Institutions Examination Council

Regulatory Capital Reporting for Institutions Subject to the
Advanced Capital Adequacy Framework—FFIEC 101
Report at the close of business December 31, 2019

(20191231)
(AAXX 9999)

This report is required by law: 12 U.S.C. § 161 (National
banks), 12 U.S.C. § 324 and 12 U.S.C. § 1844(c) (State
member banks and BHCs, respectively), 12 U.S.C. § 1817
(Insured state nonmember commercial and savings banks),

12 U.S.C. § 1467a(b)(2) (Savings and loan holding companies),
12 U.S.C. § 1844(c), 12 U.S.C. §§ 3106 and 3108(a), 12 U.S.C. §
5365, 12 CFR 252.153(b)(2) (Intermediate holding companies),
and 12 U.S.C. § 1464 (Savings associations).

The FFIEC 101 is to be prepared in accordance with federal regulatory authority instructions. 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 12 CFR Part 3 (OCC); 12 CFR Part 217
(Federal Reserve); 12 CFR Part 324 (FDIC) and the FFIEC 101
reporting instructions. The senior officer may be the chief financial
officer, the chief risk officer, or the equivalent senior officer.

To fulfill the signature and attestation requirement for the FFIEC
101 for this report date, attach the reporting institution's completed signature page (or a photocopy or a computer-generated
version of this page) to the hard-copy records of the data file submitted electronically that the reporting institution must place in its
files.

I, the undersigned senior officer of the named reporting institution
attest that the FFIEC 101 report for this report date has been prepared in conformance with the instructions issued by the federal
regulatory authority and that the reported risk estimates meet the
requirements set forth in the advanced approaches rule to the
best of my knowledge and belief.

The appearance of the reporting institution's hard-copy record of
the submitted data file need not match exactly the appearance of
the FFIEC's sample report forms, but should show the caption of
each reported item and the reported amount.

Legal Entity Identifier (LEI) of the Reporting Institution (Report only if the reporting
institution already has an LEI.) (AAXX 9224)

Printed Name of Senior Officer (AAXX C490)

Legal Title of Reporting Institution (AAXX J197)

Signature of Senior Officer (AAXX H321)

Mailing Address of the Reporting Institution Street / PO Box (AAXX 9110)

Title of Officer (AAXX C491)

City (AAXX 9130)

Date of Signature (MM/DD/YYYY) (AAXX J196)

State Abbreviation (AAXX 9200)

Zip Code (AAXX 9220)

Person to whom questions about this report should be directed:

Name / Title (AAXX 8901)

Area Code / Phone Number (AAXX 8902)

For Federal Reserve Bank Use Only
BHC RSSD ID
SUB RSSD ID
C.I.

Area Code / FAX Number (AAXX 9116)

E-mail Address of Contact (AAXX 4086)
The estimated average reporting burden for this information collection is 674 hours per response for insured depository institutions, 677 hours per response for bank holding companies
and savings and loan holding companies, and 3 hours per response for intermediate holding companies, including time to gather and maintain data in the required form and to review
instructions and complete the information collection. A federal agency may not conduct or sponsor, and an organization (or a person) is not required to respond to a collection of information, unless it displays a currently valid OMB control number. Comments regarding this burden estimate or any other aspect of this information collection, including suggestions for reducing
the burden, may be sent to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551; Assistant Executive Secretary, Federal Deposit
Insurance Corporation, Washington, DC 20429; Legislative and Regulatory Analysis Division, Office of the Comptroller of the Currency, Washington, DC 20219; and Office of Information
and Regulatory Affairs, Office of Management and Budget, Washington, DC 20503.

12/2019

For Federal Reserve Bank Use Only

FFIEC 101
Page 2 of 38
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C.I.

Schedule A—Advanced Approaches Regulatory Capital
This schedule is to be submitted on a consolidated basis.
Dollar Amounts in Thousands
Common equity tier 1 capital
1. Common stock plus related surplus, net of treasury stock ...........................................................
2. Retained earnings1 .............................................................................................................
3. Accumulated other comprehensive income (AOCI) ....................................................................

AAAB

Amount

P742
3247
B530

1.
2.
3.

4. Directly issued capital subject to phase out from common equity tier 1 capital (not applicable)
5. Common equity tier 1 minority interest includable in common equity tier 1 capital ............................ P839
6. Common equity tier 1 capital before regulatory deductions and adjustments (sum of items 1, 2, 3, and 5) .... P840

5.
6.

Common equity tier 1 capital: adjustments and deductions
7. Prudential valuation adjustments (not applicable)
8. Goodwill net of associated deferred tax liabilities (DTLs) ............................................................
9. Other intangible assets, net of associated DTLs, other than goodwill and mortgage servicing
assets (MSAs) ...................................................................................................................
10. Deferred tax assets (DTAs) that arise from net operating loss and tax credit carryforwards, net of any
related valuation allowances and net of DTLs...........................................................................
11. 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 ..........................
12. Expected credit loss that exceeds eligible credit reserves ...........................................................
13. Gain-on-sale associated with a securitization exposure ..............................................................
14. Unrealized gain or loss related to changes in the fair value of liabilities that are due to changes in own
credit risk..........................................................................................................................
15. Defined-benefit pension fund assets, net of associated DTLs .....................................................
16. Investments in own shares to the extent not excluded above as part of treasury stock ......................
17. Reciprocal cross-holdings in the common equity of financial institutions.........................................
18. 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.....................................
19. 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 .............
20. MSAs, net of associated DTLs, that exceed the 10 percent common equity tier 1 capital deduction
threshold ..........................................................................................................................
21. 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 ..................................................................................
22. 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 ............................................................................................................
23. of which: significant investments in the capital of unconsolidated financial institutions in the form of
common stock, net of associated DTLs ................................................................................
24. of which: MSAs, net of associated DTLs ...............................................................................
25. 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..........................................
26. National specific regulatory adjustments (not applicable)
27. Deductions applied to common equity tier 1 capital due to insufficient amounts of additional tier 1 capital
and tier 2 capital to cover deductions......................................................................................
28. Total adjustments and deductions for common equity tier 1 capital (sum of items 8 through 22, plus
item 27)............................................................................................................................
29. Common equity tier 1 capital (item 6 less item 28).....................................................................

P841

8.

P842

9.

P843

10.

P849
P886

11.
12.
13.

J161
Q258

P889

14.
15.
16.
17.

P851

18.

P853

19.

P854

20.

P855

21.

P856

22.

P890
P891

23.
24.

P892

25.

P857

27.

P858

28.
29.

P887
P888

P859

1. Institutions that have adopted ASU 2016-13 and have elected to apply the CECL transition provision should include the applicable
portion of the CECL transitional amount in this item.

03/2019

For Federal Reserve Bank Use Only

Schedule A—Advanced Approaches Regulatory Capital
—Continued

FFIEC 101
Page 3 of 38
A-2

C.I.

This schedule is to be submitted on a consolidated basis.
Dollar Amounts in Thousands
Additional tier 1 capital
30. Additional tier 1 capital instruments plus related surplus .............................................................
31. of which: classified as equity under GAPP (not applicable)
32. of which: classified as liabilities under GAAP (not applicable)
33. Non-qualifying capital instruments subject to phase out from additional tier 1 capital ........................
34. Tier 1 minority interest not included in common equity tier 1 capital...............................................
35. of which: amount subject to phase out..................................................................................
36. Additional tier 1 capital before deductions (sum of items 30, 33, and 34) ........................................

AAAB

Amount

P860

30.

P861
P862
P893
P863

33.
34.
35.
36.

P894
P895

37.
38.

P896

39.

P897
P898
P899
P864
P865

40.
41.
42.
43.
44.

8274

45.

P866

P900
5310

46.
47.
48.
49.
50.

P870

51.

P902
P903

52.
53.

P904

54.

P905
P906
P872
5311

55.
56.
57.
58.

3792

59.

Total risk-weighted assets
60. Total risk-weighted assets (RWAs) ......................................................................................... A223

60.

Additional tier 1 capital deductions
37. Investments in own additional tier 1 capital instruments..............................................................
38. Reciprocal cross-holdings in the additional tier 1 capital of financial institutions ...............................
39. Non-significant investments in additional tier 1 capital of unconsolidated financial institutions that
exceed the 10 percent threshold for non-significant investments ..................................................
40. Significant investments in financial institutions not in the form of common stock to be deducted from
additional tier 1 capital.........................................................................................................
41. Other deductions from additional tier 1 capital ..........................................................................
42. Deductions applied to additional tier 1 capital due to insufficient tier 2 capital to cover deductions .......
43. Total additional tier 1 capital deductions (sum of items 37 through 42) ...........................................
44. Additional tier 1 capital (greater of item 36 less item 43 or zero) ...................................................
Tier 1 capital
45. Tier 1 capital (sum of items 29 and 44) ...................................................................................
Tier 2 capital
46. Tier 2 capital instruments plus related surplus ..........................................................................
47. Non-qualifying capital instruments subject to phase out from tier 2 capital ......................................
48. Total capital minority interest that is not included in tier 1 capital...................................................
49. of which: instruments subject to phase out ............................................................................
50. Eligible credit reserves includable in tier 2 capital 1 .....................................................................
51. Tier 2 capital before deductions (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 ...........................................................................
53. Reciprocal cross-holdings in the tier 2 capital of unconsolidated financial institutions........................
54. Non-significant investments in the tier 2 capital of unconsolidated financial institutions that exceed the
10 percent threshold for non-significant investments ..................................................................
55. Significant investments in financial institutions not in the form of common stock to be deducted from
tier 2 capital ......................................................................................................................
56. Other deductions from tier 2 capital ........................................................................................
57. Total tier 2 capital deductions (sum of items 52 through 56).........................................................
58. Tier 2 capital (greater of item 51 less item 57 or zero) ................................................................
Total capital
59. Total capital (sum of items 45 and 58).....................................................................................

P867
P868

1. Institutions that have adopted ASU 2016-13 and have elected to apply the CECL transition provision should subtract the applicable
portion of the eligible credit reserves transitional amount from this item.

03/2019

For Federal Reserve Bank Use Only

Schedule A—Advanced Approaches Regulatory Capital
—Continued

FFIEC 101
Page 4 of 38
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C.I.

This schedule is to be submitted on a consolidated basis.
AAAB

Capital ratios and buffers
61. Common equity tier 1 capital ratio (item 29 divided by item 60) ....................................................
62. Tier 1 capital ratio (item 45 divided by item 60) .........................................................................
63. Total capital ratio (item 59 divided by item 60) ..........................................................................
64. Institution-specific common equity tier 1 capital ratio necessary to avoid limitations on capital
distributions and discretionary bonus payments ........................................................................
65. of which: capital conservation buffer ....................................................................................
66. of which: countercyclical capital buffer (if applicable) ...............................................................
67. of which: G-SIB surcharge (if applicable) ..............................................................................
68. Common equity tier 1 capital available to meet items 65 through 67 (as a percentage of RWA) ..........

Percentage1

P793

61.
62.
63.

7206
7205

64.
65.
66.
67.
68.

Y933
FB52
FB53
FB54
FB55

Regulatory minimums if different from Basel III (not applicable)
69. Minimum common equity tier 1 capital ratio: 4.5%
70. Minimum tier 1 capital ratio: 6.0%
71. Minimum total capital ratio: 8.0%
Dollar Amounts in Thousands
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 ........
73. Significant investments in the capital of unconsolidated financial institutions in the form of common
stock, net of associated DTLs, that are not deducted .................................................................
74. MSAs, net of associated DTLs, that are not deducted ...............................................................
75. 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 ....................

AAAB

Limitations on the amount of provisions included in tier 2 capital
76. Total allowance for loan and lease losses (ALLL) under the standardized approach2 ........................
77. Amount of ALLL includable in tier 2 capital under the standardized approach3 .................................
(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) ...........................................
79. Amount of eligible credit reserves includable in tier 2 capital........................................................

AAAA
P911

J173

78.
79.

Non-qualifying capital instruments
80. Cap on common equity tier 1 non-qualifying capital instruments subject to phase-out .......................
81. Amount of common equity tier 1 non-qualifying capital instruments excluded ..................................
82. Cap on additional tier 1 non-qualifying capital instruments subject to phase-out ..............................
83. Amount of additional tier 1 non-qualifying capital instruments excluded..........................................
84. Cap on tier 2 non-qualifying capital instruments subject to phase-out ............................................
85. Amount of tier 2 non-qualifying capital instruments excluded .......................................................

AAAB
P913
P914
P915
P916
P917
P918

80.
81.
82.
83.
84.
85.

Memoranda
AAAA
(These items are kept confidential on reports filed during an institution’s parallel run process.)
86. Expected credit loss that exceeds eligible credit reserves .......................................................... P886

86.

Amount

P907

72.

P908
P909

73.
74.

P910

75.

76.
77.

5310
J183

AABG
87. Advanced approaches RWA (from FFIEC 101, Schedule B, item 36)............................................. A223
AAAA
88. Common equity tier 1 capital ratio (calculated using advanced approaches) ................................... P793

87.
Percentage1

89. Tier 1 capital ratio (calculated using advanced approaches) ........................................................ 7206
90. Total capital ratio (calculated using advanced approaches) ......................................................... 7205

88.
89.
90.

1. Report each ratio and buffer as a percentage, rounded to four decimal places.
2. Institutions that have adopted ASU 2016-13 should report in item 76 the total AACL amount under the standardized approach.
3. Institutions that have adopted ASU 2016-13 should report in item 77 the AACL amount includable in tier 2 capital under the
standardized approach.
03/2019

For Federal Reserve Bank Use Only

Schedule A—Advanced Approaches Regulatory Capital
—Continued

FFIEC 101
Page 5 of 38
A-4

C.I.

Top-tier advanced approaches banking organizations should complete Supplementary Leverage Ratio (SLR) Tables 1 and 2
on a consolidated basis. An advanced approaches banking organization that is a consolidated subsidiary of a top-tier banking
organization should not complete SLR Tables 1 and 2.
Dollar Amounts in Thousands AAAA
SLR Table 1
Summary comparison of accounting assets and total leverage exposure
1.1. Total consolidated assets as reported in published financial statements ................................
1.2. Adjustment for investments in banking, financial, insurance, and commercial entities that are
consolidated for accounting purposes but outside the scope of regulatory consolidation ........
1.3. Adjustment for fiduciary assets recognized on-balance sheet but excluded from total
leverage exposure (not applicable)
1.4. Adjustment for derivative transactions ...........................................................................
1.5. Adjustment for repo-style transactions...........................................................................
1.6. Adjustment for off-balance sheet exposures ...................................................................
1.7. Other adjustments:
a. Adjustments for deductions from tier 1 capital (report as a positive amount) .....................
b. Adjustments for frequency calculations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.8. Total leverage exposure (sum items 1.1 through 1.6 minus items 1.7a and 1.7b)1 .................
SLR Table 2
Supplementary leverage ratio
On-balance sheet exposures
2.1. The balance sheet carrying value of all on-balance sheet assets (excluding on-balance sheet
assets for derivative transactions and repo-style transactions, but including collateral) ..........
2.2. Deductions from common equity tier 1 capital and additional tier 1 capital
(report as a positive amount) ........................................................................................
2.3. Total on-balance sheet exposures (item 2.1 minus item 2.2) ...............................................

Amount

2170

1.1.

FS87

1.2.

FS88
FS89
FS90

1.4.
1.5.
1.6.

FS91
FS92
H015

1.7.a.
1.7.b.
1.8.

Y830

2.1.

M349
D956

2.2.
2.3.

Derivative transactions
2.4. Replacement cost for all derivative transactions ............................................................... M337
2.5. Add-on amounts for potential future exposure (PFE) for all derivative transactions ............... M339
2.6. Gross-up for collateral posted in derivative transactions if collateral is deducted from
on-balance sheet assets ............................................................................................. Y822
2.7. Deduction of receivable assets for qualifying cash variation margin posted in derivative
transactions (report as a positive amount)...................................................................... Y823
2.8. Exempted exposures to central counterparties (CCPs) in cleared transactions
(report as a positive amount) ........................................................................................ Y824
2.9. Adjusted effective notional principal amount of sold credit protection .................................. M340
2.10. Adjusted effective notional principal amount offsets and PFE deductions for sold credit
protection (report as a positive amount)......................................................................... Y825
2.11. Total derivative exposures (sum of items 2.4, 2.5, 2.6 and 2.9, minus items 2.7, 2.8,
and 2.10) ................................................................................................................ Y826
Repo-style transactions
2.12. Gross assets for repo-style transactions, with no recognition of netting .............................. M334
2.13. Reduction of the gross value of receivables in reverse repurchase transactions by cash
payables in repurchase transactions (report as a positive value) ....................................... Y828
2.14. Counterparty credit risk for all repo-style transactions ..................................................... N507
2.15. Exposure amount for repo-style transactions where an institution acts as an agent .............. Y827
2.16. Total exposures for repo-style transactions (sum of items 2.12, 2.14, and 2.15, minus item 2.13) .. Y829

2.4.
2.5.
2.6.
2.7.
2.8.
2.9.
2.10.
2.11.

2.12.
2.13.
2.14.
2.15.
2.16.

Off-balance sheet exposures
2.17. Off-balance sheet exposures at gross notional amounts..................................................... H012
2.18. Adjustments for conversion to credit equivalent amounts (report as a positive amount) ......... H013
2.19. Total off-balance sheet exposures (item 2.17 minus item 2.18) .......................................... Y831

2.17.
2.18.
2.19.

1. Institutions that have adopted ASU 2016-13 and have elected to apply the CECL transition provision should include the applicable
portion of the CECL transitional amount in this item.

03/2019

For Federal Reserve Bank Use Only

Schedule A—Advanced Approaches Regulatory Capital
—Continued

FFIEC 101
Page 6 of 38
A-5

C.I.

Dollar Amounts in Thousands AAAA
Capital and total leverage exposure
2.20. Tier 1 capital (from Schedule A, item 45) ....................................................................... 8274

Amount

2.20.

AAAB
2.21. Total leverage exposure (sum of items 2.3, 2.11, 2.16, and 2.19) ....................................... H015
AAAA

Supplementary leverage ratio
2.22. Supplementary leverage ratio (item 2.20 divided by item 2.21) .......................................... H036
2.23. Holding companies subject to enhanced SLR standards only: Leverage buffer..................... FS93

2.21.
Percentage1

2.22.
2.23.

1. Report each ratio and buffer as a percentage, rounded to four decimal places.

09/2016

For Federal Reserve Bank Use Only

FFIEC 101
Page 7 of 38
B-1

C.I.

Schedule B—Summary Risk-Weighted Asset Information for Banks Approved to Use
Advanced Internal Ratings-Based and Advanced Measurement Approaches for Regulatory Capital Purposes
Dollar Amounts in Thousands

Exposure Category

Wholesale Exposures
1. Corporate .....................

Non-Defaulted and Defaulted Exposures
(Column A)
Weighted-Average
Probability of
Default

(Column B)
Balance Sheet
Amount

(Column C)
Total Undrawn
Amount

(Column D)
Exposure
at Default

(Column E)
(Column F)
Weighted-Average Wtd-Avg LGD after
Maturity
Consideration of
(Years)
Credit Risk
Mitigants

(Column G)
Risk-Weighted
Assets

(Column H)
Expected
Credit Loss

Percentage

Amount

Amount

Amount

Number

Percentage

Amount

Amount

AABA J124

AABB J124

AABC J124

AABD J124

AABE J124

AABF J124

AABG J124

AABH J124

AABA J125

AABB J125

AABC J125

AABD J125

AABE J125

AABF J125

AABG J125

AABH J125

AABA J126

AABB J126

AABC J126

AABD J126

AABE J126

AABF J126

AABG J126

AABH J126

AABA J127

AABB J127

AABC J127

AABD J127

AABE J127

AABF J127

AABG J127

AABH J127

AABA J128

AABB J128

AABC J128

AABD J128

AABE J128

AABF J128

AABG J128

AABH J128

1.

2. Bank............................

2.

3. Sovereign .....................

3.
4.

4. IPRE ...........................
5. HVCRE ........................
6. Eligible margin loans, repostyle transactions and OTC
derivatives with crossproduct netting—EAD
adjustment method ............
7. Eligible margin loans, repostyle transactions and OTC
derivatives with crossproduct netting—collateral
reflected in LGD................
8. Eligible margin loans, repostyle transactions—no crossproduct netting—EAD
adjustment method ............
9. Eligible margin loans, repostyle transactions—no crossproduct netting—collateral
reflected in LGD................
10. OTC derivatives—no crossproduct netting—EAD
adjustment method ............
11. OTC derivatives—no crossproduct netting—collateral
reflected in LGD ................

5.

AABA J129

AABD J129

AABE J129

AABF J129

AABG J129

AABH J129

6.

AABA J130

AABD J130

AABE J130

AABF J130

AABG J130

AABH J130

7.

AABA J131

AABD J131

AABE J131

AABF J131

AABG J131

AABH J131

8.

AABA J132

AABD J132

AABE J132

AABF J132

AABG J132

AABH J132

9.
AABA J133

AABD J133

AABE J133

AABF J133

AABG J133

AABH J133

10.
AABA J134

AABD J134

AABE J134

AABF J134

AABG J134

AABH J134

11.
06/2008

For Federal Reserve Bank Use Only

FFIEC 101
Page 8 of 38
B-2

C.I.

Schedule B—Continued
Dollar Amounts in Thousands

Exposure Category

Retail Exposures
12. Residential mortgage—
closed-end first lien
exposures.....................
13. Residential mortgage—
closed-end junior lien
exposures.....................
14. Residential mortgage—
revolving exposures ........
15. Qualifying revolving
exposures.....................

Non-Defaulted and Defaulted Exposures
(Column A)
Weighted-Average
Probability of
Default

(Column B)
Balance Sheet
Amount

(Column C)
Total Undrawn
Amount

(Column D)
Exposure
at Default

Percentage

Amount

Amount

Amount

AABA J135

AABB J135

AABC J135

AABD J135

(Column E)
(Column F)
Weighted-Average Weighted-Average
Maturity
LGD after
(Years)
Consideration
of Credit Risk
Mitigants
Number

(Column G)
Risk-Weighted
Assets

(Column H)
Expected
Credit Loss

Percentage

Amount

Amount

AABF J135

AABG J135

AABH J135

12.
AABA J136

AABB J136

AABC J136

AABD J136

AABF J136

AABG J136

AABH J136

AABA J137

AABB J137

AABC J137

AABD J137

AABF J137

AABG J137

AABH J137

AABA J138

AABB J138

AABC J138

AABD J138

AABF J138

AABG J138

AABH J138

AABA J139

AABB J139

AABC J139

AABD J139

AABF J139

AABG J139

AABH J139

13.
14.
15.

16. Other retail exposures .....
Securitization Exposures
17. Subject to the supervisory
formula approach ............
18. Subject to simplified
Supervisory formula
approach ......................
19. Subject to 1,250% risk
weight ..........................
Cleared transactions
20. Derivative contracts and
netting sets to
derivatives ....................
21. Repo-style
transactions ..................
22. Default fund
contributions..................

16.

AABB J142

AABG J142

17.
AABB P920

AABG P920

AABB P921

AABG P921

18.
19.

AABB P922

AABG P922

AABB P923

AABG P923

AABB P924

AABG P924

20.
21.
22.

03/2014

For Federal Reserve Bank Use Only

FFIEC 101
Page 9 of 38
B-3

C.I.

Schedule B—Continued
Dollar Amounts in Thousands

Exposure Category

Non-Defaulted and Defaulted Exposures
(Column A)
Weighted-Average
Probability of
Default

(Column B)
Balance Sheet
Amount

(Column C)
Total Undrawn
Amount

(Column D)
Exposure
at Default

Percentage

Amount

Amount

Amount

Equity Exposures
23. Simple risk-weight method
(SRWA)........................
24. Full internal models
approach (IMA) ..............

(Column E)
(Column F)
Weighted-Average Weighted-Average
Maturity
LGD after
(Years)
Consideration
of Credit Risk
Mitigants
Number

Percentage

(Column G)
Risk-Weighted
Assets

(Column H)
Expected
Credit Loss

Amount

Amount

AABG J144

23.
AABG J145

24.
AABG J146

25. Partial IMA, partial SRWA
Other Assets
26. Unsettled transactions .....
27. Assets not included in a
defined exposure category ..
28. Non-material portfolios of
exposures.....................
29. Sum of Column G, 1
through 28 ....................
30. Total credit risk weighted
assets (cell G-29 x 1.06)
31. Credit Valuation Adjustments:
a. Simple ......................

25.
AABB J147

AABG J147

AABB J148

AABG J148

AABB J149

AABG J149

26.
27.
28.
AABG J150

29.
AABG J151

30.
AABG P925

31.a.
AABG P926

b. Advanced ..................
32. Assets subject to the
general risk-based capital
requirements .................
33. Excess eligible credit
reserves not included in
Tier 2 capital .................
34. Advanced market risk
equivalent assets ...........

31.b.
AABG J198

32.
AABG J152

33.
AABG J153

34.
AABG J154

35. Operational risk .............
36. Total (add cells G-30,
G-31, G-32, G-34 and
G-35, and subtract G-33)

35.
AABG A223

36.
09/2017

FFIEC 101
Page 10 of 38
C-1

Schedule C—Wholesale Exposure: Corporate
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD2

(Column C)
Balance
Sheet
Amount

(Column D)
Total
Undrawn
Amount

(Column E)
EAD

PD Range

Percentage

(Column F) (Column G) (Column H)
(Column I)
WeightedWeightedWeightedEffect of PD
Average
Average
Average
Substitution
Effective
LGD before
LGD after
and LGD
Maturity Consideration Consideration Adjustment
of Eligible of Credit Risk Approaches
(Years)2
Guarantees
on RWA
Mitigants2
and Credit
Derivatives2

(Column J)
Effect of
Double
Default
Treatment
on RWA

(Column K)
RiskWeighted
Assets3

(Column L)
Expected
Credit Loss

Percentage

Number

Amount

Amount

Amount

Number

Percentage

Percentage

Amount

Amount

Amount

Amount

AACA J005

AACB J005

AACC J005

AACD J005

AACE J005

AACF J005

AACG J005

AACH J005

AACI J005

AACJ J005

AACK J005

AACL J005

AACA J008

AACB J008

AACC J008

AACD J008

AACE J008

AACF J008

AACG J008

AACH J008

AACI J008

AACJ J008

AACK J008

AACL J008

AACA J010

AACB J010

AACC J010

AACD J010

AACE J010

AACF J010

AACG J010

AACH J010

AACI J010

AACJ J010

AACK J010

AACL J010

AACA J013

AACB J013

AACC J013

AACD J013

AACE J013

AACF J013

AACG J013

AACH J013

AACI J013

AACJ J013

AACK J013

AACL J013

AACA J014

AACB J014

AACC J014

AACD J014

AACE J014

AACF J014

AACG J014

AACH J014

AACI J014

AACJ J014

AACK J014

AACL J014

AACA J016

AACB J016

AACC J016

AACD J016

AACE J016

AACF J016

AACG J016

AACH J016

AACI J016

AACJ J016

AACK J016

AACL J016

AACA J019

AACB J019

AACC J019

AACD J019

AACE J019

AACF J019

AACG J019

AACH J019

AACI J019

AACJ J019

AACK J019

AACL J019

AACA J025

AACB J025

AACC J025

AACD J025

AACE J025

AACF J025

AACG J025

AACH J025

AACI J025

AACJ J025

AACK J025

AACL J025

AACA J029

AACB J029

AACC J029

AACD J029

AACE J029

AACF J029

AACG J029

AACH J029

AACI J029

AACJ J029

AACK J029

AACL J029

AACA J031

AACB J031

AACC J031

AACD J031

AACE J031

AACF J031

AACG J031

AACH J031

AACI J031

AACJ J031

AACK J031

AACL J031

AACA J033

AACB J033

AACC J033

AACD J033

AACE J033

AACF J033

AACG J033

AACH J033

AACI J033

AACJ J033

AACK J033

AACL J033

AACA J034

AACB J034

AACC J034

AACD J034

AACE J034

AACF J034

AACG J034

AACH J034

AACI J034

AACJ J034

AACK J034

AACL J034

AACA J035

AACB J035

AACC J035

AACD J035

AACE J035

AACF J035

AACG J035

AACH J035

AACI J035

AACJ J035

AACK J035

AACL J035

wtd avg

sum

sum

sum

sum

wtd avg

wtd avg

wtd avg

sum

sum

sum

sum

1. 0.00 to < 0.15 ....

1.

2. 0.15 to < 0.25 ....

2.
3.

3. 0.25 to < 0.35 ....
4. 0.35 to < 0.50 ....

4.

5. 0.50 to < 0.75 ....

5.
6.

6. 0.75 to < 1.35 ....
7. 1.35 to < 2.50 ....

7.

8. 2.50 to < 5.50 ....

8.
9.

9. 5.50 to < 10.00 ..
10. 10.00 to < 20.00..

10.

11. 20.00 to < 100 ...
12. 100.00 (default)..
13. Total1 .............

11.
100.00

12.

Memoranda

Amount

Dollar Amounts in Thousands
1. Risk-weighted assets associated with non-material portfolios not included above ..................................................................................................................
1. Cells in line 13 are calculated.
2. Report weighted averages rounded to two decimal places.
3. Not calculated from previous column entries.

13.

AACX J036

M.1.

03/2016

FFIEC 101
Page 11 of 38
C-2

Schedule C—Wholesale Exposure: Corporate—Continued
Memoranda–Continued
Exposures subject to a wholesale correlation factor multiplier of 1.25.
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD1

2. Regulated financial
institutions .......
3. Unregulated
financial institutions

(Column C)
Balance
Sheet
Amounts

(Column D)
Total
Undrawn
Amount

(Column E)
EAD

(Column F) (Column G) (Column H)
(Column I)
WeightedWeightedWeightedEffect of PD
Average
Average
Average
Substitution
Effective
LGD before
LGD after
and LGD
Maturity Consideration Consideration Adjustment
of Eligible of Credit Risk Approaches
(Years)1
Guarantees
on RWA
Mitigants1
and Credit
Derivatives1

(Column J)
Effect of
Double
Default
Treatment
on RWA

(Column K)
RiskWeighted
Assets

(Column L)
Expected
Credit Loss

Percentage

Number

Amount

Amount

Amount

Number

Percentage

Percentage

Amount

Amount

Amount

Amount

AACA P929

AACB P929

AACC P929

AACD P929

AACE P929

AACF P929

AACG P929

AACH P929

AACI P929

AACJ P929

AACK P929

AACL P929

AACA P930

AACB P930

AACC P930

AACD P930

AACE P930

AACF P930

AACG P930

AACH P930

AACI P930

AACJ P930

AACK P930

AACL P930

M.2.
M.3.

1. Report weighted averages rounded to two decimal places.

03/2016

FFIEC 101
Page 12 of 38
D-1

Schedule D—Wholesale Exposure: Bank
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD2

(Column C)
Balance
Sheet
Amount

(Column D)
Total
Undrawn
Amount

(Column E)
EAD

PD Range

Percentage

(Column F) (Column G)
(Column H)
WeightedWeightedWeightedAverage
Average
Average
Effective
LGD before
LGD after
Maturity
Consideration Consideration
of Eligible
of Credit
(Years)2
Guarantees
Risk
and Credit
Mitigants2
Derivatives2

(Column I)
Effect of PD
Substitution
and LGD
Adjustment
Approaches
on RWA

(Column J)
RiskWeighted
Assets3

(Column K)
Expected
Credit Loss

Percentage

Number

Amount

Amount

Amount

Number

Percentage

Percentage

Amount

Amount

Amount

AADA J005

AADB J005

AADC J005

AADD J005

AADE J005

AADF J005

AADG J005

AADH J005

AADI J005

AADJ J005

AADK J005

AADA J008

AADB J008

AADC J008

AADD J008

AADE J008

AADF J008

AADG J008

AADH J008

AADI J008

AADJ J008

AADK J008

AADA J010

AADB J010

AADC J010

AADD J010

AADE J010

AADF J010

AADG J010

AADH J010

AADI J010

AADJ J010

AADK J010

AADA J013

AADB J013

AADC J013

AADD J013

AADE J013

AADF J013

AADG J013

AADH J013

AADI J013

AADJ J013

AADK J013

AADA J014

AADB J014

AADC J014

AADD J014

AADE J014

AADF J014

AADG J014

AADH J014

AADI J014

AADJ J014

AADK J014

AADA J016

AADB J016

AADC J016

AADD J016

AADE J016

AADF J016

AADG J016

AADH J016

AADI J016

AADJ J016

AADK J016

AADA J019

AADB J019

AADC J019

AADD J019

AADE J019

AADF J019

AADG J019

AADH J019

AADI J019

AADJ J019

AADK J019

AADA J025

AADB J025

AADC J025

AADD J025

AADE J025

AADF J025

AADG J025

AADH J025

AADI J025

AADJ J025

AADK J025

AADA J029

AADB J029

AADC J029

AADD J029

AADE J029

AADF J029

AADG J029

AADH J029

AADI J029

AADJ J029

AADK J029

AADA J031

AADB J031

AADC J031

AADD J031

AADE J031

AADF J031

AADG J031

AADH J031

AADI J031

AADJ J031

AADK J031

AADA J033

AADB J033

AADC J033

AADD J033

AADE J033

AADF J033

AADG J033

AADH J033

AADI J033

AADJ J033

AADK J033

AADA J034

AADB J034

AADC J034

AADD J034

AADE J034

AADF J034

AADG J034

AADH J034

AADI J034

AADJ J034

AADK J034

AADA J035

AADB J035

AADC J035

AADD J035

AADE J035

AADF J035

AADG J035

AADH J035

AADI J035

AADJ J035

AADK J035

wtd avg

sum

sum

sum

sum

wtd avg

wtd avg

wtd avg

sum

sum

sum

1. 0.00 to < 0.15 ...................

1.
2.

2. 0.15 to < 0.25 ..................

3.

3. 0.25 to < 0.35 ...................

4.

4. 0.35 to < 0.50 ...................

5.

5. 0.50 to < 0.75 ...................

6.

6. 0.75 to < 1.35 ...................

7.

7. 1.35 to < 2.50 ...................

8.

8. 2.50 to < 5.50 ...................

9.

9. 5.50 to < 10.00 .................

10.

10. 10.00 to < 20.00.................

11.

11. 20.00 to < 100 ..................
12. 100.00 (default).................
13. Total1 ............................

100.00

12.

Memoranda

Amount

Dollar Amounts in Thousands
1. Risk-weighted assets associated with non-material portfolios not included above ..................................................................................................................
1. Cells in line 13 are calculated.
2. Report weighted averages rounded to two decimal places.
3. Not calculated from previous column entries.

13.

AADX J036

M.1.

03/2016

FFIEC 101
Page 13 of 38
D-2

Schedule D—Wholesale Exposure: Bank—Continued
Memoranda–Continued
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD1

(Column C)
Balance
Sheet
Amount

(Column D)
Total
Undrawn
Amount

(Column E)
EAD

(Column F) (Column G) (Column H)
(Column I)
WeightedWeightedEffect of PD
WeightedAverage
Average
Substitution
Average
Effective
LGD before
and LGD
LGD after
Maturity Consideration Consideration Adjustment
of Eligible of Credit Risk Approaches
(Years)1
Guarantees
on RWA
Mitigants1
and Credit
Derivatives1

(Column J)
RiskWeighted
Assets

(Column K)
Expected
Credit Loss

Percentage

Number

Amount

Amount

Amount

Number

Percentage

Percentage

Amount

Amount

Amount

AADA P929

AADB P929

AADC P929

AADD P929

AADE P929

AADF P929

AADG P929

AADH P929

AADI P929

AADJ P929

AADK P929

AADA P930

AADB P930

AADC P930

AADD P930

AADE P930

AADF P930

AADG P930

AADH P930

AADI P930

AADJ P930

AADK P930

2. Regulated financial institutions ..

M.2.

3. Unregulated financial institutions ..

M.3.

1. Report weighted averages rounded to two decimal places.

03/2016

FFIEC 101
Page 14 of 38
E-1

Schedule E—Wholesale Exposure: Sovereign
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD2

(Column C)
Balance
Sheet
Amount

(Column D)
Total
Undrawn
Amount

(Column E)
EAD

PD Range

Percentage

(Column F) (Column G)
(Column H)
WeightedWeightedWeightedAverage
Average
Average
Effective
LGD before
LGD after
Maturity
Consideration Consideration
of Eligible
of Credit
(Years)2
Guarantees
Risk
and Credit
Mitigants2
Derivatives2

(Column I)
Effect of PD
Substitution
and LGD
Adjustment
Approaches
on RWA

(Column J)
RiskWeighted
Assets3

(Column K)
Expected
Credit Loss

Percentage

Number

Amount

Amount

Amount

Number

Percentage

Percentage

Amount

Amount

Amount

AAEA J005

AAEB J005

AAEC J005

AAED J005

AAEE J005

AAEF J005

AAEG J005

AAEH J005

AAEI J005

AAEJ J005

AAEK J005

AAEA J008

AAEB J008

AAEC J008

AAED J008

AAEE J008

AAEF J008

AAEG J008

AAEH J008

AAEI J008

AAEJ J008

AAEK J008

AAEA J010

AAEB J010

AAEC J010

AAED J010

AAEE J010

AAEF J010

AAEG J010

AAEH J010

AAEI J010

AAEJ J010

AAEK J010

AAEA J013

AAEB J013

AAEC J013

AAED J013

AAEE J013

AAEF J013

AAEG J013

AAEH J013

AAEI J013

AAEJ J013

AAEK J013

AAEA J014

AAEB J014

AAEC J014

AAED J014

AAEE J014

AAEF J014

AAEG J014

AAEH J014

AAEI J014

AAEJ J014

AAEK J014

AAEA J016

AAEB J016

AAEC J016

AAED J016

AAEE J016

AAEF J016

AAEG J016

AAEH J016

AAEI J016

AAEJ J016

AAEK J016

AAEA J019

AAEB J019

AAEC J019

AAED J019

AAEE J019

AAEF J019

AAEG J019

AAEH J019

AAEI J019

AAEJ J019

AAEK J019

AAEA J025

AAEB J025

AAEC J025

AAED J025

AAEE J025

AAEF J025

AAEG J025

AAEH J025

AAEI J025

AAEJ J025

AAEK J025

AAEA J029

AAEB J029

AAEC J029

AAED J029

AAEE J029

AAEF J029

AAEG J029

AAEH J029

AAEI J029

AAEJ J029

AAEK J029

AAEA J031

AAEB J031

AAEC J031

AAED J031

AAEE J031

AAEF J031

AAEG J031

AAEH J031

AAEI J031

AAEJ J031

AAEK J031

AAEA J033

AAEB J033

AAEC J033

AAED J033

AAEE J033

AAEF J033

AAEG J033

AAEH J033

AAEI J033

AAEJ J033

AAEK J033

AAEA J034

AAEB J034

AAEC J034

AAED J034

AAEE J034

AAEF J034

AAEG J034

AAEH J034

AAEI J034

AAEJ J034

AAEK J034

AAEA J035

AAEB J035

AAEC J035

AAED J035

AAEE J035

AAEF J035

AAEG J035

AAEH J035

AAEI J035

AAEJ J035

AAEK J035

wtd avg

sum

sum

sum

sum

wtd avg

wtd avg

wtd avg

sum

sum

sum

1. 0.00 to < 0.15 ...................

1.

2. 0.15 to < 0.25 ...................

2.

3. 0.25 to < 0.35 ...................

3.

4. 0.35 to < 0.50 ...................

4.

5. 0.50 to < 0.75 ...................

5.

6. 0.75 to < 1.35 ...................

6.

7. 1.35 to < 2.50 ...................

7.

8. 2.50 to < 5.50 ...................

8.

9. 5.50 to < 10.00 .................

9.

10. 10.00 to < 20.00.................

10.

11. 20.00 to < 100 ..................
12. 100.00 (default) ................
13. Total1 ............................

11.
100.00

12.

Memoranda

Amount

Dollar Amounts in Thousands
1. Risk-weighted assets associated with non-material portfolios not included above .................................................................................................................
1. Cells in line 13 are calculated.
2. Report weighted averages rounded to two decimal places.
3. Not calculated from previous column entries.

13.

AAEX J036

M.1.

03/2016

FFIEC 101
Page 15 of 38
F-1

Schedule F—Wholesale Exposure: IPRE
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD2

(Column C)
Balance
Sheet
Amount

(Column D)
Total
Undrawn
Amount

(Column E)
EAD

PD Range

Percentage

(Column F) (Column G) (Column H)
(Column I)
WeightedWeightedWeightedEffect of PD
Average
Average
Average
Substitution
Effective
LGD before
LGD after
and LGD
Maturity Consideration Consideration Adjustment
of Eligible of Credit Risk Approaches
(Years)2
Guarantees
on RWA
Mitigants2
and Credit
Derivatives2

(Column J)
Effect of
Double
Default
Treatment
on RWA

(Column K)
RiskWeighted
Assets3

(Column L)
Expected
Credit Loss

Percentage

Number

Amount

Amount

Amount

Number

Percentage

Percentage

Amount

Amount

Amount

Amount

AAFA J005

AAFB J005

AAFC J005

AAFD J005

AAFE J005

AAFF J005

AAFG J005

AAFH J005

AAFI J005

AAFJ J005

AAFK J005

AAFL J005

AAFA J008

AAFB J008

AAFC J008

AAFD J008

AAFE J008

AAFF J008

AAFG J008

AAFH J008

AAFI J008

AAFJ J008

AAFK J008

AAFL J008

AAFA J010

AAFB J010

AAFC J010

AAFD J010

AAFE J010

AAFF J010

AAFG J010

AAFH J010

AAFI J010

AAFJ J010

AAFK J010

AAFL J010

AAFA J013

AAFB J013

AAFC J013

AAFD J013

AAFE J013

AAFF J013

AAFG J013

AAFH J013

AAFI J013

AAFJ J013

AAFK J013

AAFL J013

AAFA J014

AAFB J014

AAFC J014

AAFD J014

AAFE J014

AAFF J014

AAFG J014

AAFH J014

AAFI J014

AAFJ J014

AAFK J014

AAFL J014

AAFA J016

AAFB J016

AAFC J016

AAFD J016

AAFE J016

AAFF J016

AAFG J016

AAFH J016

AAFI J016

AAFJ J016

AAFK J016

AAFL J016

AAFA J019

AAFB J019

AAFC J019

AAFD J019

AAFE J019

AAFF J019

AAFG J019

AAFH J019

AAFI J019

AAFJ J019

AAFK J019

AAFL J019

AAFA J025

AAFB J025

AAFC J025

AAFD J025

AAFE J025

AAFF J025

AAFG J025

AAFH J025

AAFI J025

AAFJ J025

AAFK J025

AAFL J025

AAFA J029

AAFB J029

AAFC J029

AAFD J029

AAFE J029

AAFF J029

AAFG J029

AAFH J029

AAFI J029

AAFJ J029

AAFK J029

AAFL J029

AAFA J031

AAFB J031

AAFC J031

AAFD J031

AAFE J031

AAFF J031

AAFG J031

AAFH J031

AAFI J031

AAFJ J031

AAFK J031

AAFL J031

AAFA J033

AAFB J033

AAFC J033

AAFD J033

AAFE J033

AAFF J033

AAFG J033

AAFH J033

AAFI J033

AAFJ J033

AAFK J033

AAFL J033

AAFA J034

AAFB J034

AAFC J034

AAFD J034

AAFE J034

AAFF J034

AAFG J034

AAFH J034

AAFI J034

AAFJ J034

AAFK J034

AAFL J034

AAFA J035

AAFB J035

AAFC J035

AAFD J035

AAFE J035

AAFF J035

AAFG J035

AAFH J035

AAFI J035

AAFJ J035

AAFK J035

AAFL J035

wtd avg

sum

sum

sum

sum

wtd avg

wtd avg

wtd avg

sum

sum

sum

sum

1. 0.00 to < 0.15 ....

1.

2. 0.15 to < 0.25 ....

2.

3. 0.25 to < 0.35 ....

3.

4. 0.35 to < 0.50 ....

4.

5. 0.50 to < 0.75 ....

5.

6. 0.75 to < 1.35 ....

6.

7. 1.35 to < 2.50 ....

7.

8. 2.50 to < 5.50 ....

8.

9. 5.50 to < 10.00 ..

9.

10. 10.00 to < 20.00..

10.

11. 20.00 to < 100 ...
12. 100.00 (default) ..
13. Total1 .............

11.
100.00

12.

Memoranda

Amount

Dollar Amounts in Thousands
1. Risk-weighted assets associated with non-material portfolios not included above .................................................................................................................
1. Cells in line 13 are calculated.
2. Report weighted averages rounded to two decimal places.
3. Not calculated from previous column entries.

13.

AAFX J036

M.1.

03/2016

FFIEC 101
Page 16 of 38
G-1

Schedule G—Wholesale Exposure: HVCRE
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD2

(Column C)
Balance
Sheet
Amount

(Column D)
Total
Undrawn
Amount

(Column E)
EAD

PD Range

Percentage

(Column F) (Column G) (Column H)
(Column I)
WeightedWeightedWeightedEffect of PD
Average
Average
Average
Substitution
Effective
LGD before
LGD after
and LGD
Maturity Consideration Consideration Adjustment
of Eligible of Credit Risk Approaches
(Years)2
Guarantees
on RWA
Mitigants2
and Credit
Derivatives2

(Column J)
Effect of
Double
Default
Treatment
on RWA

(Column K)
RiskWeighted
Assets3

(Column L)
Expected
Credit Loss

Percentage

Number

Amount

Amount

Amount

Number

Percentage

Percentage

Amount

Amount

Amount

Amount

AAGA J005

AAGB J005

AAGC J005

AAGD J005

AAGE J005

AAGF J005

AAGG J005

AAGH J005

AAGI J005

AAGJ J005

AAGK J005

AAGL J005

AAGA J008

AAGB J008

AAGC J008

AAGD J008

AAGE J008

AAGF J008

AAGG J008

AAGH J008

AAGI J008

AAGJ J008

AAGK J008

AAGL J008

AAGA J010

AAGB J010

AAGC J010

AAGD J010

AAGE J010

AAGF J010

AAGG J010

AAGH J010

AAGI J010

AAGJ J010

AAGK J010

AAGL J010

AAGA J013

AAGB J013

AAGC J013

AAGD J013

AAGE J013

AAGF J013

AAGG J013

AAGH J013

AAGI J013

AAGJ J013

AAGK J013

AAGL J013

AAGA J014

AAGB J014

AAGC J014

AAGD J014

AAGE J014

AAGF J014

AAGG J014

AAGH J014

AAGI J014

AAGJ J014

AAGK J014

AAGL J014

AAGA J016

AAGB J016

AAGC J016

AAGD J016

AAGE J016

AAGF J016

AAGG J016

AAGH J016

AAGI J016

AAGJ J016

AAGK J016

AAGL J016

AAGA J019

AAGB J019

AAGC J019

AAGD J019

AAGE J019

AAGF J019

AAGG J019

AAGH J019

AAGI J019

AAGJ J019

AAGK J019

AAGL J019

AAGA J025

AAGB J025

AAGC J025

AAGD J025

AAGE J025

AAGF J025

AAGG J025

AAGH J025

AAGI J025

AAGJ J025

AAGK J025

AAGL J025

AAGA J029

AAGB J029

AAGC J029

AAGD J029

AAGE J029

AAGF J029

AAGG J029

AAGH J029

AAGI J029

AAGJ J029

AAGK J029

AAGL J029

AAGA J031

AAGB J031

AAGC J031

AAGD J031

AAGE J031

AAGF J031

AAGG J031

AAGH J031

AAGI J031

AAGJ J031

AAGK J031

AAGL J031

AAGA J033

AAGB J033

AAGC J033

AAGD J033

AAGE J033

AAGF J033

AAGG J033

AAGH J033

AAGI J033

AAGJ J033

AAGK J033

AAGL J033

AAGA J034

AAGB J034

AAGC J034

AAGD J034

AAGE J034

AAGF J034

AAGG J034

AAGH J034

AAGI J034

AAGJ J034

AAGK J034

AAGL J034

AAGA J035

AAGB J035

AAGC J035

AAGD J035

AAGE J035

AAGF J035

AAGG J035

AAGH J035

AAGI J035

AAGJ J035

AAGK J035

AAGL J035

wtd avg

sum

sum

sum

sum

wtd avg

wtd avg

wtd avg

sum

sum

sum

sum

1. 0.00 to < 0.15 ....

1.

2. 0.15 to < 0.25 ....

2.

3. 0.25 to < 0.35 ....

3.

4. 0.35 to < 0.50 ....

4.

5. 0.50 to < 0.75 ....

5.

6. 0.75 to < 1.35 ....

6.

7. 1.35 to < 2.50 ....

7.

8. 2.50 to < 5.50 ....

8.

9. 5.50 to < 10.00 ..

9.
10.

10. 10.00 to < 20.00..
11. 20.00 to < 100 ...
12. 100.00 (default) ..
13. Total1 .............

11.
100.00

12.

Memoranda

Amount

Dollar Amounts in Thousands
1. Risk-weighted assets associated with non-material portfolios not included above .................................................................................................................
1. Cells in line 13 are calculated.
2. Report weighted averages rounded to two decimal places.
3. Not calculated from previous column entries.

13.

AAGX J036

M.1.

03/2016

FFIEC 101
Page 17 of 38
H-1

Schedule H—Wholesale Exposure: Eligible Margin Loans, Repo-Style Transactions, and OTC Derivatives
with Cross-Product Netting
Dollar Amounts in Thousands
Exposures with EAD Adjustment

PD Range

Percentage

(Column A) (Column B)
Weighted- WeightedAverage PD2 Average
Effective
Maturity
(Years)2

(Column C)
EAD

(Column D)
WeightedAverage
LGD2

Exposures Where Collateral Is Reflected in LGD

(Column E)
RiskWeighted
Assets3

(Column F)
Expected
Credit Loss

(Column G) (Column H)
Weighted- WeightedAverage
Average
Maturity
PD2
(Years)2

(Column I)
EAD

(Column J)
WeightedAverage
LGD2

(Column K)
RiskWeighted
Assets3

(Column L)
Expected
Credit Loss

Percentage

Number

Amount

Percentage

Amount

Amount

Percentage

Number

Amount

Percentage

Amount

Amount

AAHA J001

AAHB J001

AAHC J001

AAHD J001

AAHE J001

AAHF J001

AAHG J001

AAHH J001

AAHI J001

AAHJ J001

AAHK J001

AAHL J001

AAHA J003

AAHB J003

AAHC J003

AAHD J003

AAHE J003

AAHF J003

AAHG J003

AAHH J003

AAHI J003

AAHJ J003

AAHK J003

AAHL J003

AAHA J006

AAHB J006

AAHC J006

AAHD J006

AAHE J006

AAHF J006

AAHG J006

AAHH J006

AAHI J006

AAHJ J006

AAHK J006

AAHL J006

AAHA J008

AAHB J008

AAHC J008

AAHD J008

AAHE J008

AAHF J008

AAHG J008

AAHH J008

AAHI J008

AAHJ J008

AAHK J008

AAHL J008

AAHA J012

AAHB J012

AAHC J012

AAHD J012

AAHE J012

AAHF J012

AAHG J012

AAHH J012

AAHI J012

AAHJ J012

AAHK J012

AAHL J012

AAHA J014

AAHB J014

AAHC J014

AAHD J014

AAHE J014

AAHF J014

AAHG J014

AAHH J014

AAHI J014

AAHJ J014

AAHK J014

AAHL J014

AAHA J016

AAHB J016

AAHC J016

AAHD J016

AAHE J016

AAHF J016

AAHG J016

AAHH J016

AAHI J016

AAHJ J016

AAHK J016

AAHL J016

AAHA J019

AAHB J019

AAHC J019

AAHD J019

AAHE J019

AAHF J019

AAHG J019

AAHH J019

AAHI J019

AAHJ J019

AAHK J019

AAHL J019

AAHA J025

AAHB J025

AAHC J025

AAHD J025

AAHE J025

AAHF J025

AAHG J025

AAHH J025

AAHI J025

AAHJ J025

AAHK J025

AAHL J025

AAHA J029

AAHB J029

AAHC J029

AAHD J029

AAHE J029

AAHF J029

AAHG J029

AAHH J029

AAHI J029

AAHJ J029

AAHK J029

AAHL J029

AAHA J032

AAHB J032

AAHC J032

AAHD J032

AAHE J032

AAHF J032

AAHG J032

AAHH J032

AAHI J032

AAHJ J032

AAHK J032

AAHL J032

AAHA J034

AAHB J034

AAHC J034

AAHD J034

AAHE J034

AAHF J034

AAHG J034

AAHH J034

AAHI J034

AAHJ J034

AAHK J034

AAHL J034

1. 0.00 to < 0.03 ........

1.

2. 0.03 to < 0.10 ........

2.

3. 0.10 to < 0.15 ........

3.
4.

4. 0.15 to < 0.25 ........
5. 0.25 to < 0.50 ........

5.

6. 0.50 to < 0.75 ........

6.
7.

7. 0.75 to < 1.35 ........
8. 1.35 to < 2.50 ........

8.

9. 2.50 to < 5.50 ........

9.
10.

10. 5.50 to < 10.00 ......
11. 10.00 to < 100 .......
12. 100.00 (default) ....

11.
100.00

100.00

13. Eligible margin
loans where a
300% risk weight
has been applied....
14. Total1 .................

AAHC J037

12.

AAHE J037

13.
AAHA J035

AAHB J035

AAHC J035

AAHD J035

AAHE J035

AAHF J035

AAHG J035

AAHH J035

AAHI J035

AAHJ J035

AAHK J035

AAHL J035

wtd avg

wtd avg

sum

wtd avg

sum

sum

wtd avg

wtd avg

sum

wtd avg

sum

sum

1. Cells in line 14 are calculated.
2. Report weighted averages rounded to two decimal places.
3. Not calculated from previous column entries.

14.

03/2016

FFIEC 101
Page 18 of 38
H-2

Schedule H—Wholesale Exposure: Eligible Margin Loans, Repo-Style Transactions, and OTC Derivatives
with Cross-Product Netting—Continued
Memoranda
Exposures subject to a wholesale correlation factor multiplier of 1.25.
Dollar Amounts in Thousands
Exposures with EAD Adjustment
(Column A) (Column B)
Weighted- WeightedAverage PD1 Average
Effective
Maturity
(Years)1

(Column C)
EAD

(Column D)
WeightedAverage
LGD1

Exposures Where Collateral Is Reflected in LGD

(Column E)
RiskWeighted
Assets

(Column F)
Expected
Credit Loss

(Column G) (Column H)
Weighted- WeightedAverage
Average
Maturity
PD1
(Years)1

(Column I)
EAD

(Column J)
WeightedAverage
LGD1

(Column K)
RiskWeighted
Assets

(Column L)
Expected
Credit Loss

Percentage

Number

Amount

Percentage

Amount

Amount

Percentage

Number

Amount

Percentage

Amount

Amount

1. Regulated
institutions..........

AAHA P929

AAHB P929

AAHC P929

AAHD P929

AAHE P929

AAHF P929

AAHG P929

AAHH P929

AAHI P929

AAHJ P929

AAHK P929

AAHL P929

2. Unregulated
institutions..........

AAHA P930

AAHB P930

AAHC P930

AAHD P930

AAHE P930

AAHF P930

AAHG P930

AAHH P930

AAHI P930

AAHJ P930

AAHK P930

AAHL P930

M.1.
M.2.

IMM Margin Period of Risk and Specific Wrong Way Risk.
Dollar Amounts in Thousands
Holding Period or Margin Period of risk Holding period or Margin Period of risk Exposures with specific wrong-way risk
set for 20 days
for which the bank would otherwise
set for at least twice the minimum holdapply the IMM.
ing period that would otherwise be used
(due to at least 3 disputes)
Holding Period, Margin Period of Risk and Specific Wrong Way Risk

3. Exposure amount and risk-weighted assets ...............................

(Column A)
Exposure
Amount

(Column B)
Risk-Weighted
Assets

(Column C)
Exposure
Amount

(Column D)
Risk-Weighted
Assets

(Column E)
Exposure
Amount

(Column F)
Risk-Weighted
Assets

Amount

Amount

Amount

Amount

Amount

Amount

AAHM P931

AAHN P931

AAHO P931

AAHP P931

AAHQ P931

AAHR P931
M.3.

1. Report weighted averages rounded to two decimal places.

03/2016

FFIEC 101
Page 19 of 38
I-1

Schedule I—Wholesale Exposure: Eligible Margin Loans and Repo-Style Transactions
with No Cross-Product Netting
Dollar Amounts in Thousands
Exposures with EAD Adjustment

PD Range

Percentage

(Column A) (Column B)
Weighted- WeightedAverage PD2 Average
Effective
Maturity
(Years)2

(Column C)
EAD

(Column D)
WeightedAverage
LGD2

Exposures Where Collateral Is Reflected in LGD

(Column E)
RiskWeighted
Assets3

(Column F)
Expected
Credit Loss

(Column G) (Column H)
Weighted- WeightedAverage
Average
Maturity
PD2
(Years)2

(Column I)
EAD

(Column J)
WeightedAverage
LGD2

(Column K)
RiskWeighted
Assets3

(Column L)
Expected
Credit Loss

Percentage

Number

Amount

Percentage

Amount

Amount

Percentage

Number

Amount

Percentage

Amount

Amount

AAIA J001

AAIB J001

AAIC J001

AAID J001

AAIE J001

AAIF J001

AAIG J001

AAIH J001

AAII J001

AAIJ J001

AAIK J001

AAIL J001

AAIA J003

AAIB J003

AAIC J003

AAID J003

AAIE J003

AAIF J003

AAIG J003

AAIH J003

AAII J003

AAIJ J003

AAIK J003

AAIL J003

AAIA J006

AAIB J006

AAIC J006

AAID J006

AAIE J006

AAIF J006

AAIG J006

AAIH J006

AAII J006

AAIJ J006

AAIK J006

AAIL J006

AAIA J008

AAIB J008

AAIC J008

AAID J008

AAIE J008

AAIF J008

AAIG J008

AAIH J008

AAII J008

AAIJ J008

AAIK J008

AAIL J008

AAIA J012

AAIB J012

AAIC J012

AAID J012

AAIE J012

AAIF J012

AAIG J012

AAIH J012

AAII J012

AAIJ J012

AAIK J012

AAIL J012

AAIA J014

AAIB J014

AAIC J014

AAID J014

AAIE J014

AAIF J014

AAIG J014

AAIH J014

AAII J014

AAIJ J014

AAIK J014

AAIL J014

AAIA J016

AAIB J016

AAIC J016

AAID J016

AAIE J016

AAIF J016

AAIG J016

AAIH J016

AAII J016

AAIJ J016

AAIK J016

AAIL J016

AAIA J019

AAIB J019

AAIC J019

AAID J019

AAIE J019

AAIF J019

AAIG J019

AAIH J019

AAII J019

AAIJ J019

AAIK J019

AAIL J019

AAIA J025

AAIB J025

AAIC J025

AAID J025

AAIE J025

AAIF J025

AAIG J025

AAIH J025

AAII J025

AAIJ J025

AAIK J025

AAIL J025

AAIA J029

AAIB J029

AAIC J029

AAID J029

AAIE J029

AAIF J029

AAIG J029

AAIH J029

AAII J029

AAIJ J029

AAIK J029

AAIL J029

AAIA J032

AAIB J032

AAIC J032

AAID J032

AAIE J032

AAIF J032

AAIG J032

AAIH J032

AAII J032

AAIJ J032

AAIK J032

AAIL J032

AAIA J034

AAIB J034

AAIC J034

AAID J034

AAIE J034

AAIF J034

AAIG J034

AAIH J034

AAII J034

AAIJ J034

AAIK J034

AAIL J034

1. 0.00 to < 0.03 ......

1.

2. 0.03 to < 0.10 ......

2.

3. 0.10 to < 0.15 ......

3.
4.

4. 0.15 to < 0.25 ......
5. 0.25 to < 0.50 ......

5.

6. 0.50 to < 0.75 ......

6.
7.

7. 0.75 to < 1.35 ......
8. 1.35 to < 2.50 ......

8.

9. 2.50 to < 5.50 ......

9.
10.

10. 5.50 to < 10.00 ....
11. 10.00 to < 100 .....
12. 100.00 (default) ...

11.
100.00

100.00

13. Eligible margin
loans where a
300% risk weight
has been applied..
14. Total1 ...............

AAIC J037

12.

AAIE J037

13.
AAIA J035

AAIB J035

AAIC J035

AAID J035

AAIE J035

AAIF J035

AAIG J035

AAIH J035

AAII J035

AAIJ J035

AAIK J035

AAIL J035

wtd avg

wtd avg

sum

wtd avg

sum

sum

wtd avg

wtd avg

sum

wtd avg

sum

sum

1. Cells in line 14 are calculated.
2. Report weighted averages rounded to two decimal places.
3. Not calculated from previous column entries

14.

03/2016

FFIEC 101
Page 20 of 38
I-2

Schedule I—Wholesale Exposure: Eligible Margin Loans and Repo-Style Transactions
with No Cross-Product Netting—Continued
Memoranda
EAD Adjustment Method

(Column A)
Collateral Haircut

(Column B)
Simple VaR

(Column C)
Internal Models

AAIX J038

AAIX J039

AAIX J040

1

1. Percent of line 14, column C calculated using ........................................................................................................................

M.1.

Exposures subject to a wholesale correlation factor multiplier of 1.25.
Dollar Amounts in Thousands
Exposures with EAD Adjustment
(Column A) (Column B)
Weighted- WeightedAverage PD2 Average
Effective
Maturity
(Years)2

(Column C)
EAD

(Column D)
WeightedAverage
LGD2

Exposures Where Collateral Is Reflected in LGD

(Column E)
RiskWeighted
Assets

(Column F)
Expected
Credit Loss

(Column G) (Column H)
Weighted- WeightedAverage
Average
Maturity
PD2
(Years)2

(Column I)
EAD

(Column J)
WeightedAverage
LGD2

(Column K)
RiskWeighted
Assets

(Column L)
Expected
Credit Loss

Percentage

Number

Amount

Percentage

Amount

Amount

Percentage

Number

Amount

Percentage

Amount

Amount

2. Regulated
institutions .........

AAIA P929

AAIB P929

AAIC P929

AAID P929

AAIE P929

AAIF P929

AAIG P929

AAIH P929

AAII P929

AAIJ P929

AAIK P929

AAIL P929

3. Unregulated
institutions .........

AAIA P930

AAIB P930

AAIC P930

AAID P930

AAIE P930

AAIF P930

AAIG P930

AAIH P930

AAII P930

AAIJ P930

AAIK P930

AAIL P930

M.2.
M.3.

IMM Margin Period of Risk and Specific Wrong Way Risk.
Dollar Amounts in Thousands
Holding Period or Margin Period of risk Holding period or Margin Period of risk Exposures with specific wrong-way risk
set for 20 days
for which the bank would otherwise
set for at least twice the minimum holdapply the IMM.
ing period that would otherwise be used
(due to at least 3 disputes)
Holding Period, Margin Period of Risk and Specific Wrong Way Risk

4. Exposure amount and risk-weighted assets ...............................

(Column A)
Exposure
Amount

(Column B)
Risk-Weighted
Assets

(Column C)
Exposure
Amount

(Column D)
Risk-Weighted
Assets

(Column E)
Exposure
Amount

(Column F)
Risk-Weighted
Assets

Amount

Amount

Amount

Amount

Amount

Amount

AAIM P931

AAIN P931

AAIO P931

AAIP P931

AAIQ P931

AAIR P931
M.4.

1. Report each percentage rounded to one decimal place.
2. Report weighted averages rounded to two decimal places.

03/2016

FFIEC 101
Page 21 of 38
J-1

Schedule J—Wholesale Exposure: OTC Derivatives
with No Cross-Product Netting
Dollar Amounts in Thousands
Exposures with EAD Adjustment

PD Range

Percentage

(Column A) (Column B)
Weighted- WeightedAverage PD2 Average
Effective
Maturity
(Years)2

(Column C)
EAD

(Column D)
WeightedAverage
LGD2

(Column E)
RiskWeighted
Assets3

(Column F)
Expected
Credit Loss

Exposures Where Collateral Is Reflected in LGD4
(Column G) (Column H) (Column I)
(Column J) (Column K)
Weighted- WeightedEAD
WeightedRiskAverage
Average
Average
Weighted
Maturity
PD2
LGD2
Assets3
(Years)2

(Column L)
Expected
Credit Loss

Percentage

Number

Amount

Percentage

Amount

Amount

Percentage

Number

Amount

Percentage

Amount

Amount

AAJA J001

AAJB J001

AAJC J001

AAJD J001

AAJE J001

AAJF J001

AAJG J001

AAJH J001

AAJI J001

AAJJ J001

AAJK J001

AAJL J001

AAJA J003

AAJB J003

AAJC J003

AAJD J003

AAJE J003

AAJF J003

AAJG J003

AAJH J003

AAJI J003

AAJJ J003

AAJK J003

AAJL J003

AAJA J006

AAJB J006

AAJC J006

AAJD J006

AAJE J006

AAJF J006

AAJG J006

AAJH J006

AAJI J006

AAJJ J006

AAJK J006

AAJL J006

AAJA J008

AAJB J008

AAJC J008

AAJD J008

AAJE J008

AAJF J008

AAJG J008

AAJH J008

AAJI J008

AAJJ J008

AAJK J008

AAJL J008

AAJA J012

AAJB J012

AAJC J012

AAJD J012

AAJE J012

AAJF J012

AAJG J012

AAJH J012

AAJI J012

AAJJ J012

AAJK J012

AAJL J012

AAJA J014

AAJB J014

AAJC J014

AAJD J014

AAJE J014

AAJF J014

AAJG J014

AAJH J014

AAJI J014

AAJJ J014

AAJK J014

AAJL J014

AAJA J016

AAJB J016

AAJC J016

AAJD J016

AAJE J016

AAJF J016

AAJG J016

AAJH J016

AAJI J016

AAJJ J016

AAJK J016

AAJL J016

AAJA J019

AAJB J019

AAJC J019

AAJD J019

AAJE J019

AAJF J019

AAJG J019

AAJH J019

AAJI J019

AAJJ J019

AAJK J019

AAJL J019

AAJA J025

AAJB J025

AAJC J025

AAJD J025

AAJE J025

AAJF J025

AAJG J025

AAJH J025

AAJI J025

AAJJ J025

AAJK J025

AAJL J025

AAJA J029

AAJB J029

AAJC J029

AAJD J029

AAJE J029

AAJF J029

AAJG J029

AAJH J029

AAJI J029

AAJJ J029

AAJK J029

AAJL J029

AAJA J032

AAJB J032

AAJC J032

AAJD J032

AAJE J032

AAJF J032

AAJG J032

AAJH J032

AAJI J032

AAJJ J032

AAJK J032

AAJL J032

AAJA J034

AAJB J034

AAJC J034

AAJD J034

AAJE J034

AAJF J034

AAJG J034

AAJH J034

AAJI J034

AAJJ J034

AAJK J034

AAJL J034

AAJA J035

AAJB J035

AAJC J035

AAJD J035

AAJE J035

AAJF J035

AAJG J035

AAJH J035

AAJI J035

AAJJ J035

AAJK J035

AAJL J035

wtd avg

wtd avg

sum

wtd avg

sum

sum

wtd avg

wtd avg

sum

wtd avg

sum

sum

1. 0.00 to < 0.03 ......

1.
2.

2. 0.03 to < 0.10 ......
3. 0.10 to < 0.15 ......

3.

4. 0.15 to < 0.25 ......

4.
5.

5. 0.25 to < 0.50 ......
6. 0.50 to < 0.75 ......

6.

7. 0.75 to < 1.35 ......

7.
8.

8. 1.35 to < 2.50 ......
9. 2.50 to < 5.50 ......

9.

10. 5.50 to < 10.00 ....

10.
11.

11. 10.00 to < 100 .....
12. 100.00 (default) ...
13. Total1 ...............

100.00

100.00

12.
13.

1. Cells in line 13 are calculated.
2. Report weighted averages rounded to two decimal places.
3. Not calculated from previous column entries.
4. Report exposures for which the bank uses the current exposure methodology to determine EAD and reflects collateral, if any, in LGD.

03/2016

FFIEC 101
Page 22 of 38
J-2

Schedule J—Wholesale Exposure: OTC Derivatives
with No Cross-Product Netting—Continued
Memoranda
(Column A)
(Column B)
Collateral Haircut Internal Models

EAD Adjustment Method

AAJX J038

AAJX J040

1

1. Percent of line 13, column C calculated using ........................................................................................................................................

M.1.

Exposures subject to a wholesale correlation factor multiplier of 1.25.
Dollar Amounts in Thousands
Exposures with EAD Adjustment
(Column A) (Column B)
Weighted- WeightedAverage PD2 Average
Effective
Maturity
(Years)2

(Column C)
EAD

(Column D)
WeightedAverage
LGD2

Exposures Where Collateral Is Reflected in LGD

(Column E)
RiskWeighted
Assets

(Column F)
Expected
Credit Loss

(Column G) (Column H)
Weighted- WeightedAverage
Average
Maturity
PD2
(Years)2

(Column I)
EAD

(Column J)
WeightedAverage
LGD2

(Column K)
RiskWeighted
Assets

(Column L)
Expected
Credit Loss

Percentage

Number

Amount

Percentage

Amount

Amount

Percentage

Number

Amount

Percentage

Amount

Amount

2. Regulated
institutions .........

AAJA P929

AAJB P929

AAJC P929

AAJD P929

AAJE P929

AAJF P929

AAJG P929

AAJH P929

AAJI P929

AAJJ P929

AAJK P929

AAJL P929

3. Unregulated
institutions .........

AAJA P930

AAJB P930

AAJC P930

AAJD P930

AAJE P930

AAJF P930

AAJG P930

AAJH P930

AAJI P930

AAJJ P930

AAJK P930

AAJL P930

M.2.
M.3.

IMM Margin Period of Risk and Specific Wrong Way Risk.
Dollar Amounts in Thousands
Holding Period or Margin Period of risk Holding period or Margin Period of risk Exposures with specific wrong-way risk
set for 20 days
for which the bank would otherwise
set for at least twice the minimum holdapply the IMM.
ing period that would otherwise be used
(due to at least 3 disputes)
Holding Period, Margin Period of Risk and Specific Wrong Way Risk

4. Exposure amount and risk-weighted assets ...............................

(Column A)
Exposure
Amount

(Column B)
Risk-Weighted
Assets

(Column C)
Exposure
Amount

(Column D)
Risk-Weighted
Assets

(Column E)
Exposure
Amount

(Column F)
Risk-Weighted
Assets

Amount

Amount

Amount

Amount

Amount

Amount

AAJM P931

AAJN P931

AAJO P931

AAJP P931

AAJQ P931

AAJR P931
M.4.

1. Report each percentage rounded to one decimal place.
2. Report weighted averages rounded to two decimal places.

03/2016

FFIEC 101
Page 23 of 38
K-1

Schedule K—Retail Exposure: Residential Mortgage—Closed-End First Lien Exposures
Dollar Amounts in Thousands
LTV4
PD Range

(Column A)
WeightedAverage PD2

(Column B)
Number of
Exposures

(Column C)
(Column D)
Total Balance Total Undrawn
Sheet Amount
Amount

(Column E)
EAD

(Column F)
(Column G)
(Column H)
WeightedWeighted- Risk-Weighted
Average Age Average LGD2
Assets3
(Months)2

(Column I)
Expected
Credit Loss

(Column J)
Less Than
70%

(Column K)
At Least
70% but
Less Than
80%

(Column L)
At Least
80% but
Less Than
90%

(Column M)
At Least
90% but
Less Than
100%

(Column N)
(Column O)
(Column P)
Greater than
WeightedEAD of
or Equal to
Average
Accounts with
100%
Bureau Score5 Updated LTV

Percentage

Percentage

Number

Amount

Amount

Amount

Number

Percentage

Amount

Amount

Amount

Amount

Amount

Amount

Amount

Number

Amount

AAKA J002

AAKB J002

AAKC J002

AAKD J002

AAKE J002

AAKF J002

AAKG J002

AAKH J002

AAKI J002

AAKJ J002

AAKK J002

AAKL J002

AAKM J002

AAKN J002

AAKO J002

AAKP J002

AAKA J004

AAKB J004

AAKC J004

AAKD J004

AAKE J004

AAKF J004

AAKG J004

AAKH J004

AAKI J004

AAKJ J004

AAKK J004

AAKL J004

AAKM J004

AAKN J004

AAKO J004

AAKP J004

AAKA J006

AAKB J006

AAKC J006

AAKD J006

AAKE J006

AAKF J006

AAKG J006

AAKH J006

AAKI J006

AAKJ J006

AAKK J006

AAKL J006

AAKM J006

AAKN J006

AAKO J006

AAKP J006

AAKA J007

AAKB J007

AAKC J007

AAKD J007

AAKE J007

AAKF J007

AAKG J007

AAKH J007

AAKI J007

AAKJ J007

AAKK J007

AAKL J007

AAKM J007

AAKN J007

AAKO J007

AAKP J007

AAKA J009

AAKB J009

AAKC J009

AAKD J009

AAKE J009

AAKF J009

AAKG J009

AAKH J009

AAKI J009

AAKJ J009

AAKK J009

AAKL J009

AAKM J009

AAKN J009

AAKO J009

AAKP J009

AAKA J010

AAKB J010

AAKC J010

AAKD J010

AAKE J010

AAKF J010

AAKG J010

AAKH J010

AAKI J010

AAKJ J010

AAKK J010

AAKL J010

AAKM J010

AAKN J010

AAKO J010

AAKP J010

AAKA J013

AAKB J013

AAKC J013

AAKD J013

AAKE J013

AAKF J013

AAKG J013

AAKH J013

AAKI J013

AAKJ J013

AAKK J013

AAKL J013

AAKM J013

AAKN J013

AAKO J013

AAKP J013

AAKA J014

AAKB J014

AAKC J014

AAKD J014

AAKE J014

AAKF J014

AAKG J014

AAKH J014

AAKI J014

AAKJ J014

AAKK J014

AAKL J014

AAKM J014

AAKN J014

AAKO J014

AAKP J014

AAKA J016

AAKB J016

AAKC J016

AAKD J016

AAKE J016

AAKF J016

AAKG J016

AAKH J016

AAKI J016

AAKJ J016

AAKK J016

AAKL J016

AAKM J016

AAKN J016

AAKO J016

AAKP J016

AAKA J019

AAKB J019

AAKC J019

AAKD J019

AAKE J019

AAKF J019

AAKG J019

AAKH J019

AAKI J019

AAKJ J019

AAKK J019

AAKL J019

AAKM J019

AAKN J019

AAKO J019

AAKP J019

AAKA J025

AAKB J025

AAKC J025

AAKD J025

AAKE J025

AAKF J025

AAKG J025

AAKH J025

AAKI J025

AAKJ J025

AAKK J025

AAKL J025

AAKM J025

AAKN J025

AAKO J025

AAKP J025

AAKA J029

AAKB J029

AAKC J029

AAKD J029

AAKE J029

AAKF J029

AAKG J029

AAKH J029

AAKI J029

AAKJ J029

AAKK J029

AAKL J029

AAKM J029

AAKN J029

AAKO J029

AAKP J029

AAKA J031

AAKB J031

AAKC J031

AAKD J031

AAKE J031

AAKF J031

AAKG J031

AAKH J031

AAKI J031

AAKJ J031

AAKK J031

AAKL J031

AAKM J031

AAKN J031

AAKO J031

AAKP J031

AAKA J033

AAKB J033

AAKC J033

AAKD J033

AAKE J033

AAKF J033

AAKG J033

AAKH J033

AAKI J033

AAKJ J033

AAKK J033

AAKL J033

AAKM J033

AAKN J033

AAKO J033

AAKP J033

AAKA J034

AAKB J034

AAKC J034

AAKD J034

AAKE J034

AAKF J034

AAKG J034

AAKH J034

AAKI J034

AAKJ J034

AAKK J034

AAKL J034

AAKM J034

AAKN J034

AAKO J034

AAKP J034

AAKA J035

AAKB J035

AAKC J035

AAKD J035

AAKE J035

AAKF J035

AAKG J035

AAKH J035

AAKI J035

AAKJ J035

AAKK J035

AAKL J035

AAKM J035

AAKN J035

AAKO J035

AAKP J035

wtd avg

sum

sum

sum

sum

wtd avg

wtd avg

sum

sum

sum

sum

sum

sum

sum

1. 0.00 to < 0.05 . . . .

1.

2. 0.05 to < 0.10 . . . .

2.

3. 0.10 to < 0.15 . . . .

3.

4. 0.15 to < 0.20 . . . .

4.

5. 0.20 to < 0.25 . . . .

5.

6. 0.25 to < 0.35 . . . .

6.

7. 0.35 to < 0.50 . . . .

7.

8. 0.50 to < 0.75 . . . .

8.

9. 0.75 to < 1.35 . . . .

9.

10. 1.35 to < 2.50. . . .

10.

11. 2.50 to < 5.50 . . . .

11.

12.

12. 5.50 to < 10.00. . .

13. 10.00 to < 20.00 . .

13.

14. 20.00 to < 100 . . .

15. 100.00 Default . .

16. Total1 . . . . . . . . . .

14.

100.00

15.

sum

1. Cells in line 16 are calculated, except for Column O. 2. Report weighted averages in Columns A, F, and G rounded to two decimal places. 3. Not calculated from previous column entries.
4. LTV values should be calculated using only first lien exposures. Where LTV information is available for all accounts, the sum of EADs reported in Columns J through N for a given PD range should equal
the amount reported in Column E for that same PD range. Otherwise, the sum of EADs reported in Columns J through N for a given PD range will be less than the EAD reported in Column E for that same PD
range. 5. Report weighted averages in Column O rounded to one decimal place, except in item 16, which should be rounded to the nearest whole number.

03/2016

16.

FFIEC 101
Page 24 of 38
K-2

Schedule K—Continued
Memoranda
Dollar Amounts in Thousands

Amount
AAKX J036

1. Risk-weighted assets associated with non-material portfolios not included above................................................................................................
2. Credit scores shown in Column O are from which credit scoring system(s)? ............

M.1.
AAKX J041

M.2.

03/2014

FFIEC 101
Page 25 of 38
L-1

Schedule L—Retail Exposure: Residential Mortgage—Closed-end Junior Lien Exposures
Dollar Amounts in Thousands
LTV4
PD Range

(Column A)
WeightedAverage PD2

(Column B)
Number of
Exposures

(Column C)
(Column D)
Total Balance Total Undrawn
Sheet Amount
Amount

(Column E)
EAD

(Column F)
(Column G)
(Column H)
WeightedWeighted- Risk-Weighted
Average Age Average LGD2
Assets3
(Months)2

(Column I)
Expected
Credit Loss

(Column J)
Less Than
70%

(Column K)
At Least
70% but
Less Than
80%

(Column L)
At Least
80% but
Less Than
90%

(Column M)
At Least
90% but
Less Than
100%

(Column N)
(Column O)
(Column P)
Greater than
WeightedEAD of
or Equal to
Average
Accounts with
100%
Bureau Score5 Updated LTV

Percentage

Percentage

Number

Amount

Amount

Amount

Number

Percentage

Amount

Amount

Amount

Amount

Amount

Amount

Amount

Number

Amount

AALA J002

AALB J002

AALC J002

AALD J002

AALE J002

AALF J002

AALG J002

AALH J002

AALI J002

AALJ J002

AALK J002

AALL J002

AALM J002

AALN J002

AALO J002

AALP J002

AALA J004

AALB J004

AALC J004

AALD J004

AALE J004

AALF J004

AALG J004

AALH J004

AALI J004

AALJ J004

AALK J004

AALL J004

AALM J004

AALN J004

AALO J004

AALP J004

AALA J006

AALB J006

AALC J006

AALD J006

AALE J006

AALF J006

AALG J006

AALH J006

AALI J006

AALJ J006

AALK J006

AALL J006

AALM J006

AALN J006

AALO J006

AALP J006

AALA J007

AALB J007

AALC J007

AALD J007

AALE J007

AALF J007

AALG J007

AALH J007

AALI J007

AALJ J007

AALK J007

AALL J007

AALM J007

AALN J007

AALO J007

AALP J007

AALA J009

AALB J009

AALC J009

AALD J009

AALE J009

AALF J009

AALG J009

AALH J009

AALI J009

AALJ J009

AALK J009

AALL J009

AALM J009

AALN J009

AALO J009

AALP J009

AALA J010

AALB J010

AALC J010

AALD J010

AALE J010

AALF J010

AALG J010

AALH J010

AALI J010

AALJ J010

AALK J010

AALL J010

AALM J010

AALN J010

AALO J010

AALP J010

AALA J013

AALB J013

AALC J013

AALD J013

AALE J013

AALF J013

AALG J013

AALH J013

AALI J013

AALJ J013

AALK J013

AALL J013

AALM J013

AALN J013

AALO J013

AALP J013

AALA J014

AALB J014

AALC J014

AALD J014

AALE J014

AALF J014

AALG J014

AALH J014

AALI J014

AALJ J014

AALK J014

AALL J014

AALM J014

AALN J014

AALO J014

AALP J014

AALA J016

AALB J016

AALC J016

AALD J016

AALE J016

AALF J016

AALG J016

AALH J016

AALI J016

AALJ J016

AALK J016

AALL J016

AALM J016

AALN J016

AALO J016

AALP J016

AALA J019

AALB J019

AALC J019

AALD J019

AALE J019

AALF J019

AALG J019

AALH J019

AALI J019

AALJ J019

AALK J019

AALL J019

AALM J019

AALN J019

AALO J019

AALP J019

AALA J025

AALB J025

AALC J025

AALD J025

AALE J025

AALF J025

AALG J025

AALH J025

AALI J025

AALJ J025

AALK J025

AALL J025

AALM J025

AALN J025

AALO J025

AALP J025

AALA J029

AALB J029

AALC J029

AALD J029

AALE J029

AALF J029

AALG J029

AALH J029

AALI J029

AALJ J029

AALK J029

AALL J029

AALM J029

AALN J029

AALO J029

AALP J029

AALA J031

AALB J031

AALC J031

AALD J031

AALE J031

AALF J031

AALG J031

AALH J031

AALI J031

AALJ J031

AALK J031

AALL J031

AALM J031

AALN J031

AALO J031

AALP J031

AALA J033

AALB J033

AALC J033

AALD J033

AALE J033

AALF J033

AALG J033

AALH J033

AALI J033

AALJ J033

AALK J033

AALL J033

AALM J033

AALN J033

AALO J033

AALP J033

AALA J034

AALB J034

AALC J034

AALD J034

AALE J034

AALF J034

AALG J034

AALH J034

AALI J034

AALJ J034

AALK J034

AALL J034

AALM J034

AALN J034

AALO J034

AALP J034

AALA J035

AALB J035

AALC J035

AALD J035

AALE J035

AALF J035

AALG J035

AALH J035

AALI J035

AALJ J035

AALK J035

AALL J035

AALM J035

AALN J035

AALO J035

AALP J035

wtd avg

sum

sum

sum

sum

wtd avg

wtd avg

sum

sum

sum

sum

sum

sum

sum

1. 0.00 to < 0.05 . . . .

1.

2. 0.05 to < 0.10 . . . .

2.

3. 0.10 to < 0.15 . . . .

3.

4. 0.15 to < 0.20 . . . .

4.

5. 0.20 to < 0.25 . . . .

5.

6. 0.25 to < 0.35 . . . .

6.

7. 0.35 to < 0.50 . . . .

7.

8. 0.50 to < 0.75 . . . .

8.

9. 0.75 to < 1.35 . . . .

9.

10. 1.35 to < 2.50. . . .

10.

11. 2.50 to < 5.50 . . . .

11.

12. 5.50 to < 10.00. . .

12.

13. 10.00 to < 20.00. . .

13.

14. 20.00 to < 100 . . .

15. 100.00 Default . . .

16. Total1 . . . . . . . . . .

14.

100.00

15.

sum

1. Cells in line 16 are calculated, except for Column O. 2. Report weighted averages in Columns A, F, and G rounded to two decimal places. 3. Not calculated from previous column entries.
4. LTV values should be calculated by combining junior liens applicable to amounts on this schedule with prior lien amounts. Where LTV information is available for all accounts, the sum of EADs reported in
Columns J through N for a given PD range should equal the amount reported in Column E for that same PD range. Otherwise, the sum of EADs reported in Columns J through N for a given PD range will be
less than the EAD reported in Column E for that same PD range. 5. Report weighted averages in Column O rounded to one decimal place, except in item 16, which should be rounded to the nearest
whole number.
03/2016

16.

FFIEC 101
Page 26 of 38
L-2

Schedule L—Continued
Memoranda
Dollar Amounts in Thousands

Amount
AALX J036

1. Risk-weighted assets associated with non-material portfolios not included above................................................................................................
2. Credit scores shown in Column O are from which credit scoring system(s)? ............

M.1.
AALX J041

M.2.

03/2014

FFIEC 101
Page 27 of 38
M-1

Schedule M—Retail Exposure: Residential Mortgage—Revolving Exposures
Dollar Amounts in Thousands
LTV4
PD Range

Percentage

(Column A)
WeightedAverage PD2

(Column B)
Number of
Exposures

(Column C)
(Column D)
Total Balance Total Undrawn
Sheet Amount
Amount

(Column E)
EAD

(Column F)
(Column G)
(Column H)
WeightedWeighted- Risk-Weighted
Average Age Average LGD2
Assets3
(Months)2

(Column I)
Expected
Credit Loss

(Column J)
Less Than
70%

(Column K)
At Least
70% but
Less Than
80%

(Column L)
At Least
80% but
Less Than
90%

(Column M)
At Least
90% but
Less Than
100%

(Column N)
(Column O)
(Column P)
Greater than
WeightedEAD of
or Equal to
Average
Accounts with
100%
Bureau Score5 Updated LTV

Percentage

Number

Amount

Amount

Amount

Number

Percentage

Amount

Amount

Amount

Amount

Amount

Amount

Amount

Number

Amount

AAMA J002

AAMB J002

AAMC J002

AAMD J002

AAME J002

AAMF J002

AAMG J002

AAMH J002

AAMI J002

AAMJ J002

AAMK J002

AAML J002

AAMM J002

AAMN J002

AAMO J002

AAMP J002

AAMA J004

AAMB J004

AAMC J004

AAMD J004

AAME J004

AAMF J004

AAMG J004

AAMH J004

AAMI J004

AAMJ J004

AAMK J004

AAML J004

AAMM J004

AAMN J004

AAMO J004

AAMP J004

AAMA J006

AAMB J006

AAMC J006

AAMD J006

AAME J006

AAMF J006

AAMG J006

AAMH J006

AAMI J006

AAMJ J006

AAMK J006

AAML J006

AAMM J006

AAMN J006

AAMO J006

AAMP J006

AAMA J007

AAMB J007

AAMC J007

AAMD J007

AAME J007

AAMF J007

AAMG J007

AAMH J007

AAMI J007

AAMJ J007

AAMK J007

AAML J007

AAMM J007

AAMN J007

AAMO J007

AAMP J007

AAMA J009

AAMB J009

AAMC J009

AAMD J009

AAME J009

AAMF J009

AAMG J009

AAMH J009

AAMI J009

AAMJ J009

AAMK J009

AAML J009

AAMM J009

AAMN J009

AAMO J009

AAMP J009

AAMA J010

AAMB J010

AAMC J010

AAMD J010

AAME J010

AAMF J010

AAMG J010

AAMH J010

AAMI J010

AAMJ J010

AAMK J010

AAML J010

AAMM J010

AAMN J010

AAMO J010

AAMP J010

AAMA J013

AAMB J013

AAMC J013

AAMD J013

AAME J013

AAMF J013

AAMG J013

AAMH J013

AAMI J013

AAMJ J013

AAMK J013

AAML J013

AAMM J013

AAMN J013

AAMO J013

AAMP J013

AAMA J014

AAMB J014

AAMC J014

AAMD J014

AAME J014

AAMF J014

AAMG J014

AAMH J014

AAMI J014

AAMJ J014

AAMK J014

AAML J014

AAMM J014

AAMN J014

AAMO J014

AAMP J014

AAMA J016

AAMB J016

AAMC J016

AAMD J016

AAME J016

AAMF J016

AAMG J016

AAMH J016

AAMI J016

AAMJ J016

AAMK J016

AAML J016

AAMM J016

AAMN J016

AAMO J016

AAMP J016

AAMA J019

AAMB J019

AAMC J019

AAMD J019

AAME J019

AAMF J019

AAMG J019

AAMH J019

AAMI J019

AAMJ J019

AAMK J019

AAML J019

AAMM J019

AAMN J019

AAMO J019

AAMP J019

AAMA J025

AAMB J025

AAMC J025

AAMD J025

AAME J025

AAMF J025

AAMG J025

AAMH J025

AAMI J025

AAMJ J025

AAMK J025

AAML J025

AAMM J025

AAMN J025

AAMO J025

AAMP J025

AAMA J029

AAMB J029

AAMC J029

AAMD J029

AAME J029

AAMF J029

AAMG J029

AAMH J029

AAMI J029

AAMJ J029

AAMK J029

AAML J029

AAMM J029

AAMN J029

AAMO J029

AAMP J029

AAMA J031

AAMB J031

AAMC J031

AAMD J031

AAME J031

AAMF J031

AAMG J031

AAMH J031

AAMI J031

AAMJ J031

AAMK J031

AAML J031

AAMM J031

AAMN J031

AAMO J031

AAMP J031

AAMA J033

AAMB J033

AAMC J033

AAMD J033

AAME J033

AAMF J033

AAMG J033

AAMH J033

AAMI J033

AAMJ J033

AAMK J033

AAML J033

AAMM J033

AAMN J033

AAMO J033

AAMP J033

AAMA J034

AAMB J034

AAMC J034

AAMD J034

AAME J034

AAMF J034

AAMG J034

AAMH J034

AAMI J034

AAMJ J034

AAMK J034

AAML J034

AAMM J034

AAMN J034

AAMO J034

AAMP J034

AAMA J035

AAMB J035

AAMC J035

AAMD J035

AAME J035

AAMF J035

AAMG J035

AAMH J035

AAMI J035

AAMJ J035

AAMK J035

AAML J035

AAMM J035

AAMN J035

AAMO J035

AAMP J035

wtd avg

sum

sum

sum

sum

wtd avg

wtd avg

sum

sum

sum

sum

sum

sum

sum

1. 0.00 to < 0.05 . . . .

1.

2. 0.05 to < 0.10 . . . .

2.

3. 0.10 to < 0.15 . . . .

3.

4. 0.15 to < 0.20 . . . .

4.

5. 0.20 to < 0.25 . . . .

5.

6. 0.25 to < 0.35 . . . .

6.

7. 0.35 to < 0.50 . . . .

7.

8. 0.50 to < 0.75 . . . .

8.

9. 0.75 to < 1.35 . . . .

9.

10. 1.35 to < 2.50. . . .

10.

11. 2.50 to < 5.50 . . . .

11.

12. 5.50 to < 10.00. . .

12.

13. 10.00 to < 20.00. . .

13.

14. 20.00 to < 100 . . .

15. 100.00 Default . . .

16. Total1 . . . . . . . . . .

14.
100.00

15.
sum

1. Cells in line 16 are calculated, except for Column O. 2. Report weighted averages in Columns A, F, and G rounded to two decimal places. 3. Not calculated from previous column entries.
4. LTV values should be calculated by combining junior liens applicable to amounts on this schedule with prior lien amounts. Where LTV information is available for all accounts, the sum of EADs reported in
Columns J through N for a given PD range should equal the amount reported in Column E for that same PD range. Otherwise, the sum of EADs reported in Columns J through N for a given PD range will be
less than the EAD reported in Column E for that same PD range. 5. Report weighted averages in Column O rounded to one decimal place, except in item 16, which should be rounded to the nearest
whole number.
03/2016

16.

FFIEC 101
Page 28 of 38
M-2

Schedule M—Continued
Memoranda
Dollar Amounts in Thousands

Amount
AAMX J036

1. Risk-weighted assets associated with non-material portfolios not included above................................................................................................
2. Credit scores shown in Column O are from which credit scoring system(s)? ............

M.1.
AAMX J041

M.2.

03/2014

FFIEC 101
Page 29 of 38
N-1

Schedule N—Retail Exposure: Qualifying Revolving Exposures
Dollar Amounts in Thousands

PD Range

(Column A)
WeightedAverage PD2

(Column B)
Number of
Exposures

(Column C)
Total
Balance
Sheet
Amount

(Column D)
Total
Undrawn
Amount

(Column E)
EAD

(Column F)
EAD of
Accounts
< Two
Years Old

(Column G)
WeightedAverage
LGD2

(Column H)
RiskWeighted
Assets3

(Column I)
Expected
Credit Loss

(Column J)
WeightedAverage
Bureau
Score4

Percentage

Percentage

Number

Amount

Amount

Amount

Amount

Percentage

Amount

Amount

Number

AANA J011

AANB J011

AANC J011

AAND J011

AANE J011

AANF J011

AANG J011

AANH J011

AANI J011

AANJ J011

AANA J015

AANB J015

AANC J015

AAND J015

AANE J015

AANF J015

AANG J015

AANH J015

AANI J015

AANJ J015

AANA J017

AANB J017

AANC J017

AAND J017

AANE J017

AANF J017

AANG J017

AANH J017

AANI J017

AANJ J017

AANA J018

AANB J018

AANC J018

AAND J018

AANE J018

AANF J018

AANG J018

AANH J018

AANI J018

AANJ J018

AANA J020

AANB J020

AANC J020

AAND J020

AANE J020

AANF J020

AANG J020

AANH J020

AANI J020

AANJ J020

AANA J021

AANB J021

AANC J021

AAND J021

AANE J021

AANF J021

AANG J021

AANH J021

AANI J021

AANJ J021

AANA J022

AANB J022

AANC J022

AAND J022

AANE J022

AANF J022

AANG J022

AANH J022

AANI J022

AANJ J022

AANA J023

AANB J023

AANC J023

AAND J023

AANE J023

AANF J023

AANG J023

AANH J023

AANI J023

AANJ J023

AANA J024

AANB J024

AANC J024

AAND J024

AANE J024

AANF J024

AANG J024

AANH J024

AANI J024

AANJ J024

AANA J026

AANB J026

AANC J026

AAND J026

AANE J026

AANF J026

AANG J026

AANH J026

AANI J026

AANJ J026

AANA J027

AANB J027

AANC J027

AAND J027

AANE J027

AANF J027

AANG J027

AANH J027

AANI J027

AANJ J027

AANA J028

AANB J028

AANC J028

AAND J028

AANE J028

AANF J028

AANG J028

AANH J028

AANI J028

AANJ J028

AANA J030

AANB J030

AANC J030

AAND J030

AANE J030

AANF J030

AANG J030

AANH J030

AANI J030

AANJ J030

AANA J032

AANB J032

AANC J032

AAND J032

AANE J032

AANF J032

AANG J032

AANH J032

AANI J032

AANJ J032

AANA J034

AANB J034

AANC J034

AAND J034

AANE J034

AANF J034

AANG J034

AANH J034

AANI J034

AANJ J034

AANA J035

AANB J035

AANC J035

AAND J035

AANE J035

AANF J035

AANG J035

AANH J035

AANI J035

AANJ J035

wtd avg

sum

sum

sum

sum

sum

wtd avg

sum

sum

1. 0.00 to < 0.50 .............................

1.

2. 0.50 to < 1.00 .............................

2.

3. 1.00 to < 1.50 .............................

3.

4. 1.50 to < 2.00 .............................

4.

5. 2.00 to < 2.50 .............................

5.

6. 2.50 to < 3.00 .............................

6.

7. 3.00 to < 3.50 .............................

7.

8. 3.50 to < 4.00 .............................

8.

9. 4.00 to < 5.00 .............................

9.

10. 5.00 to < 6.00 .............................

10.

11. 6.00 to < 7.00 .............................

11.
12.

12. 7.00 to < 8.00 .............................
13. 8.00 to < 10.00 ...........................

13.

14. 10.00 to < 100 ............................
15. 100.00 (default) ...........................
16. Total1 .......................................

14.
100.00

15.

1. Cells in line 16 are calculated, except for Column J.
2. Report weighted averages in Columns A and G rounded to two decimal places.
3. Not calculated from previous column entries.
4. Report weighted averages in Column J rounded to one decimal place, except for item 16, which should be rounded to the nearest whole number.

16.

03/2016

FFIEC 101
Page 30 of 38
N-2

Schedule N—Continued
Memoranda
Dollar Amounts in Thousands

Amount
AANX J036

1. Risk-weighted assets associated with non-material portfolios not included above................................................................................................
2. Credit scores shown in Column J are from which credit scoring system(s)? .............

M.1.
AANX J041

M.2.

03/2014

FFIEC 101
Page 31 of 38
O-1

Schedule O—Retail Exposure: Other Retail Exposures
Dollar Amounts in Thousands

PD Range

(Column A)
WeightedAverage PD2

(Column B)
Number of
Exposures

(Column C)
Total
Balance
Sheet
Amount

(Column D)
Total
Undrawn
Amount

(Column E)
EAD

(Column F)
EAD of
Accounts
< Two
Years Old

(Column G)
WeightedAverage
LGD2

(Column H)
RiskWeighted
Assets3

(Column I)
Expected
Credit Loss

(Column J)
WeightedAverage
Bureau
Score4

Percentage

Percentage

Number

Amount

Amount

Amount

Amount

Percentage

Amount

Amount

Number

AAOA J011

AAOB J011

AAOC J011

AAOD J011

AAOE J011

AAOF J011

AAOG J011

AAOH J011

AAOI J011

AAOJ J011

AAOA J015

AAOB J015

AAOC J015

AAOD J015

AAOE J015

AAOF J015

AAOG J015

AAOH J015

AAOI J015

AAOJ J015

AAOA J017

AAOB J017

AAOC J017

AAOD J017

AAOE J017

AAOF J017

AAOG J017

AAOH J017

AAOI J017

AAOJ J017

AAOA J018

AAOB J018

AAOC J018

AAOD J018

AAOE J018

AAOF J018

AAOG J018

AAOH J018

AAOI J018

AAOJ J018

AAOA J020

AAOB J020

AAOC J020

AAOD J020

AAOE J020

AAOF J020

AAOG J020

AAOH J020

AAOI J020

AAOJ J020

AAOA J021

AAOB J021

AAOC J021

AAOD J021

AAOE J021

AAOF J021

AAOG J021

AAOH J021

AAOI J021

AAOJ J021

AAOA J022

AAOB J022

AAOC J022

AAOD J022

AAOE J022

AAOF J022

AAOG J022

AAOH J022

AAOI J022

AAOJ J022

AAOA J023

AAOB J023

AAOC J023

AAOD J023

AAOE J023

AAOF J023

AAOG J023

AAOH J023

AAOI J023

AAOJ J023

AAOA J024

AAOB J024

AAOC J024

AAOD J024

AAOE J024

AAOF J024

AAOG J024

AAOH J024

AAOI J024

AAOJ J024

AAOA J026

AAOB J026

AAOC J026

AAOD J026

AAOE J026

AAOF J026

AAOG J026

AAOH J026

AAOI J026

AAOJ J026

AAOA J027

AAOB J027

AAOC J027

AAOD J027

AAOE J027

AAOF J027

AAOG J027

AAOH J027

AAOI J027

AAOJ J027

AAOA J028

AAOB J028

AAOC J028

AAOD J028

AAOE J028

AAOF J028

AAOG J028

AAOH J028

AAOI J028

AAOJ J028

AAOA J030

AAOB J030

AAOC J030

AAOD J030

AAOE J030

AAOF J030

AAOG J030

AAOH J030

AAOI J030

AAOJ J030

AAOA J032

AAOB J032

AAOC J032

AAOD J032

AAOE J032

AAOF J032

AAOG J032

AAOH J032

AAOI J032

AAOJ J032

AAOA J034

AAOB J034

AAOC J034

AAOD J034

AAOE J034

AAOF J034

AAOG J034

AAOH J034

AAOI J034

AAOJ J034

AAOA J035

AAOB J035

AAOC J035

AAOD J035

AAOE J035

AAOF J035

AAOG J035

AAOH J035

AAOI J035

AAOJ J035

wtd avg

sum

sum

sum

sum

sum

wtd avg

sum

sum

1. 0.00 to < 0.50 .............................

1.

2. 0.50 to < 1.00 .............................

2.

3. 1.00 to < 1.50 .............................

3.

4. 1.50 to < 2.00 .............................

4.

5. 2.00 to < 2.50 .............................

5.

6. 2.50 to < 3.00 .............................

6.

7. 3.00 to < 3.50 .............................

7.

8. 3.50 to < 4.00 .............................

8.

9. 4.00 to < 5.00 .............................

9.

10. 5.00 to < 6.00 .............................

10.

11. 6.00 to < 7.00 .............................

11.

12. 7.00 to < 8.00 .............................

12.

13. 8.00 to < 10.00 ...........................

13.

14. 10.00 to < 100 ............................
15. 100.00 (default) ...........................
16. Total1 .......................................

14.
100.00

15.

1. Cells in line 16 are calculated, except for Column J.
2. Report weighted averages in Columns A and G rounded to two decimal places.
3. Not calculated from previous column entries.
4. Report weighted averages in Column J rounded to one decimal place, except for item 16, which should be rounded to the nearest whole number.

16.

03/2016

FFIEC 101
Page 32 of 38
O-2

Schedule O—Continued
Memoranda
Dollar Amounts in Thousands

Amount
AAOX J036

1. Risk-weighted assets associated with non-material portfolios not included above................................................................................................
2. Credit scores shown in Column J are from which credit scoring system(s)? .............

M.1.
AAOX J041

M.2.

03/2014

FFIEC 101
Page 33 of 38
P-1

Schedule P—Securitization Exposures
Securitizations
(excluding resecuritizations)

Dollar Amounts in Thousands

Resecuritizations

(Column A)
Exposure
Amount

(Column B)
Risk-Weighted
Assets

(Column C)
Deduction

(Column D)
Exposure Amount

(Column E)
Risk-Weighted
Assets

(Column F)
Deduction

Amount
AAPP P932

Amount
AAPP P933

Amount

Amount
AAPP P934

Amount
AAPP P935

Amount

AAPP P936

AAPP P937

AAPP P938

AAPP P939

AAPP P940

AAPP P941

AAPP P942

AAPP P943

1. Exposures subject to the supervisory formula approach ............

1.

2. Exposures subject to the simplified supervisory formula approach..

2.

3. Exposures subject to 1,250 percent risk weight .......................

3.
AAPP P944

AAPP P945

4. Exposures subject to deduction ...........................................

4.
AAPP P946

5. Total securitization exposures and risk-weighted assets ............

AAPP P947

AAPP P948

AAPP P949
5.

03/2014

FFIEC 101
Page 34 of 38
Q-1

Schedule Q—Cleared Transactions
(Column A)
(Column B)
Exposure amount Exposure amount
with QCCP qualifying not qualifying for
for 2% risk weight
2% risk weight

Dollar Amounts in Thousands
Clearing Member Client Bank
1. Derivative contracts or netting sets of derivative contracts ......................................................

(Column C)
Exposure amount
for default fund
contributions
Amount

(Column D)
Risk-Weighted
Assets

Amount

Amount

AAQQ P950

AAQQ P951

AAQQ P952

Amount

AAQQ P953

AAQQ P954

AAQQ P955

1.

2. Repo-style transactions ...................................................................................................
Clearing Member Bank
3. Derivative contracts or netting sets of derivative contracts ......................................................

2.
AAQQ P956

AAQQ P957

AAQQ P958

AAQQ P959

AAQQ P960

AAQQ P961

3.
4.

4. Repo-style transactions ...................................................................................................
AAQQ P962

AAQQ P963

AAQQ P964

AAQQ P965

5. Default fund contributions to non-QCCP1 ............................................................................

5.

6. Default fund contributions to QCCP ...................................................................................
Total
7. Total clearing member exposures and risk weighted assets ....................................................

6.
AAQQ P966

AAQQ P967

AAQQ P968

AAQQ P969

7.

1. QCCP: qualifying central counterparty

03/2014

FFIEC 101
Page 35 of 38
R-1

Schedule R—Equity Exposures
Simple Risk Weight Approach
(Column A)
Exposure

Dollar Amounts in Thousands

Risk Weight
or
Multiplier

Amount

(Column B)
RiskWeighted
Assets
Amount

AARA J053

Full Internal Models Approach
(Column C)
Exposure

Risk Weight
or
Multiplier

Amount

(Column D)
RiskWeighted
Assets
Amount

AARC J053

Publicly Traded Internal Models Approach
(Column E)
Exposure

Risk Weight
or
Multiplier

Amount

(Column F)
RiskWeighted
Assets
Amount

AARE J053

1. Total equity exposures ..................................

1.
AARA J054

AARA J055

AARA J056

AARC J055

AARB J056

AARC J056

AARA J057

AARD J054

AARE J054

AARD J055

AARE J055

AARD J056

AARE J056

0%

AARF J054
0%

20%

100%

4. Community development equity exposures .......

2.
AARF J055

20%

100%

3.
AARF J056

100%

4.

AARB J057
100%

AARA J058

Equity Exposures to Investment Funds
12. Full look-through approach ............................

AARB J055
20%

3. 20% risk weight ...........................................

6. Non-significant equity exposures ....................
7. Significant investments in unconsolidated
financial institutions ......................................
8. Publicly traded equity exposures under the
SRWA .......................................................
9. Non-publicly traded equity exposures under the
SRWA .......................................................
10. 600% risk-weight equity exposures under the
SRWA .......................................................
11. Total RWA under the SRWA
(sum column B, lines 2 through 10) .................

AARC J054

0%

2. 0% risk weight ............................................

Simple Risk Weight Approach (SRWA)
5. Effective portion of hedge pairs ......................

AARB J054

5.
AARB J058

100%
AARA P970

6.
AARB P970

250%
AARA J059

7.
AARB J059

300%
AARA J060

8.
AARB J060

AARE J060

AARB J061

AARE J061

400%
AARA J061

AARF J060
400%

600%

9.
AARF J061

600%

10.

AARB J062

11.
AARA J063

AARB J063

AARC J063

AARD J063

AARE J063

AARF J063

AARA J064

AARB J064

AARC J064

AARD J064

AARE J064

AARF J064

AARA J065

AARB J065

AARC J065

AARD J065

AARE J065

AARF J065

12.

13. Simple modified look-through approach ............
14. Alternative modified look-through approach .......

13.
14.

03/2018

FFIEC 101
Page 36 of 38
R-2

Schedule R—Continued
Simple Risk Weight Approach
(Column A)
Exposure

Dollar Amounts in Thousands
15. Total RWA for investment funds
(sum columns B, D, and F, lines 12 through 14)

Amount

Risk Weight
or
Multiplier

Full Internal Models Approach

(Column B)
RiskWeighted
Assets

(Column C)
Exposure

Amount

Amount

Risk Weight
or
Multiplier

AARB J067

Publicly Traded Internal Models Approach

(Column D)
RiskWeighted
Assets

(Column E)
Exposure

Amount

Amount

Risk Weight
or
Multiplier

(Column F)
RiskWeighted
Assets
Amount

AARD J067

AARF J067

15.
AARB J068

16. Total: SRWA (column B, lines 11 and 15) ..........
Full Internal Models Approach (Full IMA)
17. Estimate of potential losses on equity exposures ...
Floors (Full IMA)
18. Publicly traded ............................................

16.
AARC J069

AARD J069
12.5

AARC J070
200%
AARC J071

19. Non-publicly traded ......................................

17.
AARD J070

18.
AARD J071

300%

19.
AARD J072

20. RWA floors (add from column D, lines 18 and 19) ..
21. Total RWA—Full IMA
(larger of column D, lines 17 and 20) ...............
22. Total: Full IMA
(add from column D lines 3, 4, 15, and 21) ........
Publicly Traded Internal Models Approach
(Partial IMA)
23. Estimate of potential losses on publicly traded
equity ........................................................
Floors (Partial IMA)
24. Publicly traded ............................................
25. Total RWA—Partial IMA
(larger of column F, lines 23 and 24) ...............
26. Total: Partial IMA, partial SRWA
(add from column F, lines 3, 4, 9, 10, 15, and 25) ..

20.
AARD J073

21.
AARD J074

22.

AARE J075

AARF J075
12.5

AARE J076

23.
AARF J076

200%

24.
AARF J077

25.
AARF J078

26.

03/2014

For Federal Reserve Bank Use Only
C.I.

FFIEC 101
Page 37 of 38
S-1

Schedule S—Operational Risk
Dollar Amounts in Thousands
PUBLIC ITEMS
Operational Risk Capital
1. Risk-based capital requirement for operational risk................................................................

J079

2. Is item 1 generated from an "alternative operational risk quantification system?" (Enter "1" for Yes;
enter "0" for No.) ....................................................................................................................
CONFIDENTIAL ITEMS
Expected Operational Loss (EOL) and Eligible Operational Risk Offsets
3. Expected operational loss (EOL) ......................................................................................
4. Total eligible operational risk offsets

Amount

AASA

1.
0=No AASA
1=Yes J080

2.

Amount

AASA

J081

3.

a. Eligible GAAP reserves ................................................................................................
b. Other eligible offsets ...................................................................................................

J082
J083

4.a.
4.b.

Total Risk-Based Capital Requirement for Operational Risk without:
5. Dependence assumptions ...............................................................................................
6. Adjustments reflecting business environment and internal control factors ..................................
7. Risk mitigants (e.g., insurance) ........................................................................................

J084
J085

5.
6.
7.

Internal Operational Loss Event Data Characteristics
8. Date ranges of internal operational loss event data used in modeling operational risk capital:
a. Starting date for frequency distribution (if applicable) .........................................................
b. Ending date for frequency distribution (if applicable) ...........................................................
c. Starting date for severity distribution (if applicable) ............................................................
d. Ending date for severity distribution (if applicable) .............................................................

J086

Date1

AASA

J087
J088

8.a.
8.b.
8.c.
8.d.

J089
J090
Amount

AASA

9. Highest dollar threshold applied in modeling internal operational loss event data ........................

J091

9.
0=No

10. Does the dollar threshold change across units of measure? (Enter "1" for Yes; enter "0" for No.)............
AASA

11. Total number of loss events .............................................................................................

AASA

1=Yes J092

Number

J093
AASA

12. Total dollar amount of loss events .....................................................................................
13. Dollar amount of largest loss event ...................................................................................

J094
J095

14. Number of loss events in the following ranges (e.g., ≥ 10,000 and < $100,000):
a. Less than $10,000 ......................................................................................................
b. $10,000–$100,000 ......................................................................................................
c. $100,000–$1 million ....................................................................................................
d. $1 million–$10 million ..................................................................................................
e. $10 million–$100 million ..............................................................................................
f. $100 million–$1 billion .................................................................................................
g. $1 billion + ................................................................................................................

AASA

J096
J097
J098
J099
J100
J101
J102

10.

11.
Amount

12.
13.
Number

14.a.
14.b.
14.c.
14.d.
14.e.
14.f.
14.g.

1. Report the date in MMYYYY format.

03/2016

For Federal Reserve Bank Use Only
C.I.

FFIEC 101
Page 38 of 38
S-2

Schedule S—Continued
Dollar Amounts in Thousands
15. Total dollar amount of losses in the following ranges (e.g., ≥ $10,000 and < $100,000):
a. Less than $10,000 ......................................................................................................
b. $10,000–$100,000 ......................................................................................................
c. $100,000–$1 million ....................................................................................................
d. $1 million–$10 million ..................................................................................................
e. $10 million–$100 million ...............................................................................................
f. $100 million–$1 billion..................................................................................................
g. $1 billion + ................................................................................................................

AASA

Scenario Analysis
16. How many individual scenarios were used in calculating the risk-based capital requirement for
operational risk? ............................................................................................................

AASA

Amount

J103

15.a
15.b.
15.c.
15.d.
15.e.
15.f.
15.g.

J104
J105
J106
J107
J108
J109
Number

J110
AASA

17. What is the dollar value of the largest individual scenario? ......................................................

J111

18. Number of scenarios in the following ranges (e.g., ≥ $1 million and < $10 million):
a. Less than $1 million.....................................................................................................
b. $1 million–$10 million ..................................................................................................
c. $10 million–$100 million ...............................................................................................
d. $100 million–$500 million .............................................................................................
e. $500 million–$1 billion..................................................................................................
f. $1 billion +.................................................................................................................

AASA

16.
Amount

17.
Number

J112

J117

18.a.
18.b.
18.c.
18.d.
18.e.
18.f.

J118

19.

J113
J114
J115
J116

Distributional Assumptions
19. How many units of measure were used in calculating the risk-based capital requirement for
operational risk? ............................................................................................................
20. Frequency Distribution: Across how many individual units of measure did the choice of frequency
distribution change since the last reporting period (if applicable)? ............................................
21. Severity Distribution: Across how many individual units of measure did the choice of severity
distribution change since the last reporting period (if applicable)? ............................................

J119

20.

J120

21.

Loss Caps
22. How many loss caps are used in calculating the risk-based capital requirement for operational risk?..

J121

22.

AASA

23. What is the dollar amount of the smallest cap used (if applicable)? ..........................................
24. What is the dollar amount of the largest cap used (if applicable)? ............................................

J122
J123

Amount

23.
24.

06/2008