IHCs

Federal Financial Institutions Examination Council

Instructions for the Preparation of

Regulatory Capital Reporting for Institutions Subject to the
Advanced Capital Adequacy Framework
Reporting Form FFIEC 101
Effective March 2020

Contents

Reporting Instructions for Schedules A through S
Schedule A—Advanced Approaches Regulatory Capital

............................................................................ A-1

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

.............. B-1
Schedules C through G—Wholesale Exposures ..................................................................................... C-G-1
Schedule C—Wholesale Exposures—Corporate ........................................................................................ C-1
Schedule D—Wholesale Exposures—Bank ............................................................................................... D-1
Schedule E—Wholesale Exposures—Sovereign ......................................................................................... E-1
Schedule F—Wholesale Exposures—Income-Producing Real Estate (IPRE) ............................................... F-1
Schedule G—Wholesale Exposures—High Volatility Commercial Real Estate (HVCRE) ............................. G-1
Schedules H through J—Wholesale Exposures—Eligible Margin Loans, Repo-Style Transactions,
OTC Derivatives, and Combinations of these Instruments Subject to Qualifying Master Netting
Agreements

.......................................................................................................................................... H-J-1

Schedule H—Wholesale Exposures—Eligible Margin Loans, Repo-style Transactions, and OTC
Derivatives with Cross-Product Netting

.................................................................................................... H-1

Schedule I—Wholesale Exposures—Eligible Margin Loans and Repo-style Transactions with No
Cross-Product Netting

.............................................................................................................................. I-1
Schedule J—Wholesale Exposures—OTC Derivatives with No Cross-Product Netting ................................. J-1
Schedules K through O—Retail Exposures ........................................................................................... K-O-1
Schedule K—Retail Exposures—Residential Mortgage—Closed-end First Lien Exposures ......................... K-1
Schedule L—Retail Exposures—Residential Mortgage—Closed-end Junior Lien Exposures ........................ L-1
Schedule M—Retail Exposures—Residential Mortgage—Revolving Exposures .......................................... M-1
Schedule N—Retail Exposures—Qualifying Revolving Exposures .............................................................. N-1
Schedule O—Retail Exposures—Other Retail Exposures ........................................................................... O-1
Schedule P—Securitization Exposures ...................................................................................................... P-1
Schedule Q—Cleared Transactions ........................................................................................................... Q-1
Schedule R—Equity Exposures ................................................................................................................ R-1
Schedule S—Operational Risk .................................................................................................................. S-1

CONTENTS-1
FFIEC 101

June 2017

INSTRUCTIONS FOR THE PREPARATION OF

Schedules A through S

General Instructions
Who Must Report
A. Scope and Reporting Criteria
An institution (that is a bank, savings association,
bank holding company, or savings and loan holding
company) must apply the advanced approaches riskbased capital rule1 if the institution:

(1) Is a U.S. global systemically important BHC, as
defined in 12 CFR 217.2;
(2) Has consolidated total assets based on the average of the four most recent calendar quarters,
for the most recent quarter or the average of the
most recent quarters, as applicable, equal to
$700 billion or more;
(3) Has cross-jurisdictional activity based on the
average of the four most recent calendar quarters, for the most recent quarter or the average
of the most recent quarters, as applicable, equal
to $75 billion or more;
(4) Is a subsidiary of a depository institution that
uses the advanced approaches pursuant to subpart E of 12 CFR part 3 (OCC), 12 CFR part
217 (Board), or 12 CFR part 324 (FDIC) to calculate its total risk-weighted assets;
(5) Is a subsidiary of a bank holding company or
savings and loan holding company that uses the
advanced approaches pursuant to 12 CFR part
217 to calculate its total risk-weighted assets; or
1. See the advanced approaches risk-based capital rule: 12 CFR part
3, subpart E (OCC); 12 CFR part 217, subpart E (Board); and 12 CFR
part 324, subpart E (FDIC).

(6) Elects to use the advanced approaches to calculate its total risk-weighted assets.
An institution meeting any of the above criteria (the
first four of which are the threshold criteria) must submit an FFIEC 101 report in accordance with the timing requirements discussed in Section B of these General Instructions. For purposes of this report, the
advanced approaches risk-based capital rule is referred
to as the “advanced approaches rule” throughout these
instructions.2
An institution that is subject to the advanced
approaches rule remains subject to the rule unless its
primary federal supervisor determines in writing that
application of the rule is not appropriate in light of the
institution’s asset size, level of complexity, risk profile,
or scope of operations.
Category III institutions are not required to calculate
risk-weighted assets according to the advanced
approaches rule but are required to report the supplementary leverage ratio (SLR). Top-tier Category III
bank holding companies, savings and loan holding
companies, and insured depository institutions, and all
Category III U.S. intermediate holding companies
must complete Schedule A, SLR Tables 1 and 2 only, as
described in further detail in the instructions for
Schedule A.

B. FFIEC 101 Reporting Requirements
The institutions specified in Section A above must
begin reporting on the FFIEC 101, Schedule A, except
for a few specific line items, beginning with the calendar quarter immediately following the quarter in which
the institution becomes an advanced approaches or
Category III banking institutions or elects to use the
2. See footnote 1.

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General Instructions

advanced approaches rule (an opt-in institution),3 and
must begin reporting data on the remaining schedules
of the FFIEC 101 at the end of the first quarter in
which they have begun their parallel run period. (See
Section K of these General Instructions for further
information on confidentiality.) All institutions specified in Section A will continue to file the regulatory
capital schedule in the Call Report or FR Y-9C, as
appropriate, as well as the FFIEC 101.
Institutions subject to the SLR only must refer to the
instructions for Schedule A, SLR Tables 1 and 2, to
determine the applicable reporting requirements.

What Must Be Reported

Where to Submit the Reports
E. Electronic Submission
All reporting institutions must submit their completed
reports electronically using the Federal Reserve’s
Reporting Central application. Reporting institutions
with questions about reporting via Reporting Central
should contact their Reporting and Reserves District
Contact (https://www.frbservices.org/contacts/
index.jsp). Each institution is responsible for ensuring
that the data reported each quarter reflects fully and
accurately the line item reporting requirements for that
report date, including any changes that may be made
from time to time. This responsibility cannot be transferred or delegated to software vendors, servicers, or
others outside the reporting entity.

C. Reporting Schedules and Instructions
The information contained in the attached reporting
schedules must be completed in accordance with the
instructions accompanying these schedules. The schedules and instructions are collectively referred to as the
FFIEC 101.

F. Frequency of Reporting
Each reporting institution must submit a report as of
the end of each quarter on a calendar year basis. The
“as-of ” date for each reporting period is March 31,
June 30, September 30, and December 31 of each calendar year.

D. Organization of the Instructions
These instructions cover the FFIEC 101 report schedules. They are divided into the following sections:
(1) The General Instructions that describe overall
reporting requirements.
(2) Line item instructions for each schedule of the
FFIEC 101.
The instructions and definitions in (1) and (2) are not
necessarily self-contained; reference to the advanced
approaches rule or other parts of the regulatory capital
framework may be needed for more detailed definitions and regulatory capital treatments.

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

G. When to Submit the Reports
For report dates before a reporting institution has
completed its parallel run period, the information
required to be reported in its FFIEC 101 must be submitted electronically via Reporting Central within
60 days after the as-of date of the report. That is, the
March 31 report must be submitted by May 30, the
June 30 report is due by August 29, the September 30
report is due by November 29, and the December 31
report is due by March 1 (or February 29 if a leap year)
of the subsequent year. Before the completion of a
reporting institution’s parallel run period, if the submission deadline falls on a weekend or holiday, the
report must be received on the first business day after
the Saturday, Sunday, or holiday.
For report dates after a reporting institution has completed its parallel run period or for institutions subject
to the SLR only, the submission date for each
FFIEC 101 report will be the same as the submission
date for the reporting institution’s Call Report or
FR Y-9C, as appropriate.

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FFIEC 101

General Instructions

The report is due by the end of the reporting day on the
submission date (5:00 P.M.).

H. Preparation of the Reports
Each reporting institution must prepare and file the
FFIEC 101 report in accordance with the instructions
provided. All reports must be prepared in a consistent
manner.
Questions and requests for interpretations of matters
appearing in any part of the instructions should be
addressed to the reporting entity’s primary federal
supervisor. Regardless of whether a reporting entity
requests an interpretation of a matter appearing in
these instructions, when the reporting entity’s primary
federal supervisor’s interpretation of the instructions
differs from that of the reporting entity, the federal
supervisor may require the reporting entity to prepare
its FFIEC 101 report in accordance with its interpretation and may require amended filings for previously
submitted reports.

I. Rounding
For reporting institutions with total assets of less than
$10 billion, all dollar amounts must be reported in
thousands, with the figures rounded to the nearest
thousand. Items less than $500 will be reported as zero.
For reporting institutions with total assets of $10 billion or more, all dollar amounts may be reported in
thousands, but each institution, at its option, may
round the figures reported to the nearest million, with
zeroes reported for the thousands. For reporting institutions exercising this option, amounts less than
$500,000 will be reported as zero. When reporting
numeric amounts, including dollar amounts, commas
should not be used to separate thousands, millions, and
billions.
Report “weighted averages,” which may be numbers
or percentages, rounded to two decimal places, except
as otherwise noted. Report capital ratios and buffers
as percentages, rounded to four decimal places.

J. Negative Entries
Except as indicated in the reporting instructions for
specific reporting items, negative entries are generally
not appropriate in this report.

K. Confidentiality and Parallel Run
For report dates before a reporting institution has
completed its parallel run period, Schedule A will be
available to the public, except for items 78 (total eligible
credit reserves calculated under the advanced
approaches rules); 79 (amount of eligible credit
reserves includable in tier 2 capital); 86 (expected credit
loss that exceeds eligible credit reserves); 87 (advanced
approaches risk-weighted assets); 88 (common equity
tier 1 capital ratio calculated using the advanced
approaches); 89 (additional tier 1 capital ratio calculated using the advanced approaches); and 90 (total
capital ratio using the advanced approaches). All of the
information reported in the other schedules of the
FFIEC 101 will be confidential. In addition, before the
completion of its parallel run period, an institution
must report a zero in item 12 (expected credit loss that
exceeds eligible credit reserves) of Schedule A and
must complete item 50 (eligible credit reserves) and
item 60 (total risk-weighted assets) of Schedule A by
applying the standardized approach.
For report dates after a reporting institution has completed its parallel run period, all items reported in
Schedules A and B (except for Schedule B, items 31.a
and 31.b, column D) and items 1 and 2 of Schedule S
will be available to the public. All other items reported
in the FFIEC 101 will be confidential. In addition,
after the completion of its parallel run period, an institution must begin to complete item 12 (expected credit
loss that exceeds eligible credit reserves), item 50 (eligible credit reserves), and item 60 (total risk-weighted
assets) of Schedule A using the advanced approaches
rule.
All items reported on Schedule A, SLR Tables 1 and 2,
are available to the public.
A reporting institution may request confidential treatment for some or all of the portions of the
FFIEC 101 report that will be made available to the
public if the institution is of the opinion that disclosure
of specific commercial or financial information in the
report would likely result in substantial harm to its
competitive position, or that disclosure of the submitted information would result in an unwarranted invasion of personal privacy. In certain limited circumstances, the reporting institution’s primary federal
supervisor may approve confidential treatment of
some or all of the items for which such treatment has
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General Instructions

been requested if the institution has clearly provided a
compelling justification for the request. A request for
confidential treatment must be submitted in writing
prior to the electronic submission of the report.
The written request must identify the specific items for
which confidential treatment is requested, provide justification for the confidential treatment requested for
the identified items, and demonstrate the specific
nature of the harm that would result from public
release of the information. Merely stating that competitive harm would result or that information is personal is not sufficient. Information for which confidential treatment is requested may subsequently be
released by the reporting institution’s primary federal
supervisors if it determines that the disclosure of such
information is in the public interest.

L. Verification and Signatures
Verification
All entries should be double-checked before reports are
submitted. Totals and subtotals should be crosschecked against the corresponding line items which
they tabulate and any relevant supporting materials.

M. Amended Reports
The agencies may require the filing of amended reports
if reports as previously submitted contain significant
errors. In addition, a reporting institution must file an
amended report when it discovers significant errors or
omissions subsequent to submission of a report. Failure to file amended reports on a timely basis may subject the institution to supervisory action.

N. Retention of Reports
In general, a reporting entity should maintain in its
files a signed and attested record of its completed
FFIEC 101 report, including any amended reports,
and the related work papers and supporting documentation for five years after the report date, unless there
are applicable state requirements that mandate a longer retention time.

O. Consolidation
Exposure amounts and risk weighted asset amounts
should be reported on a consolidated basis using the
same consolidation rules applied to the reporting institution’s Call Report or FR Y-9C, as appropriate.

Signatures
The report must be signed by a senior officer of the
reporting entity who can attest that the risk estimates
and other information submitted in this report meet
the requirements set forth in the applicable regulatory
capital rules and the reporting instructions for this
report. The senior officer may be the chief financial
officer, the chief risk officer, or equivalent senior officer. The cover page of this report form should be used
to fulfill the signature and attestation requirement and
should be attached to the printout of the completed
FFIEC 101 report placed in the reporting institution’s
files.

P. Legal Entity Identifier
The Legal Entity Identifier (LEI) is a 20-digit alphanumeric code that uniquely identifies entities that
engage in financial transactions. An institution must
provide its LEI on the cover page of the
FFIEC 101 report only if the institution already has an
LEI. The LEI must be a currently issued, maintained,
and valid LEI, not an LEI that has lapsed. An institution that does not have an LEI is not required to obtain
one for the purposes of reporting it on the
FFIEC 101 report.

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FFIEC 101

LINE ITEM INSTRUCTIONS FOR

Advanced Approaches Regulatory
Capital
Schedule A

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

Item Instructions
Common Equity Tier 1 Capital
Item 1 Common stock plus related surplus, net of
treasury stock.
Report the amount of the institution’s common stock
plus related surplus, net of treasury stock, as reported
in Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C, item 1.

applicable CECL transitional amount, in accordance
with section 301 of the regulatory capital rules. Specifically, an electing institution should include 75 percent
of its CECL transitional amount during the first year
of the transition period, 50 percent of its CECL transitional amount during the second year of the transition
period, and 25 percent of its CECL transitional
amount during the third year of the transition period.
Item 3 Accumulated other comprehensive income
(AOCI).
Report the amount of the institution’s AOCI as
reported in Schedule RC-R of the Call Report or
Schedule HC-R of the FR Y-9C, item 3.
Item 4 Directly issued capital subject to phase out from
common equity tier 1 capital.
Not applicable: do not complete this line item.
Item 5 Common equity tier 1 minority interest
includable in common equity tier 1 capital.
Report the amount of the institution’s common equity
tier 1 minority interest includable in common equity
tier 1 capital as reported in Schedule RC-R of the Call
Report or Schedule HC-R of the FR Y-9C, item 4.
Item 6 Common equity tier 1 capital before regulatory
deductions and adjustments.
Report the sum of items 1, 2, 3, and 5.

Item 2 Retained earnings.
Report the amount of the institution’s total retained
earnings as reported in Schedule RC-R of the Call
Report or Schedule HC-R of the FR Y-9C, item 2.

Common equity tier 1 capital: adjustments and
deductions

An institution that has elected to apply the CECL transition provision (electing institution) should include its

Item 7 Prudential valuation adjustments.
Not applicable: do not complete this line item.
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Schedule A

Item 8 Goodwill net of associated deferred tax
liabilities (DTLs).
Report the amount of the institution’s goodwill net of
associated DTLs as reported in Schedule RC-R of the
Call Report or Schedule HC-R of the FR Y-9C, item 6.
Item 9 Other intangible assets, net of associated
DTLs, other than goodwill and mortgage servicing
assets (MSAs).
Report the amount of the institution’s intangible assets
(other than goodwill and MSAs), net of associated
DTLs, as reported in Schedule RC-R of the Call
Report or Schedule HC-R of the FR Y-9C, item 7.
Item 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.
Report the amount of the institution’s DTAs that arise
from net operating loss and tax credit carryforwards,
net of any related valuation allowances and net of
DTLs, as reported in Schedule RC-R of the Call
Report or Schedule HC-R of the FR Y-9C, item 8.
Item 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 (if a gain,
report as a positive value; if a loss, report as a negative
value).
Report the amount of the institution’s accumulated
net gain or loss on cash-flow hedges included in AOCI,
net of applicable income taxes, that relate to the hedging of items that are not recognized at fair value on the
balance sheet as reported in Schedule RC-R of the Call
Report or Schedule HC-R of the FR Y-9C, item 9.f.
Item 12 Expected credit loss that exceeds eligible credit
reserves.
Report the amount of expected credit loss that exceeds
the amount of eligible credit reserves as follows.
Before an institution either begins or completes its parallel run process, report zero in line item 12. If an institution is in the parallel run process, also report
expected credit loss that exceeds eligible credit reserves
in item 86.
When the institution completes its parallel run process,
the amount of expected credit loss that exceeds the

amount of eligible credit reserves is reported in this line
item, as well as included in Schedule RC-R of the Call
Report or Schedule HC-R of the FR Y-9C, item 10.b.
Item 13 Gain-on-sale associated with a securitization
exposure.
Report the amount of the institution’s gain-on-sale
associated with a securitization exposure as included in
Schedule RC-R of the Call Report or Schedule HC-R
of the FR Y-9C, item 10.b.
Item 14 Unrealized gain or loss related to changes in
the fair value of liabilities that are due to changes in
own credit risk.
Report the amount of the institution’s total unrealized
gain or loss related to changes in the fair value of
liabilities that are due to changes in own credit risk as
reported in Schedule RC-R of the Call Report or
Schedule HC-R of the FR Y-9C, item 10.a.
Item 15 Defined benefit pension fund assets, net of
associated DTLs.
Report the amount of the institution’s defined benefit
pension fund assets, net of associated DTLs, as
included in Schedule RC-R of the Call Report or
Schedule HC-R of the FR Y-9C, item 10.b.
Item 16 Investments in own shares to the extent not
excluded above as part of treasury stock.
Report the amount of the institution’s investments in
own shares to the extent not excluded as part of treasury stock as included in Schedule RC-R of the Call
Report or Schedule HC-R of the FR Y-9C, item 10.b.
Item 17 Reciprocal cross-holdings in the common
equity of financial institutions.
Report the amount of the institution’s reciprocal crossholdings in the common equity of financial institutions
as included in Schedule RC-R of the Call Report or
Schedule HC-R of the FR Y-9C, item 10.b.
Institutions that are not holding companies must also
include in this line the amount of equity investments in
financial subsidiaries that is included in Schedule RC-R of the Call Report, item 10.b.

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Schedule A

Item 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.
Report the amount of the institution’s non-significant
investments in the capital of unconsolidated financial
institutions in the form of common stock that exceed
the 10 percent threshold for non-significant investments as reported in Schedule RC-R of the Call Report
or Schedule HC-R of the FR Y-9C, item 11.
Item 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.
Report the amount of the institution’s significant
investments in the capital of unconsolidated financial
institutions in the form of common stock, net of associated DTLs, that exceed the 10 percent common
equity tier 1 capital deduction threshold as reported in
Schedule RC-R of the Call Report or Schedule HC-R
of the FR Y-9C, item 13.
Item 20 MSAs, net of associated DTLs, that exceed
the 10 percent common equity tier 1 capital deduction
threshold.
Report the amount of the institution’s MSAs net of
associated DTLs that exceed the 10 percent common
equity tier 1 capital deduction threshold as reported in
Schedule RC-R of the Call Report or Schedule HC-R
of the FR Y-9C, item 14.
Item 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.
Report the amount of the institution’s total DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of
related valuation allowances and net of DTLs, that
exceed the 10 percent common equity tier 1 capital
deduction threshold as reported in Schedule RC-R of
the Call Report or Schedule HC-R of the FR Y-9C,
item 15.

Item 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.
Report the amount of the institution’s total amount of
significant investments in the capital of unconsolidated
financial institutions in the form of common stock, net
of associated DTLs; MSAs, net of associated DTLs;
and DTAs arising from temporary differences that
could not be realized through net operating loss carrybacks, net of related valuation allowances and net of
associated DTLs, that exceeds the 15 percent common
equity tier 1 capital deduction threshold as reported in
Schedule RC-R of the Call Report or Schedule HC-R
of the FR Y-9C, item 16.
Item 23 of which: significant investments in the capital
of unconsolidated financial institutions in the form of
common stock, net of associated DTLs.
Report the pro- rated amount of significant investments in the capital of unconsolidated financial institutions in the form of common stock, net of associated
DTLs. An example of this calculation is provided in a
worksheet calculation table, step 7, in Schedule RC-R
or Schedule HC-R, item 16.
Item 24 of which: MSAs, net of associated DTLs.
Report the pro-rated amount of MSAs, net of associated DTLs. An example of this calculation is provided
in a worksheet calculation table, step 7, in Schedule RC-R or Schedule HC-R, item 16.
Item 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.
Report the pro-rated amount of DTAs arising from
temporary differences that could not be realized
through net operating loss carrybacks, net of related
valuation allowances and net of DTLs. An example of
this calculation is provided in a worksheet calculation
table, step 7, in Schedule RC-R or Schedule HC-R,
item 16.
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Schedule A

Item 26 National specific regulatory adjustments.
Not applicable: Do not complete this line item.
Item 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.
Report the amount of the institution’s total deductions
applied to common equity tier 1 capital due to insufficient amounts of additional tier 1 capital and tier 2
capital to cover deductions.
Before an institution either begins or completes its parallel run process, report the amount of the institution’s
deductions applied to common equity tier 1 capital due
to insufficient amount additional tier 1 capital and tier
2 capital to cover deductions as reported in Schedule RC-R of the Call Report or Schedule HC-R of the
FR Y-9C, item 17. In addition, if an institution is in the
parallel run process, adjust the calculation of the
advanced approaches regulatory capital ratios in
Schedule A, items 88 through 90, using the advanced
approaches rules to calculate deductions applied to
common equity tier 1 capital due to insufficient
amounts of additional tier 1 capital and tier 2 capital to
cover deductions.
When the institution completes its parallel run process,
report this item 27 using the advanced approaches rule.
As described in Schedule RC-R of the Call Report,
item 45 and Schedule HC-R of the FR Y-9C, item 43,
advanced approaches institutions with insufficient tier
2 capital for deductions will make the following adjustments: an advanced approaches institution will make
deductions on Schedule RC-R or Schedule HC-R
under the generally applicable rules that apply to all
banking organizations. It will use FFIEC 101 Schedule A, to calculate its capital requirements under the
advanced approaches. Therefore, in the case of an
advanced approaches institution with insufficient tier 2
capital to make tier 2 deductions, it will use the corresponding deduction approach and the generally applicable rules to take excess tier 2 deductions from additional tier 1 capital in Schedule RC-R or
Schedule HC-R, item 24, and if necessary from common equity tier 1 capital in Schedule RC-R or Schedule HC-R, item 17. It will use the advanced approaches
rules to take deductions on the FFIEC 101 form to
calculate advanced approaches regulatory capital
ratios.

For example, assume tier 2 capital is $100 under the
advanced approaches and $98 under the generally
applicable rules (due to the difference between the
amount of eligible credit reserves includable in tier 2
capital under the advanced approaches, and ALLL
includable in tier 2 capital under the standardized
approach). If the required deduction from tier 2 capital
is $110, then the advanced approaches institution
would add $10 to the required additional tier 1 capital
deductions (on FFIEC 101 Schedule A, line 42, and
FFIEC 101 Schedule A, line 27, if necessary), and
would add $12 to its required additional tier 1 capital
deductions for the calculation of the standardized
approach regulatory capital ratios in Schedule RC-R
or Schedule HC-R, item 24, and Schedule RC-R or
Schedule HC-R, item 17, if necessary.
Item 28 Total adjustments and deductions for common
equity tier 1 capital.
Report the sum of items 8 through 22, plus item 27.
Item 29 Common equity tier 1 capital.
Report item 6 less item 28.

Additional Tier 1 Capital
Item 30 Additional tier 1 capital instruments plus
related surplus.
Report the amount of the institution’s total additional
tier 1 capital instruments plus related surplus as
reported in Schedule RC-R of the Call Report or
Schedule HC-R of the FR Y-9C, item 20.
Item 31 of which: classified as equity under GAAP.
Not applicable: Do not complete this line item.
Item 32 of which: classified as liabilities under GAAP.
Not applicable: Do not complete this line item.
Item 33 Non-qualifying capital instruments subject to
phase out from additional tier 1 capital.
Report the amount of the institution’s non-qualifying
capital instruments subject to phase out from additional tier 1 capital, as reported in Schedule RC-R of
the Call Report or Schedule HC-R of the FR Y-9C,
item 21.

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Schedule A

Item 34 Tier 1 minority interest not included in
common equity tier 1 capital.
Report the amount of an institution’s total tier 1
minority interest not included in common equity tier 1
capital as reported in Schedule RC-R of the Call
Report or Schedule HC-R of the FR Y-9C, item 22.
Item 35 of which: amount subject to phase out.
Report the portion of the institution’s total tier 1
minority interest not included in common equity tier 1
capital that is subject to phase out.
Item 36 Additional tier 1 capital before deductions.
Report the sum of items 30, 33, and 34.

Additional tier 1 capital deductions
Item 37 Investments in own additional tier 1 capital
instruments.
Report the amount of the institution’s total investments in own additional tier 1 capital instruments as
included in Schedule RC-R of the Call Report or
Schedule HC-R of the FR Y-9C, item 24.
Item 38 Reciprocal cross-holdings in the additional tier
1 capital of financial institutions.
Report the amount of the institution’s total reciprocal
cross-holdings in the additional tier 1 capital of financial institutions as included in Schedule RC-R of the
Call Report or Schedule HC-R of the FR Y-9C,
item 24.
Item 39 Non-significant investments in additional tier 1
capital of unconsolidated financial institutions that
exceed the 10 percent threshold for non-significant
investments.
Report the amount of the institution’s total nonsignificant investments in additional tier 1 capital of
unconsolidated financial institutions that exceed the
10 percent threshold for non-significant investments as
included in Schedule RC-R of the Call Report or
Schedule HC-R of the FR Y-9C, item 24.
Item 40 Significant investments in financial institutions
not in the form of common stock to be deducted from
additional tier 1 capital.
Report the amount of the institution’s total significant
investments in financial institutions not in the form of

common stock to be deducted from additional tier 1
capital as included in Schedule RC-R of the Call
Report or Schedule HC-R of the FR Y-9C, item 24.
Item 41 Other deductions from additional tier 1
capital.
Report the amount of the institution’s other deductions from additional tier 1 capital as included in
Schedule RC-R of the Call Report or Schedule HC-R
of the FR Y-9C, item 24 that are not included in items
37 through 40 of this schedule.
Advanced approaches institutions with insurance
underwriting activities: include 50 percent of the
amount equal to the regulatory capital requirement for
insurance underwriting risks established by the regulator of any insurance underwriting activities of the
institution.
Item 42 Deductions applied to additional tier 1 capital
due to insufficient tier 2 capital to cover deductions.
Report the amount of the institution’s total deductions
applied to additional tier 1 capital due to insufficient
amount of tier 2 capital to cover deductions as
described in item 27 of this schedule A.
Item 43 Total additional tier 1 capital deductions.
Report the sum of items 37 through 42.
Item 44 Additional tier 1 capital.
Report the greater of item 36 less item 43 or zero.

Tier 1 capital
Item 45 Tier 1 capital.
Report the sum of items 29 and 44.

Tier 2 capital
Item 46 Tier 2 capital instruments plus related surplus.
Report the amount of the institution’s total tier 2 capital instruments plus related surplus as reported in
Schedule RC-R of the Call Report, item 39 or Schedule HC-R of the FR Y-9C, item 37.
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Item 47 Non-qualifying capital instruments subject to
phase out from tier 2 capital.
Report the amount of the institution’s total nonqualifying capital instruments subject to phase out
from tier 2 capital, as reported in Schedule RC-R of the
Call Report, item 40 or Schedule HC-R of the
FR Y-9C, item 38.
Item 48 Total capital minority interest that is not
included in tier 1 capital.
Report the amount of the institution’s total capital
minority interest not included in tier 1 capital as
reported in Schedule RC-R of the Call Report, item 41
or Schedule HC-R of the FR Y-9C, item 39.

tional amount during the first year of the transition
period, 50 percent of its eligible credit reserves transitional amount during the second year of the transition
period, and 25 percent of its eligible credit reserves
transitional amount during the third year of the transition period.
Item 51 Tier 2 capital before deductions.
Report the sum of items 46, 47, 48, and 50, plus the
amount reported in Schedule RC-R of the Call Report,
item 43 or Schedule HC-R of the FR Y-9C, item 41.

Tier 2 capital deductions

Item 49 of which: instruments subject to phase out.
Report the portion of the institution’s total capital
minority interest that is not included in tier 1 capital
that is subject to phase out.

Item 52 Investments in own tier 2 capital instruments.
Report the amount of the institution’s total investments in own tier 2 capital instruments as included in
Schedule RC-R of the Call Report, item 45 or Schedule HC-R of the FR Y-9C, item 43.

Item 50 Eligible credit reserves includable in tier 2
capital.
If the institution has completed its parallel run process:
If eligible credit reserves exceed total expected credit
losses, then report the amount by which eligible credit
reserves exceed expected credit losses, up to a maximum amount of 0.60 percent of credit risk-weighted
assets.

Item 53 Reciprocal cross-holdings in the tier 2 capital
of unconsolidated financial institutions.
Report the amount of the institution’s total reciprocal
cross-holdings in tier 2 capital of unconsolidated
financial institutions as included in Schedule RC-R of
the Call Report, item 45 or Schedule HC-R of the
FR Y-9C, item 43.

If the institution is in the parallel run process: Report
the amount of the institution’s allowable allowance for
loan and leases losses or adjusted allowances for credit
losses (AACL), if applicable, includable in tier 2 capital, as reported in Schedule RC-R of the Call Report,
item 42.a or Schedule HC-R of the FR Y-9C, item
40.a. In addition, report eligible credit reserves includable in tier 2 capital in this Schedule A, item 79. This
amount is confidential while the institution is in the
parallel run process. Once the institution has completed its parallel run process, the reported amount is
publicly available on this schedule and on Schedule RC-R of the Call Report, item 42.b or Schedule HC-R of the FR Y-9C, item 40.b.

Item 54 Non-significant investments in the tier 2
capital of unconsolidated financial institutions that
exceed the 10 percent threshold for non-significant
investments.
Report the amount of the institution’s non-significant
investments in the tier 2 capital of unconsolidated
financial institutions that exceed the 10 percent threshold for non-significant investments, as included in
Schedule RC-R of the Call Report, item 45 or Schedule HC-R of the FR Y-9C, item 43.

Electing Institutions subtract the applicable portion of
the eligible credit reserves transitional amount from
this item, in accordance with section 301 of the regulatory capital rules. Specifically, an electing institution
subtracts 75 percent of its eligible credit reserves transi-

Item 55 Significant investments in financial institutions
not in the form of common stock to be deducted from
tier 2 capital.
Report the amount of the institution’s total significant
investments in financial institutions not in the form of
common stock to be deducted from tier 2 capital as
included in Schedule RC-R of the Call Report, item 45
or Schedule HC-R of the FR Y-9C, item 43.

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Item 56 Other deductions from tier 2 capital.
Report the amount of the institution’s other deductions from tier 2 capital as included in Schedule RC-R
of the Call Report, item 45 or Schedule HC-R of the
FR Y-9C, item 43 that are not included in items 52
through 55.a of this schedule.
Advanced approaches institutions with insurance
underwriting activities: include 50 percent of the
amount equal to the regulatory capital requirement for
insurance underwriting risks established by the regulator of any insurance underwriting activities of the
institution.
Item 57 Total tier 2 capital deductions.
Report the sum of items 52 through 56.
Item 58 Tier 2 capital.
Report the greater of: item 51 less item 57 or zero.

Total capital
Item 59 Total capital.
Report the sum of items 45 and 58.

Total risk-weighted assets
Item 60 Total risk-weighted assets (RWAs).
If the institution has completed its parallel run process:
report the amount of the institution’s total RWAs calculated using the advanced approaches as reported in
FFIEC 101, Schedule B, item 36.
If the institution is in the parallel run process: Report
total RWAs as calculated under the standardized
approach as reported in Schedule RC-R of the Call
Report, item 48.a or Schedule HC-R of the FR Y-9C,
item 46.a. In addition, report total RWAs calculated
using the advanced approaches in this Schedule A,
item 87. The latter amount is confidential while the
institution is conducting its parallel run.

Capital ratios and buffers
Item 61 Common equity tier 1 capital ratio.
Report the institution’s common equity tier 1 riskbased capital ratio as a percentage, calculated as
item 29 divided by item 60, rounded to four decimal
places.

Item 62 Tier 1 capital ratio.
Report the institution’s tier 1 risk-based capital ratio as
a percentage, calculated as item 45 divided by item 60,
rounded to four decimal places.
Item 63 Total capital ratio.
Report the institution’s total risk-based capital ratio as
a percentage, calculated as item 59 divided by item 60,
rounded to four decimal places.
Item 64 Institution-specific common equity tier 1
capital ratio necessary to avoid limitations on capital
distributions and discretionary bonus payments.
Report the sum of the institution’s 4.5% minimum
common equity tier 1 capital requirement plus the
institution’s buffer necessary to avoid limitations on
capital distributions and discretionary bonus payments. This item 64 equals 4.5% plus the sum of items
65 (the capital conservation buffer), 66 (the countercyclical capital buffer), and 67 (G-SIB surcharge),
rounded to four decimal places.
Item 65 of which: capital conservation buffer.
Report the institution’s 2.5% capital conservation
buffer.
Item 66 of which: countercyclical capital buffer.
If applicable, report the institution’s countercyclical
capital buffer.
Item 67 of which: G-SIB surcharge.
If applicable, report the institution’s G-SIB surcharge.
The G-SIB surcharge applies only to global systemically important bank holding companies, as described
in 12 CFR §217.400.
Item 68 Common equity tier 1 capital available to meet
items 65 through 67 (as a percentage of RWA).
Report the institution’s common equity tier 1 capital
available to meet the buffers and surcharge necessary
to avoid limits on capital distributions and discretionary bonus payments rounded to four decimal places.
The amount reported in this item is equal to the lowest
of the following ratios, with a floor of zero percent.
A. Common equity tier 1 capital ratio LESS Minimum common equity tier 1 capital requirement
(4.5%)
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Table 1 – Example for purposes of reporting items 64 through 68
Example: A bank holding company has a 7.25% common equity tier 1 capital ratio; a 9.75% tier 1 capital ratio; and an 11.25%
total capital ratio. The capital conservation buffer is 2.5%. There is no applicable countercyclical capital buffer. The applicable
G-SIB surcharge is 0.5%. Assume that the transition provisions do not apply here.
Calculations
Item 64. Enter the sum of the 4.5% minimum common equity tier 1 capital requirement, the capital conservation buffer from item 65 (2.5000%), the countercyclical
capital buffer from item 66 (0.0000%), and the G-SIB surcharge from item 67
(0.5000%).

Report 7.5000% in item 64
(Calculated as the sum of the 4.5000% minimum common
equity tier 1 requirement plus the 2.5000% capital conservation
buffer plus the 0.5000% G-SIB surcharge).

Item 65. Enter the 2.5% capital conservation buffer.

Report 2.5000% in item 65.

Item 66. Enter the countercyclical capital buffer, if applicable.

Report 0.0000% in item 66.

Item 67. Enter the G-SIB surcharge, if applicable.

Report 0.5000% in item 67.

Item 68. Enter the lowest of the following three ratios, with a floor of zero percent:

Report 2.7500% in item 68.

a. Common equity tier 1 capital ratio LESS
Minimum common equity tier 1 capital requirement
Example: 7.25% - 4.50% = 2.75%
b. Tier 1 capital ratio LESS
Minimum tier 1 capital requirement
Example: 9.75% - 6.00% = 3.75%
c. Total capital ratio LESS
Minimum total capital requirement
Example: 11.25% - 8.00% = 3.25%

B. Tier 1 capital ratio LESS Minimum tier 1 capital
requirement (6.0%)
C. Total capital ratio LESS Minimum total capital
requirement (8.0%)
An institution in the parallel run process must use the
standardized risk-based capital ratios reported in
items 61 through 63 of the FFIEC 101, Schedule A, for
purposes of this calculation.
An institution that has completed its parallel run process must use the lower of each standardized or
advanced approaches risk-based capital ratio, as
reported in Schedule RC-R items 49 through 51 or
Schedule HC-R, items 47 through 49, for purposes of
this calculation.

Regulatory minimums if different from
Basel III
Item 69 Minimum common equity tier 1 capital ratio:
4.5%.
Not applicable: do not complete this line item.

Item 70 Minimum tier 1 capital ratio: 6.0%.
Not applicable: do not complete this line item.

Item 71 Minimum total capital ratio: 8.0%.
Not applicable: do not complete this line item.

Amounts not deducted as a result of
applicable thresholds (before riskweighting)
Item 72 Non-significant investments in the capital of
unconsolidated financial institutions that are not
deducted.
Report the amount of non-significant investments in
the capital of unconsolidated financial institutions that
are not deducted from common equity tier 1, additional tier 1 or total capital (that is, not reported in
items 18, 39, and 54 of this Schedule A).

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Item 73 Significant investments in the capital of
unconsolidated financial institutions in the form of
common, net of associated DTLs, stock that are not
deducted.
Report the amount of significant investments in the
capital of unconsolidated financial institutions in the
form of common stock, net of associated DTLs, that
are not deducted from common equity tier 1 (that is,
not reported in items 19 or 23 of this Schedule A).
Item 74 MSAs net of associated DTLs that are not
deducted.
Report the amount of MSAs net of associated DTLs
that are not deducted from common equity tier 1 capital (that is, not reported in items 20 or 24 of this Schedule A).
Item 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.
Report the amount of DTAs arising from temporary
differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net of DTLs, that are not deducted from
common equity tier 1 capital (that is, not reported in
items 21 or 25 of this Schedule A).

Limitations on the amount of provisions
included in tier 2 capital
Item 76 Total allowance for loan and lease losses
(ALLL) under the standardized approach.
For institutions that have not yet adopted ASU 201613, report the amount of total ALLL under the standardized approach, which is equal to Schedule RC,
item 4.c, “Allowance for loan and lease losses,” less
Schedule RI-B, part II, Memorandum item 1, “Allocated transfer risk reserve included in Schedule RI-B,
part II, item 7, column A, above,” plus Schedule RC-G,
item 3, “Allowance for credit losses on off-balance
sheet credit exposures.”
For Call Report filers that have adopted ASU 2016-13,
report the amount of total AACL under the standardized approach, which is equal to Schedule RI-B,
part II, item 7, sum of Columns A and B, “Balance end
of current period: Loans and leases held for investment

and Held-to-maturity debt securities,” and Memorandum item 6, “Allowance for credit losses on other
financial assets carried at amortized cost (not included
in item 7, above)” less Schedule RC-R, part II, Memorandum items 4.a, 4.b, and 4.c, “Amount of allowances
for credit losses on purchased credit-deteriorated
assets: Loans and leases held for investment, Held-tomaturity debt securities, and Other financial assets
measured at amortized cost,” less Schedule RI-B,
part II, Memorandum item 1, “Allocated transfer risk
reserve included in Schedule RI-B, part II, item 7, column A, above,” plus Schedule RC-G, item 3, “Allowance for credit losses on off-balance sheet credit
exposures.”
For FR Y-9C filers that have adopted ASU 2016-13,
report the amount of total AACL under the standardized approach, which is equal to Schedule HI-B, part
II, item 7, sum of Columns A and B, “Balance end of
current period: Loans and leases held for investment
and Held-to-maturity debt securities,” and Memorandum item 6, “Allowance for credit losses on other
financial assets carried at amortized cost (not included
in item 7, above),” less Schedule HC-R, part II, Memorandum items 5.a, 5.b, and 5.c, “Amount of allowances
for credit losses on purchased credit-deteriorated
assets: Loans and leases held for investment, Held-tomaturity debt securities, and Other financial assets
measured at amortized cost,” less Schedule HI-B,
part II, Memorandum item 1, “Allocated transfer risk
reserve included in Schedule HI-B, part II, item 7, column A, above,” plus Schedule HC-G, item 3, “Allowance for credit losses on off-balance sheet credit
exposures.”
Item 77 Amount of ALLL includable in tier 2 capital
under the standardized approach.
Report the amount of the institution’s ALLL or
AACL, if applicable, includable in tier 2 capital under
the standardized approach as reported in Schedule RC-R of the Call Report or Schedule HC-R of the
FR Y-9C, item 30.a.
Items 78 and 79 are kept confidential on reports filed
during an institution’s parallel run process.
Item 78 Total eligible credit reserves (calculated using
advanced approaches).
Report the amount of total eligible credit reserves.
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Schedule A

Item 79 Amount of eligible credit reserves includable in
tier 2 capital.
If eligible credit reserves exceed total expected credit
losses, then report the amount by which eligible credit
reserves exceed expected credit losses, up to a maximum amount of 0.60 percent of credit risk-weighted
assets.

Non-qualifying capital instruments
Item 80 Cap on common equity tier 1 non-qualifying
capital instruments subject to phase-out.
Report 0 for this item.

Item 84 Cap on tier 2 non-qualifying capital
instruments subject to phase-out.
a. Depository institution holding companies: Report
0 for this item.
b. Depository institutions: multiply the aggregate
principal amount of non-qualifying tier 2 capital
instruments that were outstanding as of January 1, 2014 by the percentage in Table 2 for the
corresponding calendar year.
Item 85 Amount of tier 2 non-qualifying capital
instruments excluded.
Report the total amount of instruments that were
excluded from tier 2 capital as a result of the application of the cap in Schedule A, item 84.

Item 81 Amount of common equity tier 1
non-qualifying capital instruments excluded.
Report 0 for this item.

Memoranda

Item 82 Cap on additional tier 1 non-qualifying capital
instruments subject to phase-out.

Item 86 Expected credit loss that exceeds eligible credit
reserves.
Report the amount of expected credit loss that exceeds
the amount of eligible credit reserves, as calculated
under the advanced approaches rules.

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

a. Depository institution holding companies: Report
0 for this item.
b. Depository institutions: multiply the aggregate
principal amount of non-qualifying additional
tier 1 capital instruments that were outstanding
as of January 1, 2014 by the percentage in Table
2 for the corresponding calendar year.
Table 2 – Transition provisions for non-qualifying
capital instruments for depository institutions

Transition Period
Calendar year 2020
Calendar year 2021
Calendar year 2022 and thereafter

Cap on
non-qualifying
capital
instruments
20
10
0

Item 83 Amount of additional tier 1 non-qualifying
capital instruments excluded.
Report the total amount of non-qualifying capital
instruments that were excluded from additional tier 1
capital as a result of the application of the cap in
Schedule A, item 82.

Item 87 Advanced approaches RWA (from
FFIEC 101, Schedule B, item 36).
Report the amount of the institution’s total RWAs calculated under the revised advanced approaches rules.
Item 88 Common equity tier 1 capital ratio (calculated
using advanced approaches).
If an institution is in the parallel run process: Report
common equity tier 1 capital ratio calculated using the
revised advanced approaches rules. Specifically, to calculate the numerator of this ratio, an institution must
deduct from item 29 the amount of expected credit loss
that exceeds eligible credit reserves, reported in item 86,
subject to the transition provisions. To calculate the
denominator of this ratio, the institution must use the
amount of the advanced approaches risk-weighted
assets reported in item 87. Round the ratio to four decimal places.
After the institution completes its parallel run process:
Report common equity tier 1 capital ratio calculated

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under the revised advanced approaches rules as item 29
divided by item 60, rounded to four decimal places.
Item 89 Tier 1 capital ratio (calculated using advanced
approaches).
If an institution is in the parallel run process: Report
tier 1 capital ratio calculated using the revised
advanced approaches rules. Specifically, to calculate
the numerator of this ratio, add (i) common equity tier
1 capital reported in item 29, net of expected credit loss
that exceeds eligible credit reserves, reported in item 86,
subject to the transition provisions, and (ii) additional
tier 1 capital as reported in item 44. To calculate the
denominator of this ratio, the institution must use the
amount of the advanced approaches risk-weighted
assets reported in item 87. Round the ratio to four decimal places.
After the institution completes its parallel run process:
Report tier 1 capital ratio calculated using the
advanced approaches rule as item 45 divided by
item 60, rounded to four decimal places.
Item 90 Total capital ratio (calculated using advanced
approaches).
If an institution is in the parallel run process: Report
total capital ratio calculated using the revised advanced
approaches rules. Specifically, to calculate the numerator of this ratio, add (i) common equity tier 1 capital
reported in item 29, net of expected credit loss that
exceeds eligible credit reserves, reported in item 86,
subject to the transition provisions, (ii) additional tier 1
capital as reported in item 44, and (iii) tier 2 capital
reported in item 58, net of the institution’s allowance
for loan and lease losses or adjusted allowances for
credit losses, if applicable, reported in item 50 and plus
as reported in item 79. To calculate the denominator of
this ratio, the institution must use the amount of the
advanced approaches risk-weighted assets reported in
item 87. Round the ratio to four decimal places.
After the institution completes its parallel run process:
Report total capital ratio calculated under the revised
advanced approaches rules as item 59 divided by
item 60, rounded to four decimal places.

Supplementary Leverage Ratio (SLR)
SLR Tables 1 and 2 are required to be completed by an
advanced approaches institution as described in sec-

tion 173(a)(2) of the advanced approaches risk-based
capital rule.1 Predominately, the SLR disclosures apply
to an advanced approaches institution, unless it is a
consolidated subsidiary of a bank holding company
(BHC), savings and loan holding company, or a
depository institution that is subject to these disclosure
requirements or a subsidiary of a non-U.S. banking
organization that is subject to comparable public disclosure requirements in its home jurisdiction.
These SLR tables are also required to be completed by
top-tier Category III bank holding companies, savings
and loan holding companies, insured depository institutions and Category III U.S. intermediate holding
companies.2
SLR Tables 1 and 2 are to be completed on a consolidated basis.
An advanced approaches institution must calculate its
SLR as the ratio of tier 1 capital to total leverage exposure, as defined in the regulatory capital rule.
An advanced approaches banking organization is
required to use SA-CCR by January 1, 2022 to determine the exposure amount for a derivative contract for
purposes of calculating its total leverage exposure in
the supplementary leverage ratio. Advanced approaches
banking organizations have the option to early adopt
the SA-CCR rule as of March 31, 2020.
Under SA-CCR, a clearing member banking organization is allowed to recognize the risk-reducing effect of
client collateral in replacement cost and PFE for purposes of calculating total leverage exposure under certain circumstances. This treatment applies to a banking
1. See 12 CFR part 3, subpart E (OCC); 12 CFR part 217, subpart E
(Board); and 12 CFR part 324, subpart E (FDIC). Regardless of parallel run status, a top-tier advanced approaches banking organization is
required to complete SLR Tables 1 and 2 of FFIEC 101 Schedule A.
Any advanced approaches banking organization that is a consolidated
subsidiary of a top-tier advanced approaches bank holding company,
savings and loan holding company, or insured depository institution
should not complete SLR Tables 1 and 2; instead, these institutions
report SLR data on Schedule RC-R of the Call Report or Schedule HC-R of the FR Y-9C, as appropriate.
2. See 12 CFR 252.5 or 12 CFR 238.10, as applicable. Any Category
III banking organization that is a consolidated subsidiary of a top-tier
Category III bank holding company, savings and loan holding company, or insured depository institution would not complete or file any
part of the FFIEC 101. Those subsidiary banking organizations'
insured depository institutions would report SLR data on Schedule RC-R of the Call Report.

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organization’s exposure to its client-facing derivative
transactions. For such exposures, the banking organization would use SA-CCR, as applied for risk-based
capital purposes, which permits recognition of both
cash and non-cash margin received from a client in
replacement cost and PFE.
Under the Current Exposure Method (CEM), total
leverage exposure includes both on-balance sheet
assets and certain off-balance sheet exposures. For the
on-balance sheet amount, a banking organization must
include the balance sheet carrying value of its derivative contracts and certain cash variation margin. For
the off-balance sheet amount, the banking organization must include the PFE for each derivative contract
(or each single-product netting set of derivative contracts), using CEM, as provided under §section _.34 of
the capital rule, but without regard to financial collateral. Category III banking institutions that continue to
use CEM to determine the total leverage exposure
measure are not permitted to recognize the riskreducing effects of client collateral other than with
respect to certain transfers of cash variation margin in
replacement cost.
When using CEM, for purposes of calculating the
SLR, qualifying cash variation margin means cash
variation margin that satisfies the following requirements, consistent with section 10(c)(4)(ii)(C) of the
regulatory capital rule:
1. For derivative contracts that are not cleared
through a qualifying central counterparty
(QCCP), the cash collateral received by the
recipient counterparty is not segregated (by law,
regulation or an agreement with the
counterparty);
2. Variation margin is calculated and transferred
on a daily basis based on the mark-to-fair value
of the derivative contract;
3. The variation margin transferred under the
derivative contract or the governing rules for a
cleared transaction is the full amount that is
necessary to fully extinguish the net current
credit exposure to the counterparty of the
derivative contract, subject to the threshold and
minimum transfer amounts applicable to the
counterparty under the terms of the derivative

contract or the governing rules for a cleared
transaction;3
4. The variation margin is in the form of cash in
the same currency as the currency of settlement
set forth in the derivative contract, provided that
for the purposes of this paragraph, currency of
settlement means any currency for settlement
specified in the governing qualifying master netting agreement and the credit support annex to
the qualifying master netting agreement, or in
the governing rules for a cleared transaction; and
5. The derivative contract and the variation margin
are governed by a qualifying master netting
agreement between the legal entities that are the
counterparties to the derivative contract or by
the governing rules for a cleared transaction,
and the qualifying master netting agreement or
the governing rules for a cleared transaction
must explicitly stipulate that the counterparties
agree to settle any payment obligations on a net
basis, taking into account any variation margin
received or provided under the contract if a
credit event involving either counterparty
occurs.
An advanced approaches banking organization is
required to use SA-CCR by January 1, 2022 to determine the exposure amount for a derivative contract for
purposes of calculating its total leverage exposure in
the supplementary leverage ratio. Advanced approaches
banking organizations have the option to early adopt
the SA-CCR rule as of March 31, 2020.
For a national bank or Federal savings association that
uses the standardized approach for counterparty credit
risk under section §_.132(c) for its standardized riskweighted assets, the PFE for each netting set to which
the national bank or Federal savings association is a
counterparty (including cleared transactions except as
provided in paragraph (c)(4)(ii)(I) of section _.10 and,
at the discretion of the banking organization, excluding a forward agreement treated as a derivative con3. If a dispute over the correct amount of variation margin arises
between a banking organization and a counterparty, the banking organization may recognize the amount of variation margin that has been
transferred as long as the parties are acting in accordance with agreedupon practices to settle a disputed trade and all other conditions for
qualifying cash variation margin are met.

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Schedule A

tract that is part of a repurchase or reverse repurchase
or a securities borrowing or lending transaction that
qualifies for sales treatment under U.S. GAAP), as
determined under §_.132(c)(7)(i), in which the term C
in §_.132(c)(7)(i) equals zero except as provided in
paragraph (c)(4)(ii)(B)(2)(ii) of section _.10, and, for
any counterparty that is not a commercial end-user,
multiplied by 1.4.

Table 1, items 1.4, 1.5, 1.6, and 1.7; and SLR Table 2,
items 2.1 (except as noted) and 2.4 through 2.19.

SLR Table 1: Summary comparison of
accounting assets and total leverage exposure
An institution must report the following items for purposes of reconciling its balance sheet assets reported in

Table 3–SA-CCR
SA-CCR Mechanics

Under the final rule, a banking organization using SA-CCR determines the exposure amount for a netting set of
derivative contracts as follows:
Exposure amount = alpha factor x (replacement cost + potential future exposure)

Key Elements of the SA-CCR formula
Replacement Cost

The replacement cost of a derivative contract reflects the amount that it would cost a banking organization to
replace the derivative contract it the counterparty were to immediately default. Under SA-CCR, replacement cost
is based on the fair value of a derivative contract under U.S. GAAP, with adjustments to reflect the exchange of
collateral for margined transactions.
For un-margined transactions: RC = max{V - C;0}, where replacement cost equals the maximum of the fair value
of the derivative contract (after excluding any valuation adjustments) (V) less the net amount of any collateral (C)
received from the counterparty and zero.
For margined transactions: RC = max{V-C;TH + MTA -NICA;0}, where replacement cost equals the maximum
of (1) the sum of the fair values (after excluding any valuation adjustments) of the derivative contracts within the
netting set less the net amount of collateral applicable to such derivative contracts; (2) the counterparty’s maximum exposure to the netting set under the variation margin agreement (TH+MTA), less the net collateral amount
applicable to such derivative contracts (NICA); of (3) zero.

Potential Future Exposure

The potential future exposure of a derivative contract reflects the possibility of changes in the value of the derivative contract over a specified period. Under SA-CCR, the potential future exposure amount is based on the
notional amount and maturity of the derivative contract, volatilities observed during the financial crisis for different classes of derivative contracts (i.e., interest rate, exchange rate, credit, equity, and commodity), the exchange
of collateral, and full or partial offsetting among derivative contracts that share an economic relationship.
PFE = multiplier × aggregated amount, where the PFE multiplier decreases exponentially from a value of 1 to recognize the amount of any excess collateral and the negative fair values of derivative contracts within the netting
set. The aggregated amount accounts for full or partial offsetting among derivative contracts within a hedging set
that share an economic relationship, as well as observed volatilities in the reference asset, the maturity of the
derivative contract, and the correlation between the derivative contract and the reference exposure (i.e., long or
short).

Alpha Factor

The alpha factor is a measure of conservatism that is designed to address risks that are not directly captured under
SA-CCR, and to ensure that the capital requirement for a derivative contract under SA-CCR is generally not
lower than the one produced under IMM.
For most derivative contracts, the alpha factor equals 1.4; however, no alpha factor applies to derivative contracts
with commercial end-user counterparties.

Financial subsidiaries (applicable to national
banks and insured state banks):

the published financial statements and total leverage
exposure.

Any exposures arising from financial subsidiaries must
be excluded from the amounts reported in SLR

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Schedule A

Item 1.1 Total consolidated assets as reported in
published financial statements.
Report the amount of total consolidated assets at
quarter end as reported on the institution’s published
financial statements.
Item 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.
This item generally applies to institutions that have
financial subsidiaries. The aggregate adjustment may
be either a positive or a negative amount.
If a financial subsidiary is not consolidated into the
institution for purposes of the institution’s balance
sheet, include in this item as a deduction (i.e., as a
negative value) the quarterly average for the institution's ownership interest in the financial subsidiary
accounted for under the equity method of accounting
that is included in the institution’s balance sheet carrying value of all on- balance sheet assets in SLR Table 1,
item 1.1.
If a financial subsidiary is consolidated into the institution for purposes of the institution’s balance sheet,
include in this item as a deduction (i.e., as a negative
value) the quarterly average of the assets of the subsidiary that is included in the institution’s total consolidated assets as reported in published financial statements in SLR Table 1, item 1.1. Include in this item the
quarterly average of institution assets representing
claims on the financial subsidiary, other than the institution’s ownership interest in the subsidiary, that were
eliminated in consolidation. Because the institution’s
claims on the subsidiary were eliminated in consolidation, these assets would not otherwise be included.

Item 1.3 Adjustment for fiduciary assets recognized
on-balance sheet but excluded from total leverage
exposure.
Not applicable.
Item 1.4 Adjustment for derivative transactions.
The amount reported in this item includes the accounting and regulatory adjustments required to reconcile
what an institution reports on its published financial
statements with the amount an institution includes for
exposures to derivatives transactions in total leverage
exposure (calculated on a quarter end basis), in addition to any off- balance sheet and related regulatory
adjustments (calculated using the mean of the amount
calculated as of the last day of each of the three
months of the reporting quarter).
The amount reported in this item is calculated as
follows:
From the amount reported in SLR Table 2, item 2.11;
Subtract

The amount reported in SLR Table 2,
item 2.4;

Add

The amount reported in SLR Table 2,
item 2.4, that is not already included in SLR
Table 1, item 1.1, as of the last day of the
reporting quarter;

Subtract

The amount reported in SLR Table 2,
item 2.6;

Add

The amount reported in SLR Table 2,
item 2.6, as of the last day of the reporting
quarter;

Add

The amount reported in SLR Table 2,
item 2.7;

Subtract

The amount reported in SLR Table 2,
item 2.7, as of the last day of the reporting
quarter;

Add

Only the replacement cost included in SLR
Table 2, item 2.8; and

Subtract

Only the replacement cost included in SLR
Table 2, item 2.8, as of the last day of the
reporting quarter.

Non-includable subsidiaries:
A savings association with a non-includable subsidiary
should make similar exclusions from SLR Table 1,
item 1.1, determined in the same manner as described
above for financial subsidiaries, except that for a nonincludable subsidiary accounted for under the equity
method of accounting, the exclusion should be the
quarterly average for the savings association’s outstanding investments (both equity and debt) in, and
extensions of credit to, the subsidiary.

An institution must not include in this item any
amount related to adjustments to account for any difference in the frequency of calculations of total con-

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Schedule A

solidated assets from quarter-end (as reported in SLR
Table 1, item 1.1) and the mean of the amount calculated as of each day of the reporting quarter (as
reported in certain subcomponents of SLR Table 2,
item 2.11). Any amount related to such adjustments for
the difference (if any) in the frequency of calculations
must be reported in SLR Table 1, item 1.7b.
Item 1.5 Adjustment for repo-style transactions.
The amount reported in this item includes the accounting and regulatory adjustments required to reconcile
what an institution reports on its published financial
statements with the amount an institution includes for
exposures to repo-style transactions in its total leverage
exposure (calculated on a quarter end basis), in addition to any off-balance sheet and related regulatory
adjustments (calculated using the mean of the amount
calculated as of the last day of each of the three
months of the reporting quarter).
The amount reported in this item is calculated as
follows:
From the amount reported in SLR Table 2, item 2.16;
Subtract

The amount reported in SLR Table 2,
item 2.12;

Add

The amount reported in SLR Table 2,
item 2.12, that is not already included in
SLR Table 1, item 1.1, as of the last day of
the reporting quarter;

Add

The amount reported in SLR Table 2,
item 2.13; and

Subtract

The amount reported in SLR Table 2,
item 2.13, as of the last day of the reporting
quarter.

An institution must not include in this item any
amount related to adjustments to account for any difference in the frequency of calculations of total consolidated assets from quarter-end (as reported in SLR
Table 1, item 1.1) and the mean of the amount calculated as of each day of the reporting quarter (as
reported in certain subcomponents of SLR Table 2,
item 2.16). Any amount related to adjustments for differences (if any) in the frequency of calculations must
be reported in SLR Table 1, item 1.7b.

Item 1.6 Adjustment for off-balance sheet exposures.
Report the credit equivalent amount of off-balance
sheet exposures, which is the same as the amount
reported in SLR Table 2, item 2.19.
Item 1.7 Other adjustments.
Item 1.7.a Adjustments for deductions from tier 1
capital.
Report (as a positive amount) deductions from common equity tier 1 capital and additional tier 1 capital as
reported in SLR Table 2, item 2.2.a.
Item 1.7.b Adjustments for frequency of calculations.
The amount reported in this item adjusts for the difference between the frequency of calculations of total
consolidated assets in SLR Table 1, item 1.1, as well as
the accounting and regulatory adjustments reported
for exposures to derivatives transactions in SLR
Table 1, item 1.4, and repo-style transactions in SLR
Table 1, item 1.5, that are reported on a quarter end
basis and the mean of the amount calculated for these
components as of each day of the reporting quarter.
This amount may be positive, negative, or zero. The
value will be zero for this item if there is no difference
between the quarter end value reported in SLR Table 1,
item 1.1 and the mean of the amount of total consolidated assets calculated as of each day of the reporting
quarter. Report this amount as a negative value if the
mean of the amount of total consolidated assets calculated as of each day of the reporting quarter is greater
than the quarter end value reported in SLR Table 1,
item 1.1. Report this amount as a positive value if the
mean of the amount of total consolidated assets calculated as of each day of the reporting quarter is less
than the quarter end value reported in SLR Table 1,
item 1.1.

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Schedule A

Item 1.7.c Adjustments for deductions of qualifying
central bank deposits for custodial banking
organizations.4
Report (as a positive amount) deductions for qualifying central bank deposits from the total leverage exposure, limited to the amount of deposit liabilities on the
consolidated balance sheet of the custodial banking
organization that are linked to fiduciary or custodial
and safekeeping accounts. For purposes of this paragraph, a deposit account is linked to a fiduciary or custodial and safekeeping account if the deposit account
is provided to a clients that maintains a fiduciary or
custodial and safekeeping account with the custodial
bank, and the deposit account is used to facilitate the
administration of the fiduciary or custodial and safekeeping account.
Item 1.8 Total leverage exposure.
Report the sum of SLR Table 1, items 1.1 through 1.6,
minus items 1.7.a, 1.7.b, and 1.7.c. This item must
equal SLR Table 2, item 2.21.
An institution that has elected to apply the CECL transition provision (electing institution) should include its
applicable CECL transitional amount, in accordance
with section 301 of the regulatory capital rules. Specifically, an electing institution should include 75 percent
of its CECL transitional amount during the first year
of the transition period, 50 percent of its CECL transitional amount during the second year of the transition
period, and 25 percent of its CECL transitional
amount during the third year of the transition period.

SLR Table 2: Supplementary leverage ratio

On-balance sheet exposures
An institution must report the following amounts with
respect to its on-balance sheet exposures.
Item 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).
Report the balance sheet carrying value, of all on{
balance sheet assets (excluding on{balance sheet carry-

ing value for derivative transactions and repo{style
transactions), net of allowance for loan and lease losses
(ALLL) as defined in the regulatory capital rule. Specifically, do not include in this item the value of receivables in reverse repurchase transactions. However,
include in this item securities provided in a repurchase
agreement, securities pledged in a securities borrowing
transaction, securities lent in a securities lending transaction, and cash and other collateral received under
any such repo-style transaction. Also include in this
item the amount of on-balance sheet cash and collateral received from a counterparty in derivative transactions and the amount of on- balance sheet receivable
(or other) assets resulting from the posting of cash to
counterparties in derivative transactions.
Report this item as the mean of the amount calculated
as of each day of the reporting quarter.
Financial subsidiaries:
If a financial subsidiary is not consolidated into the
institution for purposes of the institution’s balance
sheet, exclude from this item the quarterly average for
the institution's ownership interest in the financial subsidiary accounted for under the equity method of
accounting that is included in the institution’s balance
sheet carrying value of all on-balance sheet assets in
this item 2.1.
If a financial subsidiary is consolidated into the institution for purposes of the institution’s balance sheet,
exclude from this item the quarterly average of the
assets of the subsidiary that is included in the institution’s balance sheet carrying value of all on-balance
sheet assets in this item 2.1, minus any deductions from
common equity tier 1 capital and additional tier 1 capital attributable to the financial subsidiary that have
been included in SLR Table 2, item 2.2. Include in this
item the quarterly average of institution assets representing claims on the financial subsidiary, other than
the institution’s ownership interest in the subsidiary,
that were eliminated in consolidation.
Because the institution’s claims on the subsidiary were
eliminated in consolidation, these assets would not
otherwise be included.

4. Custodial bank means: A national bank or Federal savings association that is a subsidiary of a depository institution holding company
that is a custodial banking organization under 12 CFR 217.2.

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Schedule A

Non-includable subsidiaries:

Derivative transactions

A savings association with a non-includable subsidiary
should make similar exclusions from SLR Table 2,
item 2.1, determined in the same manner as described
above for financial subsidiaries, except that for a nonincludable subsidiary accounted for under the equity
method of accounting, the exclusion should be the
quarterly average for the savings association’s outstanding investments (both equity and debt) in, and
extensions of credit to, the subsidiary.

An institution must report the following amounts with
respect to its derivative transactions.

Item 2.2 Deductions (report as positive amounts)
Item 2.2.a Deductions from common equity tier 1
capital and additional tier 1 capital.
Report (as a positive amount) the sum of Schedule A,
items 28 and 43, net of Schedule A, items 11, 14, and
the amount reported in item 27 that is due to insufficient amounts of additional tier 1 capital, and which is
included in the amount reported in item 43 (to avoid
double counting), as calculated as of the end of the
reporting quarter.
An institution that does not complete Schedule A,
except for the SLR disclosures, must use the corresponding items as reported on the institution’s Schedule RC-R of the Call Report or Schedule HC-R of the
FR Y-9C, as applicable.
Item 2.2.b Deductions of qualifying central bank
deposits from total on-balance sheet exposures for
custodial banking organizations.
Report (as a positive amount) the amount of qualifying central bank deposits, limited to the amount of
deposit liabilities on the consolidated balance sheet of
the custodial banking organization that are linked to
fiduciary or custodial and safekeeping accounts. For
purposes of this paragraph, a deposit account is linked
to a fiduciary or custodial and safekeeping account if
the deposit account is provided to a clients that maintains a fiduciary or custodial and safekeeping account
with the custodial bank, and the deposit account is
used to facilitate the administration of the fiduciary or
custodial and safekeeping account.
Item 2.3 Total on{balance sheet exposures.
Report SLR Table 2, item 2.1, minus SLR Table 2,
items 2.2.a and 2.2.b.

Item 2.4 Replacement cost for all derivative
transactions.
For banking institutions using CEM: Report the
replacement cost for all derivative transactions, cleared
and non-cleared. This amount may be calculated net of
qualifying cash variation margin. An institution may
not reduce the replacement cost of its derivative transactions by any other collateral, except for qualifying
cash variation margin. For derivative transactions that
are subject to a qualifying master netting agreement,
an institution may calculate the replacement cost on a
net basis. The replacement cost with respect to a netting set is the greater of zero and the sum of the fair
value of all derivative transactions within the netting
set. For derivative transactions not covered by a qualifying master netting agreement, the replacement cost
must be calculated separately for each single derivative
transaction and is the greater of zero and the fair value
of the derivative.
For client cleared derivative transactions under the
agency model, include the replacement cost of derivative transactions with clearing member clients when a
clearing member banking organization guarantees the
performance of a clearing member client to a central
counterparty (CCP). This amount may be calculated
net of qualifying cash variation margin.
For client cleared derivative transactions under the
principal model, include the replacement cost of
derivative transactions with the CCP and the clearing
member client. This amount may be calculated net of
qualifying cash variation margin.
If the clearing member client and the clearing member
banking organization are affiliates and consolidated
on the reporting institution’s balance sheet, the institution is not required to include the exposure to the clearing member client in the reported amount.
Report this item as the mean of the amount calculated
as of each day of the reporting quarter.
For banking institutions using SA-CCR: SA-CCR
would provide separate formulas for replacement cost
depending on whether the counterparty to a banking
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Schedule A

organization is required to post variation margin. In
general, when a banking organization is a net receiver
of financial collateral, the amount of financial collateral would be positive, which would reduce replacement cost. Conversely, when the banking organization
is a net provider of financial collateral, the amount of
financial collateral would be negative, which would
increase replacement cost. In all cases, replacement
cost cannot be lower than zero. In addition, for purposes of calculating the replacement cost component,
the fair value amount of the derivative contract would
exclude any valuation adjustments.
Under §.132(c)(6)(ii) of the rule, the replacement cost
of a netting set that is not subject to a variation margin
agreement is the greater of (1) the sum of the fair values (after excluding any valuation adjustments) of the
derivative contracts within the netting set, less the net
independent collateral amount applicable to such
derivative contracts, or (2) zero. This can be represented as follows:
replacement cost=max{V-C;0},
where
V is the fair values (after excluding any valuation
adjustments) of the derivative contracts within the netting set; and
C is the net independent collateral amount applicable
to such derivative contracts.
For netting sets subject to a variation margin agreement under which the counterparty must post variation margin, the replacement cost, as provided under
§.132(c)(6)(i) of the proposed rule, would equal the
greater of (1) the sum of the fair values (after excluding
any valuation adjustments) of the derivative contracts
within the netting set less the sum of the net independent collateral amount and the variation margin
amount applicable to such derivative contracts; (2) the
sum of the variation margin threshold and the minimum transfer amount applicable to the derivative contracts within the netting set less the net independent
collateral amount applicable to such derivative contracts; or (3) zero. This can be represented as follows:
replacement cost=max{V-C;VMT+MTA-NICA;0},

where
V is the fair values (after excluding any valuation
adjustments) of the derivative contracts within the netting set;
VMT is the variation margin threshold applicable to
the derivative contracts within the netting set;
MTA is the minimum transfer amount applicable to
the derivative contracts within the netting set; and
C is the sum of the net independent collateral amount
and the variation margin amount applicable to such
derivative contracts.
NICA is the net independent collateral amount applicable to such derivative contracts.
For a netting set that is subject to multiple variation
margin agreements, or a hybrid netting set, a banking
organization would determine replacement cost using
the methodology described in §.132(c)(11)(i) of the
proposed rule. A hybrid netting set is a netting set composed of at least one derivative contract subject to
variation margin agreement under which the counterparty must post variation margin and at least one
derivative contract that is not subject to such a variation margin agreement. In particular, a banking organization would use the methodology described in
§.132(c)(6)(ii) for netting sets subject to a variation
margin agreement, except that the variation margin
threshold would equal the sum of the variation margin
thresholds of all the variation margin agreements
within the netting set and the minimum transfer
amount would equal the sum of the minimum transfer
amounts of all the variation margin agreements within
the netting set.
For multiple netting sets subject to a single variation
margin agreement, a banking organization would
assign a single replacement cost to the multiple netting
sets, according to the following formula, as provided
under §.132(10)(i) of the proposed rule:
Replacement Cost=max{∑_NSÛmax{V_NS;0}
-max{C_MA;0};0}+max{∑_NSÛmin{V_NS;0}
-min{C_MA;0};0},
Where:

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Schedule A

NS is each netting set subject to the variation margin
agreement MA;
V_NS is the sum of the fair values (after excluding any
valuation adjustments) of the derivative contracts
within the netting set NS; and
C_MA is the sum of the net independent collateral
amount and the variation margin amount applicable to
the derivative contracts within the netting sets subject
to the single variation margin agreement.
Item 2.5 Add{on amounts for potential future exposure
(PFE) for all derivative transactions.
For banking institutions using CEM: Report the
potential future exposure (PFE) amount for each
derivative transaction included in SLR Table 2,
item 2.4 (include each transaction regardless of
whether the transaction or the transaction’s netting set
has a positive or negative mark-to-fair value), including the PFE amount for each credit derivative transaction, or other similar instrument, through which the
institution provides credit protection.
The PFE amount must be calculated according to section 34 of the regulatory capital rule, but without
regard to section on recognition of credit risk mitigation of collateralized OTC derivative contracts. For
derivative transactions that are subject to a qualifying
master netting agreement, an institution may calculate
the PFE using the adjusted sum of the PFE amounts
or Anet according to section 34(a)(2)(ii) regarding the
treatment of the OTC credit derivatives as a covered
position; however, cash variation margin may not be
used to reduce the net current credit exposure or the
gross current credit exposure in the net{to{gross ratio.
For derivative transactions that are not subject to a
qualifying master netting agreement, the PFE amount
must be calculated separately for each single derivative
transaction.

derivative contract, assuming zero fair value and zero
collateral. As part of the estimate, SA CCR would use
updated supervisory factors that reflect stress volatilities observed during the financial crisis. The supervisory factors would reflect the variability of the primary
risk factor of the derivative contract over a one-year
horizon. In addition, SA CCR would apply a separate
maturity factor to each derivative contract that would
scale down, if necessary, the default one-year risk horizon of the supervisory factor to the risk horizon
appropriate for the derivative contract. A banking
organization would apply a positive sign to the derivative contract amount if the derivative contract is long
the risk factor and a negative sign if the derivative contract is short the risk factor. This adjustment, along
with the assumption of zero fair value and zero collateral, would allow a banking organization to recognize
offsetting and diversification between derivative contracts that share similar risk factors (i.e., long and short
derivative contracts within the same hedging set would
be able to fully or partially offset one another).
Under §.132(c)(7) of the rule, the PFE of a netting set
would be the product of the PFE multiplier and the
aggregated amount. The rule defines the aggregated
amount as the sum of all hedging set amounts within
the netting set. This can be represented as follows:
PFE=PFE multiplier*aggregated amount,
where
aggregated amount is the sum of each hedging set
amount within the netting set.

Report this item as the mean of the amount calculated
as of the last day of each of the most recent three
months.

To determine the hedging set amounts, a banking organization would first group into separate hedging sets
derivative contracts that share similar risk factors
based on the following asset classes: interest rate,
exchange rate, credit, equity, and commodities. Basis
derivative contracts and volatility derivative contracts
would require separate hedging sets. A banking organization would then determine each hedging set amount
using asset-class specific formulas that allow for full or
partial netting.

For banking institutions using SA-CCR: a banking
organization would use an adjusted derivative contract
amount for the PFE component calculation under SA
CCR. The adjusted derivative contract amount under
SA CCR would reflect, in general, a conservative estimate of EEPE for a netting set composed of a single

Item 2.6 Gross{up for collateral posted in derivative
transactions if collateral is deducted from on{ balance
sheet assets.
For banking institutions using CEM:Report the sum
of the following amounts:
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Schedule A

1. The amount of non-cash collateral that the
institution has posted to a counterparty in a
derivative transaction that has reduced the institution’s on-balance sheet assets as reported in
SLR Table 2, item 2.1; and,
2. The amount of cash collateral posted that does
not meet the criteria for qualifying cash variation margin and that has reduced the institution’s on-balance sheet assets as reported in
SLR Table 2, item 2.1.5 No gross-up amount is
necessary with respect to cash collateral if either
the posted cash collateral meets the criteria for
the qualifying cash variation margin, or the
institution does not exercise the GAAP offset
option.
Report this item as the mean of the amount calculated
as of each day of the reporting quarter.
For banking institutions using SA-CCR: Report the
sum of the following amounts:
1. The amount of non-cash collateral that the
institution has posted to a counterparty in a
derivative transaction that has reduced the institution's on-balance sheet assets as reported in
SLR Table 2, item 2.1; and,
2. The amount of the recognized client collateral in
replacement cost and PFE used for purposes of
calculating total leverage exposure under certain
circumstances. This treatment applies to a banking organization’s exposure to its client-facing
derivative transactions. For such exposures, the
banking organization would use SA-CCR, as
applied for risk-based capital purposes, which
permits recognition of both cash and non-cash
margin received from a client in replacement
cost and PFE.
Report this item as the mean of the amount calculated
as of each day of the reporting quarter.
5. Under U.S. generally accepted accounting principles (GAAP), an
institution has the option to offset the negative fair value of a derivative
asset with a counterparty by the amount of cash collateral posted to the
counterparty and reduce its balance sheet assets by the amount of cash
collateral posted (GAAP offset option).

Item 2.7 Deduction of receivable assets for qualifying
cash variation margin posted in derivative transactions
(report as a positive amount).
For banking institutions using CEM: An institution
may report the amount of receivable (or other) assets
that are included in on-balance sheet assets in SLR
Table 2, item 2.1, and are related to qualifying cash
variation margin that the institution posts to counterparties under derivative transactions.
For example, if an institution has not exercised the
GAAP offset option, then it would havea receivable/
other asset on its balance sheet as a result of posting
cash collateral to its counterparty. Consistent with the
regulatory capital rule, an institution may exclude this
resulting receivable (or other asset) from total leverage
exposure in the amount of the qualifying cash variation margin that the institution has posted to a counterparty. An institution may exclude this amount from
total leverage exposure by reporting in this item the
value of such qualifying cash variation margin that has
been included in SLR Table 2, item 2.1, as a receivable.
Report this item as the mean of the amount calculated
as of each day of the reporting quarter.
For banking institutions using SA-CCR: An institution may report the amount of receivable (or other)
assets that are included in on-balance sheet assets in
SLR Table 2, item 2.1, and are related to qualifying
cash variation margin that the institution posts to
counterparties under derivative transactions and he
amount of the recognized client collateral in replacement cost and PFE used for purposes of calculating
total leverage exposure under certain circumstances.
This treatment applies to a banking organization’s
exposure to its client-facing derivative transactions.
For such exposures, the banking organization would
use SA-CCR, as applied for risk-based capital purposes, which permits recognition of both cash and
non-cash margin received from a client in replacement
cost and PFE.
For example, if an institution has not exercised the
GAAP offset option, then it would have a receivable/
other asset on its balance sheet as a result of posting
cash collateral to its counterparty. Consistent with the
regulatory capital rule, an institution may exclude this

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Schedule A

resulting receivable (or other asset) from total leverage
exposure in the amount of the qualifying cash variation margin that the institution has posted to a counterparty. An institution may exclude this amount from
total leverage exposure by reporting in this item the
value of such qualifying cash variation margin that has
been included in SLR Table 2, item 2.1, as a receivable.
Report this item as the mean of the amount calculated
as of each day of the reporting quarter.
Item 2.8 Exempted exposures to central counterparties
(CCPs) in cleared transactions (report as a positive
amount).
For banking institutions using CEM: For the CCP leg
of client cleared derivative transactions under the principal model, report the CEM replacement cost
included in Table 2, item 2.4, and the CEM PFE
amount included in SLR Table 2, item 2.5, in which the
clearing member institution does not guarantee the
performance of a CCP with respect to a transaction
cleared on behalf of a clearing member client.
Report the replacement cost as the mean of the
amount calculated as of each day of the reporting
quarter, and the CEM PFE amount as the mean of the
amount calculated as of the last day of each of the
three months of the reporting quarter.
For banking institutions using SA-CCR: For the CCP
leg of client cleared derivative transactions under the
principal model, report the SA-CCR replacement cost
included in Table 2, item 2.4, and the SA-CCR PFE
amount included in SLR Table 2, item 2.5, in which the
clearing member institution does not guarantee the
performance of a CCP with respect to a transaction
cleared on behalf of a clearing member client.
Report the replacement cost as the mean of the
amount calculated as of each day of the reporting
quarter, and the SA-CCR PFE amount as the mean of
the amount calculated as of the last day of each of the
three months of the reporting quarter.
Item 2.9 Adjusted effective notional principal amount
of sold credit protection.
For banking institutions using CEM: Report the effective notional principal amount (that is, the apparent or

stated notional principal amount multiplied by any
multiplier in the derivative contract) of a credit derivative, or other similar instrument (sold credit protection), through which an institution provides credit protection (for example, credit default swaps or total
return swaps that reference instruments with credit
risk, such as a bond). A clearing member institution is
not required to include the effective notional principal
amount of sold credit protection that the institution
clears on behalf of a clearing member client through
a CCP.
An institution may reduce the effective notional principal amount of the sold credit protection by the amount
of any reduction in the fair value of the sold credit protection if the reduction is recognized in common equity
tier 1 capital.
Report this item as the mean of the amount calculated
as of the last day of each of the three months of the
reporting quarter.
For banking institutions using SA-CCR: Report the
effective notional principal amount (that is, the apparent or stated notional principal amount multiplied by
any multiplier in the derivative contract) of a credit
derivative, or other similar instrument (sold credit protection), through which an institution provides credit
protection (for example, credit default swaps or total
return swaps that reference instruments with credit
risk, such as a bond). A clearing member institution is
not required to include the effective notional principal
amount of sold credit protection that the institution
clears on behalf of a clearing member client through
a CCP.
An institution may reduce the effective notional principal amount of the sold credit protection by the amount
of any reduction in the fair value of the sold credit protection if the reduction is recognized in common equity
tier 1 capital.
Report this item as the mean of the amount calculated
as of the last day of each of the three months of the
reporting quarter.

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Schedule A

Item 2.10 Adjusted effective notional principal amount
offsets and PFE deductions for sold credit protection
(report as a positive amount).
For banking institutions using CEM: Report the sum
of the following amounts:
1. The amount of purchased credit protection used
to reduce the effective notional principal amount
of sold credit protection in accordance with section 10(c)(4)(ii)(D)(2) of the regulatory capital
rule. For example, purchased credit protection
may only be used to reduce the effective notional
principal amount of sold credit protection if the
remaining maturity of the purchased credit
derivative is equal to or greater than the remaining maturity of the credit derivative through
which the institution provides credit protection; and,
2. An institution may include in this item the PFE
associated with credit derivative transactions in
which the institution has sold credit protection,
in accordance with section 10(c)(4)(ii)(B)(1) and
(2) of the regulatory capital rule.
Report this item as the mean of the amount calculated
as of the last day of each of the three months of the
reporting quarter.
For banking institutions using SA-CCR: Report the
sum of the following amounts:
1. The amount of purchased credit protection used
to reduce the effective notional principal amount
of sold credit protection in accordance with section 10(c)(4)(ii)(D)(2) of the regulatory capital
rule. For example, purchased credit protection
may only be used to reduce the effective notional
principal amount of sold credit protection if the
remaining maturity of the purchased credit
derivative is equal to or greater than the remaining maturity of the credit derivative through
which the institution provides credit protection; and,
2. An institution may include in this item the PFE
associated with credit derivative transactions in
which the institution has sold credit protection,
in accordance with section 10(c)(4)(ii)(B)(1) and
(2) of the regulatory capital rule.

Report this item as the mean of the amount calculated
as of the last day of each of the three months of the
reporting quarter.
Item 2.11 Total derivative exposures.
For banking institutions using CEM: Report the sum
of SLR Table 2, items 2.4, 2.5, 2.6, and 2.9, minus
items 2.7, 2.8, and 2.10.
For banking institutions using SA-CCR: Under
§.132(c)(5) of the proposed rule, the exposure amount
of a netting set would be equal to an alpha factor of 1.4
(except for derivatives with the commercial end users
where no alpha factor is applied) multiplied by the sum
of the replacement cost of the netting set and PFE of
the netting set. The can be represented as follows:
exposure amount=1.4*(replacement cost+PFE)
A banking institution would report 1.4 times the sum
of SLR Table 2, items 2.4, 2.5, 2.6, and 2.9, minus
items 2.7, 2.8, and 2.10.

Repo{style transactions
An institution must report the following amounts with
respect to its repo-style transactions.
Item 2.12 Gross assets for repo{style transactions, with
no recognition of netting.
Report:
1. The gross value of receivables for reverse repurchase transactions;
2. Less, the value of securities received in security{
for{security repo{style transactions (which are
included in on-balance sheet assets in SLR
Table 2, item 2.1), in which the institution acts
as a securities lender (transferor) and has not
sold or re-hypothecated the securities received;
3. Plus, the value of securities sold under a repurchase transaction or transferred in a securities
lending transaction that qualify for sales treatment under GAAP, but must be included in
total leverage exposure for purposes of calculating the SLR.

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Schedule A

Report this item as the mean of the amount calculated
as of each day of the reporting quarter.
Item 2.13 Reduction of the gross value of receivables in
reverse repurchase transactions by cash payables in
repurchase transactions (report as a positive value).
Where an institution acts as a principal and has repurchase and reverse repurchase transactions with the
same counterparty, report the lesser of (i) the gross
value of payables for the repurchase transactions or
(ii) the gross value of receivables for the reverse repurchase transactions that the reporting institution has
with the same counterparty, provided the following
criteria are met:
1. The offsetting transactions have the same
explicit final settlement date under their governing agreements;
2. The right to offset the amount owed to the
counterparty with the amount owed by the
counterparty is legally enforceable in the normal
course of business and in the event of receivership, insolvency, liquidation, or similar proceeding; and
3. Under the governing agreements, the counterparties intend to settle net, settle simultaneously,
or settle according to a process that is the functional equivalent of net settlement (that is, the
cash flows of the transactions are equivalent, in
effect, to a single net amount on the settlement
date), where both transactions are settled
through the same settlement system, the settlement arrangements are supported by cash or
intraday credit facilities intended to ensure that
settlement of both transactions will occur by the
end of the business day, and the settlement of
the underlying securities does not interfere with
the net cash settlement.
Report this item as the mean of the amount calculated
as of each day of the reporting quarter.
Item 2.14 Counterparty credit risk for all repo{style
transactions.
Report the aggregate amount of counterparty credit
risk for all repo{style transactions in which the institution acts as principal. Do not include repo-style transactions in which the institution acts as an agent.

For repo-style transactions subject to a qualifying master netting agreement, the counterparty credit risk
must be calculated as the greater of zero and the total
fair value of the instruments, gold, or cash that the
institution has lent, sold subject to repurchase, or provided as collateral to a counterparty, less the total fair
value of the instruments, gold, or cash that the institution borrowed, purchased subject to resale, or received
as collateral from its counterparty for those transactions. If the repo-style transaction is not subject to a
qualifying master netting agreement, the counterparty
credit risk must be calculated on a transaction-bytransaction basis.
Report this item as the mean of the amount calculated
as of the last day of each of the three months of the
reporting quarter.
Item 2.15 Exposure amount for repo{style transactions
where an institution acts as an agent.
Report the aggregate exposure amount for repo-style
transactions where an institution acts as an agent and
provides a guarantee (indemnity) to a customer with
regard to the performance of the customer’s
counterparty.
If the guarantee is limited to the difference between the
fair value of the security or cash the customer has lent
and the fair value of the collateral that the borrower
has provided, report the difference between the fair
value of the instruments, gold, and cash received from
a counterparty from the fair value of any instruments,
gold and cash lent to the counterparty, or zero, whichever is greater.
If the guarantee is greater than the difference between
the fair value of the security or cash the customer has
lent and the fair value of the security or cash the borrower has provided, the institution must include the
amount of the guarantee that is greater than such
difference.
For repo-style transactions where a qualifying master
netting agreement is in place, or the transactions are
cleared, the institution would be able to net the total
fair value of instruments, gold, and cash lent to a counterparty against the cash received from the same counterparty across all transactions.

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Schedule A

For repo{style transactions that are not subject to a
qualifying master netting agreement, an institution
must calculate counterparty credit risk on a
transaction{by{transaction basis.
Report this item as the mean of the amount calculated
as of the last day of each of the three months of the
reporting quarter.
Item 2.16 Total exposures for repo{style transactions.
Report the sum of SLR Table 2, items 2.12, 2.14, and
2.15, minus item 2.13.

Off{balance sheet exposures
An institution must report the following amounts with
respect to its off-balance sheet exposures. All offbalance sheet exposures must be reported as the mean
of the amount calculated as of the last day of each of
the three months of the reporting quarter.
Item 2.17 Off{balance sheet exposures at gross
notional amounts.
The notional amount of all off{balance sheet exposures
(excluding off{balance sheet exposures associated with
repo-style transactions, repurchase or reverse repurchase or securities borrowing or lending transactions
that qualify for sales treatment under GAAP, and
derivative transactions).
Item 2.18 Adjustments for conversion to credit
equivalent amounts (report as a positive amount).
Report the aggregate adjustments for conversion of
off-balance sheet exposures in SLR Table 2, item 2.17,
to credit equivalent amounts as follows:
1. For unconditionally cancellable commitments
that receive a credit conversion factor (CCF) of
10 percent for purposes of calculating the SLR,
multiply the notional amount of these commitments by 90 percent.
2. For commitments that receive a CCF of 20 percent under section 33(b) of the regulatory capital rule, multiply the notional amount of these
commitments by 80 percent.

tal rule, multiply the notional amount of these
commitments by 50 percent.
Add the amounts in steps 1-3 and report the sum in
this item 2.18. Note that no adjustment is made to offbalance sheet exposures that receive a CCF of 100 percent under section 33(b) of the regulatory capital rule.
Item 2.19 Total off{balance sheet exposures.
Report SLR Table 2, item 2.17, minus item 2.18.

Capital and total leverage exposure
Item 2.20 Tier 1 capital.
Report the tier 1 capital amount as reported in Schedule A, item 45.
An institutions that does not complete Schedule A,
except for the SLR disclosures, must use the corresponding item as reported on the institution’s Schedule RC-R of the Call Report or Schedule HC-R of the
FR Y-9C, as applicable.
Item 2.21 Total leverage exposure.
Report the sum of SLR Table 2, items 2.3, 2.11, 2.16,
and 2.19.

Supplementary leverage ratio
Item 2.22 Supplementary leverage ratio.
Report the ratio of SLR Table 2, item 2.20, divided by
item 2.21, as a percentage, rounded to four decimal
places.
Item 2.23 Holding companies subject to enhanced SLR
standards only: Leverage buffer.
Report SLR Table 2, item 2.22, minus the SLR minimum in section 10(a)(5) of the regulatory capital rule
(3 percent) as a percentage, rounded to four decimal
places. If the holding company’s supplementary leverage ratio is less than or equal to the minimum requirement of 3 percent, the holding company’s leverage buffer is zero.

3. For commitments that receive a CCF of 50 percent under section 33(b) of the regulatory capi-

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FFIEC 101

LINE ITEM INSTRUCTIONS FOR

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

Item Instructions
Wholesale Exposures
Item 1 Corporate
In column A, the weighted average probability of

default is derived from cell A-13 of Schedule C: Wholesale Exposure—Corporate.
In column B, the total balance sheet amount is derived
from cell C-13 of Schedule C: Wholesale
Exposure—Corporate.
In column C, the total dollar volume of undrawn exposures is derived from cell D-13 of Schedule C: Wholesale Exposure—Corporate.
In column D, the total dollar volume of exposure at
default is derived from cell E-13 of Schedule C: Wholesale Exposure—Corporate.
In column E, the weighted average effective maturity in
years is derived from cell F-13 of Schedule C: Wholesale Exposure—Corporate.
In column F, the weighted average loss given default is
derived from cell H-13 of Schedule C: Wholesale
Exposures—Corporate.
In column G, the total amount of risk weighted assets
is derived from cell K-13 of Schedule C: Wholesale
Exposure—Corporate.
In column H, the total dollar volume of expected credit
loss is derived from cell L-13 of Schedule C: Wholesale
Exposure—Corporate
Item 2 Bank
In column A, the weighted average probability of
default is derived from cell A-13 of Schedule D:
Wholesale Exposure—Bank.
In column B, the total balance sheet amount is derived
from cell C-13 of Schedule D: Wholesale
Exposure—Bank.
In column C, the total dollar volume of undrawn exposures is derived from cell D-13 of Schedule D: Wholesale Exposure—Bank.
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June 2017

Schedule B

In column D, the total dollar volume of exposure at
default is derived from cell E-13 of Schedule D: Wholesale Exposure—Bank.
In column E, the weighted average effective maturity in
years is derived from cell F-13 of Schedule D: Wholesale Exposure—Bank.
In column F, the weighted average loss given default is
derived from cell H-13 of Schedule D: Wholesale
Exposures—Bank.
In column G, the total amount of risk weighted assets
is derived from cell J-13 of Schedule D: Wholesale
Exposure—Bank.
In column H, the total dollar volume of expected credit
loss is derived from cell K-13 of Schedule D: Wholesale
Exposure—Bank.
Item 3 Sovereign
In column A, the weighted average probability of
default is derived from cell A-13 of Schedule E: Wholesale Exposure—Sovereign.
In column B, the total balance sheet amount is derived
from cell C-13 of Schedule E: Wholesale
Exposure—Sovereign.
In column C, the total dollar volume of undrawn exposures is derived from cell D-13 of Schedule E: Wholesale Exposure—Sovereign.
In column D, the total dollar volume of exposure at
default is derived from cell E-13 of Schedule E: Wholesale Exposure—Sovereign.
In column E, the weighted average effective maturity in
years is derived from cell F-13 of Schedule E: Wholesale Exposure—Sovereign.
In column F, the weighted average loss given default is
derived from cell H-13 of Schedule E: Wholesale
Exposures—Sovereign.
In column G, the total amount of risk weighted assets
is derived from cell J-13 of Schedule E: Wholesale
Exposure—Sovereign.
In column H, the total dollar volume of expected credit
loss is derived from cell K-13 of Schedule E: Wholesale
Exposure—Sovereign.

Item 4 Income-Producing Real Estate (IPRE)
In column A, the weighted average probability of
default is derived from cell A-13 of Schedule F: Wholesale Exposure –IPRE.
In column B, the total balance sheet amount is derived
from cell C-13 of Schedule F: Wholesale
Exposure—IPRE.
In column C, the total dollar volume of undrawn exposures is derived from cell D-13 of Schedule F: Wholesale Exposure—IPRE.
In column D, the total dollar volume of exposure at
default is derived from cell E-13 of Schedule F: Wholesale Exposure—Construction IPRE.
In column E, the weighted average effective maturity in
years is derived from cell F-13 of Schedule F: Wholesale Exposure—IPRE.
In column F, the weighted average loss given default is
derived from cell H-13 of Schedule F: Wholesale
Exposures—IPRE.
In column G, the total amount of risk weighted assets
is derived from cell K-13 of Schedule F: Wholesale
Exposure—IPRE.
In column H, the total dollar volume of expected credit
loss is derived from cell L-13 of Schedule F: Wholesale
Exposure—IPRE.
Item 5 High-Volatility Commercial Real Estate
(HVCRE)
In column A, the weighted average probability of
default is derived from cell A-13 of Schedule G:
Wholesale Exposure—HVCRE.
In column B, the total balance sheet amount is derived
from cell C-13 of Schedule G: Wholesale
Exposure—HVCRE.
In column C, the total dollar volume of undrawn exposures is derived from cell D-13 of Schedule G: Wholesale Exposure—HVCRE.
In column D, the total dollar volume of exposure at
default is derived from cell E-13 of Schedule G: Wholesale Exposure—HVCRE.

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FFIEC 101

Schedule B

In column E, the weighted average effective maturity in
years is derived from cell F-13 of Schedule G: Wholesale Exposure—HVCRE.

Exposure—Eligible margin loans, repo-style transactions and OTC Derivatives with Cross Product
Netting.

In column F, the weighted average loss given default is
derived from cell H-13 of Schedule G: Wholesale
Exposures—HVCRE.

Item 7 Eligible Margin Loans, Repo-Style
Transactions and OTC Derivatives With Cross-Product
Netting—Collateral Reflected in LGD
In column A, the weighted average probability of
default is derived from cell G-14 of Schedule H:
Wholesale Exposure—Eligible margin loans, repostyle transactions and OTC Derivatives with Cross
Product Netting.

In column G, the total amount of risk weighted assets
is derived from cell K-13 of Schedule G: Wholesale
Exposure—HVCRE.
In column H, the total dollar volume of expected credit
loss is derived from cell L-13 of Schedule G: Wholesale
Exposure—HVCRE.
Item 6 Eligible Margin Loans, Repo-Style
Transactions and OTC Derivatives With Cross-Product
Netting—EAD Adjustment Method
In column A, the weighted average probability of
default is derived from cell A-14 of Schedule H:
Wholesale Exposure—Eligible margin loans, repostyle transactions and OTC Derivatives with Cross
Product Netting.
In column D, the total dollar volume of exposure at
default is derived from cell C-14 of Schedule H:
Wholesale Exposure—Eligible margin loans, repostyle transactions and OTC Derivatives with Cross
Product Netting.
In column E, the weighted average effective maturity in
years is derived from cell B-14 of Schedule H: Wholesale Exposure—Eligible margin loans, repo-style transactions and OTC Derivatives with Cross Product
Netting.
In column F, the weighted average loss given default is
derived from cell D-14 of Schedule H: Wholesale
Exposures—Eligible margin loans, repo-style transactions and OTC Derivatives with Cross Product
Netting.
In column G, the total amount of risk weighted assets
is derived from cell E-14 of Schedule H: Wholesale
Exposure—Eligible margin loans, repo-style transactions and OTC Derivatives with Cross Product
Netting.
In column H, the total dollar volume of expected credit
loss is derived from cell F-14 of Schedule H: Wholesale

In column D, the total dollar volume of exposure at
default is derived from cell I-14 of Schedule H: Wholesale Exposure—Eligible margin loans, repo-style transactions and OTC Derivatives with Cross Product
Netting.
In column E, the weighted average effective maturity in
years is derived from cell H-14 of Schedule H: Wholesale Exposure—Eligible margin loans, repo-style transactions and OTC Derivatives with Cross Product
Netting.
In column F, the weighted average loss given default is
derived from cell J-14 of Schedule H: Wholesale
Exposures—Eligible margin loans, repo-style transactions and OTC Derivatives with Cross Product
Netting.
In column G, the total amount of risk weighted assets
is derived from cell K-14 of Schedule H: Wholesale
Exposure—Eligible margin loans, repo-style transactions and OTC Derivatives with Cross Product
Netting.
In column H, the total dollar volume of expected credit
loss is derived from cell L-14 of Schedule H: Wholesale
Exposure—Eligible margin loans, repo-style transactions and OTC Derivatives with Cross Product
Netting.
Item 8 Eligible Margin Loans, Repo-Style
Transactions -- No Cross-Product Netting—EAD
Adjustment Method
In column A, the weighted average probability of
default is derived from cell A-14 of Schedule I: Whole-

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June 2017

Schedule B

sale Exposure—Eligible margin loans, repo-style transactions - No Cross Product Netting.

Exposure—Eligible margin loans, repo-style transactions - No Cross Product Netting.

In column D, the total dollar volume of exposure at
default is derived from cell C-14 of Schedule I: Wholesale Exposure—Eligible margin loans, repo-style transactions - No Cross Product Netting.

In column H, the total dollar volume of expected credit
loss is derived from cell L-14 of Schedule I: Wholesale
Exposure—Eligible margin loans, repo-style transactions - No Cross Product Netting.

In column E, the weighted average effective maturity in
years is derived from cell B-14 of Schedule I: Wholesale
Exposure—Eligible margin loans, repo-style transactions - No Cross Product Netting.
In column F, the weighted average loss given default is
derived from cell D-14 of Schedule I: Wholesale
Exposures—Eligible margin loans, repo-style transactions - No Cross Product Netting.
In column G, the total amount of risk weighted assets
is derived from cell E-14 of Schedule I: Wholesale
Exposure—Eligible margin loans, repo-style transactions - No Cross Product Netting.
In column H, the total dollar volume of expected credit
loss is derived from cell F-14 of Schedule I: Wholesale
Exposure—Eligible margin loans, repo-style transactions - No Cross Product Netting.
Item 9 Eligible Margin Loans, Repo-Style
Transactions -- No Cross-Product Netting—Collateral
Reflected in LGD
In column A, the weighted average probability of
default is derived from cell G-14 of Schedule I: Wholesale Exposure—Eligible margin loans, repo-style transactions - No Cross Product Netting.
In column D, the total dollar volume of exposure at
default is derived from cell I-14 of Schedule I: Wholesale Exposure—Eligible margin loans, repo-style transactions - No Cross Product Netting.
In column E, the weighted average effective maturity in
years is derived from cell H-14 of Schedule I: Wholesale Exposure—Eligible margin loans, repo-style transactions - No Cross Product Netting.
In column F, the weighted average loss given default is
derived from cell J-14 of Schedule I: Wholesale
Exposures—Eligible margin loans, repo-style transactions - No Cross Product Netting.
In column G, the total amount of risk weighted assets
is derived from cell K-14 of Schedule I: Wholesale

Item 10 OTC Derivatives—No Cross-Product
Netting—EAD Adjustment Method
In column A, the weighted average probability of
default is derived from cell A-13 of Schedule J: Wholesale Exposure—OTC Derivatives - No Cross Product
Netting.
In column D, the total dollar volume of exposure at
default is derived from cell C-13 of Schedule J: Wholesale Exposure—OTC Derivatives - No Cross Product
Netting.
In column E, the weighted average effective maturity in
years is derived from cell B-13 of Schedule J: Wholesale
Exposure—OTC Derivatives - No Cross Product
Netting.
In column F, the weighted average loss given default is
derived from cell D-13 of Schedule J: Wholesale
Exposures—OTC Derivatives - No Cross Product
Netting.
In column G, the total amount of risk weighted assets
is derived from cell E-13 of Schedule J: Wholesale
Exposure—OTC Derivatives - No Cross Product
Netting.
In column H, the total dollar volume of expected credit
loss is derived from cell F-13 of Schedule J: Wholesale
Exposure—OTC Derivatives - No Cross Product
Netting.
Item 11 OTC Derivatives—No Cross-Product
Netting—Collateral Reflected in LGD
In column A, the weighted average probability of
default is derived from cell G-13 of Schedule J: Wholesale Exposure—OTC Derivatives - No Cross Product
Netting.
In column D, the total dollar volume of exposure at
default is derived from cell I-13 of Schedule J: Wholesale Exposure—OTC Derivatives - No Cross Product
Netting.

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FFIEC 101

Schedule B

In column E, the weighted average effective maturity in
years is derived from cell H-13 of Schedule J: Wholesale Exposure—OTC Derivatives - No Cross Product
Netting.
In column F, the weighted average loss given default is
derived from cell J-13 of Schedule J: Wholesale
Exposures—OTC Derivatives - No Cross Product
Netting.
In column G, the total amount of risk weighted assets
is derived from cell K-13 of Schedule J: Wholesale
Exposure—OTC Derivatives - No Cross Product
Netting.
In column H, the total dollar volume of expected credit
loss is derived from cell L-13 of Schedule J: Wholesale
Exposure—OTC Derivatives - No Cross Product
Netting.

Retail Exposures
Item 12 Residential Mortgage—Closed-end First Lien
Exposures
In column A, the weighted average probability of
default is derived from cell A-16 of Schedule K: Retail
Exposure—Residential Mortgage—Closed-end First
Lien Exposures.

Exposure—Residential Mortgage—Closed-end First
Lien Exposures.
In column H, the total dollar volume of expected credit
loss is derived from cell I-16 of Schedule K: Retail
Exposure—Residential Mortgage—Closed-end First
Lien Exposures.
Item 13 Residential Mortgage—Closed-end Junior
Lien Exposures
In column A, the weighted average probability of
default is derived from cell A-16 of Schedule L: Retail
Exposure—Residential Mortgage—Closed-end Junior
Lien Exposures.
In column B, the total balance sheet amount is derived
from cell C-16 of Schedule L: Retail Exposure—
Residential Mortgage—Closed-end Junior Lien
Exposures.
In column C, the total dollar volume of undrawn exposures is derived from cell D-16 of Schedule L: Retail
Exposure—Residential Mortgage—Closed-end Junior
Lien Exposures.
In column D, the total dollar volume of exposure at
default is derived from cell E-16 of Schedule L: Retail
Exposure—Residential Mortgage—Closed-end Junior
Lien Exposures.

In column B, the total balance sheet amount is derived
from cell C-16 of Schedule K: Retail Exposure—
Residential Mortgage—Closed-end First Lien
Exposures.

In column F, the weighted average loss given default is
derived from cell G-16 of Schedule L: Retail
Exposure—Residential Mortgage—Closed-end Junior
Lien Exposures.

In column C, the total dollar volume of undrawn exposures is derived from cell D-16 of Schedule K: Retail
Exposure—Residential Mortgage—Closed-end First
Lien Exposures.

In column G, the total amount of risk weighted assets
is derived from cell H-16 of Schedule L: Retail
Exposure—Residential Mortgage—Closed-end Junior
Lien Exposures.

In column D, the total dollar volume of exposure at
default is derived from cell E-16 of Schedule K: Retail
Exposure—Residential Mortgage—Closed-end First
Lien Exposures.

In column H, the total dollar volume of expected credit
loss is derived from cell I-16 of Schedule L: Retail
Exposure—Residential Mortgage—Closed-end Junior
Lien Exposures.

In column F, the weighted average loss given default is
derived from cell G-16 of Schedule K: Retail
Exposure—Residential Mortgage—Closed-end First
Lien Exposures.
In column G, the total amount of risk weighted assets
is derived from cell H-16 of Schedule K: Retail

Item 14 Residential Mortgage—Revolving Exposures
In column A, the weighted average probability of
default is derived from cell A-16 of Schedule M: Retail
Exposure—Residential Mortgage—Revolving
Exposures.

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Schedule B

In column B, the total balance sheet amount is derived
from cell C-16 of Schedule M: Retail Exposure—
Residential Mortgage—Revolving Exposures.

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

In column C, the total dollar volume of undrawn exposures is derived from cell D-16 of Schedule M: Retail
Exposure—Residential Mortgage—Revolving
Exposures.

Item 16 Other Retail Exposures
In column A, the weighted average probability of
default is derived from cell A-16 of Schedule O: Retail
Exposure—Other Retail Exposures.

In column D, the total dollar volume of exposure at
default is derived from cell E-16 of Schedule M: Retail
Exposure—Residential Mortgage—Revolving
Exposures.

In column B, the total balance sheet amount is derived
from cell C-16 of Schedule O: Retail Exposure—Other
Retail Exposures.

In column F, the weighted average loss given default is
derived from cell G-16 of Schedule M: Retail
Exposure—Residential Mortgage—Revolving
Exposures.
In column G, the total amount of risk weighted assets
is derived from cell H-16 of Schedule M: Retail
Exposure—Residential Mortgage—Revolving
Exposures.
In column H, the total dollar volume of expected credit
loss is derived from cell I-16 of Schedule M: Retail
Exposure—Residential Mortgage—Revolving
Exposures.
Item 15 Qualifying Revolving Exposures
In column A, the weighted average probability of
default is derived from cell A-16 of Schedule N: Retail
Exposure—Qualifying Revolving Exposures.
In column B, the total balance sheet amount is derived
from cell C-16 of Schedule N: Retail Exposure—
Qualifying Revolving Exposures.
In column C, the total dollar volume of undrawn exposures is derived from cell D-16 of Schedule N: Retail
Exposure—Qualifying Revolving Exposures.
In column D, the total dollar volume of exposure at
default is derived from cell E-16 of Schedule N: Retail
Exposure—Qualifying Revolving Exposures.
In column F, the weighted average loss given default is
derived from cell G-16 of Schedule N: Retail
Exposure—Qualifying Revolving Exposures.
In column G, the total amount of risk weighted assets
is derived from cell H-16 of Schedule N: Retail
Exposure—Qualifying Revolving Exposures.

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

Securitization Exposures
Item 17 Subject to the Supervisory Formula Approach.
In column B, the total amount of securitization exposures subject to the Supervisory Formula Approach is
derived by summing cells A-1 and D-1 of Schedule P:
Securitization Exposures Schedule.
In column G, the total amount of risk weighted assets
of securitization exposures outstanding subject to the
Supervisory Formula Approach is derived by summing
cells B- 1 and E-1 of Schedule P: Securitization Exposures Schedule.
Item 18 Subject to the Simplified Supervisory Formula
Approach.
In column B, the total amount of securitization exposures subject to the Simplified Supervisory Formula
Approach is derived by summing cells A-2 and D-2 of
Schedule P: Securitization Exposures Schedule.

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Schedule B

In column G, the total amount of risk weighted assets
of securitization exposures outstanding subject to the
Simplified Supervisory Formula Approach is derived
by summing cells B-2 and E-2 of Schedule P: Securitization Exposures Schedule.
Item 19 Subject to 1,250% risk weight.
In column B, the total amount of securitization exposures subject to 1,250% risk weight is derived by summing cells A-3 and D-3 of Schedule P: Securitization
Exposures Schedule.
In column G, the total amount of risk weighted assets
of securitization exposures outstanding subject to
1,250% risk weight is derived by summing cells B-3 and
E-3 of Schedule P: Securitization Exposures Schedule.

Cleared Transactions
Item 20 Derivative Contracts or Netting Sets of
Derivative Contracts.
In column B, the total amount of exposures is derived
by summing cells A-1, B-1, A-3 and B-3 of Schedule Q:
Cleared Transactions.
In column G, the total amount of risk weighted assets
of exposures is derived by summing cells D-1 and D-3
of Schedule Q: Cleared Transactions.
Item 21 Repo-style transactions.
In column B, the total amount of exposures is derived
by summing cells A-2, B-2, A-4 and B-4 of Schedule Q:
Cleared Transactions.

Equity Exposures
Item 23 Simple Risk Weight Method (SRWA).
In column G, the total amount of risk weighted assets
for equity exposures subject to the SRWA plus investment funds is derived from cell B-16 of Schedule R:
Equity Exposures. Complete only if the SRWA is used.
Item 24 Full Internal Models Approach (IMA).
In column G, the total amount of risk weighted assets
for equity exposures is derived from cell D-21 of
Schedule R: Equity Exposures. Complete only if the
bank uses internal models to estimate potential losses
for both publicly traded and non-publicly traded
equity exposures.
Item 25 Partial IMA, Partial SRWA.
In column G, the total amount of risk weighted assets
for equity exposures is derived from cell F-25 of Schedule R: Equity Exposures. Complete only if the bank
uses internal models to estimate potential losses only
for publicly traded equity exposures.
Item 26 Unsettled Transactions.
In column B, report the balance sheet amount of
unsettled transactions.
In column G, report the total amount of risk weighted
assets of unsettled transactions, as determined by section 135 of the advanced approaches rule.

Item 22 Default Fund Contributions.
In column B, the total amount of default fund contributions is derived by summing cells C-5 and C-6 of
Schedule Q: Cleared Transactions.

Item 27 Assets Not Included in a Defined Exposure
Category.
In column B, report the balance sheet amount of assets
not defined in an exposure category, as described in
paragraph (e)(3) of section 131 of the advanced
approaches rule, but excluding the balance sheet
amount of significant investments in unconsolidated
financial institutions in the form of common stock that
are not deducted from capital, which is reported in cell
A-7 of Schedule R: Equity Exposures.

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

In column G, report the total amount of risk weighted
assets for assets not defined in an exposure category, as
determined by paragraph (e)(3) of section 131 of the
advanced approaches rule.

In column G, the total amount of risk weighted assets
of exposures is derived by summing cells D-2 and D-4
of Schedule Q: Cleared Transactions.

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Schedule B

Item 28 Non-material Portfolios of Exposures.
In column B, report the balance sheet amount of assets
in non-material portfolios of exposures as described in
paragraph (e)(4) of section 131 of the advanced
approaches rule.
In column G, report the total amount of risk weighted
assets for non-material portfolios of exposures as
determined by paragraph (e)(4) of section 131 of the
advanced approaches rule, for non-material exposures.
Item 29 Sum of Column G.
In column G, report the sum of G-1 through G-28.
Item 30 Total Credit Risk Weighted Assets.
In column G, report the product of G-29 and 1.06.
Item 31.a Credit Valuation Adjustment
(CVA)—Simple Approach.
In column G, report the Simple CVA total riskweighted assets associated with OTC derivative transactions, as described in section 132(e) of the advanced
approaches rule.
Item 31.b Credit Valuation Adjustment
(CVA)—Advanced Approach.
In column G, report the Advanced CVA total riskweighted assets associated with OTC derivative transactions, as described in section 132(e) of the advanced
approaches rule.

Item 33 Excess Eligible Credit Reserves Not Included
in Tier 2 Capital.
In column G, report excess eligible credit reserves not
included in tier 2 capital, consistent with paragraph
(a)(2) of section 113 of the advanced approaches rule.
Item 34 Advanced Market Risk Equivalent Assets.
In column G, report “Advanced Market RiskWeighted Assets” as determined under subpart F,
section 204(a)(2) of the revised regulatory capital rules:
12 CFR Part 3 (national banks and federal savings
associations) (OCC); 12 CFR Part 217 (holding companies and state member banks) (Board); and 12 CFR
Part 324 (state nonmember banks and state savings
associations) (FDIC).
Item 35 Operational Risk.
In column G, the amount of risk-weighted assets for
operational risk is derived from the product of line 1 of
Schedule S: Operational Risk and 12.5.
Item 36 Total.
In column G, report the sum of cells G-30, G-31, G-32,
G-34, and G-35 minus cell G-33 above.

Item 32 Assets Subject to the General Risk-Based
Capital Requirements.
In column G, report risk-weighted assets subject to the
merger and acquisition transitional arrangements as
described in section 124 of the advanced approaches
rule.

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Wholesale Exposures
Schedules C through G

General Instructions
Definitions. Apply the definitions provided in the
advanced approaches rule for the following terms:
(1) probability of default (PD); (2) loss given default
(LGD); (3) exposure at default (EAD); (4) effective
maturity (M); (5) expected credit loss (ECL); (6) guarantee; (7) credit derivatives; (8) obligor; (9) credit risk
mitigant; (10) eligible margin loan; (11) eligible purchased wholesale exposure; (12) high volatility commercial real estate (HVCRE) exposure1; (13) multilateral development bank; (14) repo-style transaction;
(15) sovereign exposure; and (16) wholesale exposure.
The PD substitution approach and the LGD adjustment
approach are described in section 133 of the advanced
approaches rule. The double default treatment is
described in section 134 of the advanced approaches
rule.
Weighted Averages. Weighted average obligor PD as
used in this section is calculated by: (1) determining the
obligors and their exposures that fall within each of the
PD ranges indicated, (2) multiplying each obligor’s PD
by its total EAD, (3) summing the products from step
(2) for all exposures within each PD range, and
(4) dividing the summed products from step (3) by the
sum of the EADs of all exposures in the same PD
range.
Weighted Average LGD without effects of guarantees
and credit derivatives, but with effect of collateral as
used in this section is calculated by: (1) determining the
obligors and their exposures that fall within each of the
PD ranges indicated, (2) multiplying each exposure’s
LGD before considering effects of guarantees and
1. The definition of HVCRE exposure has been amended effective
April 1, 2020.

credit derivatives, but after considering collateral by its
EAD, (3) summing the products from step (2) for all
exposures within each PD range, and (4) dividing the
summed products from step (3) by the sum of the
EADs of all exposures in the same PD range.
Weighted average LGD with effects of guarantees,
credit derivatives and collateral as used in this section is
calculated by: (1) determining the obligors and their
exposures that fall within each of the PD ranges indicated, (2) multiplying each exposure’s LGD with
effects of credit risk mitigants (guarantees, credit
derivatives and collateral) by its EAD, (3) summing the
products from step (2) for all exposures within each PD
range, and (4) dividing the summed products from step
(3) by the sum of the EADs of all exposures in the
same PD range.
Weighted average M as used in this section is calculated
by: (1) determining the obligors and their exposures
that fall within each of the PD ranges indicated,
(2) multiplying each exposure’s estimated M by its
EAD, (3) summing the products from step (2) for all
exposures within each PD range, and (4) dividing the
summed products from step (3) by the sum of the
EADs of all exposures in the same PD range.
Exposure Categorization. The underlying obligor
should be used as the basis for determining on which
wholesale schedule to report an exposure. If the bank
does not assign an obligor PD, then the bank should
use the guarantor as the basis for determining on
which schedule to report an exposure. The bank should
also use the guarantor PD as the basis for assigning the
exposure to the appropriate supervisory PD band.
Treatment of Eligible Purchased Wholesale Exposures.
Consistent with paragraph (d)(4) of section 131 of the
advanced approaches rule, reporting of eligible pur-

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Schedules C through G

chased wholesale exposures should be based on
segment-level risk estimates for PD, LGD, EAD, M,
and ECL.
Correlation factor for certain regulated and unregulated
financial institutions. Banking organizations must
apply a multiplier of 1.25 to the correlation factor for
wholesale exposures to unregulated financial institutions that generate a majority of their revenue from
financial activities, regardless of asset size.
This category includes highly leveraged entities such as
hedge funds and financial guarantors. Banking organizations must also apply a multiplier of 1.25 to the correlation factor for wholesale exposures to regulated

financial institutions with consolidated assets of
greater than or equal to $100 billion. These exposure
amounts must be included with those reported in line
items 1 through 12 (the sum of which flows to Schedule B) and also reported separately in M2 and M3 (in
Schedules C and D).
Cleared Transactions: Cleared transactions and default
fund contributions, as described in section 133(b), section 133(c) and section 133(d) of the advanced
approaches rule, should only be reported in Schedule Q, and not in Schedules C through G.

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LINE ITEM INSTRUCTIONS FOR

Wholesale Exposures—Corporate
Schedule C

Report all Wholesale Exposures—Corporate, which
include all wholesale exposures as defined in the
advanced approaches rule, except those which are to be
specifically included in the Wholesale Exposures—
Bank (Schedule D), Wholesale Exposures—Sovereign
(Schedule E), Wholesale Exposures—Income Producing Real Estate (Schedule F), Wholesale Exposures—
High Volatility Commercial Real Estate (Schedule G),
or Wholesale Exposures—Eligible Margin Loans,
Repo-Style Transactions, or OTC Derivatives schedules (Schedules H through I). Include in this schedule
government-related entities whose exposures do not
have the full faith and credit support of a sovereign
such as the Federal Home Loan Bank or the Federal
Agricultural Mortgage Corporation.

Item Instructions
Items 1–12
In column A, report the weighted average obligor PD
of exposures categorized as wholesale corporate where
the obligor PD falls within the indicated PD range. Cell
A-12 equals 100.
In column B, report the total number of obligors
included in this row for column A.
In column C, report the total balance sheet amount of
exposures included in this row for column A. Do not
report any undrawn amounts in this column.
In column D, report the total dollar value of available
but undrawn balance of exposures (for example, from
loan commitments, lines of credit, trade-related letters
of credit, or transaction-related contingencies)
included in this row for column A.
In column E, report the total EAD of exposures
included in this row for column A.

In column F, report the weighted average M in years of
exposures included in this row for column A.
In column G, report the weighted average LGD of
exposures included in this row for column A. In estimating LGD, include the effects of collateral but not
the effects of guarantees or credit derivatives.
In column H, report the weighted average LGD of
exposures included in this row for column A. In estimating LGD, include the effects of credit risk mitigants (guarantees, credit derivatives and collateral).
In column I, report the estimated benefit arising from
the application of the PD substitution approach or the
LGD adjustment approach to exposures included in
this row, expressed in terms of a reduction in riskweighted assets in dollars but only in cases where risk is
mitigated through the use of eligible credit derivatives.
The estimate can be derived by deducting the aggregated risk-weighted assets that would have resulted
from the application of the IRB Wholesale risk-weight
formula to all underlying obligations contained in this
row if the PD Substitution approach and LGD Adjustment approach had not been applied from the amount
in column K of this row (this resulting amount would
normally be negative). No estimate is required in cases
where risk is mitigated through the use of eligible
guarantees.
In column J, report the estimated benefit arising from
the application of the double default treatment to
exposures included in this row, expressed in terms of a
reduction in risk-weighted assets in dollars. The estimate can be derived by deducting the aggregated riskweighted assets that would have resulted from the
application of the IRB Wholesale risk-weight formula
to all underlying obligations contained in this row as if
double default treatment had not been applied from

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June 2017

Schedule C

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

where Gi and Ei are the weighted average LGD before
consideration of eligible guarantees and credit derivatives (%) and EAD ($) reported in columns G and E,
respectively, for the ith PD range in item numbers 1
through 12 of this schedule.

Item 13
In column A, the EAD-weighted average PD (WAPD)
in percentage terms is calculated as follows:

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

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

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

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

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

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

Item M1
Report the risk weighted assets of non-material portfolios reportable in this schedule, but not included in the
cells above.
Item M2
In column A, report the weighted average obligor PD
of wholesale exposures to regulated financial institutions with at least $100 billion in assets.

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Schedule C

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

to all underlying obligations contained in this row as if
double default treatment had not been applied from
the amount in column K of this row (this resulting
amount would normally be negative). The estimate
should reflect only credit risk mitigation benefits
derived from the application of the double default
treatment.
In column K, report the total risk weighted assets associated with all exposures included in this row for column A - after any credit risk mitigation adjustments
including application of double default treatment.
In column L, report the dollar amount of ECL for
exposures included in this row for column A.
Item M3
In column A, report the weighted average obligor PD
unregulated financial institutions that generate a
majority of their revenue from financial activities.
In column B, report the total number of obligors
included in this row for column A.
In column C, report the total balance sheet amount of
exposures included in this row for column A. Do not
report any undrawn amounts in this column.
In column D, report the total dollar value of available
but undrawn balance of exposures (for example, from
loan commitments, lines of credit, trade-related letters
of credit, or transaction-related contingencies)
included in this row for column A.
In column E, report the total EAD of exposures
included in this row for column A.
In column F, report the weighted average M in years of
exposures included in this row for column A.
In column G, report the weighted average LGD of
exposures included in this row for column A. In estimating LGD, include the LGDs of collateral but not
the LGDs of guarantees or credit derivatives.
In column H, report the weighted average LGD of
exposures included in this row for column A. In estimating LGD, include the effects of credit risk mitigants (guarantees, credit derivatives and collateral).
In column I, report the estimated benefit arising from
the application of the PD substitution approach or the
LGD adjustment approach to exposures included in
this row, expressed in terms of a reduction in riskC-3

FFIEC 101

June 2017

Schedule C

weighted assets in dollars but only in cases where risk is
mitigated through the use of eligible credit derivatives.
The estimate can be derived by deducting the aggregated risk-weighted assets that would have resulted
from the application of the IRB Wholesale risk-weight
formula to all underlying obligations contained in this
row if the PD Substitution approach and LGD Adjustment approach had not been applied from the amount
in column K of this row (this resulting amount would
normally be negative). No estimate is required in cases
where risk is mitigated through the use of eligible
guarantees.
In column J, report the estimated benefit arising from
the application of the double default treatment to
exposures included in this row, expressed in terms of a
reduction in risk- weighted assets in dollars. The estimate can be derived by deducting the aggregated risk-

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

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LINE ITEM INSTRUCTIONS FOR

Wholesale Exposures—Bank
Schedule D

Report all Wholesale Exposures—Bank. For this
schedule, Bank includes the following entities:
(1) banks and depository institutions as defined in the
Glossary of the Reports of Condition and Income
under the following headings: Banks, U.S. and Foreign;
and Depository Institutions in the U.S.; (2) securities
firms; and (3) multi-lateral development banks that do
not have full faith and credit backing of sovereign
entities.

In column H, report the weighted average LGD of
exposures included in this row for column A. In estimating LGD, include the effects of credit risk mitigants (guarantees, credit derivatives, and collateral).

In column B, report the total number of obligors
included in this row for column A.

In column I, report the estimated benefit arising from
the application of the PD substitution approach or the
LGD adjustment approach to exposures included in
this row, expressed in terms of a reduction in riskweighted assets in dollars but only in cases where risk is
mitigated through the use of eligible credit derivatives.
The estimate can be derived by deducting the aggregated risk-weighted assets that would have resulted
from the application of the IRB Wholesale risk-weight
formula to all underlying obligations contained in this
row if the PD Substitution approach and LGD Adjustment approach had not been applied from the amount
in column J of this row (this resulting amount would
normally be negative). No estimate is required in cases
where risk is mitigated through the use of eligible
guarantees.

In column C, report the total balance sheet amount of
exposures included in this row for column A. Do not
report any undrawn amounts in this column.

In column J, report the total risk weighted assets associated with all exposures included in this row for column A - after any credit risk mitigation adjustments.

In column D, report the total dollar value of available
but undrawn balance of exposures (for example, from
loan commitments, lines of credit, trade-related letters
of credit, or transaction-related contingencies)
included in this row for column A.

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

Item Instructions
Items 1–12
In column A, report the weighted average obligor PD
of exposures categorized as wholesale bank where the
obligor PD falls within the indicated PD range. Cell
A-12 equals 100.

In column E, report the total EAD of exposures
included in this row for column A.

Item 13
In column A, the EAD-weighted average PD (WAPD)
in percentage terms is calculated as follows:

In column F, report the weighted average M in years of
exposures included in this row for column A.
In column G, report the weighted average LGD of
exposures included in this row for column A. In estimating LGD, include the effects of collateral but not
the effects of guarantees or credit derivatives.

where Ai and Ei are the weighted average PD (%) and
EAD ($) reported in columns A and E, respectively, for
D-1

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Schedule D

the ith PD range in item numbers 1 through 12 of this
schedule. Note that A12 equals 100.

Memoranda Items

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

Item M1
Report the risk weighted assets of non-material portfolios reportable in this schedule, but not included in the
cells above.

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

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

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

Item M2
In column A, report the weighted average obligor PD
of wholesale exposures to regulated financial institutions with at least $100 billion in assets.
In column B, report the total number of obligors
included in this row for column A.
In column C, report the total balance sheet amount of
exposures included in this row for column A. Do not
report any undrawn amounts in this column.
In column D, report the total dollar value of available
but undrawn balance of exposures (for example, from
loan commitments, lines of credit, trade-related letters
of credit, or transaction-related contingencies)
included in this row for column A.
In column E, report the total EAD of exposures
included in this row for column A.
In column F, report the weighted average M in years of
exposures included in this row for column A.
In column G, report the weighted average LGD of
exposures included in this row for column A. In estimating LGD, include the LGDs of collateral but not
the LGDs of guarantees or credit derivatives.
In column H, report the weighted average LGD of
exposures included in this row for column A. In estimating LGD, include the effects of credit risk mitigants (guarantees, credit derivatives and collateral).
In column I, report the estimated benefit arising from
the application of the PD substitution approach or the
LGD adjustment approach to exposures included in
this row, expressed in terms of a reduction in riskweighted assets in dollars but only in cases where risk is
mitigated through the use of eligible credit derivatives.
The estimate can be derived by deducting the aggregated risk-weighted assets that would have resulted
from the application of the IRB Wholesale risk-weight
formula to all underlying obligations contained in this
row if the PD Substitution approach and LGD Adjust-

D-2
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FFIEC 101

Schedule D

ment approach had not been applied from the amount
in column K of this row (this resulting amount would
normally be negative). No estimate is required in cases
where risk is mitigated through the use of eligible
guarantees.
In column J, report the total risk weighted assets associated with all exposures included in this row for column A - after any credit risk mitigation adjustments
including application of double default treatment.
In column K, report the dollar amount of ECL for
exposures included in this row for column A.
Item M3
In column A, report the weighted average obligor PD
unregulated financial institutions that generate a
majority of their revenue from financial activities.
In column B, report the total number of obligors
included in this row for column A.
In column C, report the total balance sheet amount of
exposures included in this row for column A. Do not
report any undrawn amounts in this column.
In column D, report the total dollar value of available
but undrawn balance of exposures (for example, from
loan commitments, lines of credit, trade-related letters
of credit, or transaction-related contingencies)
included in this row for column A.
In column E, report the total EAD of exposures
included in this row for column A.
In column F, report the weighted average M in years of
exposures included in this row for column A.

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

D-3
FFIEC 101

June 2017

LINE ITEM INSTRUCTIONS FOR

Wholesale Exposures—Sovereign
Schedule E

Report all Wholesale Exposures—Sovereign (Sovereign exposures)

Item Instructions
Items 1–12
In column A, report the weighted average obligor PD
of exposures categorized as wholesale sovereign where
the obligor PD falls within the indicated PD range. Cell
A-12 equals 100.
In column B, report the total number of obligors
included in this row for column A.
In column C, report the total balance sheet amount of
exposures included in this row for column A. Do not
report any undrawn amounts in this column.
In column D, report the total dollar value of available
but undrawn balance of exposures (for example, from
loan commitments, lines of credit, trade-related letters
of credit, or transaction-related contingencies)
included in this row for column A.
In column E, report the total EAD of exposures
included in this row for column A.
In column F, report the weighted average M in years of
exposures included in this row for column A.

In column I, report the estimated benefit arising from
the application of the PD substitution approach or the
LGD adjustment approach to exposures included in
this row, expressed in terms of a reduction in riskweighted assets in dollars but only in cases where risk is
mitigated through the use of eligible credit derivatives.
The estimate can be derived by deducting the aggregated risk-weighted assets that would have resulted
from the application of the IRB Wholesale risk-weight
formula to all underlying obligations contained in this
row if the PD Substitution approach and LGD Adjustment approach had not been applied from the amount
in column J of this row (this resulting amount would
normally be negative). No estimate is required in cases
where risk is mitigated through the use of eligible
guarantees.
In column J, report the total risk weighted assets associated with all exposures included in this row for column A - after any credit risk mitigation adjustments.
In column K, report the dollar amount of ECL for
exposures included in this row for column A.
Item 13
In column A, the EAD-weighted average PD (WAPD)
in percentage terms is calculated as follows:

In column G, report the weighted average LGD of
exposures included in this row for column A. In estimating LGD, include the effects of collateral but not
the effects of guarantees or credit derivatives.
In column H, report the weighted average LGD of
exposures included in this row for column A. In estimating LGD, include the effects of credit risk mitigants (guarantees, credit derivatives, and collateral).

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

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FFIEC 101

June 2017

Schedule E

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

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

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

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

Memoranda Item
where Gi and Ei are the weighted average LGD before
consideration of eligible guarantees and credit derivatives (%) and EAD ($) reported in columns G and E,
respectively, for the ith PD range in item numbers 1
through 12 of this schedule.

Item M1
Report the risk weighted assets of non-material portfolios reportable in this schedule, but not included in the
cells above.

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June 2017

FFIEC 101

LINE ITEM INSTRUCTIONS FOR

Wholesale Exposures—IncomeProducing Real Estate (IPRE)
Schedule F

IPRE includes exposures that finance the acquisition,
development, or construction (ADC) of one-to-four
family residential properties, or commercial real estate
projects that are not defined as HVCRE as well as permanent financing of commercial real estate and apartment buildings.

Item Instructions
Items 1–12
In column A, report the weighted average obligor PD
of exposures categorized as wholesale IPRE where the
obligor PD falls within the indicated PD range. Cell
A-12 equals 100.
In column B, report the total number of obligors
included in this row for column A.
In column C, report the total balance sheet amount of
exposures included in this row for column A. Do not
report any undrawn amounts in this column.
In column D, report the total dollar value of available
but undrawn balance of exposures (for example, from
loan commitments, lines of credit, trade-related letters
of credit, or transaction-related contingencies)
included in this row for column A.
In column E, report the total EAD of exposures
included in this row for column A.
In column F, report the weighted average M in years of
exposures included in this row for column A.
In column G, report the weighted average LGD of
exposures included in this row for column A. In estimating LGD, include the effects of collateral but not
the effects of guarantees or credit derivatives.
In column H, report the weighted average LGD of
exposures included in this row for column A. In esti-

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

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FFIEC 101

June 2017

Schedule F

In column L, report the dollar amount of ECL for
exposures included in this row for column A.
Item 13
In column A, the EAD-weighted average PD (WAPD)
in percentage terms is calculated as follows:

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

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

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

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

Memoranda Item
Item M1
Report the risk weighted assets of non-material portfolios reportable in this schedule, but not included in the
cells above.

F-2
June 2017

FFIEC 101

LINE ITEM INSTRUCTIONS FOR

Wholesale Exposures—High Volatility
Commercial Real Estate (HVCRE)
Schedule G

Report all Wholesale Exposures—High Volatility
Commercial Real Estate (HVCRE)

Item Instructions
Items 1–12
In column A, report the weighted average obligor PD
of exposures categorized as wholesale HVCRE where
the obligor PD falls within the indicated PD range. Cell
A-12 equals 100.
In column B, report the total number of obligors
included in this row for column A.
In column C, report the total balance sheet amount of
exposures included in this row for column A. Do not
report any undrawn amounts in this column.
In column D, report the total dollar value of available
but undrawn balance of exposures (for example, from
loan commitments, lines of credit, trade-related letters
of credit, or transaction-related contingencies)
included in this row for column A.
In column E, report the total EAD of exposures
included in this row for column A.
In column F, report the weighted average M in years of
exposures included in this row for column A.
In column G, report the weighted average LGD of
exposures included in this row for column A. In estimating LGD, include the effects of collateral but not
the effects of guarantees or credit derivatives.
In column H, report the weighted average LGD of
exposures included in this row for column A. In estimating LGD, include the effects of credit risk mitigants (guarantees, credit derivatives and collateral).

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

In column I, report the estimated benefit arising from
the application of the PD substitution approach or the
G-1
FFIEC 101

June 2017

Schedule G

Item 13
In column A, the EAD-weighted average PD (WAPD)
in percentage terms is calculated as follows:

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

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

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

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

Memoranda Item
Item M1
Report the risk weighted assets of non-material portfolios reportable in this schedule, but not included in the
cells above.

where Gi and Ei are the weighted average LGD before
consideration of eligible guarantees and credit deriva-

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June 2017

FFIEC 101

Wholesale Exposures—Eligible Margin Loans,
Repo-Style Transactions, OTC Derivatives, and
Combinations of these Instruments Subject to
Qualifying Master Netting Agreements
Schedules H through J
General Instructions
Definitions. Apply the definitions provided in the
advanced approaches rule for the following terms:
(1) probability of default (PD); (2) loss given default
(LGD); (3) exposure at default (EAD); (4) effective
maturity (M); (5) expected credit loss (ECL); (6) qualifying cross-product master netting agreement; (7) eligible margin loan; (8) obligor; (9) OTC derivative contract; (10) qualifying master netting agreement;
(11) repo-style transaction; (12) Value-at-Risk (VaR);
(13) wholesale exposure; and (14) default.
The EAD adjustment approaches are described in section 132(b)(2), section 132(b)(3), and section 132(d) of
the advanced approaches rule.
For these schedules, report all repo-style transactions,
eligible margin loans, and OTC derivatives, including
those that are covered positions under the market risk
rule, except for credit derivatives and equity derivative
contracts for which the bank does not compute a separate counterparty credit risk capital requirement in
accordance with sections 132(c)(3) and (4) of the
advanced approaches rule.
Weighted Averages. Weighted average obligor PD as
used in this section is generally calculated by: (1) determining the obligors and their exposures that fall within
each of the PD ranges indicated, (2) multiplying each
obligor’s PD by its total EAD, (3) summing the products from step (2) for all exposures within each PD
range, and (4) dividing the summed products from step
(3) by the sum of the EADs of all exposures in the
same PD range. If the EAD for exposures within a
given PD range sums to zero, a simple average (i.e., the
sum of PDs within a PD range divided by the number
of exposures) should be reported.

their exposures that have estimated PDs that fall within
each of the PD ranges indicated, (2) multiplying each
exposure’s LGD by its EAD, (3) summing the products
from step (2) for all exposures within each PD range,
and (4) dividing the summed products from step (3) by
the sum of the EADs of all exposures in the same PD
range. If the EAD for exposures within a given PD
range sums to zero, a simple average (i.e., the sum of
LGDs within a PD range divided by the number of
exposures) should be reported.
Weighted average M as used in this section is generally
calculated by: (1) determining the obligors and their
exposures that have estimated PDs prior to considering
the effects of credit risk mitigation that fall within each
of the PD ranges indicated, (2) multiplying each exposure’s estimated M by its EAD, (3) summing the products from step (2) for all exposures within each PD
range, and (4) dividing the summed products from step
(3) by the sum of the EADs of all exposures in the
same PD range. If the EAD for exposures within a
given PD range sums to zero, a simple average (i.e., the
sum of Ms within a PD range divided by the number of
exposures) should be reported.
Correlation factor for certain regulated and unregulated
financial institutions. Banking organizations must
apply a multiplier of 1.25 to the correlation factor for
wholesale exposures to unregulated financial institutions that generate a majority of their revenue from
financial activities, regardless of asset size.
This category includes highly leveraged entities such as
hedge funds and financial guarantors. Banking organizations must also apply a multiplier of 1.25 to the correlation factor for wholesale exposures to regulated
financial institutions with consolidated assets of
greater than or equal to $100 billion.

Weighted average LGD as used in this section is generally calculated by: (1) determining the obligors and
H-J-1
FFIEC 101

June 2017

LINE ITEM INSTRUCTIONS FOR

Wholesale Exposures—Eligible Margin
Loans, Repo-style Transactions, and
OTC Derivatives with Cross-Product
Netting
Schedule H
Report all eligible margin loans, repo-style transactions
and OTC derivatives positions that are subject to a
qualifying cross-product master netting agreement.
Exposures that are not covered by qualifying crossproduct master netting agreements are reported separately in Schedules I and J.

Item 13
In column C, report the EAD of eligible margin loans
where a 300 percent risk weight has been assigned.

Item Instructions

Item 14
In column A, the EAD-weighted average PD (WAPD)
in percentage terms is calculated as follows:

Exposures Where the EAD Adjustment
Method is Used
Items 1–12
In column A, report the weighted average obligor PD
of all eligible margin loans, repo- style transactions,
and OTC derivatives covered by qualified crossproduct master netting agreements where the obligor
PD falls within each PD range indicated. Cell A-12
equals 100.
In column B, report the weighted average M in years of
exposures included in this row for column A.
In column C, report the total EAD of exposures
included in this row for column A.

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

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

In column D, report the weighted average LGD of
exposures included in this row for column A.
In column E, report the total risk weighted assets associated with all exposures included in this row for column A.
In column F, report the ECL associated with the exposures aggregated in this row for column A.

where Bi and Ci are the weighted average effective
maturity (years) and EAD ($) reported in columns B
and C, respectively, for the ith PD range in item numbers 1 through 12 of this schedule.

H-1
FFIEC 101

June 2017

Schedule H

In column D, the percent EAD-weighted average LGD
(WALGD) in percentage terms is calculated as follows:

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

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

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

In column F, the sum is calculated as the total of
amounts reported in item numbers 1 through 12 of this
schedule for column F.

Exposures Where Collateral is Reflected in
LGD
Items 1–12
In column G, report the weighted average obligor PD
of all eligible margin loans, repo- style transactions,
and OTC derivatives covered by qualified crossproduct master netting agreements where the obligor
PD falls within each PD range indicated. Cell G-12
equals 100.

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

In column H, report the weighted average M in years
of exposures included in this row for column G.
In column I, report the total EAD of exposures
included in this row for column G.
In column J, report the weighted average LGD of
exposures included in this row for column G.
In column K, report the total risk weighted assets associated with all exposures included in this row for column G.

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

In column L, report the ECL associated with the exposures aggregated in this row for column G.

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June 2017

FFIEC 101

Schedule H

Memoranda Items

In column J, report the weighted average LGD of
exposures included in this row for column G.

Exposures Where the EAD Adjustment
Method is Used

In column K, report the total risk weighted assets associated with all exposures included in this row for column G.

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

In column L, report the ECL associated with the exposures aggregated in this row for column G.

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

Exposures Where Collateral is Reflected in
LGD
Items M1–M2
In column G, report the weighted average obligor PD
of all eligible margin loans, repo- style transactions,
and OTC derivatives covered by qualified crossproduct master netting agreements that are to regulated financial institutions with at least $100 billion in
assets (M1) or unregulated financial institutions that
generate a majority of their revenue from financial
activities (M2).
In column H, report the weighted average M in years
of exposures included in this row for column G.
In column I, report the total EAD of exposures
included in this row for column G.

Item M3
Transaction meeting the criteria below for columns A
and C should be reported only in column C (related to
eligible margin loans, repo-style transactions, and OTC
derivatives covered by qualified cross-product master
netting agreements where more than two margin disputes lasted longer than the holding period or margin
period of risk over the previous two quarters)
In column A, report the exposure amount of all eligible
margin loans, repo-style transactions, and OTC derivatives covered by qualified cross-product master netting
agreements that are subject to a 20-day holding period
(under the collateral haircut or VaR approaches) or
20-day margin period of risk (under the IMM).
In column B, report the total risk weighted assets associated with all exposures included in this row for column A.
In column C, report the exposure amount of all eligible
margin loans, repo-style transactions, and OTC derivatives covered by qualified cross-product master netting
agreements where more than two margin disputes
lasted longer than the holding period or margin period
of risk over the previous two quarters.
In column D, report the total risk weighted assets associated with all exposures included in this row for column C.
In column E, report the exposure amount of eligible
margin loans, repo-style transactions, and OTC derivatives covered by qualified cross-product master netting
agreements that are that exhibit specific wrong-way
risk for which the bank would otherwise apply
the IMM.
In column F, report the total risk weighted assets associated with all exposures included in this row for column E.

H-3
FFIEC 101

June 2017

LINE ITEM INSTRUCTIONS FOR

Wholesale Exposures—Eligible Margin
Loans and Repo-style Transactions
with No Cross-Product Netting
Schedule I

Report all eligible margin loans and repo-style transactions that are NOT subject to a qualifying crossproduct master netting agreement.

Item 14
In column A, the EAD-weighted average PD (WAPD)
in percentage terms is calculated as follows:

Item Instructions
Exposures Where the EAD Adjustment
Method is Used
Items 1–12
In column A, report the weighted average obligor PD
of all eligible margin loans and repo-style transactions
not covered by qualified cross-product master netting
agreements where the obligor PD falls within each PD
range indicated. Cell A-12 equals 100.

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

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

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

Item 13
In column C, report the EAD of eligible margin loans
where a 300 percent risk weight has been assigned.
In column E, report the risk weighted assets of eligible
margin loans where a 300 percent risk weight has been
assigned.

where Di and Ci are the weighted average LGD (%)
and EAD ($) reported in columns D and C, respectively, for the ith PD range in item numbers 1 through
12 of this schedule.
I-1

FFIEC 101

June 2017

Schedule I

In columns C and E, the sums are calculated as the
total of amounts reported in item numbers 1 through
13 of this schedule for each of these respective
columns.

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

In column F, the sum is calculated as the total of
amounts reported in item numbers 1 through 12 of this
schedule for column F.

Exposures Where Collateral is Reflected in
LGD
Items 1–12
In column G, report the weighted average obligor PD
of all eligible margin loans and repo-style transactions
not covered by qualified cross-product master netting
agreements where the obligor PD falls within each PD
range indicated. Cell G-12 equals 100.

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

In column H, report the weighted average M in years
of exposures included in this row for column G.
In column I, report the total EAD of exposures
included in this row for column G.
In column J, report the weighted average LGD of
exposures included in this row for column G.

where Ji and Ii are the weighted average LGD (%) and
EAD ($) reported in columns J and I, respectively, for
the ith PD range in item numbers 1 through 12 of this
schedule.

In column K, report the total risk weighted assets associated with all exposures included in this row for column G.

In columns I, K, and L, the sums are calculated as the
total of amounts reported in item numbers 1 through
12 of this schedule for each of these respective
columns.

In column L, report the ECL associated with the exposures aggregated in this row for column G.

Memoranda Items

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

Item M1
In column A, report the percentage, rounded to one
decimal place, of total EAD for this schedule (item 14,
column C) calculated using collateral haircuts.
In column B, report the percentage, rounded to one
decimal place, of total EAD for this schedule (item 14,
column C) calculated using simple VaR.

where Gi and Ii are the weighted average PD (%) and
EAD ($) reported in columns G and I, respectively, for
the ith PD range in item numbers 1 through 12 of this
schedule. Note that G12 equals 100.

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

I-2
June 2017

FFIEC 101

Schedule I

Exposures Where the EAD Adjustment
Method is Used

In column K, report the total risk weighted assets associated with all exposures included in this row for column G.

Item M2–M3
In column A, report the weighted average obligor PD
of all eligible margin loans and repo-style transactions
not covered by qualified cross-product master netting
agreements that are to regulated financial institutions
with at least $100 billion in assets (M2) or unregulated
financial institutions that generate a majority of their
revenue from financial activities (M3).

In column L, report the ECL associated with the exposures aggregated in this row for column G.

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

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

Item M4
Transaction meeting the criteria below for columns A
and C should be reported only in column C (related
eligible margin loans and repo-style transactions not
covered by qualified cross-product master netting
agreements where more than two margin disputes
lasted longer than the holding period or margin period
of risk over the previous two quarters).
In column A, report the exposure amount of all eligible
margin loans and repo-style transactions not covered
by qualified cross-product master netting agreements
that are subject to a 20-day holding period (under the
collateral haircut or VaR approaches) or 20- day margin period of risk (under the IMM).
In column B, report the total risk weighted assets associated with all exposures included in this row for column A.
In column C, report the exposure amount of all eligible
margin loans and repo-style transactions not covered
by qualified cross-product master netting agreements
where more than two margin disputes lasted longer
than the holding period or margin period of risk over
the previous two quarters.
In column D, report the total risk weighted assets associated with all exposures included in this row for column C.
In column E, report the exposure amount of eligible
margin loans and repo-style transactions not covered
by qualified cross-product master netting agreements
that exhibit specific wrong-way risk for which the bank
would otherwise apply the IMM.
In column F, report the total risk weighted assets associated with all exposures included in this row for column E.

I-3
FFIEC 101

June 2017

LINE ITEM INSTRUCTIONS FOR

Wholesale Exposures—OTC
Derivatives with No Cross-Product
Netting
Schedule J

Report all OTC derivative positions which are NOT
subject to a qualifying cross-product master netting
agreement.

Item 13
In column A, the EAD-weighted average PD (WAPD)
in percentage terms is calculated as follows:

Item Instructions
Exposures Where the EAD Adjustment
Method is Used
Items 1–12
In column A, report the weighted average obligor PD
of all OTC derivatives transactions not covered by
qualified cross-product master netting agreements
where the obligor PD falls within each PD range indicated. Cell A-12 equals 100.

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

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

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

where Di and Ci are the weighted average LGD (%)
and EAD ($) reported in columns D and C, respectively, for the ith PD range in item numbers 1 through
12 of this schedule.
J-1
FFIEC 101

June 2017

Schedule J

In columns C, E, and F, the sums are calculated as the
total of amounts reported in item numbers 1 through
12 of this schedule for each of these respective
columns.

Exposures for Which the Bank Uses the
Current Exposure Methodology to
Determine EAD and Reflects Collateral, if
any, in LGD.
Items 1–12
In column G, report the weighted average obligor PD
of all OTC derivatives transactions not covered by
qualified cross-product master netting agreements
where the obligor PD falls within each PD range indicated. Cell G-12 equals 100.

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

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

In column H, report the weighted average M in years
of exposures included in this row for column G.
In column I, report the total EAD of exposures
included in this row for column G.
In column J, report the weighted average LGD of
exposures included in this row for column G.
In column K, report the total risk weighted assets associated with all exposures included in this row for column G.
In column L, report the ECL associated with the exposures aggregated in this row for column G.
Item 13
In column G, the EAD-weighted average PD (WAPD)
in percentage terms is calculated as follows:

where Gi and Ii are the weighted average PD (%) and
EAD ($) reported in columns G and I, respectively, for
the ith PD range in item numbers 1 through 12 of this
schedule. Note that G12 equals 100.

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

Memoranda Items
Item M1
In column A, report the percentage, rounded to one
decimal place, of total EAD for this schedule (item 13,
column C) calculated using collateral haircuts.
In column B, report the percentage, rounded to one
decimal place, of total EAD for this schedule (item 13,
column C) calculated using internal models methodology (IMM).

J-2
June 2017

FFIEC 101

Schedule J

Exposures Where the EAD Adjustment
Method is Used

In column K, report the total risk weighted assets associated with all exposures included in this row for column G.

Items M2–M3
In column A, report the weighted average obligor PD
of all OTC derivatives transactions not covered by
qualified cross-product master netting agreements that
are to regulated financial institutions with at least
$100 billion in assets (M2) or unregulated financial
institutions that generate a majority of their revenue
from financial activities (M3).

In column L, report the ECL associated with the exposures aggregated in this row for column G.

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

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

Item M4
Transaction meeting the criteria below for columns A
and C should be reported only in column C (related
OTC derivatives transactions not covered by qualified
cross-product master netting agreements where more
than two margin disputes lasted longer than the holding period or margin period of risk over the previous
two quarters).
In column A, report the exposure amount of all OTC
derivatives transactions not covered by qualified crossproduct master netting agreements that are subject to a
20-day holding period (under the collateral haircut or
VaR approaches) or 20-day margin period of risk
(under the IMM).
In column B, report the total risk weighted assets associated with all exposures included in this row for column A.
In column C, report the exposure amount of all OTC
derivatives transactions not covered by qualified crossproduct master netting agreements where more than
two margin disputes lasted longer than the holding
period or margin period of risk over the previous two
quarters.
In column D, report the total risk weighted assets associated with all exposures included in this row for column C.
In column E, report the exposure amount of all OTC
derivatives transactions not covered by qualified crossproduct master netting agreements that exhibit specific
wrong-way risk for which the bank would otherwise
apply the IMM.
In column F, report the total risk weighted assets associated with all exposures included in this row for column E.

J-3
FFIEC 101

June 2017

Retail Exposures
Schedules K through O

General Instructions
These schedules should reflect summary or aggregate
information based on the bank’s own segmentation
system for risk-based capital purposes. For each retail
category, banks should use the PDs calculated in its
segmentation process as the basis for assigning exposures to rows that correspond to a specified supervisory PD band in each schedule.
Definitions. Apply the definitions provided in the
advanced approaches rule for the following terms:
(1) probability of default (PD); (2) loss given default
(LGD); (3) exposure at default (EAD); (4) expected
credit loss (ECL);.(5) other retail exposure; (6) residential mortgage exposure; (7) default; (8) retail exposure;
(9) credit risk mitigant; and (10) qualifying revolving
exposure (QRE). Account age is described below.
Loan-to-Value. Loan-to–Value (LTV): Where LTV
information is requested, reporting of these cells is
required only if LTVs are available. If LTVs are used in
the segmentation process, report the LTV that is used
in the segmentation process. If LTVs are not used in
the segmentation process, report the most recent wellsupported LTV for the exposures (original or well supported updated LTV).
For closed-end first lien exposures, LTV ratios should
be calculated with respect to only the bank’s first lien
exposure amount. For closed-end junior liens and
revolving mortgage exposures, LTV ratios should be
calculated with respect to the bank’s junior lien exposures combined with any prior liens.
Credit Risk Score. Credit Risk Score: Reporting of
these cells is required only if the scores are available.
Report scores only from credit scoring systems with a
common mapping from scores to default probabilities
and/or expected losses. Where two or more credit scor-

ing systems with different mappings are used in the
same portfolio, report scores only from the system used
for the largest number of exposures in that portfolio.
Weighted Averages. Weighted average PD as used in
this section is calculated by: (1) determining the exposures that are in segments whose PDs fall within each
of the PD ranges indicated, (2) multiplying each segment’s PD by its EAD, (3) summing the products from
step (2) for all segments within each PD range, and
(4) dividing the summed products from step (3) by the
sum of the EADs of all segments in the same PD
range.
Weighted average LGD as used in this section is calculated by: (1) determining the segments that have PDs
that fall within each of the PD ranges indicated,
(2) multiplying each segment’s LGD by its EAD,
(3) summing the products from step (2) for all segments
within each PD range, and (4) dividing the summed
products from step (3) by the sum of the EADs of all
segments in the same PD range.
Weighted average age as used in this section is calculated by: (1) determining the segments that have PDs
that fall within each of the PD ranges indicated,
(2) determining an average (or weighted average) age
for each segment using the account age definitions
described below, (3) multiplying each segment’s average age by its EAD, (4) summing the products from
step (3) for all segments within each PD range, and
(5) dividing the summed products from step (4) by the
sum of EADs of all segments in the same PD range.
Weighted average credit scores are calculated in a similar manner as weighted average age. The difference is
that the sum in the denominator only includes EADs
of exposures in the exposure category that have a credit
risk score available. Report weighted average credit

K-O-1
FFIEC 101

June 2017

Schedules K through O

scores for each of the PD ranges indicated to one decimal place.
Account Age. The following definitions should be used
to determine the age of accounts: (i) for mortgage
exposures and other types of closed-end loans, account
age is defined as the number of months since origination; (ii) for qualifying revolving exposures, account

age is defined as the number of months on the bank’s
books; and (iii) for other retail exposures, account age
should be determined using the number of months
since whatever reference point the bank uses within its
systems to identify the age of an account.

K-O-2
June 2017

FFIEC 101

LINE ITEM INSTRUCTIONS FOR

Retail Exposures—Residential
Mortgage—Closed-end First Lien
Exposures
Schedule K

Report all residential mortgage exposures that (1) are
secured by first liens, and (2) are not revolving.

In column J, report the EAD of exposures included in
this row for column A that have less than a 70% LTV.

Item Instructions

In column K, report the EAD of exposures included in
this row for column A that have at least a 70% but less
than 80% LTV.

Items 1–15
In column A, report the weighted average PD of all
segments of exposures applicable to this section as
noted above, whose PD falls within each range indicated. Cell A-15 equals 100.
In column B, report the total number of exposures in
all segments included in this row for column A.
In column C, report the total balance sheet amount of
exposures within the segments included in this row for
column A.
In column D, report the dollar volume of available but
undrawn balances of exposures within the segments
included in this row for column A. Include undrawn
commitments to lend, including available negative
amortization and unfunded mortgage commitments.
In column E, report the total EAD of segments of
exposures included in this row for column A.
In column F, report the weighted average age in
months of exposures in the segments included in this
row for column A.
In column G, report the weighted average LGD of
exposures in the segments included in this row for column A.

In column L, report the EAD of exposures included in
this row for column A that have at least an 80% but less
than 90% LTV.
In column M, report the EAD of exposures included in
this row for column A that have at least a 90% but less
than 100% LTV.
In column N, report the EAD of exposures included in
this row for column A that have an LTV greater than or
equal to 100%.
In column O, report the weighted average credit risk
score of exposures in the segments included in this row
for column A, rounded to one decimal place.
In column P, report the EAD of accounts that are
included in the segments reported in this row where the
LTV has been updated since the last report date, that is,
the updated LTV is based upon a refreshed assessment
of the collateral value. If LTVs were not updated for
any accounts in the segments reported in the row since
the last report date, report 0.
Item 16
In column A, the EAD-weighted average PD (WAPD)
in percentage terms is calculated as follows:

In column H, report total risk-weighted assets associated with all segments of exposures included in this
row for column A.
In column I, report the dollar volume of ECL, after
consideration of credit risk mitigation, for segments of
exposures included in this row for column A.

where Ai and Ei are the weighted average PD (%) and
EAD ($) reported in columns A and E, respectively, for
K-1

FFIEC 101

June 2017

Schedule K

the ith PD range in item numbers 1 through 15 of this
schedule. Note that A15 equals 100.
In column F, the EAD-weighted average age (WAA) in
months is calculated as follows:

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

In column O, report the EAD-weighted average bureau
score (WABS), rounded to the nearest whole number,
using the following calculation:

where Oi is the weighted average bureau score reported
in column O and E i' is the EAD ($) of exposures with a
bureau score available, for the ith PD range in item
numbers 1 through 15 of this schedule. The EAD
reported in column Ei will be greater or equal to the
EAD of exposures with a bureau score available, E i'.
In columns B, C, D, E, H, I, J, K, L, M, N, and P, the
sums are calculated as the total of amounts reported in
item numbers 1 through 15 of this schedule for each of
these respective columns.

Memoranda Items
where Gi and Ei are the weighted average LGD (%) and
EAD ($) reported in columns G and E, respectively, for
the ith PD range in item numbers 1 through 15 of this
schedule.

Item M1
Report the risk-weighted assets of non-material portfolios reportable in this schedule but not included in
the above cells.
Item M2
Report the name of the credit bureau or credit scoring
system used to produce the values in column O. Leave
blank if not applicable.

K-2
June 2017

FFIEC 101

LINE ITEM INSTRUCTIONS FOR

Retail Exposures—Residential
Mortgage—Closed-end Junior Lien
Exposures
Schedule L

Report all residential mortgage exposures that (1) are
secured by liens subordinate to any other lien, and
(2) are not revolving.

In column H, report total risk-weighted assets associated with all segments of exposures included in this
row for column A.

Form Instructions

In column I, report the dollar volume of ECL, after
consideration of credit risk mitigation, for segments of
exposures included in this row for column A.

Items 1–15
In column A, report the weighted average PD of all
segments of exposures applicable to this section as
noted above, whose PD falls within each range indicated. Cell A-15 equals 100.
In column B, report the total number of exposures in
all segments included in this row for column A.
In column C, report the total balance sheet amount of
exposures within the segments included in this row for
column A.
In column D, report the dollar volume of available
but undrawn balances of exposures within the segments included in this row for column A. Include
undrawn commitments to lend, including available
negative amortization and unfunded mortgage
commitments.
In column E, report the total EAD of segments of
exposures included in this row for column A.
In column F, report the weighted average age in
months of exposures in the segments included in this
row for column A.
In column G, report the weighted average LGD of
exposures in the segments included in this row for column A.

In column J, report the EAD of exposures included in
this row for column A that have less than a 70% LTV.
In column K, report the EAD of exposures included in
this row for column A that have at least a 70% but less
than 80% LTV.
In column L, report the EAD of exposures included in
this row for column A that have at least an 80% but less
than 90% LTV.
In column M, report the EAD of exposures included in
this row for column A that have at least a 90% but less
than 100% LTV.
In column N, report the EAD of exposures included in
this row for column A that have an LTV greater than or
equal to 100%.
In column O, report the weighted average credit risk
score of exposures in the segments included in this row
for column A, rounded to one decimal place.
In column P, report the EAD of accounts that are
included in the segments reported in this row where the
LTV has been updated since the last report date, that is,
the updated LTV is based upon a refreshed assessment
of the collateral value. If LTVs were not updated for
any accounts in the segments reported in the row since
the last report date, report 0.

L-1
FFIEC 101

June 2017

Schedule L

Item 16
In column A, the EAD-weighted average PD (WAPD)
in percentage terms is calculated as follows:

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

the ith PD range in item numbers 1 through 15 of this
schedule.
In column O, report the EAD-weighted average bureau
score (WABS), rounded to the nearest whole number,
using the following calculation:

where Oi is the weighted average bureau score reported
in column O and E i' is the EAD ($) of exposures with a
bureau score available, for the ith PD range in item
numbers 1 through 15 of this schedule. The EAD
reported in column Ei will be greater or equal to the
EAD of exposures with a bureau score available, E i'.
In columns B, C, D, E, H, I, J, K, L, M, N, and P, the
sums are calculated as the total of amounts reported in
item numbers 1 through 15 of this schedule for each of
these respective columns.

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

Memoranda Items
Item M1
Report the risk-weighted assets of non-material portfolios reportable in this schedule but not included in
the above cells.
Item M2
Report the name of the credit bureau or credit scoring
system used to produce the values in column O. Leave
blank if not applicable.

where Gi and Ei are the weighted average LGD (%) and
EAD ($) reported in columns G and E, respectively, for

L-2
June 2017

FFIEC 101

LINE ITEM INSTRUCTIONS FOR

Retail Exposures—Residential
Mortgage—Revolving Exposures
Schedule M

Report all residential mortgage exposures that are
revolving.

In column J, report the EAD of exposures included in
this row for column A that have less than a 70% LTV.

Form Instructions

In column K, report the EAD of exposures included in
this row for column A that have at least a 70% but less
than 80% LTV.

Items 1–15
In column A, report the weighted average PD of all
segments of exposures applicable to this section as
noted above, whose PD falls within each range indicated. Cell A-15 equals 100.
In column B, report the total number of exposures in
all segments included in this row for column A.
In column C, report the total balance sheet amount of
exposures within the segments included in this row for
column A.
In column D, report the dollar volume of available but
undrawn balances of exposures within the segments
included in this row for column A. Include undrawn
commitments to lend, including available negative
amortization and unfunded mortgage commitments.
In column E, report the total EAD of segments of
exposures included in this row for column A.
In column F, report the weighted average age in
months of exposures in the segments included in this
row for column A.
In column G, report the weighted average LGD of
exposures in the segments included in this row for column A.

In column L, report the EAD of exposures included in
this row for column A that have at least an 80% but less
than 90% LTV.
In column M, report the EAD of exposures included in
this row for column A that have at least a 90% but less
than 100% LTV.
In column N, report the EAD of exposures included in
this row for column A that have an LTV greater than or
equal to 100%.
In column O, report the weighted average credit risk
score of exposures in the segments included in this row
for column A, rounded to one decimal place.
In column P, report the EAD of accounts that are
included in the segments reported in this row where the
LTV has been updated since the last report date, that is,
the updated LTV is based upon a refreshed assessment
of the collateral value. If LTVs were not updated for
any accounts in the segments reported in the row since
the last report date, report 0.
Item 16
In column A, the EAD-weighted average PD (WAPD)
in percentage terms is calculated as follows:

In column H, report total risk-weighted assets associated with all segments of exposures included in this
row for column A.
In column I, report the dollar volume of ECL, after
consideration of credit risk mitigation, for segments of
exposures included in this row for column A.
M-1
FFIEC 101

June 2017

Schedule M

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

In column O, report the EAD-weighted average bureau
score (WABS), rounded to the nearest whole number,
using the following calculation:

In column F, the EAD-weighted average age (WAA) in
months is calculated as follows:

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

where Oi is the weighted average bureau score reported
in column O and E i' is the EAD ($) of exposures with a
bureau score available, for the ith PD range in item
numbers 1 through 15 of this schedule. The EAD
reported in column Ei will be greater or equal to the
EAD of exposures with a bureau score available, E i'.
In columns B, C, D, E, H, I, J, K, L, M, N, and P, the
sums are calculated as the total of amounts reported in
item numbers 1 through 15 of this schedule for each of
these respective columns.

Memoranda Items

where Gi and Ei are the weighted average LGD (%)
and EAD ($) reported in columns G and E, respectively, for the ith PD range in item numbers 1 through
15 of this schedule.

Item M1
Report the risk-weighted assets of non-material portfolios reportable in this schedule but not included in
the above cells.
Item M2
Report the name of the credit bureau or credit scoring
system used to produce the values in column O. Leave
blank if not applicable.

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LINE ITEM INSTRUCTIONS FOR

Retail Exposures—Qualifying
Revolving Exposures
Schedule N

Report all qualifying revolving exposures.

Form Instructions

Item 16
In column A, the EAD-weighted average PD (WAPD)
in percentage terms is calculated as follows:

Items 1–15
In column A, report the weighted average PD of the
segments whose PDs fall within each of the PD ranges
indicated. Cell A-15 equals 100.
In column B, report the total number of exposures in
all segments included in this row for column A.
In column C, report the total balance sheet amount of
exposures within the segments included in this row for
column A.
In column D, report the dollar amount of available but
undrawn balances of exposures within the segments
included in this row for column A.

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

In column E, report the total EAD of segments of
exposures included in this row for column A.
In column F, report the total EAD for the exposures in
the segments included in this row for column A that are
less than 2 years old. Report zero if all exposures in this
row are more than 2 years old.
In column G, report the weighted average LGD of
exposures in the segments included in this row for column A.
In column H, report total risk-weighted assets associated with all segments of exposures included in this
row for column A.

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

In column I, report the dollar amount of ECL, after
consideration of credit risk mitigation, for segments of
exposures included in this row for column A.
In column J, report the weighted average credit risk
score of exposures in the segments included in this row
for column A, rounded to one decimal place.

where Ji is the weighted average bureau score reported
in column J and E i'is the EAD ($) of exposures with a
bureau score available, for the ith PD range in item
numbers 1 through 15 of this schedule. The EAD
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Schedule N

reported in column Ei will be greater or equal to the
EAD of exposures with a bureau score available, E i'.
In columns B, C, D, E, F, H, and I, the sums are calculated as the total of amounts reported in item numbers
1 through 15 of this schedule for each of these respective columns.

Item M2
Report the name of the credit bureau or credit scoring
system used to produce the values in column J. Leave
blank if not applicable.

Memoranda Items
Item M1
Report the risk-weighted assets of non-material portfolios reportable in this schedule but not included in
the above cells.

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LINE ITEM INSTRUCTIONS FOR

Retail Exposures—Other Retail
Exposures
Schedule O

Report all qualifying revolving exposures.

Form Instructions

Item 16
In column A, the EAD-weighted average PD (WAPD)
in percentage terms is calculated as follows:

Items 1–15
In column A, report the weighted average PD of the
segments whose PDs fall within each of the PD ranges
indicated. Cell A-15 equals 100.
In column B, report the total number of exposures in
all segments included in this row for column A.
In column C, report the total balance sheet amount of
exposures within the segments included in this row for
column A.
In column D, report the dollar amount of available but
undrawn balances of exposures within the segments
included in this row for column A.

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

In column E, report the total EAD of segments of
exposures included in this row for column A.
In column F, report the total EAD for the exposures in
the segments included in this row for column A that are
less than 2 years old. Report zero if all exposures in this
row are more than 2 years old.
In column G, report the weighted average LGD of
exposures in the segments included in this row for column A.
In column H, report total risk-weighted assets associated with all segments of exposures included in this
row for column A.

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

In column I, report the dollar amount of ECL, after
consideration of credit risk mitigation, for segments of
exposures included in this row for column A.
In column J, report the weighted average credit risk
score of exposures in the segments included in this row
for column A, rounded to one decimal place.

where Ji is the weighted average bureau score reported
in column J and E i' is the EAD ($) of exposures with a
bureau score available, for the ith PD range in item
numbers 1 through 15 of this schedule. The EAD
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Schedule O

reported in column Ei will be greater or equal to the
EAD of exposures with a bureau score available, E i'.
In columns B, C, D, E, F, H, and I, the sums are calculated as the total of amounts reported in item numbers
1 through 15 of this schedule for each of these respective columns.

Item M2
Report the name of the credit bureau or credit scoring
system used to produce the values in column J. Leave
blank if not applicable.

Memoranda Items
Item M1
Report the risk-weighted assets of non-material portfolios reportable in this schedule but not included in
the above cells.

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LINE ITEM INSTRUCTIONS FOR

Securitization Exposures
Schedule P

General Instructions

Form Instructions

Definitions. Apply the definitions from the advanced
approaches rule to the following terms: (1) securitization exposure; (2) securitization; (3) securitization
position; (4) resecuritization exposure; (5) resecuritization; (6) resecuritization position; (7) early amortization provision; (8) exposure at default (EAD); and
(9) synthetic securitization.

Item 1
In column A, report the amount of exposures under
the SFA for securitizations that are not
resecuritizations.

The Supervisory Formula Approach (SFA) and Simplified Supervisory Formula Approach (SSFA) are
described in sections 143, 144, and 145, respectively, of
the advanced approaches rule.

In column D, report the amount of exposures under
the SFA for resecuritizations.

Reporting under specific cases defined in
the advanced approaches rule.
Proration of adjustments to capital requirements across
multiple exposure categories within a single securitization transaction. If, according to the provisions of section 142(d) of the advanced approaches rule, an adjustment is made to the capital requirements of a
securitization that involves multiple exposure categories, the adjustment to risk-weighted assets should be
allocated across these exposures in proportion to associated exposure amounts such that the total risk-based
capital requirements equal the maximum risk-based
capital requirements for the securitization transaction.
Implicit support. According to section 142(h) of the
advanced approaches rule, banks and savings associations that provide implicit support to a securitization
are required to hold regulatory capital against the
underlying exposures as if the exposures had not been
securitized. Banks and savings associations should not
report such exposures in Schedule P. Instead, banks
and savings associations should report the underlying
exposures in the schedule appropriate for those exposures according to the instructions for that schedule.

In column B, report the risk-weighted assets associated
with the exposures in column A.

In column E, report the risk-weighted assets associated
with the exposures in column D.
Item 2
In column A, report the amount of exposures under
the SSFA for securitizations that are not
resecuritizations.
In column B, report the risk-weighted assets associated
with the exposures in column A.
In column D, report the amount of exposures under
the SSFA for resecuritizations.
In column E, report the risk-weighted assets associated
with the exposures in column D.
Item 3
In column A, report the amount of exposures subject
to 1,250% risk weight for securitizations that are not
resecuritizations.
In column B, report the risk-weighted assets associated
with the exposures in column A.
In column D, report the amount of exposures subject
to 1,250% risk weight for resecuritizations.
In column E, report the risk-weighted assets associated
with the exposures in column D.

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Schedule P

Item 4
In column C, report the aggregate amount that must be
deducted for all other securitizations that are not resecuritizations. Do not use columns A or B.
In column F, report the aggregate amount that must be
deducted for all other resecuritization exposures. Do
not use columns A or B.

Item 5
In columns A, B, D, and E the sums are calculated as
the total of amounts reported in item numbers 1
through 4 of this schedule for each of these respective
columns. Do not use columns C and F.

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LINE ITEM INSTRUCTIONS FOR

Cleared Transactions
Schedule Q

General Instructions
Definitions.Apply the definitions provided in the
advanced approaches rule for the following terms:
(1)cleared transaction; (2) clearing member; (3) clearing member client; (4) default fund contribution;
(5) central counterparty (CCP); (6) qualifying central
counterparty (QCCP); (7) derivative contract; (8) OTC
derivative contract; (9) repo-style transaction; (10) netting set; (11) exposure at default (EAD); and (12) trade
exposure amount.
The calculations for the exposure amounts and risk
weighted assets of cleared transactions and default
fund contributions are described in section 133(b),
section 133(c) and section 133(d) of the advanced
approaches rule. As described in section 133(b)(2), the
definition of trade exposure amount is inclusive of
initial margin.

Form Instructions
Items 1–4
Report the aggregate amount of exposures (either to
derivative contracts, netting sets of derivative contracts, or repo-style transactions) in each line item that
corresponds with exposures to clearing member client
banks or clearing member banks.

section 133(b) and section 133(c) of the advanced
approaches rule).
In column B, report the aggregate amount that does
not qualify for the 2 percent risk weight treatment
(consistent with section 133(b) and section 133(c) of
the advanced approaches rule).
In column D, report the risk-weighted assets for each
line item. Do not use column C.
Items 5–6
Report the aggregate amount of default fund contributions (either to QCCPs and non- QCCPs) in each line
item.
In column C, report the aggregate amount of default
fund contributions (consistent with section 133(d) of
the advanced approaches rule). Do not use columns A
or B.
In column D, report the risk-weighted assets for each
line item.
Item 7
In columns A, B, C and D, the sums are calculated as
the total amounts reported in item numbers 1 through
6 of this schedule for each respective column.

In Column A, report the aggregate amount qualifying
for the 2 percent risk weight treatment (consistent with

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LINE ITEM INSTRUCTIONS FOR

Equity Exposures
Schedule R

General Instructions
Definitions. Apply the definitions provided in the
advanced approaches rule for the following terms:
(1) publicly traded; (2) investment fund; (3) equity
exposure; and (4) separate account.
The following terms are described in section 152 of the
advanced approaches rule: (1) community development equity exposures; (2) hedge pairs and measures of
an effective hedge; and (3) non-significant equity
exposures.
The term adjusted carrying value is described in section 151 of the advanced approaches rule. Investments
in a separate account (such as bank-owned life insurance) must be treated as if they were an equity exposure to an investment fund as described in section 154
of the advanced approaches rule.
The Simple Risk Weight Approach (SRWA) and the
Internal Models Approach (IMA) are described in sections 152 and 153, respectively, of the advanced
approaches rule. The effective and ineffective portion of
a hedge pair are described in section 152(c) of the
advanced approaches rule.
Banks subject to the SRWA should complete only columns A and B. Banks subject to the full IMA should
complete only columns C and D. Banks subject to the
IMA for only publicly-traded equity exposures
(referred to hereafter as the partial IMA) should complete only columns E and F.

Item Instructions
Item 1 Total Equity Exposures.
In column A, report the aggregate adjusted carrying
value of equity exposures that are subject to the
SRWA. Do not include equity exposures subject to the
market risk capital framework.

In column C, report the aggregate adjusted carrying
value of equity exposures that are subject to the full
IMA. Do not include equity exposures subject to the
market risk capital framework.
In column E, report the aggregate adjusted carrying
value of equity exposures that are subject to the partial
IMA. Do not include equity exposures subject to the
market risk capital framework.
Item 2 0% Risk Weight.
For banks subject to the SRWA, report in column A
the adjusted carrying value of equity exposures that
are sovereign exposures or exposures to the Bank for
International Settlements, the International Monetary
Fund, the European Commission, the European central bank, the European Stability Mechanism, the
European Financial Stability Facility, or a multilateral
development bank, to which the bank assigns a rating
grade associated with a PD of less than 0.03 percent.
For banks subject to the SRWA, report 0 in column B.
For banks subject to the full IMA, report in column C
the adjusted carrying value of equity exposures that
are sovereign exposures or exposures to the Bank for
International Settlements, the International Monetary
Fund, the European Commission, the European central bank, the European Stability Mechanism, the
European Financial Stability Facility, or a multilateral
development bank, to which the bank assigns a rating
grade associated with a PD of less than 0.03 percent.
For banks subject to full IMA, report 0 in column D.
For banks subject to the partial IMA, report in column
E the adjusted carrying value of equity exposures that
are sovereign exposures or exposures to the Bank for
International Settlements, the International Monetary
Fund, the European Commission, the European central bank, the European Stability Mechanism, the
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Schedule R

European Financial Stability Facility, or a multilateral
development bank, to which the bank assigns a rating
grade associated with a PD of less than 0.03 percent.
For banks subject to the partial IMA, report 0 in column F.
Item 3 20% Risk Weight.
For banks subject to the SRWA, report in column A
the adjusted carrying value of equity exposures to a
Federal Home Loan Bank and Farmer Mac.
For banks subject to the SRWA, report 20 percent of
the amount in column A for this item in column B.

Simple Risk Weight Approach (SRWA)
Item 5 Effective Portion of Hedge Pairs.
For bank subject to the SRWA, report in column A the
effective portion of each hedge pair.
For banks subject to the SRWA, report 100 percent of
the amount in column A for this item in column B.
This item is not applicable to banks subject to the full
IMA or the partial IMA.

For banks subject to the full IMA, report in column C
the adjusted carrying value of equity exposures to a
Federal Home Loan Bank and Farmer Mac.

Item 6 Non-Significant Equity Exposures.
For banks subject to the SRWA, report in column A
the adjusted carrying value of non-significant equity
exposures, as described in section 152(b)(3)(iii) of the
advanced approaches rule.

For banks subject to the full IMA, report 20 percent of
the amount in column C for this item in column D.

For banks subject to the SRWA, report 100 percent of
the amount in column A for this item in column B.

For banks subject to the partial IMA, report in column
E the adjusted carrying value of equity exposures to a
Federal Home Loan Bank and Farmer Mac.

This item is not applicable to banks subject to the full
IMA or the partial IMA.

For banks subject to the partial IMA, report 20 percent
of the amount in column E for this item in column F.
Item 4 Community Development Equity Exposures.
For banks subject to the SRWA, report in column A
the adjusted carrying value of community development equity exposures.
For banks subject to the SRWA, report 100 percent of
the amount in column A for this item in column B.
For banks subject to the full IMA, report in column C
the adjusted carrying value of community development equity exposures.
For banks subject to the full IMA, report 100 percent
of the amount in column C for this item in column D.
For banks subject to the partial IMA, report in column
E the adjusted carrying value of community development equity exposures.
For banks subject to the partial IMA, report 100 percent of the amount in column E for this item in column F.

Item 7 Significant Investments in Unconsolidated
Financial Institutions.
For banks subject to the SRWA, report in column A
the adjusted carrying value of the bank’s significant
investments in unconsolidated financial institutions in
the form of common stock that are not deducted from
capital and are not included in column A, items 2
through 6, and are not subject to a 600 percent risk
weight per the advanced approaches rule.
For banks subject to the SRWA, report 100 percent of
the amount in column A for this item in column B.
(Banks will be required to report 250 percent of the
amount in column A for this item in column B beginning January 2018.)
This item is not applicable to banks subject to the full
IMA or the partial IMA.
Item 8 Publicly Traded Equity Exposures Under the
SRWA.
For banks subject to the SRWA, report in column A
the adjusted carrying value of the bank’s publicly

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Schedule R

traded equity exposures not included in column A,
items 2 through 6, and not subject to a 600 percent risk
weight per the advanced approaches rule, including the
ineffective portion of each hedge pair.
For banks subject to the SRWA, report 300 percent of
the amount in column A for this item in column B.
This item is not applicable to banks subject to the full
IMA or the partial IMA.
Item 9 Non-Publicly Traded Equity Exposures Under
the SRWA.
For banks subject to the SRWA, report in column A
the adjusted carrying value of the bank’s non-publicly
traded equity exposures not included in column A,
items 2 through 6, and not subject to a 600 percent risk
weight per the advanced approaches rule.
For banks subject to the SRWA, report 400 percent of
the amount in column A for this item in column B.

sures subject to a 600 percent risk weight under paragraph (b)(6) of section 152 of the final rule.
For banks subject to the partial IMA, report 600 percent of the amount in column E for this item in column F.
This item is not applicable to banks subject to the
full IMA.
Item 11 Total Risk Weighted Assets (RWA) Under the
SRWA.
For banks subject to the SRWA, report in column B the
sum of amounts in column B, items 2 through 10.
This item is not applicable to banks subject to the full
IMA or the partial IMA.

Equity Exposures to Investment Funds

For banks subject to partial IMA, report in column E
the adjusted carrying value of the bank’s non-publicly
traded equity exposures not included in column E,
items 2 through 6, and not subject to a 600 percent risk
weight per the final rule.

Item 12 Full Look-through Approach.
For banks subject to the SRWA, report in column A
the adjusted carrying value of all equity exposures to
investment funds to which the bank applies the full
look-through approach as described in paragraph
(b) of section 154 of the advanced approaches rule.

For banks subject to the partial IMA, report 400 percent of the amount in column E for this item in column F.

For banks subject to the SRWA, report the risk
weighted assets of the amount in column A for this
item in column B.

This item is not applicable to banks subject to the
full IMA.

For banks subject to full IMA, report in column C the
adjusted carrying value of all equity exposures to
investment funds to which the bank applies the full
look-through approach as described in paragraph
(b) of section 154 of the final rule.

Item 10 600% Risk Weight Equity Exposures Under
the SRWA.
For banks subject to the SRWA, report in column A
the adjusted carrying value of the bank’s equity exposures subject to a 600 percent risk weight under paragraph (b)(6) of section 152 of the advanced approaches
rule.
For banks subject to the SRWA, report 600 percent of
the amount in column A for this item in column B.
For banks subject to partial IMA, report in column E
the adjusted carrying value of the bank’s equity expo-

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

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Schedule R

For banks subject to the partial IMA, report the risk
weighted assets of the amount in column E for this
item in column F.
Item 13 Simple Modified Look-through Approach.
For banks subject to the SRWA, report in column A
the adjusted carrying value of all equity exposures to
investment funds to which the bank applies the simple
modified look-through approach as described in paragraph (c) of section 154 of the advanced approaches
rule.

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

For banks subject to the SRWA, report the risk
weighted assets for the amount in column A for this
item in column B.

For banks subject to the partial IMA, report the risk
weighted assets for the amount in column E for this
item in column F.

For banks subject to the full IMA, report in column C
the adjusted carrying value of all equity exposures to
investment funds to which the bank applies the simple
modified look-through approach as described in paragraph (c) of section 154 of the final rule.

Item 15 Total Risk Weighted Assets for Investment
Funds.
For banks subject to the SRWA, report in column B the
sum of amounts in column B, items 12 through 14.

For banks subject to the full IMA, report the risk
weighted assets for the amount in column C for this
item in column D.
For banks subject to the partial IMA, report in column
E the adjusted carrying value of all equity exposures to
investment funds to which the bank applies the simple
modified look-through approach as described in paragraph (c) of section 154 of the final rule.
For banks subject to the partial IMA, report the risk
weighted assets for the amount in column E for this
item in column F.
Item 14 Alternative Modified Look-through Approach.
For banks subject to the SRWA, report in column A
the adjusted carrying value of all equity exposures to
investment funds for which the bank applies the alternative modified look-through approach as described in
paragraph (d) of section 154 of the advanced
approaches rule.
For banks subject to the SRWA, report the risk
weighted assets for the amount in column A for this
item in column B.
For banks subject to the full IMA, report in column C
the adjusted carrying value of all equity exposures to
investment funds for which the bank applies the alter-

For banks subject to the full IMA, report in column D
the sum of amounts in column D, items 12 through 14.
For banks subject to the partial IMA, report in column
F the sum of amounts in column F, items 12
through 14.
Item 16 Total: SRWA.
For banks subject to the SRWA, report in column B the
sum of column B, items 11 and 15.
This item is not applicable to banks subject to the full
IMA or the partial IMA.

Full Internal Models Approach (Full IMA)
Item 17 Estimate of Potential Losses on Equity
Exposures.
For banks subject to the full IMA, report in column C
the estimated potential losses on the bank’s equity
exposures, excluding those exposures reported in column C, items 2 through 4 of this schedule and equity
exposures to investment funds.
For banks subject to the full IMA, report 12.5 times
the amount in column C for this item in column D.
This item is not applicable to banks subject to the
SRWA or the partial IMA.

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Schedule R

Floors for Full IMA
Item 18 Publicly Traded.
For banks subject to the full IMA, report in column C
the sum of (i) the aggregated adjusted carrying value of
the bank’s publicly traded equity exposures that do not
belong to a hedge pair, are not reported in column C,
items 2 through 4 of this schedule, and are not equity
exposures to an investment fund, and (ii) the aggregate
ineffective portion of all hedge pairs.

Publicly-Traded Internal Models Approach
(Partial IMA)
Item 23 Estimate of Potential Losses on Publicly
Traded Equity Exposures.
For banks subject to the partial IMA, report in column
E the estimated potential losses on the bank’s publicly
traded equity exposures, excluding those reported in
column E, items 2, 3, 4, 9, and 10 of this schedule, and
equity exposures to investment funds.

For banks subject to the full IMA, report 200 percent
of the amount in column C for this item in column D.

For banks subject to the partial IMA, report 12.5 times
the amount in column E for this item in column F.

This item is not applicable to banks subject to the
SRWA or the partial IMA.

This item is not applicable to banks subject to the
SRWA or the full IMA.

Item 19 Non-publicly Traded.
For banks subject to the full IMA, report in column C
the aggregated adjusted carrying value of the bank’s
equity exposures that are not publicly traded, are not
reported in column C, items 2 through 4 of this schedule, and are not equity exposures to an investment
fund.

Floor for Partial IMA

For banks subject to the full IMA, report 300 percent
of the amount in column C for this item in column D.
This item is not applicable to banks subject to the
SRWA or the partial IMA.
Item 20 Risk Weighted Asset Floors.
For banks subject to the full IMA, report in column D
the sum of column D, items 18 and 19.
This item is not applicable to banks subject to the
SRWA or the partial IMA.
Item 21 Total Risk Weighted Assets – Full IMA.
For banks subject to the full IMA, report in column D
the larger of column D, item 17 or column D, item 20.
This item is not applicable to banks subject to the
SRWA or the partial IMA.
Item 22 Total: Full IMA.
For banks subject to the full IMA, report in column D
the sum of column D, items 3, 4, 15, and 21.

Item 24 Publicly Traded.
For banks subject to the partial IMA, report in column
E sum of (i) the aggregated adjusted carrying value of
the bank’s publicly traded equity exposures that do not
belong to a hedge pair, are not reported in column E,
items 2 through 4 of this schedule, and are not equity
exposures to an investment fund, and (ii) the ineffective
portion of all hedge pairs.
For banks subject to the partial IMA, report 200 percent of the amount in column E for this item in column F.
This item is not applicable to banks subject to the
SRWA or the full IMA.
Item 25 Total Risk Weighted Assets – Partial IMA.
For banks subject to the partial IMA, report in column
F the larger of column F, item 23 or column F, item 24.
This item is not applicable to banks subject to the
SRWA or the full IMA.
Item 26 Total: Partial IMA, Partial SRWA.
For banks subject to the partial IMA, report in column
F the sum of column F, items 3, 4, 9, 10, 15 and 25.
This item is not applicable to banks subject to the
SRWA or the full IMA.

This item is not applicable to banks subject to the
SRWA or the partial IMA.
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LINE ITEM INSTRUCTIONS FOR

Operational Risk
Schedule S

Operational Risk Capital
Definitions. Apply the definitions provided in the
advanced approaches rule for the following terms:
(1) business environment and internal control factors;
(2) dependence; (3) eligible operational risk offsets;
(4) expected operational loss; (5) operational loss
event; (6) operational risk; (7) operational risk exposure; (8) GAAP; (9) scenario analysis; (10) unexpected
operational loss; and (11) unit of measure. Frequency
Distribution means the statistical distribution used to
calculate the frequency of losses. Severity Distribution
means the statistical distribution used to calculate the
severity of losses.
All line items described in this schedule should be completed based on available data. The agencies recognize
that certain circumstances may pose reporting challenges for banks. For example, the inherent flexibility
of the Advanced Measurement Approach (AMA) or a
bank’s use, with prior written supervisory approval, of
an alternative operational risk quantification system
may result in a bank having limited data to report for
certain line items. In determining its response to each
line item, a bank should carefully review the instructions and report the information it has available. In
instances where a bank does not have information to
report for a particular line item, it should leave the
reported item blank.

Item Instructions
Public Items
Item 1 Risk-based Capital Requirement for
Operational Risk.
Report the dollar amount of the risk-based capital
requirement for operational risk pursuant to the
requirements of the advanced approaches rule.

Item 2 Is item 1 generated from an "alternative
operational risk quantification system?"
Report whether the risk-based capital figure reported
in item 1 results from an “alternative operational risk
quantification system” (as discussed in section 122(h)(3)(ii)
of the advanced approaches rule) by indicating “1” for
(yes) or “0” for (no) for this item.

Confidential Items
Expected Operational Loss (EOL) and Eligible
Operational Risk
Item 3 Expected Operational Loss (EOL).
Report the dollar amount of the expected value of the
distribution of potential aggregate operational losses,
as generated by the bank’s operational risk quantification system using a one-year horizon.
Item 4 Total Eligible Operational Risk Offsets.
Item 4.a Eligible GAAP reserves.
Report the dollar amount of reserves calculated in a
manner consistent with GAAP.
Item 4.b Other eligible offsets.
Report the dollar amount of offsets approved by the
institution’s supervisor outside of GAAP reserves
reported in item 4.a above.

Total Risk-based Capital Requirement for
Operational Risk without:
The effects of each of the following three adjustments
on risk-based capital for operational risk should be
calculated independently (e.g., item 7 should only
exclude Risk Mitigants from the calculation, and

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should continue to include adjustments for dependence
assumptions and those related to business environment
and internal control factors).
Item 5 Dependence Assumptions.
Report the risk-based capital requirement for operational risk without any diversification benefits. The
reported number should result from calculating the
capital requirement separately for each unit of measure
and then summing up the stand-alone capital requirements from all units of measure.
Item 6 Adjustments Reflecting Business Environment
and Internal Control Factors.
Report the risk-based capital requirement for operational risk excluding the effects of qualitative adjustments that account for business environment and internal control factors.
Item 7 Risk Mitigants (e.g., insurance).
Report the risk-based capital requirement for operational risk excluding the effects of qualifying operational risk mitigants, as discussed in section 161 of the
advanced approaches rule.

Internal Operational Loss Event Data
Characteristics
Note on Legal Reserves: In the subsequent items 8 – 15,
legal reserves should be included for the purpose of
determining frequency counts, total loss amounts and
loss maximums.
Item 8 Date ranges of internal operational loss event
data used in modeling operational risk capital.
For items 8.a through 8.d, all dates should be expressed
in a MMYYYY format. If the distributions identified
in 8.a through 8.d are not used, then leave these items
blank.
Item 8.a Starting date for frequency distribution (if
applicable).
Report the earliest date relevant to the internal operational loss event data used in modeling the frequency
distribution for operational risk capital.

Item 8.b Ending date for frequency distribution (if
applicable).
Report the latest date relevant to the internal operational loss event data used in modeling the frequency
distribution for operational risk capital.
Item 8.c Starting date for severity distribution (if
applicable).
Report the earliest date relevant to the internal operational loss event data used in modeling the severity distribution for operational risk capital.
Item 8.d Ending date for severity distribution (if
applicable).
Report the latest date relevant to the internal operational loss event data used in modeling the severity distribution for operational risk capital.
Item 9 Highest dollar threshold applied in modeling
internal operational loss event data.
Report the dollar threshold below which operational
loss events are excluded from operational risk capital
modeling. If more than one threshold is applied in the
modeling process, report the highest threshold used. If
no thresholds are used, report “0” for this item.
Item 10 Does the dollar threshold change across units
of measure?
Report whether the thresholds for the internal loss data
used in modeling operational risk capital differ across
units of measure by indicating “1” for (yes) or “0” for
(no) for this item. As defined in the advanced
approaches rule, unit of measure is the level (for
example, organizational unit or operational loss event
type) at which the bank’s operational risk quantification system generates a separate distribution of potential operational losses.
Item 11 Total number of loss events.
Report the total number of internal loss events used in
modeling the severity distribution to determine the
risk-based capital requirement for operational risk. A
loss event may encompass one loss transaction or may
comprise multiple loss transactions all related to the
same event. For example, individual losses of $2,000,
$6,000, and $12,000 that all relate to a single loss event
should be considered one loss (amounting to $20,000)

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for purposes of calculating this item. Conversely, losses
that do not relate to the same event should be considered separate loss events. For example, a bank may
group losses together for certain purposes (e.g.,
because of similarity in causal factors), but these losses
should be counted separately for reporting purposes if
they do not relate to the same event.

Item 15 Total dollar amount of losses in the following
ranges (e.g., ≥ $10,000 and < $100,000).
15.a. Less than $10,000

Item 12 Total dollar amount of loss events.
Report the total dollar amount of internal loss events
used in modeling the severity distribution to determine
the risk-based capital requirement for operational risk.

15.e. $10 Million to $100 Million

Item 13 Dollar amount of largest loss event.
Report the dollar value of the largest single internal
loss event used in modeling the severity distribution to
determine the risk-based capital requirement for
operational risk. The largest internal loss event should
include all the loss transactions related to the single
event.
Item 14 Number of loss events in the following ranges
(e.g., ≥ $10,000 and < $100,000).
14.a. Less than $10,000
14.b. $10,000 to $100,000
14.c. $100,000 to $1 Million
14.d. $1 Million to $10 Million
14.e. $10 Million to $100 Million
14.f. $100 Million to $1 Billion
14.g. $1 Billion or Greater
For each range, report the total number of internal
losses used in the model to determine the risk-based
capital requirement for operational risk. If the bank
has set a threshold for its internal loss event data capture and events below that threshold are not captured,
that should be reflected by marking “0” in the ranges
that are below the threshold. In addition, if no losses
have been experienced in a particular range, report “0”
for that item.
The number of losses should be calculated on an event
basis to ensure that related losses are counted as a
single loss.

15.b. $10,000 to $100,000
15.c. $100,000 to $1 Million
15.d. $1 Million to $10 Million
15.f. $100 Million to $1 Billion
15.g. $1 Billion or Greater
For each range, report the total dollar amount of internal losses used in the model to determine the risk-based
capital requirement for operational risk. If the bank
has set a threshold for its internal loss event data capture and events below that threshold are not captured,
that should be reflected by marking “0” in the ranges
that are below the threshold. In addition, if no losses
have been experienced in a particular range, report “0”
for that item.
The dollar amount of losses should be calculated on an
event basis to ensure that related losses are summed for
purposes of calculating the total dollar amount for
each range.

Scenario Analysis
Item 16 How many individual scenarios were used in
calculating the risk-based capital requirement for
operational risk?
Report the total number of scenarios that impacts the
calculation of the risk-based capital requirement for
operational risk.
Item 17 What is the dollar value of the largest
individual scenario?
Report the dollar value of the largest scenario that
impacts the calculation of the risk-based capital
requirement for operational risk.
Item 18 Number of scenarios in the following ranges
(e.g., ≥ $1 Million and < $10 Million).
For each range, report the total number of scenarios
that impacts the calculation of the risk-based capital

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requirement. Report “0” for any ranges where there
were no scenarios or they do not apply.
18.a. Less than $1 million

to estimate loss severity differs from those used in the
prior reporting period. This refers to changes in the
distribution type. If frequency distributions are not
used, leave the item blank.

18.b. $1 Million to $10 Million
18.c. $10 Million to $100 Million
18.d. $100 Million to $500 Million
18.e. $500 Million to $1 Billion
18.f. $1 Billion or Greater

Distributional Assumptions
Item 19 How many units of measure were used in
calculating the risk-based capital requirement for
operational risk?
Report the number of units of measure for which a
separate distribution of potential operational losses is
generated by the institution’s operational risk quantification system.
Item 20 Frequency Distribution: Across how many
individual units of measure did the choice of frequency
distribution change since the last reporting period?
Report the total number of units of measure for which
the statistical distribution(s) used this reporting period
to estimate loss frequency differs from those used in the
prior reporting period. This refers to changes in the
distribution type. If frequency distributions are not
used, leave the item blank.
Item 21 Severity Distribution: Across how many
individual units of measure did the choice of severity
distribution change since the last reporting period?
Report the total number of units of measure for which
the statistical distribution(s) used this reporting period

Loss Caps
Items 22 through 24 solicit information on the extent
to which such loss caps are used and the levels at which
those caps are set.
Item 22 How many loss caps are used in calculating the
risk-based capital requirement for operational risk?
Report the number of loss caps used to limit loss size in
the quantification process for determining the riskbased capital requirement for operational risk. If loss
caps are not used, report “0” for this item.
Item 23 What is the dollar amount of the smallest cap
used (if applicable)?
Report the dollar amount of the smallest cap used to
limit loss size in the quantification process for determining the risk-based capital requirement for operational risk. If “0” is reported in item 22, leave this item
blank.
Item 24 What is the dollar amount of the largest cap
used (if applicable)?
Report the dollar amount of the largest cap used to
limit loss size in the quantification process for determining the risk-based capital requirement for operational risk. If “0” is reported in item 22, leave this item
blank.

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