DFAST 14A Non-CECL Summary

Company-Run Annual Stress Test Reporting Template and Documentation for Covered Institutions with Total Consolidated Assets of $250 Billion or More

DFAST14A_nonCECL_SUMMARY_20190930.xlsx

Summary Schedule

OMB: 1557-0319

Document [xlsx]
Download: xlsx | pdf

Overview

Summary Submission Cover Sheet
Income Statement Worksheet
Balance Sheet Worksheet
Capital - DFAST
Standardized RWA
Advanced RWA
Retail Bal. & Loss Projections
Securities OTTI by Security
Securities OTTI Methodology
Securities OTTI by Portfolio
Securities AFS OCI by Portfolio
Securities Market Value Sources
NEW Trading Worksheet
OLD Trading Worksheet
Counterparty Risk Worksheet
OpRisk Scenario & Projections
PPNR Projections Worksheet
PPNR NII Worksheet
PPNR Metrics Worksheet


Sheet 1: Summary Submission Cover Sheet

DFAST-14A Summary Schedule Cover Sheet
BANKS SHOULD SUBMIT THE SUMMARY XML FILE AND NOT THIS SUMMARY EXCEL FILE (SEE TECHNICAL INSTRUCTIONS). THIS FILE IS BEING PROVIDED AS A RESOURCE ONLY AND IS NOT INTENDED AS AN OFFICAL REPORTING FORM.





All covered institutions are expected to complete a version of the Summary template for each required scenario - Baseline, Adverse, Severely Adverse, Bank Baseline, and Bank Stress - and additional scenarios that are named accordingly.







Covered institutions should complete all relevant cells in the corresponding worksheets, including this cover page. Covered institutions should not complete any shaded cells.





Please ensure that the data submitted in this Summary Template match what was submitted in other data templates.





Please do not change the structure of this workbook.





Please note that unlike Call Report reporting, all actual and projected income statement figures should be reported on a quarterly basis, and not on a cumulative basis.





Any questions should be directed to [email protected] .




















Institution Name:
XYZ

RSSD ID:





OCC Charter ID:





Source:





Current Year:

(Enter appropriate year)


Planning Horizon Year 1:





Planning Horizon Year 2:





Submission Date (MM/DD/YYYY):

(Enter date)


When Received:












Please indicate the scenario associated with this submission using the following drop-down menu:





Baseline































Baseline





Adverse





Severely Adverse





Bank Baseline





Bank Stress





Bank Additional Scenario 1





Bank Additional Scenario 2





Bank Additional Scenario 3





Bank Additional Scenario 4





Bank Additional Scenario 5





Bank Additional Scenario 6





Bank Additional Scenario 7





Bank Additional Scenario 8


































Sheet 2: Income Statement Worksheet

Bank Income Statement






Actual in $Millions Projected in $Millions
Sums in $Millions

Item

as of date PQ 1 PQ 2 PQ 3 PQ 4 PQ 5 PQ 6 PQ 7 PQ 8 PQ 9
PQ 1 - PQ 4 PQ 5 - PQ 8 9-Quarter





















LOSSES ASSOCIATED WITH LOANS HELD FOR INVESTMENT AT AMORTIZED COST
















1 Real Estate Loans (in Domestic Offices)
















2 First Lien Mortgages
















3 First Lien Mortgages
















4 First Lien HELOAN
















5 Second / Junior Lien Mortgages
















6 Closed-End Junior Liens
















7 HELOCs
















8 CRE Loans
















9 Construction
















10 Multifamily
















11 Nonfarm, Non-residential
















12 Owner-Occupied
















13 Non-Owner-Occupied
















14 Loans Secured by Farmland
















15 Real Estate Loans (Not in Domestic Offices)
















16 First Lien Mortgages
















17 Second / Junior Lien Mortgages
















18 CRE Loans
















19 Construction
















20 Multifamily
















21 Nonfarm, Non-residential
















22 Owner-Occupied
















23 Non-Owner-Occupied
















24 Loans Secured by Farmland
















25 C&I Loans
















26 C&I Graded
















27 Small Business (Scored/Delinquency Managed)
















28 Business and Corporate Card
















29 Credit Cards
















30 Other Consumer
















31 Auto Loans
















32 Student Loans
















33 Other loans backed by securities (non-purpose lending)
















34 Other
















35 Other Loans
















36 Loans to Foreign Governments
















37 Agricultural Loans
















38 Loans for purchasing or carrying securities (secured or unsecured)
















39 Loans to Depositories and Other Financial Institutions
















40 All Other Loans and Leases
















41 All Other Loans (exclude consumer loans)
















42 All Other Leases
















43 Total Loans and Leases




































LOSSES ASSOCIATED WITH HELD FOR SALE LOANS AND LOANS ACCOUNTED FOR UNDER THE FAIR VALUE OPTION
















44 Real Estate Loans (in Domestic Offices)
















45 First Lien Mortgages
















46 Second / Junior Lien Mortgages
















47 CRE Loans
















48 Loans Secured by Farmland
















49 Real Estate Loans (Not in Domestic Offices)
















50 Residential Mortgages
















51 CRE Loans
















52 Loans Secured by Farmland
















53 C&I Loans
















54 Credit Cards
















55 Other Consumer
















56 All Other Loans and Leases
















57 Total Loans Held for Sale and Loans Accounted for under the Fair Value Option




































TRADING ACCOUNT















CHECK (for firms required to complete the Trading and Counterparty Risk worksheets)
58 Trading Mark-to-market (MTM) Losses















Matches
59 Trading Issuer Default Losses (Trading IDR)















Matches
60 Counterparty Credit MTM Losses (CVA losses)















Matches
61 Counterparty Default Losses















Matches
62 Total Trading and Counterparty




































OTHER LOSSES
















63 Goodwill impairment
















64 Valuation Adjustment for firm's own debt under fair value option (FVO)
















65 Other Losses (describe in supporting documentation)
















66 Total Other Losses



































67 Total Losses




































ALLOWANCE FOR LOAN and LEASE LOSSES
















68 ALLL, prior quarter
















69 Real Estate Loans (in Domestic Offices)
















70 Residential Mortgages
















71 First Lien Mortgages
















72 Closed-End Junior Liens
















73 HELOCs
















74 CRE Loans
















75 Construction
















76 Multifamily
















77 Nonfarm, Non-residential
















78 Loans Secured by Farmland
















79 Real Estate Loans (Not in Domestic Offices)
















80 Residential Mortgages
















81 CRE Loans
















82 Farmland
















83 C&I Loans
















84 C&I Graded
















85 Small Business (Scored/Delinquency Managed)
















86 Business and Corporate Cards
















87 Credit Cards
















88 Other Consumer
















89 All Other Loans and Leases
















90 Unallocated
















91 Provisions during the quarter
















92 Real Estate Loans (in Domestic Offices)
















93 Residential Mortgages
















94 First Lien Mortgages
















95 Closed-End Junior Liens
















96 HELOCs
















97 CRE Loans
















98 Construction
















99 Multifamily
















100 Nonfarm, Non-residential
















101 Loans Secured by Farmland
















102 Real Estate Loans (Not in Domestic Offices)
















103 Residential Mortgages
















104 CRE Loans
















105 Farmland
















106 C&I Loans
















107 C&I Graded
















108 Small Business (Scored/Delinquency Managed)
















109 Corporate and Business Cards
















110 Credit Cards
















111 Other Consumer
















112 All Other Loans and Leases
















113 Unallocated
















114 Net charge-offs during the quarter
















115 Other ALLL Changes
















116 ALLL, current quarter

















PRE-PROVISION NET REVENUE
















117 Net interest income
















118 Noninterest income
















119 Noninterest expense
















120 Pre-Provision Net Revenue




































CONDENSED INCOME STATEMENT
















121 Pre-Provision Net Revenue
















122 Provisions during the quarter
















123 Total Trading and Counterparty Losses
















124 Total Other Losses
















125 Other Income Statements (I/S) Items
















126 Realized Gains (Losses) on available-for-sale securities, including OTTI
















127 Realized Gains (Losses) on held-to-maturity securities, including OTTI
















128 Unrealized holding gains (losses) on equity securities not held for trading
















129 Income (loss) before taxes and discontinued operations



































130 Applicable income taxes (foreign and domestic)
















131 Income (loss) before discontinued operations and other adjustments



































132 Discontinued operations, net of income taxes
















133 Net income (loss) attributable to Bank and minority interests



































134 Net income (loss) attributable to minority interests
















135 Net income (loss) attributable to Bank



































136 Effective Tax Rate (%)




































REPURCHASE RESERVE/LIABILITY FOR MORTGAGE REPS AND WARRANTIES
















137 Reserve, prior quarter
















138 Provisions during the quarter
















139 Net charges during the quarter
















140 Reserve, current quarter




































Sheet 3: Balance Sheet Worksheet

Balance Sheet Worksheet: XYZ in Baseline







Projected in $Millions

Item

PQ 1 PQ 2 PQ 3 PQ 4 PQ 5 PQ 6 PQ 7 PQ 8 PQ 9















Assets
















SECURITIES











1 Held to Maturity (HTM)











2 Available for Sale (AFS)











3 Equity Securities with readily determinable fair values not held for trading











4 Total Securities












Of which:











5 Securitizations (investment grade)











6 Securitizations (non-investment grade)


























Total Loans and Leases











7 Real Estate Loans (in Domestic Offices)











8 First Lien Mortgages











9 First Lien Mortgages











10 First Lien HELOAN











11 Second / Junior Lien Mortgages











12 Closed-End Junior Liens











13 HELOCs











14 CRE Loans











15 Construction











16 Multifamily











17 Nonfarm, Non-residential











18 Owner-Occupied











19 Non-Owner-Occupied











20 Loans Secured by Farmland











21 Real Estate Loans (Not in Domestic Offices)











22 First Lien Mortgages











23 Second / Junior Lien Mortgages











24 CRE Loans











25 Construction











26 Multifamily











27 Nonfarm, Non-residential











28 Owner-Occupied











29 Non-Owner-Occupied











30 Loans Secured by Farmland











31 C&I Loans











32 C&I Graded











33 Small Business (Scored/Delinquency Managed)











34 Corporate Card











35 Business Card











36 Credit Cards











37 Charge Card











38 Bank Card











39 Other Consumer











40 Auto Loans











41 Student Loans











42 Other loans backed by securities (non-purpose lending)











43 Other











44 Other Loans and Leases











45 Loans to Foreign Governments











46 Agricultural Loans











47 Loans for purchasing or carrying securities (secured or unsecured)











48 Loans to Depositories and Other Financial Institutions











49 All Other Loans and Leases











50 All Other Loans (exclude consumer loans)











51 All Other Leases











52 Total Loans and Leases


























LOANS HELD FOR INVESTMENT AT AMORTIZED COST











53 Real Estate Loans (in Domestic Offices)











54 First Lien Mortgages











55 First Lien Mortgages











56 First Lien HELOAN











57 Second / Junior Lien Mortgages











58 Closed-End Junior Liens











59 HELOCs











60 CRE Loans











61 Construction











62 Multifamily











63 Nonfarm, Non-residential











64 Owner-Occupied











65 Non-Owner-Occupied











66 Loans Secured by Farmland











67 Real Estate Loans (Not in Domestic Offices)











68 First Lien Mortgages











69 Second / Junior Lien Mortgages











70 CRE Loans











71 Construction











72 Multifamily











73 Nonfarm, Non-residential











74 Owner-Occupied











75 Non-Owner-Occupied











76 Loans Secured by Farmland











77 C&I Loans











78 C&I Graded











79 Small Business (Scored/Delinquency Managed)











80 Business and Corporate Card











81 Credit Cards











82 Other Consumer











83 Auto Loans











84 Student Loans











85 Other loans backed by securities (non-purpose lending)











86 Other











87 Other Loans and Leases











88 Loans to Foreign Governments











89 Agricultural Loans











90 Loans for purchasing or carrying securities (secured or unsecured)











91 Loans to Depositories and Other Financial Institutions











92 All Other Loans and Leases











93 All Other Loans (exclude consumer loans)











94 All Other Leases











95 Total Loans and Leases


























Loans Held for Sale and Loans Accounted for under the Fair Value Option











96 Real Estate Loans (in Domestic Offices)











97 First Lien Mortgages











98 Second / Junior Lien Mortgages











99 CRE Loans











100 Loans Secured by Farmland











101 Real Estate Loans (Not in Domestic Offices)











102 Residential Mortgages











103 CRE Loans











104 Loans Secured by Farmland











105 C&I Loans











106 Credit Cards











107 Other Consumer











108 Other Loans and Leases











109 Total Loans Held for Sale and Loans Accounted for under the Fair Value Option

























110 Unearned Income on Loans











111 Allowance for Loan and Lease Losses











112 Loans and Leases (Held for Investment and Held for Sale), Net of Unearned Income and Allowance for Loan and Lease Losses


























TRADING











113 Trading Assets


























INTANGIBLES











114 Goodwill











115 Mortgage Servicing Rights











116 Purchased Credit Card Relationships and Nonmortgage Servicing Rights











117 All Other Identifiable Intangible Assets











118 Total Intangible Assets


























OTHER











119 Cash and cash equivalent











120 Federal funds sold











121 Securities purchased under agreements to resell











122 Premises and Fixed Assets











123 OREO











124 Commercial











125 Residential











126 Farmland











127 Collateral Underlying Operating Leases for Which the Bank is the Lessor











128 Autos











129 Other











130 Other Assets











131 Total Other

























132 TOTAL ASSETS

























Liabilities















133 Deposits in domestic offices











134 Deposits in foreign offices, Edge and Agreement subsidiaries, and IBFs











135 Deposits











136 Federal funds purchased and securities sold under agreements to repurchase











137 Trading Liabilities











138 Other Borrowed Money











139 Subordinated Notes and Debentures











140 Subordinated Notes Payable to Unconsolidated Trusts Issuing TruPS and TruPS Issued by Consolidated Special Purpose Entities











141 Other Liabilities











142 Memo: Allowance for off-balance sheet credit exposures











143 Total Liabilities

























Equity Capital















144 Perpetual Preferred Stock and Related Surplus











145 Common Stock (Par Value)











146 Surplus (Exclude All Surplus Related to Preferred Stock)











147 Retained Earnings











148 Accumulated Other Comprehensive Income (AOCI)











149 Other Equity Capital Components











150 Total Bank Equity Capital

























151 Noncontrolling (Minority) Interests in Consolidated Subsidiaries











152 Total Equity Capital

























Other















153 Unused Commercial Lending Commitments and Letters of Credit






















































The following cells provide checks of the internal consistency of the projected schedules. Please ensure that these cells are all "TRUE" before the worksheet is submitted.












Balance Sheet
1 1 1 1 1 1 1 1 1












































Footnotes to the Balance Sheet Worksheet











(1) Refers to the balance sheet carrying amount of any equipment or other asset rented to others under operating leases, net of accumulated depreciation. The total should correspond to the amount provided in Call Report Schedule RC-F Line 6, item 14 in the instructions. The amount included should only reflect collateral rented under operating leases and not include collateral subject to capital/ financing type leases.











Sheet 4: Capital - DFAST

Capital Worksheet (DFAST): XYZ in Baseline





Actual in $Millions
Projected in $Millions
Sums in $Millions
Item

As of Date Adjusted Starting Value (1) PQ 1 PQ 2 PQ 3 PQ 4 PQ 5 PQ 6 PQ 7 PQ 8 PQ 9
PQ 1 - PQ 4 PQ 5 - PQ 8 9-Quarter




















Schedule RI-A—Changes in Bank Equity Capital
















1 Total bank equity capital most recently reported for the end of previous QUARTER
















2 Effect of changes in accounting principles and corrections of material accounting errors
















3 Balance end of previous QUARTER as restated (sum of items 1 and 2)
















4 Net income (loss) attributable to bank

















Sale of perpetual preferred stock (excluding treasury stock transactions):
















5 Sale of perpetual preferred stock, gross
















6 Conversion or retirement of perpetual preferred stock

















Sale of common stock:
















7 Sale of common stock, gross
















8 Conversion or retirement of common stock
















9 Sale of treasury stock
















10 Purchase of treasury stock
















11 Changes incident to business combinations, net
















12 Cash dividends declared on preferred stock
















13 Cash dividends declared on common stock
















14 Other comprehensive income
















15 Change in the offsetting debit to the liability for Employee Stock Ownership Plan (ESOP) debt guaranteed by the bank
















16 Other adjustments to equity capital (not included above)*
















17 Total bank equity capital end of current period (sum of items 3, 4, 5, 6, 7, 8, 9, 11, 14, 15, 16, less items 10, 12, 13)




































Regulatory Capital per Revised Regulatory Capital Rule (July 2013)
















18 AOCI opt-out election? (enter "1" for Yes; enter "0" for No)




































Common equity tier 1
As of Date
PQ 1 PQ 2 PQ 3 PQ 4 PQ 5 PQ 6 PQ 7 PQ 8 PQ 9




19 Common stock and related surplus, net of treasury stock and unearned employee stock ownership plan (ESOP) shares
















20 Retained earnings
















21 Accumulated other comprehensive income (AOCI)
















22 Common equity tier 1 minority interest includable in common equity tier 1 capital
















23 Common equity tier 1 before adjustments and deductions (sum of items 19 through 22)




































Common equity tier 1 capital: adjustments and deductions:where applicable, report all line items reflective of transition provisions



































24 Goodwill net of associated deferred tax liabilities (DTLs)
















25 Intangible assets (other than goodwill and mortgage servicing assets (MSAs)), net of associated DTLs
















26 Deferred tax assets (DTAs) that arise from net operating loss and tax credit carryforwards, net of any related valuation allowances and net of DTLs

















If Item 18 is “1” for “Yes”, complete items 27 through 31 only for AOCI related adjustments.
















27 AOCI related adjustments: Net unrealized gains (losses) on available-for-sale securities (if a gain, report as a positive value; if a loss, report as a negative value)
















28 AOCI related adjustments: Net unrealized loss on available-for-sale preferred stock classified as an equity security under GAAP and available-for-sale equity exposures (report loss as a positive value)
















29 AOCI related adjustments: Accumulated net gains (losses) on cash flow hedges (if a gain, report as a positive value; if a loss, report as a negative value)
















30 AOCI related adjustments: Amounts recorded in AOCI attributed to defined benefit postretirement plans resulting from the initial and subsequent application of the relevant GAAP standards that pertain to such plans (if a gain, report as a positive value; if a loss, report as a negative value)
















31 AOCI related adjustments: Net unrealized gains (losses) on held-to-maturity securities that are included in AOCI (if a gain, report as a positive value; if a loss, report as a negative value)

















If Item 18 is “0” for “No”, complete item 32 only for AOCI related adjustments.
















32 AOCI related adjustments: Accumulated net gain (loss) on cash flow hedges included in AOCI, net of applicable tax effects, 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)
















33 Other deductions from (additions to) common equity tier capital 1 before threshold-based deductions: Unrealized net gain (loss) related to changes in the fair value of liabilities that are due to changes in own credit risk (if a gain, report as a positive value; if a loss, report as a negative value)
















34 All other deductions from (additions to) common equity tier 1 capital before threshold-based deductions
















35 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
















36 Subtotal (item 23 minus items 24 through 35)
















37 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 (item 71)
















38 MSAs, net of associated DTLs, that exceed the 10 percent common equity tier 1 capital deduction threshold (item 76)
















39 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 (item 79)
















40 Amount of significant investments in the capital of unconsolidated financial institutions in the form of common stock; 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 (item 84)
















41 Deductions applied to common equity tier 1 capital due to insufficient amount of additional tier 1 capital and tier 2 capital to cover deductions
















42 Total adjustments and deductions for common equity tier 1 capital (sum of items 37 through 41)
















43 Common equity tier 1 capital




































Additional tier 1 capital
















44 Additional tier 1 capital instruments plus related surplus
















45 Non-qualifying capital instruments subject to phase out from additional tier 1 capital
















46 Tier 1 minority interest not included in common equity tier 1 capital
















47 Additional tier 1 capital before deductions
















48 Additional tier 1 capital deductions
















49 Additional tier 1 capital




































Tier 1 capital
















50 Tier 1 capital (sum of items 43 and 49)




































Tier 2 capital
















51 Tier 2 capital instruments plus related surplus
















52 Non-qualifying capital instruments subject to phase out from tier 2 capital
















53 Total capital minority interest that is not included in tier 1 capital
















54 Allowance for loan and lease losses includable in tier 2 capital
















55 (Advanced approaches banks that exit parallel run only): eligible credit reserves includable in tier 2 capital
















56 Unrealized gains on available-for-sale preferred stock classified as an equity security under GAAP and available-for-sale equity exposures includable in tier 2 capital
















57 Tier 2 capital before deductions
















58 (Advanced approaches banks that exit parallel run only): Tier 2 capital before deductions, reflective of transition procedures
















59 Tier 2 capital deductions
















60 Tier 2 capital
















61 (Advanced approaches banks that exit parallel run only): Tier 2 capital, reflective of transition procedures




































Total capital
















62 Total capital (sum of items 50 and 60)
















63 (Advanced approaches banks that exit parallel run only): Total capital(sum of items 50 and 61)




































Threshold Deductions Calculations

















Non-significant investments in the capital of unconsolidated financial institutions in the form of common stock, net of associated DTLs
















64 Aggregate non-significant investments in the capital of unconsolidated financial institutions, including in the form of common stock, additional tier 1, and tier 2 capital
















65 10 percent common equity tier 1 deduction threshold for non-significant investments in the capital of unconsolidated financial institutions in the form of common stock
















66 Amount of non-significant investments that exceed the 10 percent deduction threshold for non-significant investments




































10%/15% Threshold Deductions Calculations

















Significant investments in the capital of unconsolidated financial institutions in the form of common stock, net of associated DTLs
















67 Gross significant investments in the capital of unconsolidated financial institutions in the form of common stock
















68 Permitted offsetting short positions in relation to the specific gross holdings included above
















69 Significant investments in the capital of unconsolidated financial institutions in the form of common stock net of short positions (greater of item 67 minus 68 or zero)
















70 10 percent common equity tier 1 deduction threshold (10 percent of item 36)
















71 Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 69 minus item 70 or zero)




































MSAs, net of associated DTLs
















72 Total mortgage servicing assets classified as intangible
















73 Associated deferred tax liabilities which would be extinguished if the intangible becomes impaired or derecognized under the relevant accounting standards
















74 Mortgage servicing assets net of related deferred tax liabilities (item 72 minus item 73)
















75 10 percent common equity tier 1 deduction threshold (10 percent of item 36)
















76 Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 74 minus item 75 or zero)




































DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net of DTLs
















77 DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net of DTLs
















78 10 percent common equity tier 1 deduction threshold (10 percent of item 36)
















79 Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 77 minus item 78 or zero)




































Aggregate of items subject to the 15% limit (significant investments, mortgage servicing assets and deferred tax assets arising from temporary differences)
















80 Sum of items 69, 74, and 77
















81 15 percent common equity tier 1 deduction threshold
















82 Sum of items 71, 76, and 79
















83 Item 80 minus item 82
















84 Amount to be deducted from common equity tier 1 due to 15 percent deduction threshold, prior transition provision (greater of item 83 minus item 81 or zero)




































Total Assets for the Leverage Ratio
















85 Average total consolidated assets
















86 Deductions from common equity tier 1 capital and additional tier 1 capital
















87 Other deductions from (additions to) assets for leverage ratio purposes
















88 Total assets for the leverage ratio (item 85 minus items 86 and 87)




































REGULATORY CAPITAL AND RATIOS
















89 Common equity tier 1 (item 43)
















90 Tier 1 capital per revised regulatory capital rule (item 50)
















91 Total capital per revised regulatory capital rule (item 62)
















92 (Advanced approaches banks that exit parallel run only): Total capital per revised regulatory capital rule (item 63)
















93 Total risk-weighted assets using standardized approach
















94 (Advanced approaches banks that exit parallel run only): total risk-weighted assets using advanced approaches rules
















95 Total assets for the leverage ratio per revised regulatory capital rule(item 88)
















96 Supplementary Leverage Ratio Exposure
















97 Common equity tier 1 ratio (%)
















98 Common equity tier 1 ratio (%)(Advanced approaches banks that exit parallel run only)
















99 Tier 1 capital ratio (%)
















100 Tier 1 capital ratio (%)(Advanced approaches banks that exit parallel run only)
















101 Total capital ratio (%)
















102 Total capital ratio (%)(Advanced approaches banks that exit parallel run only)
















103 Tier 1 leverage ratio (%)
















104 Supplementary Leverage Ratio























































Schedule RC-F—Other Assets
















105 Net deferred tax assets




































Schedule RC-G—Other Liabilities
















106 Net deferred tax liabilities




































Schedule HC-M—Memoranda
















109 Potential net opperating loss carrybacks Taxes previously paid that the bank could recover if the bank’s temporary differences (both deductible and taxable) fully reverse at the report date
















109a U.S. Federal Government
















109b U.S. State Governments
















109c All non‐U.S. tax jurisdictions
















110 Deferred tax assets that arise from net operating loss and tax credit carryforwards, net of DTLs, but gross of related valuation allowances
















111 Valuation allowances related to deferred tax assets that arise from net operating loss and tax credit carryforwards
















111a U.S. Federal Government
















111b U.S. State Governments
















111c All non‐U.S. tax jurisdictions
















112 Deferred tax assets arising from temporary differences, net of DTLs
















112a U.S. Federal Government
















112b U.S. State Governments
















112c All non‐U.S. tax jurisdictions
















113 Valuation allowances related to DTAs arising from temporary differences
















113a U.S. Federal Government
















113b U.S. State Governments
















113c All non‐U.S. tax jurisdictions




































Supplemental Capital Action Information (report in $Millions unless otherwise noted)*****
















114 Cash dividends declared on common stock
















115 Common shares outstanding (Millions)
















116 Common dividends per share ($)



































117 Issuance of common stock for employee compensation
















118 Other issuance of common stock
















119 Total issuance of common stock



































120 Share repurchases to offset issuance for employee compensation
















121 Other share repurchase
















122 Total share repurchases




































Supplemental Information on Trust Preferred Securities Subject to Phase-Out from Tier 1 Capital
















123 Outstanding trust preferred securities
















124 Trust preferred securities included in Item 49




































Memoranda

















*Please break out and explain below other adjustments to equity capital:
















125






























































































***Tier 1 common is calculated as Tier 1 capital less non-common elements, including perpetual preferred stock and related surplus and minority interest in subsidiaries. Specifically, non-common elements must include the following items captured in the Call Report: Schedule RC, line item 23 net of Schedule RC-R, line item 5; and Schedule RC-R, line item 6.

















****The carryback period is the prior two calendar tax years plus any current taxes paid in the year-to-date period. Please provide disaggregated data for item 109 as follows:
















126 Taxes paid during the fiscal year ended two years ago, assuming that fiscal years align with calendar years
















127 Taxes paid during the fiscal year ended one year ago, assuming that fiscal years align with calendar years
















128 Taxes paid through the as-of date of the current fiscal year, assuming that fiscal years align with calendar years




































*****Please reconcile the Supplemental Capital Action and RI-A projections (i.e., allocate the capital actions among the RI-A buckets):
















129






























































































Footnotes to the Capital Worksheet
















(1) Firms should only use this column to report an adjusted starting value for an item subject to adjustment or deduction in capital impacted by the global market shock.

















Sheet 5: Standardized RWA

Standardized RWA Worksheet: XYZ in Baseline















Notes Actual in $Millions Projected in $Millions


as of date PQ 1 PQ 2 PQ 3 PQ 4 PQ 5 PQ 6 PQ 7 PQ 8 PQ 9













Standardized Approach (Revised regulatory capital rule, July 2013)
























Balance Sheet Asset Categories











1 Cash and balances due from depository institutions










2a Securities (excluding securitizations): Held-to-maturity










2b Available‐for‐sale debt securities and equity securities with readily determinable fair not held for trading values










3 Federal funds sold
























Loans and leases on held for sale










4a Residential Mortgage exposures










4b High Volatility Commercial Real Estate (HVCRE) exposures










4c Exposures past due 90 days or more on nonaccrual










4d All other exposures
























Loans and leases, net of unearned income










5a Residential mortgage exposures










5b High Volatility Commercials Real Estate (HVCRE) Exposures










5c Exposures past due 90 days or more on nonaccrual










5d All other exposures























6 Trading assets (excluding securitizations that receive standardized charges)










7a All other assets










7b Separate account bank-owned life insurance










7c Default fund contributions to central counterparties
























On‐balance sheet securitization exposures










8a Held‐to‐maturity securities










8b Available‐for‐sale securities










8c Trading assets that receive standardized charges










8d All other on‐balance sheet securitization exposures























9 Off‐balance sheet securitization exposures























10 RWA for Balance Sheet Asset Categories (sum of items 1 though 8d)























Derivatives and Off-Balance-Sheet Asset Categories (Excluding Securitization Exposures)











11 Financial standby letters of credit










12 Performance standby letters of credit and transaction related contingent items










13 Commercial and similar letters of credit with an original maturity of one year or less










14 Retained recourse on small business obligations sold with recourse










15 Repo-style transactions










16 All other off-balance sheet liabilities










17a Unused commitments: Original maturity of one year or less, excluding ABCP conduits










17b Unused commitments: Original maturity of one year or less to ABCP










17c Unused commitments: Original maturity exceeding one year










18 Unconditionally cancelable commitments










19 Over-the-counter derivatives










20 Centrally cleared derivatives










21 Unsettled transactions (failed trades)























22 RWA for Assets, Derivatives and Off-Balance-Sheet Asset Categories (sum of items 9 through 21)























23 RWA for purposes of calculating the allowance for loan and lease losses 1.25 percent threshold























Market Risk











24 Value-at-risk(VaR)-based capital requirement










25 Stressed VaR-based capital requirement










26 Debt Positions










27 Equity Positions










28 Capital requirements for securitization positions using the SSFA or applying a specific risk-weighting factor of 1250 percent










29 Standardized measure of specific risk add-ons (sum of items 26, 27, and 28)










30 Incremental risk charge requirement










31 Modeled comprehensive risk measure










32 Standardized measure of specific risk add-ons for net long correlation trading positions










33 Standardized measure of specific risk add-ons for net short correlation trading positions










34 Standardized measure of specific risk add-ons (greater of item 32 or 33)










35 Surcharge for modeled correlation trading positions (Item 34 multiplied by 0.08)










36 Comprehensive risk capital measure requirement










37 Capital requirement for all de minimis exposures










38 Additional capital requirement










39 Sum of item 37 and 38










40 Standardized market risk-weighted assets























41 Risk-weighted assets before deductions for excess allowance of loan and lease losses and allocated risk transfer risk reserve (sum of items 22 and 40)























42 LESS: Excess allowance for loan and lease losses























43 LESS: Allocated transfer risk reserve























44 Total risk-weighted assets (item 40 minus items 42 and 43)
























Memoranda Items -- Derivatives










45 Current credit exposure across all derivative contracts covered by the regulatory capital rule























46 Notional principal amounts of over-the-counter derivative contracts (sum of lines 47a through 47g)










47a Interest rate










47b Foreign exchange rate and gold










47c Credit (investment grade reference asset)










47d Credit (non-investment grade reference asset)










47e Equity










47f Precious metals (except gold)










47g Other























48 Notional principal amounts of centrally cleared derivative contracts (sum of lines 49a through 49g)










49a Interest rate










49b Foreign exchange rate and gold










49c Credit (investment grade reference asset)










49d Credit (non-investment grade reference asset)










49e Equity










49f Precious metals (except gold)










49g Other











Sheet 6: Advanced RWA

Advanced RWA Worksheet: XYZ in Baseline
Please note that for purposes of DFAST 2020, Banks are not required to complete the following worksheet














Actual in $Millions Projected in $Millions


as of date PQ 1 PQ 2 PQ 3 PQ 4 PQ 5 PQ 6 PQ 7 PQ 8 PQ 9
Advanced Approaches Credit Risk (Including CCR and non-trading credit risk), with 1.06 scaling factor and Operational Risk











1 Credit RWA










2 Wholesale Exposures











Corporate










3 Balance Sheet Amount










4 RWA











Bank










5 Balance Sheet Amount










6 RWA











Sovereign










7 Balance Sheet Amount










8 RWA











IPRE










9 Balance Sheet Amount










10 RWA











HVCRE










11 Balance Sheet Amount










12 RWA










13 Counterparty Credit Risk










14 RWA of eligible margin loans, repostyle transactions and OTC derivatives with crossproduct netting—EAD adjustment method










15 RWA of eligible margin loans, repostyle transactions and OTC derivatives with crossproduct netting—collateral reflected in LGD










16 RWA of eligible margin loans, repostyle transactions—no cross-product netting—EAD adjustment method










17 RWA of eligible margin loans, repostyle transactions—no cross-product netting—collateral reflected in LGD










18 RWA of OTC derivatives—no cross-product netting—EAD adjustment method










19 RWA of OTC derivatives—no crossproduct netting—collateral reflected in LGD










20 Retail Exposures











Residential mortgage— closed-end first lien exposures










21 Balance Sheet Amount










22 RWA











Residential mortgage— closed-end junior lien exposures










23 Balance Sheet Amount










24 RWA











Residential mortgage—revolving exposures










25 Balance Sheet Amount










26 RWA











Qualifying revolving exposures










27 Balance Sheet Amount










28 RWA











Other retail exposures










29 Balance Sheet Amount










30 RWA











Securitization Exposures (72 Federal Register 69288, December 7, 2007)










31 Balance Sheet Amount










32 RWA










33 Securitization Exposures (Revised regulatory capital rule, July 2013)











Subject to supervisory formula approach (SFA)










34 Balance Sheet Amount










35 RWA











Subject to simplified supervisory formula approach (SSFA)










36 Balance Sheet Amount










37 RWA











Subject to 1,250% risk-weight










38 Balance Sheet Amount










39 RWA










40 Cleared Transactions (Revised regulatory capital rule, July 2013)











Derivative contracts and netting sets to derivatives










41 Balance Sheet Amount










42 RWA











Repo-style transactions










43 Balance Sheet Amount










44 RWA











Default fund contributions










45 Balance Sheet Amount










46 RWA










47 Equity Exposures RWA











Other Assets










48 Balance Sheet Amount










49 RWA










50 CVA Capital Charge (risk-weighted asset equivalent)(Revised regulatory capital rule, July 2013)










51 Advanced CVA Approach










52 Unstressed VaR with Multipliers










53 Stressed VaR with Multipliers










54 Simple CVA Approach










55 Assets subject to the general risk-based capital requirements











Operational RWA










56 Operational RWA










57 Total risk-based capital requirement for operational risk without dependence assumptions























Market Risk












Market RWA










58 VaR-based capital requirement










59 Stressed VaR-based capital requirement










60 Incremental risk capital requirement










61 Comprehensive risk capital requirement (excluding non-modeled correlation)










62 Non-modeled Securitization










63 Net Long










64 Net Short










65 Specific risk add-on (excluding securitization and correlation)










66 Sovereign debt positions










67 Government sponsored entity debt positions










68 Depository institution, foreign bank, and credit union debt positions










69 Public sector entity debt positions










70 Corporate debt positions










71 Equity










72 Capital requirement for de minimis exposures










73 Market risk equivalent assets























74 Other RWA










75 Excess eligible credit reserves not included in tier 2 capital























76 Total RWA











Sheet 7: Retail Bal. & Loss Projections

Retail Balance and Loss Projection Worksheet: XYZ in Baseline














Actual in $Millions Projected in $Millions
Item
Q4 Actual PQ 1 PQ 2 PQ 3 PQ 4 PQ 5 PQ 6 PQ 7 PQ 8 PQ 9

First Lien Mortgages (in Domestic Offices)









1 Balances









1a Balances - PCD (1)









2 New originations









3 Paydowns









4 Asset Purchases









5 Asset Sales









6 Loan Losses









6a Loan Losses - PCD (1)









7 Cumulative interim loan losses - Non PCI









8 Cumulative interim loan losses - PCI










First Lien HELOANs (in Domestic Offices)









9 Balances









9a Balances - PCD (1)









10 New originations









11 Paydowns









12 Asset Purchases









13 Asset Sales









14 Loan Losses









14a Loan Losses - PCD (1)









15 Cumulative interim loan losses - Non PCI









16 Cumulative interim loan losses - PCI










Closed-End Junior Liens (in Domestic Offices)









17 Balances









17a Balances - PCD (1)









18 New originations









19 Paydowns









20 Asset Purchases









21 Asset Sales









22 Loan Losses









22a Loan Losses - PCD (1)









23 Cumulative interim loan losses - Non PCI









24 Cumulative interim loan losses - PCI










HELOCs (in Domestic Offices)









25 Balances









26 Balance from vintages < PQ 1









26a Balances - PCD (1)









27 Balance from vintage PQ 1 - PQ 5









27a Balances - PCD (1)









28 Balance from vintage PQ 6 - PQ 9









28a Balances - PCD (1)









29 Paydowns









30 Asset Purchases









31 Asset Sales









32 Loan Losses









32a Loan Losses - PCD (1)









33 Cumulative interim loan losses - Non PCI









34 Cumulative interim loan losses - PCI










First Lien Mortgages and HELOANs (International)









35 Balances









35a Balances - PCD (1)









36 New originations









37 Paydowns









38 Asset Purchases









39 Asset Sales









40 Loan Losses









40a Loan Losses - PCD (1)









41 Cumulative interim loan losses - Non PCI









42 Cumulative interim loan losses - PCI










Closed-End Junior Liens and HELOCs (International)









43 Balances









43a Balances - PCD (1)









44 New originations









45 Paydowns









46 Asset Purchases









47 Asset Sales









48 Loan Losses









48a Loan Losses - PCD (1)









49 Cumulative interim loan losses - Non PCI









50 Cumulative interim loan losses - PCI










Corporate Card (Domestic)









51 Balances









52 Paydowns









53 Asset Purchases









54 Asset Sales









55 Loan Losses










Business Card (Domestic)









56 Balances









57 Paydowns









58 Asset Purchases









59 Asset Sales









60 Loan Losses










Charge Card (Domestic)









61 Balances









62 Balance from vintages < PQ 1









63 Balance from vintage PQ 1 - PQ 5









64 Balance from vintage PQ 6 - PQ 9









65 Paydowns









66 Asset Purchases









67 Asset Sales









68 Loan Losses










Bank Card (Domestic)









69 Balances









70 Balance from vintages < PQ 1









71 Balance from vintage PQ 1 - PQ 5









72 Balance from vintage PQ 6 - PQ 9









73 Paydowns









74 Asset Purchases









75 Asset Sales









76 Loan Losses










Business and Corporate Card (International)









77 Balances









78 Paydowns









79 Asset Purchases









80 Asset Sales









81 Loan Losses










Bank and Charge Card (International)









82 Balances









83 Paydowns









84 Asset Purchases









85 Asset Sales









86 Loan Losses










Auto Loans (Domestic)









87 Balances









88 New originations









89 Paydowns









90 Asset Purchases









91 Asset Sales









92 Loan Losses










Auto Loans (International)









93 Balances









94 New originations









95 Paydowns









96 Asset Purchases









97 Asset Sales









98 Loan Losses










Auto Leases (Domestic)









99 Balances









100 New originations









101 Paydowns









102 Asset Purchases









103 Asset Sales









104 Loan Losses










Auto Leases (International)









105 Balances









106 New originations









107 Paydowns









108 Asset Purchases









109 Asset Sales









110 Loan Losses










Student Loan









111 Balances









112 New originations









113 Paydowns









114 Asset Purchases









115 Asset Sales









116 Loan Losses










Small Business Loan - Scored (Domestic)









117 Balances









118 New originations









119 Paydowns









120 Asset Purchases









121 Asset Sales









122 Loan Losses










Small Business Loan - Scored (International)









123 Balances









124 New originations









125 Paydowns









126 Asset Purchases









127 Asset Sales









128 Loan Losses










Other Consumer Loans and Leases (Domestic)









129 Balances









130 New originations









131 Paydowns









132 Asset Purchases









133 Asset Sales









134 Loan Losses










Other Consumer Loans and Leases (International)









135 Balances









136 New originations









137 Paydowns









138 Asset Purchases









139 Asset Sales









140 Loan Losses






















Footnotes to the Retail Balance and Loss Projections Worksheet









(1) This item is only reported by institutions that have adopted ASU 2016‐13.










Sheet 8: Securities OTTI by Security

Projected OTTI for AFS Securities and HTM Securities: XYZ in Baseline














Projected OTTI for AFS Securities and HTM Securities




























For each position that incurred a loss in P&L, please state the identifier value for each trade (e.g., CUSIP, ISIN or SEDOL value) and the amount of loss projected (over the entire forecast horizon). Create a separate line item for each position. Total projected losses should reconcile to the total sum of projected losses (across all quarters) provided in the Securities OTTI by Portfolio tab of this schedule. Responses should be provided in $Millions.










Identifier Value Actual MM/DD/YYYY
Amortized Cost
Credit Loss Portion Non- Credit Loss Portion Total OTTI


































GRAND TOTAL









Sheet 9: Securities OTTI Methodology


High-Level OTTI Methodology and Assumptions for AFS and HTM Securities by Portfolio: XYZ in Baseline









High-Level OTTI Methodology and Assumptions for AFS and HTM Securities by Portfolio






Please complete the unshaded cells in the table provided.

AFS and HTM Securities Threshold for Determining OTTI

(please provide one of the following responses: price-based threshold, ratings-based threshold, cash flow model-based threshold, or other threshold)
Aggregate Cumulative Lifetime Loss on Underlying Collateral
(% Original Balance)
Discount Rate Methodology

(please state whether a market-based or accounting-based (e.g., book price/purchase price) discount rate is used)
Please provide the name(s) of any vendor(s) and any vendor model(s) that are used Were all securities reviewed for potential OTTI (yes/no) for stress testing? Macroeconomic/financial variables used in loss estimation
1 Agency MBS





2 Auction Rate Securities





3 CDO





4 CLO





5 CMBS





6 Common Stock (Equity) Not Applicable





7 Auto ABS





8 Credit Card ABS





9 Student Loan ABS





10 Other ABS (excl HEL ABS)





11 Corporate Bond





12 Covered Bond





13 Domestic Non-Agency RMBS (incl HEL ABS)





14 Foreign RMBS





15 Municipal Bond





16 Mutual Fund





17 Preferred Stock (Equity) Not Applicable





18 Sovereign Bond





19 US Treasuries & Agencies





20 Other*






*For 'Other' AFS and HTM securities, please provide name of security type in row 20 above (currently labeled "Other"). Please add additional rows if necessary.

Sheet 10: Securities OTTI by Portfolio


Projected OTTI for AFS and HTM Securities by Portfolio: XYZ in Baseline
































Projected OTTI for AFS and HTM Securities by Portfolio





























Please provide the credit loss portion and non-credit loss portion of projected OTTI (for relevant portfolios) for the quarters detailed in the tables below. Responses should be provided in $Millions. Values should be quarterly, not cumulative.

OTTI related to the security’s credit loss is recognized in earnings, whereas the OTTI related to other factors (defined as the non‐credit loss portion) is included as part of a separate component of other comprehensive income (OCI). For only those securities determined to be other-than-temporarily impaired, banks should provide both projected losses that would be recognized in earnings and any projected losses that would be captured in OCI.

Amortized Cost should represent all Securities held, regardless of if they are impaired or not.

Only securities projected to experience an other-than-temporary impairment loss in the P&L should be reported in the "Credit Loss Portion" and "Non-Credit Loss Portion" columns below. Securities not projected to be other-than-temporarily impaired (for example, any securities implicitly or explicitly guaranteed by the U.S. government or any other securities for which no OTTI is projected) should not be reported in this tab. OTTI values should be stated as positive values.




PQ 1 PQ 2 PQ 3 PQ 4 PQ 5 PQ 6 PQ 7 PQ 8 PQ 9

AFS and HTM Securities Accounting Intent (AFS, HTM) Actual MM/DD/YYYY
Amortized Cost
Credit Loss Portion Non- Credit Loss Portion Total OTTI Credit Loss Portion Non- Credit Loss Portion Total OTTI Credit Loss Portion Non- Credit Loss Portion Total OTTI Credit Loss Portion Non- Credit Loss Portion Total OTTI Credit Loss Portion Non- Credit Loss Portion Total OTTI Credit Loss Portion Non- Credit Loss Portion Total OTTI Credit Loss Portion Non- Credit Loss Portion Total OTTI Credit Loss Portion Non- Credit Loss Portion Total OTTI Credit Loss Portion Non- Credit Loss Portion Total OTTI
1 Agency MBS




























2 Auction Rate Securities




























3 CDO




























4 CLO




























5 CMBS




























6 Common Stock (Equity)




























7 Auto ABS




























8 Credit Card ABS




























9 Student Loan ABS




























10 Other ABS (excl HEL ABS)




























11 Corporate Bond




























12 Covered Bond




























13 Domestic Non-Agency RMBS (incl HEL ABS)




























14 Foreign RMBS




























15 Municipal Bond




























16 Mutual Fund




























17 Preferred Stock (Equity)




























18 Sovereign Bond




























19 US Treasuries & Agencies




























20 Other*




























21 GRAND TOTAL





























*For 'Other' AFS securities, please provide name of security type in row 20 above (currently labeled "Other"). Please add additional rows if necessary. If adding additional rows, please ensure that grand totals sum appropriately.











Sheet 11: Securities AFS OCI by Portfolio


Projected OCI and Fair Value for AFS Securities: XYZ in Baseline


















































Projected OCI and Fair Value for AFS Securities


















Banks should estimate and provide fair market values of AFS securities based on a re-pricing of positions held on the reporting date. Responses for Fair Market Values and Projected OCI should be provided in $Millions. The “Fair Value Change Rate” should be estimated based on the re-pricing of positions held at the beginning of each quarter. The ratio should be determined based upon the rate of fair value change at a portfolio level based upon a weighted average basis of the change between beginning and ending fair value for each asset (The “Fair Value Change Rate” is not a ratio of projected OCI to Beginning Fair Value). Responses should be provided as a % ratio.




















Projected OCI Based on Macro-Economic Scenario



















AFS Securities Total Actual Fair Market Value MM/DD/YYYY Beginning Fair Market Value PQ 1 Fair Value Rate of Change PQ1 Projected OCI -
PQ 1
Beginning Fair Market Value PQ 2 Fair Value Rate of Change PQ2 Projected OCI -
PQ 2
Beginning Fair Market Value PQ 3 Fair Value Rate of Change PQ3 Projected OCI -
PQ 3
Beginning Fair Market Value PQ 4 Fair Value Rate of Change PQ4 Projected OCI -
PQ 4
Beginning Fair Market Value PQ 5 Fair Value Rate of Change PQ5 Projected OCI -
PQ 5
Beginning Fair Market Value PQ 6 Fair Value Rate of Change PQ6 Projected OCI -
PQ 6
Beginning Fair Market Value PQ 7 Fair Value Rate of Change PQ7 Projected OCI -
PQ 7
Beginning Fair Market Value PQ 8 Fair Value Rate of Change PQ8 Projected OCI -
PQ 8
Beginning Fair Market Value PQ 9 Fair Value Rate of Change PQ9 Projected OCI -
PQ 9
Total Projected OCI in all Quarters Estimated Total Fair Market Value after OCI Shock applied to all Quarters
1 Agency MBS





























2 Auction Rate Securities





























3 CDO





























4 CLO





























5 CMBS





























6 Common Stock (Equity)





























7 Auto ABS





























8 Credit Card ABS





























9 Student Loan ABS





























10 Other ABS (excl HEL ABS)





























11 Corporate Bond





























12 Covered Bond





























13 Domestic Non-Agency RMBS (incl HEL ABS)





























14 Foreign RMBS





























15 Municipal Bond





























16 Mutual Fund





























17 Preferred Stock (Equity)





























18 Sovereign Bond





























19 US Treasuries & Agencies





























20 Other*





























21 GRAND TOTAL






























* For 'Other' AFS securities, please provide name of security type in row 26 above (currently labeled "Other"). Please add additional rows if necessary.






























Sheet 12: Securities Market Value Sources


Actual AFS and HTM Fair Market Value Sources by Portfolio: XYZ in Baseline










































Actual AFS and HTM Fair Market Value Sources by Portfolio












































Please provide information on actual fair market values as of the reporting date.











































AFS and HTM Securities Principal Market Value Source
Please state whether a vendor or proprietary model is used. If using a 3rd party vendor, please provide the name(s) of the 3rd party vendor(s).
In general, how often are securities normally marked (e.g., daily, weekly, quarterly, etc.)?


















1 Agency MBS




















2 Auction Rate Securities




















3 CDO




















4 CLO




















5 CMBS




















6 Common Stock (Equity)




















7 Auto ABS




















8 Credit Card ABS




















9 Student Loan ABS




















10 Other ABS (excl HEL ABS)




















11 Corporate Bond




















12 Covered Bond




















13 Domestic Non-Agency RMBS (incl HEL ABS)




















14 Foreign RMBS




















15 Municipal Bond




















16 Mutual Fund




















17 Preferred Stock (Equity)




















18 Sovereign Bond




















19 US Treasuries & Agencies




















20 Other*





















*For 'Other' AFS and HTM securities, please provide name of security type in row 20 above (currently labeled "Other"). Please add additional rows if necessary.



















Sheet 13: NEW Trading Worksheet


Trading Worksheet: XYZ in Baseline

P/L Results in $Millions


(A) (B) ( C)


Trading CVA Hedges Total
1 Equity


1A Delta/Gamma


1B Vega


1C Dividends


1D Correlation


1E Vanna (dVega / dSpot)


1F Volgamma (dVega / dVol)


1G Skew (moneyness


1H Higher order


1I Other (Please describe in documentation)







2 FX


2A Delta/Gamma


2B Vega


2C Higher order


2D Other (Please describe in documentation)







3 Rates


3A Delta/Gamma


3B Vega


3C Swap Spreads


3D Basis Spreads


3E Cross Currency Basis


3F Inflation


3G High Order


3H Other (Please describe in documentation)







4 Commodities


4A Oil Products


4B Natural Gas


4C Power


4D Emissions


4E Coal


4F Dry Freight


4G Structured Products


4H Precious Metals


4I Base Metals


4J Ags & Softs


4K Indices


4L High Order


4M Other (Please describe in documentation)







5 Securitized Products


5A Non‐Agency RMBS (exclude Whole Loans)


5B Residential Whole Loans


5C ABS


5D CMBS (exclude Whole Loans)


5E CRE Whole Loans


5F Corporate CDO/CLO


5G Warehouse


5H Agencies


5I Higher order


5J Other (Please describe in documentation







6 Other Credit







7 Corporate Credit (Advanced)


7A Bonds


7B Loans


7C Single‐Name CDS


7D Loan CDS


7E Covered Bonds


7F Indices


7G Index Tranches


7H Index Options


7I Other/Unspecified







8 Corporate Credit (Emerging Markets)


8A Bonds


8B Loans


8C Single‐Name CDS


8D Loan CDS


8E Covered Bonds


8F Indices


8G Index Tranches


8H Index Options


8I Other/Unspecified







9 Sovereign Credit


9A Advanced Economies


9B Emerging Europe


9C LatAm & Caribbean


9D Asia ex Japan


9E Middle East/North Africa


9F Sub‐Saharan Africa


9G Supranationals







10 Munis


11 ARS


12 Base Correlation


13 Higher order


14 Other (Please describe in documentation)







15 Private Equity


15A Funded


15B Unfunded


15C Other (Please describe in documentation)







16 Other Fair Value Assets


16A Debt


16B Equity


16C Other (Please describe in documentation)







17 Cross Asset Terms







18 Total













1-6) The categories above (Equities, FX, Rates, etc.) are NOT meant to denote lines of business



or desks, but rather firmwide totals by risk stripe.








5) "Securitized Products" is defined as the contribution to P/L from exposures detailed on the



Securitized Products and Agencies worksheets.








6) "Other Credit" is defined as the contribution from all credit products other than those



specified on the "Securitized Products" or "Agencies" worksheets.








17) Cross-Asset Terms are those intra-asset risks attributable to the co-movement of mulitple asset classes.



For example, an equity option paying off in a foreign currency would have both Equity and FX risk. The



P/L due to this co-dependence would be entered into row 9.








(1H, 2C, 5I, 13) Higher order risks are those inter-asset risks attributable to terms not represented in the FR-Y14Q.



The highest order term represented in the 14Q will vary based on the specific asset class. For example,



the commodity spot vol grids do not capture risks attributable to the co-movement of multiple



underlying commodities.








When reporting P/L numbers above, report profits as positive numbers and losses as negative numbers.

Sheet 14: OLD Trading Worksheet

Trading Worksheet: XYZ in Baseline

Effective date:









(A)
(B)
(C)



P/L Results in $Millions Firmwide Trading Total
Contributions from
Higher-Order Risks

Firmwide CVA
Hedges Total










1 Equity







2 FX







3 Rates







4 Commodities







5 Securitized Products







6 Other Credit







7 Private Equity







8 Other Fair Value Assets







9 Cross-Asset Terms







10 Total






































1-6) The categories above (Equities, FX, Rates, etc.) are NOT meant to denote lines of business








or desks, but rather firmwide totals by risk stripe.


















5) "Securitized Products" is defined as the contribution to P/L from exposures detailed on the








Securitized Products and Agencies worksheets.


















6) "Other Credit" is defined as the contribution from all credit products other than those








specified on the "Securitized Products" or "Agencies" worksheets.


















9) Cross-Asset Terms are those intra-asset risks attributable to the co-movement of mulitple asset classes.








For example, an equity option paying off in a foreign currency would have both Equity and FX risk. The








P/L due to this co-dependence would be entered into row 9.


















(B) Higher order risks are those inter-asset risks attributable to terms not represented in the FR-Y14Q.








The highest order term represented in the 14Q will vary based on the specific asset class. For example,








the commodity spot vol grids do not capture risks attributable to the co-movement of multiple








underlying commodities.


















When reporting P/L numbers above, report profits as positive numbers and losses as negative numbers.

Sheet 15: Counterparty Risk Worksheet

Counterparty Risk Worksheet: XYZ in Baseline




$Millions
Losses should be reported as a positive value.

1 Issuer Default Losses (Trading Book)
1a Issuer Default losses from securitized products
1b Issuer Default losses from other credit sensitive instruments



2 Counterparty Credit MTM Losses (CVA losses)
2a Counterparty CVA losses
2b Offline reserve CVA losses



3 Counterparty Default Losses
3a Impact of Counterparty Default hedges



4 Other Counterparty Losses



5 Funding Valuation Adjustment (FVA) Losses

Sheet 16: OpRisk Scenario & Projections

Op Risk Scenario Input Worksheet: XYZ in Baseline
























For the inputs into each scenario, provide the risk segment and the contribution of those events to the operational loss projection. Provide any supporting information including statistical results, data, summary tables, and additional descriptions in a separate document and cross-reference the document to the respective question/item. Rows should be added if necessary.




























































Contribution ($millions) PY 1 PY 2 Total
($millions)





Risk Segment PQ 1 PQ 2 PQ 3 PQ 4 PQ 5 PQ 6 PQ 7 PQ 8 PQ 9





















































































































































































Total ($millions)














Note: Please add more rows if needed.






















QUARTERLY AND OVERALL TOTALS SHOULD AGREE TO THE PROJECTED "OPERATIONAL RISK EXPENSE" AMOUNTS INCLUDED IN LINE 29 OF THE PPNR PROJECTIONS WORKSHEET

Sheet 17: PPNR Projections Worksheet


PPNR Projections Worksheet: XYZ in Baseline










Instructions: Bank to complete non shaded cells only; all shaded cells with embedded formulas will self populate. Quarterly items should be reported by quarter, and not on a year-to-date basis.


































Please indicate if deposits are 25% or more of total liabilities






















Net Interest Income Designation Field - Populated Automatically














































$Millions


Projected in $Millions








Please indicate if deposits are 25% or more of total liabilities

Net Interest Income by Business Segment: (17)


PQ 1 PQ 2 PQ 3 PQ 4 PQ 5 PQ 6 PQ 7 PQ 8 PQ 9








Yes, deposits are 25% or more of total liabilities
1 Retail and Small Business




















No, deposits are less than 25% of total liabilities
1A Domestic (11)





















1B Credit and Charge Cards (10)





















1C Mortgages





















1D Home Equity

















Specify reporting designation for net interest income HERE


1E Retail and Small Business Deposits

















Primary Net Interest Income


1F Other Retail and Small Business Lending

















Supplementary Net Interest Income


1G International Retail and Small Business (16)





















2 Commercial Lending





















3 Investment Banking





















4 Merchant Banking / Private Equity





















5 Sales and Trading





















5A Prime Brokerage





















5B Other





















6 Investment Management





















7 Investment Services





















8 Treasury Services





















9 Insurance Services





















10 Retirement / Corporate Benefits Products





















11 Corporate / Other





















12 Optional Immaterial Business Segments (7)













































13 Total Net Interest Income (1)














































Non Interest Income by Business Segment: (17)





















14 Retail and Small Business





















14A Domestic





















14B Credit and Charge Cards (10)





















14C Credit and Charge Card Interchange Revenues - Gross





















14D Other





















14E Mortgages and Home Equity





















14F Production





















14G Gains/(Losses) on Sale (18)





















14H Other





















14I Servicing





















14J Servicing & Ancillary Fees





















14K MSR Amortization (20)





















14L MSR Value Changes due to Changes in Assumptions/Model Inputs/Other Net of Hedge Performance (19)(21)




















14M Other





















14N Provisions to Repurchase Reserve / Liability for Residential Mortgage Representations and Warranties (contra-revenue) (12)




















14O Retail and Small Business Deposits





















14P Non Sufficient Funds / Overdraft Fees - Gross





















14Q Debit Interchange - Gross





















14R Other (22)





















14S Other Retail and Small Business Lending





















14T International Retail and Small Business (16)





















15 Commercial Lending





















16 Investment Banking





















16A Advisory





















16B Equity Capital Markets





















16C Debt Capital Markets





















16D Syndicated / Corporate Lending





















17 Merchant Banking / Private Equity





















17A Net Investment Mark-to-Market





















17B Management Fees





















17C Other





















18 Sales and Trading





















18A Equities





















18B Commission and Fees





















18C Other (23)





















18D Fixed Income





















18E Rates





















18F Credit





















18G Other





















18H Commodities





















18I Commission and Fees





















18J Other





















18K Prime Brokerage





















18L Commission and Fees





















18M Other





















19 Investment Management





















19A Asset Management





















19B Wealth Management / Private Banking





















20 Investment Services





















20A Asset Servicing





















20B Securities Lending





















20C Other





















20D Issuer Services





















20E Other





















21 Treasury Services





















22 Insurance Services





















23 Retirement / Corporate Benefits Products





















24 Corporate / Other





















25 Optional Immaterial Business Segments (7)













































26 Total Non-Interest Income (2) (26)













































27 Total Revenues














































Non Interest Expense:





















28 Compensation Expense





















28A Salary (14)





















28B Benefits (14)





















28C Commissions (6)





















28D Stock Based Compensation





















28E Cash Variable Pay





















29 Operational Risk Expense (8)





















30 Provisions to Repurchase Reserve / Liability for Residential Mortgage Representations and Warranties (12)





















31 Professional and Outside Services Expenses (13)





















32 Expenses of Premises and Fixed Assets





















33 Amortization Expense and Impairment Losses for Other Intangible Assets





















34 Marketing Expense





















34A Domestic Credit and Charge Card Marketing Expense (10)(15)(17)





















34B Other





















35 Other Real Estate Owned Expense





















36 Provision for Unfunded Off-Balance Sheet Credit Exposures (to build/decrease item 141 (RCFDB557) in Balance Sheet)





















37 Other Non-Interest Expense (4)













































38 Total Non-Interest Expense (3)













































39 Projected PPNR (5)













































40 Valuation Adjustment for firm's own debt under fair value option (FVO) (9) (27)





















41 Goodwill Impairment





















42 Loss resulting from trading shock exercise (if applicable) (24) (25)





































































Footnotes to the PPNR Projections Worksheet






















(1) Amount should equal item 49 of the PPNR NII Worksheet, if completed.





















(2) Excludes Valuation Adjustment for firm's own debt under fair value option (FVO) in item 40.





















(3) Excludes Goodwill Impairment included in item 41.





















(4) Provide a further break out of significant items included in Other Non-Interest Expense such that no more than 5% of Non Interest Expense are reported without further breakout:

















N4a



(see values in row below)

















N4b






















N4c



(see values in row below)

















N4d






















N4e



(see values in row below)

















N4f






















N4g



(see values in row below)

















N4h






















N4i



(see values in row below)

















N4j






















N4k



(see values in row below)

















N4l






















N4m



(see values in row below)

















N4n






















N4o



(see values in row below)

















N4p






















N4q



(see values in row below)

















N4r






















N4s



(see values in row below)

















N4t






















N4u



(see values in row below)

















N4v






































































(5) By definition, PPNR will calculate as Net Interest Income plus Non-Interest Income less Non-Interest Expense, excluding items broken out in items 40-41.





















(6) Report commissions only in "Commissions" line item 28C; do not report commissions in any other compensation line items.





















(7) See instructions for guidance on related thresholds. List segments included in this line item.













































(8) All operational loss items, including operational losses that are contra revenue amounts or cannot be separately identified, should be reported in the operational risk expense. Any legal consultation or retainer fees specifically linked to an operational risk event should be included in the Operational Risk Expense. Include all Provisions to Litigation Reserves / Liability for Claims related to Sold Residential Mortgages and all Litigation Settlements & Penalties in this line item and not any other items.

















(9) List segments from which item was excluded:













































(10) Include domestic bank issued credit and charge cards including those that result from a partnership agreement.















(11) Applies to line items 1A-1F; US and Puerto Rico only.















(12) Provisions to build any non-litigation reserves/accrued liabilities that have been established for losses related to sold or government-insured residential mortgage loans (first or second lien). Do not report such provisions in any other items; report them only in line items 14N or 30, as applicable.

















(13) Include routine legal expenses (i.e legal expenses not related to operational losses) here.

















(14) Do not report stock based and cash variable pay compensation here.





















(15) Include both direct and allocated expenses. Report any expenses that are made to expand the company’s card member and/or merchant base, facilitate greater segment penetration, enhance the perception of the company’s credit card brand, and/or increase the utilization of the existing card member base across the spectrum of marketing and advertising mediums.















(16) Revenues from regions outside the US and Puerto Rico.





















(17) See Instructions for description of standardized Business Segments/Lines. Unless specified otherwise, all numbers are global.





















(18) Gains/(Losses) from the sale of mortgages and home equity originated through all production channels (retail, broker, correspondent, etc.) with the intent to sell. Such gains/losses should include deferred fees and costs that are reported as adjustments to the carrying balance of the sold loan, fair value changes on loan commitments with rate locks that are accounted for as derivatives, fair value changes on mortgage loans held-for-sale designated for fair value treatment, lower-of-cost or market adjustments on mortgage loans held-for-sale not designated for fair value treatment, fair value changes on derivative instruments used to hedge loan commitments and held-of-sale mortgages, and value associated with the initial capitalization of the MSR upon sale of the loan.















(19) Report changes in the MSR value here and not in any other items. Report changes in the MSR hedges here and not in any other items.





















(20) Include economic amortization or scheduled and unscheduled payments, net of defaults under both FV and LOCOM accounting methods.





















(21) Include MSR changes under both FV and LOCOM accounting methods.





















(22) Among items included here are debit card contra-revenues and overdraft waivers, as applicable.















(23) Report all Non-Interest Income for Equities Sales and Trading, excluding Prime Brokerage (to be reported as a separate line item) and excluding Commissions and Fees. This includes trading profits and other non-interest non-commission income.















(24) Banks should not report changes in value of the MSR asset or hedges within the trading book.





















(25) List segments from which item was excluded:













































(26) Exclude result of trading shock exercise (where applicable), as it is reported in item 42.





















(27) List Call Report RI Schedule items in which this item is normally reported although excluded from PPNR for this report:
rconb557












































The following cells provide checks of the internal consistency of the PPNR Template schedules. Please ensure that these cells are all "TRUE," or "N/A" before the worksheet is submitted.














































Net Interest Income agrees between worksheets


N/A N/A N/A N/A N/A N/A N/A N/A N/A










Sheet 18: PPNR NII Worksheet


PPNR Net Interest Income Worksheet: XYZ in Baseline








Instructions: All banks for which deposits comprise 25% or more of total liabilities for any reported period in any Call Report must complete this worksheet. Banks to complete non shaded cells only; all shaded cells with embedded formulas will self populate. Quarterly items should be reported by quarter, and not on a year-to-date basis.




























Please indicate if deposits are 25% or more of total liabilities


















Net Interest Income Designation Field - Populated Automatically




















Projected in $Millions








Average Asset Balances ($Millions) (1)
PQ 1 PQ 2 PQ 3 PQ 4 PQ 5 PQ 6 PQ 7 PQ 8 PQ 9







1 First Lien Residential Mortgages (in Domestic Offices)

















2 Second / Junior Lien Residential Mortgages (in Domestic Offices)

















2A Closed-End Junior Liens

















2B Home Equity Lines Of Credit (HELOCs)

















3 C&I Loans (7)

















4 CRE Loans (in Domestic Offices)

















5 Credit Cards

















6 Other Consumer

















6A Auto Loans

















6B Student Loans

















6C Other, incl. loans backed by securities (non-purpose lending)
















Please indicate if deposits are 25% or more of total liabilities
7 Real Estate Loans (Not in Domestic Offices)
















Yes, deposits are 25% or more of total liabilities
7A Residential Mortgages (First and Second Lien)
















No, deposits are less than 25% of total liabilities
7B Other

















8 Other Loans & Leases (10)

















9 Nonaccrual Loans (5)

















10 Securities (AFS and HTM) - Treasuries and Agency Debentures

















11 Securities (AFS and HTM) - Agency RMBS (both CMOs and pass-throughs)

















12 Securities (AFS and HTM) - Other

















13 Trading Assets

















14 Deposits with Banks & Other

















15 Other Interest/Dividend Bearing Assets (2)

















16 Other Assets





































17 Total Average Asset Balances






































Average Rates Earned (%) (9)

















18 First Lien Residential Mortgages (in Domestic Offices)

















19 Second / Junior Lien Residential Mortgages (in Domestic Offices)

















19A Closed-End Junior Liens

















19B HELOCs

















20 C&I Loans (7)

















21 CRE Loans (in Domestic Offices)

















22 Credit Cards

















23 Other Consumer

















23A Auto Loans

















23B Student Loans

















23C Other, incl. loans backed by securities (non-purpose lending)

















24 Real Estate Loans (Not in Domestic Offices)

















24A Residential Mortgages (First and Second Lien)

















24B Other

















25 Other Loans & Leases

















26 Nonaccrual Loans (5)

















27 Securities (AFS and HTM) - Treasuries and Agency Debentures

















28 Securities (AFS and HTM) - Agency RMBS (both CMOs and pass-throughs)

















29 Securities (AFS and HTM) - Other

















30 Trading Assets

















31 Deposits with Banks & Other

















32 Other Interest/Dividend Bearing Assets





































33 Total Interest Income






































Average Liability Balances ($Millions)

















34 Deposits-Domestic (6)

















34A Non-Interest-Bearing Demand

















34B Money Market Accounts

















34C Savings

















34D NOW, ATS, and other Transaction Accounts

















34E Time Deposits

















35 Deposits-Foreign (6)

















35A Foreign Deposits

















35B Foreign Deposits-Time

















36 Fed Funds, Repos, & Other Short Term Borrowing

















36A Fed Funds

















36B Repos

















36C Other Short Term Borrowing (11)

















37 Trading Liabilities

















38 Subordinated Notes Payable to Unconsolidated Trusts Issuing Trust Preferred Securities (TruPS) and TruPS Issued by Consolidated Special Purpose Entities

















39 Other Interest-Bearing Liabilities (3)(11)

















40 Other Liabilities (11)





































41 Total Average Liability Balances






































Average Liability Rates (%) (9)

















42 Deposits-Domestic (6)

















42A Non-Interest-Bearing Demand (8)

















42B Money Market Accounts

















42C Savings

















42D Negotiable Order of Withdrawal (NOW), Automatic Transfer Service (ATS), and other Transaction Accounts

















42E Time Deposits

















43 Deposits-Foreign (6)

















43A Foreign Deposits

















43B Foreign Deposits-Time

















44 Fed Funds, Repos, & Other Short Term Borrowing

















44A Fed Funds

















44B Repos

















44C Other Short Term Borrowing

















45 Trading Liabilities

















46 Subordinated Notes Payable to Unconsolidated Trusts Issuing TruPS and TruPS Issued by Consolidated Special Purpose Entities

















47 Other Interest-Bearing Liabilities (3)(11)

























































48 Total Interest Expense





































49 Total Net Interest Income (4)





































Footnotes to the Net Interest Income Worksheet


















(1) Exclude nonaccrual loans from lines 1-8, reporting these balances in item 9. Include purchased credit impaired loans.

















(2) Break out and explain nature of significant items included in Other Interest/Dividend Bearing Assets such that no more than 5% of total Average Asset Balances are reported without a further breakout.

















N2a

(see values in row below)















N2b


















N2c

(see values in row below)















N2d


















N2e

(see values in row below)















N2f


















N2g

(see values in row below)















N2h


















N2i

(see values in row below)















N2j


















(3) Break out and explain nature of significant items included in All Other Interest Bearing Liabilities Balances such that no more than 5% of total Liability Balances are reported without a further breakout.

















N3a

(see values in row below)















N3b


















N3c

(see values in row below)















N3d


















N3e

(see values in row below)















N3f


















N3g

(see values in row below)















N3h


















N3i

(see values in row below)















N3j


























































(4) Amount should equal item 13 of the PPNR Projections Worksheet.

















(5) Institutions are to provide additional details within the supporting documentation; the composition of the non-accrual loans by key loan type over the reported time periods for each of the scenarios.

















(6) A sum of average domestic and foreign deposits should be equal to a sum of average RCON6631, RCON6636, RCFD6631, and RCFD6636.

















(7) Report C&I Graded, Small Business (Scored/Delinquency Managed), Corporate Card, Business Card

















(8) Rates are equal to zero by definition.

















(9) All rates are annualized.

















(10) Include loans secured by farmland here (RCFD1420) and other loans not accounted for in the other categories.

















(11) A Sum of line items 36C and 39 equals a sum of RCFD3190, RCFD3200, and interest-bearing liabilities reported in RCFD2930; line item 40 captures non-interest bearing liabilities in RCFD2930


























































Are Other Average Interest-Bearing Asset Balances more than 5% of Total Average Interest-Bearing Asset Balances?
N/A N/A N/A N/A N/A N/A N/A N/A N/A




























Are Other Average Deposit and Interest-Bearing Non-Deposit Liability Balances more than 5% of Total Average Interest-Bearing Liability Balances?
N/A N/A N/A N/A N/A N/A N/A N/A N/A








Sheet 19: PPNR Metrics Worksheet


PPNR Metrics Worksheet: XYZ in Baseline

Instructions: Banks to complete non shaded cells only; all shaded cells with embedded formulas will self populate. Quarterly items should be reported by quarter, and not on a year-to-date basis.



























Projected




Units
PQ 1 PQ 2 PQ 3 PQ 4 PQ 5 PQ 6 PQ 7 PQ 8 PQ 9

















A. Metrics by Business Segment/Line (9)














Retail and Small Business Segment














Domestic (22)














Credit and Charge Cards













1 Total Open Accounts – End of Period

#










2 Credit and Charge Card Purchase Volume

$Millions










3 Credit and Charge Card Rewards/Partner Sharing Expense (21) (32)

$Millions











Mortgages and Home Equity













4 Average Third-Party Residential Mortgages Serviced (3)

$Millions










5 Residential Mortgage Originations Industry Market Size – Volume (23)

$Millions










6 Mortgages and Home Equity Sold during the quarter (24)

$Millions










7 Servicing Expenses (8)

$Millions











Retail and Small Business Deposits













8 Total Open Checking and Money Market Accounts – End of Period (29)

#










9 Debit Card Purchase Transactions

#











International Retail and Small Business (12)













10 Credit Card Revenues (1)

$Millions











Investment Banking Segment (only firms that report greater than $100 million for an projected quarter in item 16 of the PPNR projections schedule should complete items 11 through 26 below)











11 Number of Employees (15)

#










12 Compensation - Total (8)

$Millions










13 Stock Based Compensation and Cash Variable Pay (8)

$Millions











Advisory













14 Deal Volume

$Millions










15 Industry Market Size - Fees

$Millions










16 Industry Market Size - Completed Deal Volume

$Millions










17 Backlog (28)

$Millions











Equity Capital Markets













18 Deal Volume

$Millions










19 Industry Market Size - Fees

$Millions










20 Industry Market Size - Volume

$Millions











Debt Capital Markets













21 Deal Volume

$Millions










22 Industry Market Size - Fees

$Millions










23 Industry Market Size - Volume

$Millions











Syndicated Lending













24 Deal Volume

$Millions










25 Industry Market Size - Fees

$Millions










26 Industry Market Size - Volume

$Millions











Sales and Trading Segment













27 Number of Employees (15)

#










28 Compensation - Total (8)

$Millions










29 Stock Based Compensation and Cash Variable Pay (8)

$Millions











Equities













30 Average Asset Balance

$Millions











Fixed Income













31 Average Asset Balance

$Millions











Commodities













32 Average Asset Balance

$Millions











Prime Brokerage













33 Average Client Balances (13)

$Millions










34 Transaction Volume

$Millions



























Investment Management Segment














Asset Management













35 AUM - Total (10)

$Millions










35A AUM - Equities

$Millions










35B AUM - Fixed Income

$Millions










35C AUM - Other

$Millions










36 Net Inflows/Outflows

$Millions











Wealth Management/Private Banking













37 Fee Earning Client Assets - Total (10)

$Millions










37A Fee Earning Client Assets - Equities

$Millions










37B Fee Earning Client Assets - Fixed Income

$Millions










37C Fee Earning Client Assets - Other

$Millions










38 Net Inflows/Outflows

$Millions










39 Number of Financial Advisors (11)

#











Investment Services Segment














Asset Servicing













40 Assets under Custody and Administration

$Millions



























B. Firm Wide Metrics: PPNR Projections Worksheet













41 Number of Employees

#










42 Revenues - International

$Millions










42A Revenues - APAC (2) (16)

$Millions










42B Revenues - EMEA (2) (17)

$Millions










42C Revenues - LatAm (2) (18)

$Millions










42D Revenues - Canada (2)

$Millions










43 Revenues - Domestic

$Millions










44 Severance Costs (14)

$Millions










45 Collateral Underlying Operating Leases for Which the Bank is the Lessor (20)

$Millions










45A Auto

$Millions










45B Other

$Millions










46 OREO Balance

$Millions










46A Commercial

$Millions










46B Residential

$Millions










46C Farmland

$Millions










47 Non-Recurring PPNR Items (30)

$Millions


























48 Trading Revenue

$Millions










49 Net Gains/(Losses) on Sales of Other Real Estate Owned (19)

$Millions



























C. Firm Wide Metrics: Net Interest Income Worksheet (Required only for Banks that were required to complete the Net Interest Income Worksheet)













50 Carrying Value of Purchased Credit Impaired (PCI) Loans

$Millions










51 Net Accretion of discount on PCI Loans included in interest Revenues

$Millions










52 Loans Held for Sale - First Lien Residential Liens in Domestic Offices (Average Balances)

$Millions










53 Average Rate on Loans Held for Sale-First Lien Residential Liens in Domestic Offices

%



























Quarter End Weighted Average Life of Assets (4) (6)













54 First Lien Residential Mortgages (in Domestic Offices) (31)

months










55 Closed-End Junior Residential Liens (in Domestic Offices)

months










56 Home Equity Lines Of Credit (HELOCs)

months










57 C&I Loans

months










58 CRE Loans (in Domestic Offices)

months










59 Credit Cards

months










60 Auto Loans

months










61 Student Loans

months










62 Other, incl. loans backed by securities (non-purpose lending) (7)

months










63 Residential Mortgages (First and Second Lien, Not in Domestic Offices)

months










64 Other Real Estate Loans (Not in Domestic Offices)

months










65 Other Loans & Leases

months










66 Securities (AFS and HTM) - Treasuries and Agency Debentures

months










67 Securities (AFS and HTM) - Agency RMBS (both CMOs and pass-throughs)

months










68 Securities (AFS and HTM) - Other

months










69 Trading Assets

months










70 All Other Earning Assets

months



























Quarter End Weighted Average Life of Liabilities (4) (6)













71 Domestic Deposits - Time

months










72 Foreign Deposits-Time

months










73 Fed Funds

months










74 Repos

months










75 Other Short Term Borrowing

months










76 Trading Liabilities

months










77 Subordinated Notes Payable to Unconsolidated Trusts Issuing TruPS and TruPS Issued by Consolidated Special Purpose Entities

months










78 All Other Interest Bearing Liabitilies

months



























Average Domestic Deposit Repricing Beta (5)













79A Money Market Accounts (for upward rate movements)

basis points










79B Money Market Accounts (for downward rate movements)

basis points










79C Money Market Accounts (Assumed Floor)

basis points










80A Savings (for upward rate movements)

basis points










80B Savings (for downward rate movements)

basis points










80C Savings (Assumed Floor)

basis points










81A NOW, ATS, and other Transaction Accounts (for upward rate movements)

basis points










81B NOW, ATS, and other Transaction Accounts (for downward rate movements)

basis points










81C NOW, ATS, and other Transaction Accounts (Assumed Floor)

basis points










82A Time Deposits (for upward rate movements)

basis points










82B Time Deposits (for downward rate movements)

basis points










82C Time Deposits (Assumed Floor)

basis points











Average Foreign Deposit Repricing Beta (5)













83A Foreign Deposits (for upward rate movements)

basis points










83B Foreign Deposits (for downward rate movements)

basis points










83C Foreign Deposits (Assumed Floor)

basis points










84A Foreign Deposits-Time (for upward rate movements)

basis points










84B Foreign Deposits-Time (for downward rate movements)

basis points










84C Foreign Deposits-Time (Assumed Floor)

basis points











New Domestic Business Pricing for Time Deposits (25)













85A Curve (if multiple terms assumed) (26)













85B Index rate (if single term assumed) (27)













85C Spread relative to the Index Rate (27)

basis points











Footnotes to the PPNR Metrics Worksheet













(1) Provide metrics data for all quarters, but only if International Retail and Small Business Segment revenues exceeded 5% of Total Retail and Small Business Segment and Total Retail and Small Business revenue exceeded 5% of total revenues in any of the last four actual quarters requested in the PPNR schedule.






(2) Provide regional breakouts for all quarters but only if international revenue exceeded 5% of the total revenue in any of the last four actual quarters requested in the PPNR schedule.













(3) Average oustanding principal balance fo residential mortgage loans the bank services for others.













(4) The Weighted Average Life should reflect the current position, the impact of new business activity, as well as the impact of behavioral assumptions such as prepayments or defaults, based on the expected remaining lives, inclusive of behavioral assumptions. It should reflect the weighted average of time to principal actual repayment (as modeled) for all positions in that portfolio, rounded to the nearest monthly term. For revolving products, the WAL should reflect the underlying repayment behavior assumptions assumed by the institution, which would include contractual repayments, any assumed excess payments or prepayments, and defaults.






(5) A rate movement in an environment where the repricing assumption assumed by each of the major deposit products is not restricted by a cap, floor, or zero. Beta should be reported as a balance-weighted average of the betas of the line items that contribute to the roll up point requested, with an as-of date equal to the reporting date.






(6) Reference PPNR Net Interest Income worksheet for product definitions.













(7) Corresponds to line item 7C on the Net Interest Income worksheet.













(8) Include both direct and allocated expenses.













(9) "Metrics by Business Segment/Line" correspond to Business Segments/Lines on PPNR Submission worksheet, unless explicitly stated otherwise. See Instructions for defintions of standardized Business Segments/Lines. Unless specified otherwise, all numbers are global. Only line items with "Industry Market Size" in the name are industry/market-wide items; all other items are bank-specific.






(10) Assets under Management













(11) Provide a relevant headcount number (e.g. financial advisors, portfolio managers) to facilitate the assessment of revenue productivity in the Wealth Management/Private Banking business line.






(12) Regions outside the US and Puerto Rico.













(13) Report the grossed up "interest" balances that result from prime brokerage activities.













(14) List items on PPNR Projections worksheet that include this item if any:





























(15) Full-time equivalent employees at end of current period (RIAD4150) for a given segment only.













(16) Asia and Pacific region (incl. South Asia, Australia, and New Zealand)













(17) Europe, Middle East, and Africa













(18) Latin America, including Mexico













(19) List Business Segments reported on PPNR Projections Worksheet that include this item if any:





























(20) Refers to the balance sheet carrying amount of any equipment or other asset rented to others under operating leases, net of accumulated depreciation. The total in line item 49 should correspond to the amount provided in Call Report Schedule RC-F Line 6, item 14 in the instructions. The amount included should only reflect collateral rented under operating leases and not include collateral subject to capital/ financing type leases.








(21) Credit cards (including charge cards). List which line item(s) on PPNR Submission worksheet contain(s) the Cards Rewards/Partner Sharing contra-revenues and/or expenses.
























(22) Applies to line items 1-9; US and Puerto Rico only.








(23) Total domestic mortgages originated during the quarter.








(24) Call Report name is "Residential Mortgages Sold During the Quarter"; this metric need not be limited to Mortgages and Home Equity business line.








(25) New business pricing for time deposits refers to the anticipated average rate on newly issued domestic time deposits, including renewals. Given that time deposits have a stated maturity, all time deposits issued for that time period are considered new business.






(26) The term “curve” refers to the reference rate used to price time deposits. Given that the pricing of time deposits is dependent on the term, the institution should provide the overall curve used to price time deposits. If the institution only assumes a single maturity term for new issuances, complete line 85B and 85C only, otherwise complete line 85A only.






(27) If the institution only assumes a single maturity term for new issuance, then the institution should provide the relative index and spread used to estimate new business pricing in lieu of the curve.






(28) A backlog should be based on probability weighted fees. The data should be consistent with historical internal reporting, not by market measurement. The last quarter should be the Bank’s latest backlog estimate.








(29) Provide description of the accounts included in this line item (e.g. Negotiable Order of Withdrawal, Interest Bearing Checking, Non Interest Bearing Demand Deposit Account, Money Market Savings, etc.)
























(30) Please break out and explain nature of non-recurring items included in PPNR. Also indicate which items on PPNR Projections worksheet include the items broken out in footnote 32:













(a) Revenues (Net Interest Income + Non Interest Income)

















$ Milllion














$ Milllion














$ Milllion














$ Milllion














$ Milllion














$ Milllion














$ Milllion










(b) Non Interest Expenses

















$ Milllion














$ Milllion














$ Milllion














$ Milllion














$ Milllion














$ Milllion














$ Milllion










(31) For WAL, exclude from the reported number Loans Held For Sale
























(32) Note if this item includes any contra-revenues other than Rewards/Partner Sharing (e.g. Marketing Expense Amortization)









































Do international revenues exceed 5% of total revenues?



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