Report of Assets and Liabilities of U.S. Branches and Agencies of Foreign Banks

NONCONFIDENTIAL // EXTERNAL 

Appendix B: Revisions to FFIEC 002 Instructions to align with final FASB standard
Schedule RAL, Item M3.b
Amortized cost of available-for-sale securities. Report the amortized cost of available-forsale debt (AFS) securities.

T

Institutions should include in the amortized cost of AFS debt securities reported in this item the
total amount for portfolio last-of-layer fair value hedge basis adjustments (FVHBA) on AFS debt
securities. As defined in ASU No. 2017-122022-01, Derivatives and Hedging (Topic 815),
“Targeted Improvements to Accounting forFair Value Hedging ActivitiesPortfolio Layer Method”
(ASU 2022-01), the last-of-portfolio layer method was added to allow entities to apply hedge
accounting to a single closed portfolio of prepayable fixed-rate financial assets or one or more
beneficial interests secured by a portfolio of prepayable financial instruments that is not
expected to be affected by prepayments, defaults, or other factors affecting the timing and
amount of cash flows for the designated hedge period. Under ASU 2017-122022-01, different
types of qualifying assets can be grouped together in a last-of-portfolio layer hedge.

D
R

AF

Due to the aggregation of assets in a last-of-layer closed portfolio, institutions may find it
challenging to allocate the last-of-layer FVHBAs to Per the standard, an institution should not
adjust the recorded investment or the discount rate of the individual AFS debt security level
assets or individual beneficial interest included in the single, closed portfolio for a basis
adjustment that is maintained on a closed portfolio basis. As such, an institution that applies the
last-of-portfolio layer method to a closed portfolio of AFS debt securities isshould not required to
allocate the portfolio -level, last-of-layer FVHBAs to a more granular level and. Institutions
should report these unallocated amounts in this item.

NONCONFIDENTIAL // EXTERNAL 

Appendix B (Continued)
Schedule C, Item 10
Less: Any unearned income on loans reflected in items 1-8 above. To the extent possible,
report the specific loan categories net of unearned income. A reporting institution (including its
IBF) should enter here unearned income only to the extent that it is included in (i.e., not
deducted from) the various loan items (items 1 through 8) of this schedule. (Unearned income
includes income received but not yet earned, such as prepaid interest and the unamortized
portion of loan origination fees.)

AF

T

An institution should also include last-of-portfolio layer fair value hedge basis adjustments
(FVHBAs) not allocated to individual loans reported in items 1 through 8 of this schedule. As
defined in Accounting Standards Update No. 2017-122022-01, Derivatives and Hedging (Topic
815), “Targeted Improvements to Accounting for Hedging ActivitiesFair Value Hedging Portfolio Layer Method” (ASU 2017-122022-01), the last-of-portfolio layer method was added to
allow entities to apply hedge accounting to a single closed portfolio of prepayable fixed-rate
financial assets or one or more beneficial interests secured by a portfolio of prepayable
financial instruments that is not expected to be affected by prepayments, defaults, or other
factors affecting the timing and amount of cash flows for the designated hedge period. Under
ASU 2017-122022-01, different types of qualifying assets can be grouped together in a last-ofportfolio layer hedge.

D
R

Due to the aggregation of assets in a last-of-layer closed portfolio, institutions may find it
challenging to allocate the last-of-layer FVHBAs toPer the standard, an institution should not
adjust the recorded investment or the discount rate of the individual loan level.assets or
individual beneficial interest included in the closed portfolio for a basis adjustment that is
maintained on a closed portfolio basis. As such, an institution that applies the last-of-portfolio
layer method to a closed portfolio of loans isshould not required to allocate the portfolio-level,
last-of- layer FVHBAs to a more granular level and should include these unallocated amounts in
this item 10.
If an institution reports each loan item in this schedule net of both unearned income and net
unamortized loan fees and has no unallocated last-of-portfolio layer FVHBAs applicable to
loans, enter a zero in this item. If the amount to be reported in this item represents an addition
to the amounts reported in Schedule C, Part I, items 1 through 8, because of unallocated last-ofportfolio layer FVHBAs, report the amount with a minus (-) sign.
Do not include unearned income on lease financing receivables in this item(deduct from
Schedule C, part I, item 9).