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pdfBoard of Governors of the Federal Reserve System OMB Number 7100-0319
Federal Deposit Insurance Corporation
OMB Number 3064-0159
Office of the Comptroller of the Currency
OMB Number 1557-0239
Approval expires December 31, 2023
Page 1 of 38
Federal Financial Institutions Examination Council
Regulatory Capital Reporting for Institutions Subject to the
Advanced Capital Adequacy Framework—FFIEC 101
Report at the close of business September 30, 2023
(20230930)
(AAXX 9999)
This report is required by law: 12 U.S.C. § 161 (National
banks), 12 U.S.C. § 324 and 12 U.S.C. § 1844(c) (State
member banks and BHCs, respectively), 12 U.S.C. § 1817
(Insured state nonmember commercial and savings banks),
12 U.S.C. § 1467a(b)(2) (Savings and loan holding companies),
12 U.S.C. § 1844(c), 12 U.S.C. §§ 3106 and 3108(a), 12 U.S.C.
§ 5365, 12 CFR 252.153(b)(2) (Intermediate holding companies),
and 12 U.S.C. § 1464 (Savings associations).
The FFIEC 101 is to be prepared in accordance with federal regulatory authority instructions. The report must be signed by a
senior officer of the reporting entity who can attest that the risk
estimates and other information submitted in this report meet the
requirements set forth in 12 CFR Part 3 (OCC); 12 CFR Part 217
(Federal Reserve); 12 CFR Part 324 (FDIC) and the FFIEC 101
reporting instructions. The senior officer may be the chief financial
officer, the chief risk officer, or the equivalent senior officer.
To fulfill the signature and attestation requirement for the FFIEC
101 for this report date, attach the reporting institution's completed
signature page (or a photocopy or a computer-generated version
of this page) to the hard-copy records of the data file submitted
electronically that the reporting institution must place in its files.
I, the undersigned senior officer of the named reporting institution
attest that the FFIEC 101 report for this report date has been prepared in conformance with the instructions issued by the federal
regulatory authority and that the reported risk estimates meet the
requirements set forth in the advanced approaches rule to the
best of my knowledge and belief.
The appearance of the reporting institution's hard-copy record of
the submitted data file need not match exactly the appearance of
the FFIEC's sample report forms, but should show the caption of
each reported item and the reported amount.
Legal Entity Identifier (LEI) of the Reporting Institution (Report only if the reporting
institution already has an LEI.) (AAXX 9224)
Printed Name of Senior Officer (AAXX C490)
Legal Title of Reporting Institution (AAXX J197)
Signature of Senior Officer (AAXX H321)
Mailing Address of the Reporting Institution Street / PO Box (AAXX 9110)
Title of Officer (AAXX C491)
City (AAXX 9130)
Date of Signature (MM/DD/YYYY) (AAXX J196)
State Abbreviation (AAXX 9200)
Zip Code (AAXX 9220)
Person to whom questions about this report should be directed:
Name / Title (AAXX 8901)
Area Code / Phone Number (AAXX 8902)
For Federal Reserve Bank Use Only
BHC RSSD ID
SUB RSSD ID
C.I.
Area Code / FAX Number (AAXX 9116)
E-mail Address of Contact (AAXX 4086)
The estimated average reporting burden for this information collection is 674 hours per response for insured depository institutions, 677 hours per response for bank holding companies
and savings and loan holding companies, and 3 hours per response for intermediate holding companies, bank holding companies, savings and loan holding companies, and insured depository institutions that complete Supplementary Leverage Ratio (SLR) Tables 1 and 2 only, including time to gather and maintain data in the required form and to review instructions and complete the information collection. A federal agency may not conduct or sponsor, and an organization (or a person) is not required to respond to a collection of information, unless it displays a
currently valid OMB control number. Comments regarding this burden estimate or any other aspect of this information collection, including suggestions for reducing the burden, may be sent
to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551; Assistant Executive Secretary, Federal Deposit Insurance Corporation,
Washington, DC 20429; Legislative and Regulatory Analysis Division, Office of the Comptroller of the Currency, Washington, DC 20219; and Office of Information and Regulatory Affairs,
Office of Management and Budget, Washington, DC 20503.
09/2023
For Federal Reserve Bank Use Only
FFIEC 101
Page 2 of 38
A-1
C.I.
Schedule A—Advanced Approaches Regulatory Capital
This schedule is to be submitted on a consolidated basis.
Dollar Amounts in Thousands AAAB
Common equity tier 1 capital
1. Common stock plus related surplus, net of treasury stock ........................................................ P742
2. Retained earnings1 .......................................................................................................... 3247
3. Accumulated other comprehensive income (AOCI) ................................................................. B530
4. Directly issued capital subject to phase out from common equity tier 1 capital (not applicable)
5. Common equity tier 1 minority interest includable in common equity tier 1 capital ......................... P839
6. Common equity tier 1 capital before regulatory deductions and adjustments (sum of items 1, 2, 3, and 5) .. P840
Amount
Common equity tier 1 capital: adjustments and deductions
7. Prudential valuation adjustments (not applicable)
8. Goodwill net of associated deferred tax liabilities (DTLs) ......................................................... P841
9. Other intangible assets, net of associated DTLs, other than goodwill and mortgage servicing
assets (MSAs) ................................................................................................................ P842
10. Deferred tax assets (DTAs) that arise from net operating loss and tax credit carryforwards, net of
any related valuation allowances and net of DTLs .................................................................. P843
11. Accumulated net gain or loss on cash-flow hedges included in AOCI, net of applicable income taxes, that
relate to the hedging of items that are not recognized at fair value on the balance sheet ....................... P849
12. Expected credit loss that exceeds eligible credit reserves ........................................................ P886
13. Gain-on-sale associated with a securitization exposure ........................................................... J161
14. Unrealized gain or loss related to changes in the fair value of liabilities that are due to changes in
own credit risk ................................................................................................................ Q258
15. Defined-benefit pension fund assets, net of associated DTLs ................................................... P887
16. Investments in own shares to the extent not excluded above as part of treasury stock ................... P888
17. Reciprocal cross-holdings in the common equity of financial institutions...................................... P889
18. Non-significant investments in the capital of unconsolidated financial institutions in the form of
common stock that exceed the 10 percent threshold for non-significant investments ..................... P851
19. Significant investments in the capital of unconsolidated financial institutions in the form of common stock,
net of associated DTLs, that exceed the 10 percent common equity tier 1 capital deduction threshold...... P853
20. MSAs, net of associated DTLs, that exceed the 10 percent common equity tier 1 capital
deduction threshold......................................................................................................... P854
21. DTAs arising from temporary differences that could not be realized through net operating loss
carrybacks, net of related valuation allowances and net of DTLs, that exceed the 10 percent
common equity tier 1 capital deduction threshold ................................................................... P855
22. Amount of significant investments in the capital of unconsolidated financial institutions in the form
of common stock, net of associated DTLs; MSAs net of associated DTLs; and DTAs arising from
temporary differences that could not be realized through net operating loss carrybacks, net of
related valuation allowances and net of DTLs, that exceeds the 15 percent common equity tier 1
capital deduction threshold ................................................................................................ P856
23. of which: significant investments in the capital of unconsolidated financial institutions in the form
of common stock, net of associated DTLs .......................................................................... P890
24. of which: MSAs, net of associated DTLs ............................................................................ P891
25. of which: DTAs arising from temporary differences that could not be realized through net
operating loss carrybacks, net of related valuation allowances and net of DTLs ......................... P892
26. National specific regulatory adjustments (not applicable)
27. Deductions applied to common equity tier 1 capital due to insufficient amounts of additional tier 1
capital and tier 2 capital to cover deductions ......................................................................... P857
28. Total adjustments and deductions for common equity tier 1 capital (sum of items 8 through 22, plus
item 27)......................................................................................................................... P858
29. Common equity tier 1 capital (item 6 less item 28).................................................................. P859
1.
2.
3.
5.
6.
8.
9.
10.
11.
12.
13.
14.
15.
16.
17.
18.
19.
20.
21.
22.
23.
24.
25.
27.
28.
29.
1. Institutions that have adopted ASU 2016-13 and have elected to apply the CECL transition provision should include the applicable
portion of the CECL transitional amount in this item.
03/2019
For Federal Reserve Bank Use Only
FFIEC 101
Page 3 of 38
A-2
C.I.
Schedule A—Continued
This schedule is to be submitted on a consolidated basis.
Dollar Amounts in Thousands AAAB
Additional tier 1 capital
30. Additional tier 1 capital instruments plus related surplus .......................................................... P860
31. of which: classified as equity under GAPP (not applicable)
32. of which: classified as liabilities under GAAP (not applicable)
33. Non-qualifying capital instruments subject to phase out from additional tier 1 capital ..................... P861
34. Tier 1 minority interest not included in common equity tier 1 capital............................................ P862
35. of which: amount subject to phase out............................................................................... P893
36. Additional tier 1 capital before deductions (sum of items 30, 33, and 34) ..................................... P863
Additional tier 1 capital deductions
37. Investments in own additional tier 1 capital instruments...........................................................
38. Reciprocal cross-holdings in the additional tier 1 capital of financial institutions ............................
39. Non-significant investments in additional tier 1 capital of unconsolidated financial institutions that
exceed the 10 percent threshold for non-significant investments ...............................................
40. Significant investments in financial institutions not in the form of common stock to be deducted from
additional tier 1 capital......................................................................................................
41. Other deductions from additional tier 1 capital .......................................................................
42. Deductions applied to additional tier 1 capital due to insufficient tier 2 capital to cover deductions ....
43. Total additional tier 1 capital deductions (sum of items 37 through 42) ........................................
44. Additional tier 1 capital (greater of item 36 less item 43 or zero) ................................................
Amount
30.
33.
34.
35.
36.
P894
P895
37.
38.
P896
39.
P897
P898
P899
P864
P865
40.
41.
42.
43.
44.
8274
45.
P866
P870
46.
47.
48.
49.
50.
51.
P902
P903
52.
53.
P904
54.
P905
55.
LB40
5311
56.a.
56.b.
57.
58.
Total capital
59. Total capital (sum of items 45 and 58)..................................................................................
3792
59.
Total risk-weighted assets
60. Total risk-weighted assets (RWAs) ......................................................................................
A223
60.
Tier 1 capital
45. Tier 1 capital (sum of items 29 and 44) ................................................................................
Tier 2 capital
46. Tier 2 capital instruments plus related surplus .......................................................................
47. Non-qualifying capital instruments subject to phase out from tier 2 capital ...................................
48. Total capital minority interest that is not included in tier 1 capital................................................
49. of which: instruments subject to phase out .........................................................................
50. Eligible credit reserves includable in tier 2 capital 1 ..................................................................
51. Tier 2 capital before deductions (sum of items 46, 47, 48, and 50) .............................................
Tier 2 capital deductions
52. Investments in own tier 2 capital instruments ........................................................................
53. Reciprocal cross-holdings in the tier 2 capital of unconsolidated financial institutions.....................
54. Non-significant investments in the tier 2 capital and covered debt instruments of unconsolidated
financial institutions that exceed the 10 percent threshold for non-significant investments...............
55. Significant investments in financial institutions not in the form of common stock to be deducted from
tier 2 capital ...................................................................................................................
56. Other deductions from tier 2 capital:
a. Investments in excluded covered debt instruments .............................................................
b. All other deductions from tier 2 capital ..............................................................................
57. Total tier 2 capital deductions (sum of items 52 through 56)......................................................
58. Tier 2 capital (greater of item 51 less item 57 or zero) .............................................................
P867
P868
P900
5310
P906
P872
1. Institutions that have adopted ASU 2016-13 and have elected to apply the CECL transition provision should subtract the applicable
portion of the eligible credit reserves transitional amount from this item.
03/2022
For Federal Reserve Bank Use Only
FFIEC 101
Page 4 of 38
A-3
C.I.
Schedule A—Continued
This schedule is to be submitted on a consolidated basis.
AAAB
Capital ratios and buffers
61. Common equity tier 1 capital ratio (item 29 divided by item 60) .................................................
62. Tier 1 capital ratio (item 45 divided by item 60) ......................................................................
63. Total capital ratio (item 59 divided by item 60) .......................................................................
64. Institution-specific common equity tier 1 capital ratio necessary to avoid limitations on capital
distributions and discretionary bonus payments .....................................................................
65. of which: capital conservation buffer .................................................................................
66. of which: countercyclical capital buffer (if applicable) ............................................................
67. of which: G-SIB surcharge (if applicable) ...........................................................................
68. Common equity tier 1 capital available to meet items 65 through 67 (as a percentage of RWA) .......
Percentage1
P793
61.
62.
63.
7206
7205
64.
65.
66.
67.
68.
Y933
FB52
FB53
FB54
FB55
Regulatory minimums if different from Basel III (not applicable)
69. Minimum common equity tier 1 capital ratio: 4.5%
70. Minimum tier 1 capital ratio: 6.0%
71. Minimum total capital ratio: 8.0%
Dollar Amounts in Thousands AAAB
Amounts not deducted as a result of applicable thresholds (before risk-weighting)
72. Non-significant investments in the capital of unconsolidated financial institutions that are not deducted ..... P907
73. Significant investments in the capital of unconsolidated financial institutions in the form of common
stock, net of associated DTLs, that are not deducted .............................................................. P908
74. MSAs, net of associated DTLs, that are not deducted ............................................................. P909
75. DTAs arising from temporary differences that could not be realized through net operating loss
carrybacks, net of related valuation allowances and net of DTLs, that are not deducted ................. P910
Amount
72.
73.
74.
75.
AAAA
Limitations on the amount of provisions included in tier 2 capital
76. Total allowance for loan and lease losses (ALLL) under the standardized approach2 ..................... P911
77. Amount of ALLL includable in tier 2 capital under the standardized approach3 .............................. 5310
(Items 78 and 79 are kept confidential on reports filed during an institution's parallel run process.)
78. Total eligible credit reserves (calculated using advanced approaches) ........................................ J183
79. Amount of eligible credit reserves includable in tier 2 capital..................................................... J173
76.
77.
78.
79.
AAAB
Non-qualifying capital instruments
80. Cap on common equity tier 1 non-qualifying capital instruments subject to phase-out .................... P913
81. Amount of common equity tier 1 non-qualifying capital instruments excluded ............................... P914
82. Cap on additional tier 1 non-qualifying capital instruments subject to phase-out ........................... P915
83. Amount of additional tier 1 non-qualifying capital instruments excluded....................................... P916
84. Cap on tier 2 non-qualifying capital instruments subject to phase-out ......................................... P917
85. Amount of tier 2 non-qualifying capital instruments excluded .................................................... P918
80.
81.
82.
83.
84.
85.
Memoranda
AAAA
(These items are kept confidential on reports filed during an institution’s parallel run process.)
86. Expected credit loss that exceeds eligible credit reserves ........................................................ P886
86.
87. Advanced approaches RWA (from FFIEC 101, Schedule B, item 36)..........................................
88. Common equity tier 1 capital ratio (calculated using advanced approaches) ................................
89. Tier 1 capital ratio (calculated using advanced approaches) .....................................................
90. Total capital ratio (calculated using advanced approaches) ......................................................
AABG
A223
AAAA
P793
87.
Percentage1
7206
7205
88.
89.
90.
1. Report each ratio and buffer as a percentage, rounded to four decimal places.
2. Institutions that have adopted ASU 2016-13 should report in item 76 the total AACL amount under the standardized approach.
3. Institutions that have adopted ASU 2016-13 should report in item 77 the AACL amount includable in tier 2 capital under the
standardized approach.
03/2019
For Federal Reserve Bank Use Only
FFIEC 101
Page 5 of 38
A-4
C.I.
Schedule A—Continued
Top-tier advanced approaches and Category III banking organizations should complete Supplementary Leverage Ratio (SLR)
Tables 1 and 2 on a consolidated basis. An advanced approaches or Category III banking organization that is a consolidated
subsidiary of a top-tier banking organization should not complete SLR Tables 1 and 2.
Dollar Amounts in Thousands AAAA
SLR Table 1
Summary comparison of accounting assets and total leverage exposure
1.1. Total consolidated assets as reported in published financial statements ................................
1.2. Adjustment for investments in banking, financial, insurance, and commercial entities that are
consolidated for accounting purposes but outside the scope of regulatory consolidation ........
1.3. Adjustment for fiduciary assets recognized on-balance sheet but excluded from total
leverage exposure (not applicable)
1.4. Adjustment for derivative transactions ...........................................................................
1.5. Adjustment for repo-style transactions...........................................................................
1.6. Adjustment for off-balance sheet exposures ...................................................................
1.7. Other adjustments:
a. Adjustments for deductions from tier 1 capital (report as a positive amount) .....................
b. Adjustments for frequency calculations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
c. Adjustments for deductions of qualifying central bank deposits for custodial
banking organizations .............................................................................................
1.8. Total leverage exposure (sum items 1.1 through 1.6 minus items 1.7.a, 1.7.b, and 1.7.c)1 ......
SLR Table 2
Supplementary leverage ratio
On-balance sheet exposures
2.1. The balance sheet carrying value of all on-balance sheet assets (excluding on-balance sheet
assets for derivative transactions and repo-style transactions, but including collateral) ..........
2.2. Deductions (report as a positive amount):
a. Deductions from common equity tier 1 capital and additional tier 1 capital .......................
b. Deductions of qualifying central bank deposits from total on-balance sheet exposures for
custodial banking organizations................................................................................
2.3. Total on-balance sheet exposures (item 2.1 minus items 2.2.a and 2.2.b)..............................
Amount
2170
1.1.
FS87
1.2.
FS88
FS89
FS90
1.4.
1.5.
1.6.
FS91
FS92
1.7.a.
1.7.b.
LB41
H015
1.7.c.
1.8.
Y830
2.1.
M349
2.2.a.
LB42
D956
2.2.b.
2.3.
Derivative transactions
2.4. Replacement cost for all derivative transactions ............................................................... M337
2.5. Add-on amounts for potential future exposure (PFE) for all derivative transactions ............... M339
2.6. Gross-up for collateral posted in derivative transactions if collateral is deducted from
on-balance sheet assets ............................................................................................. Y822
2.7. Deduction of receivable assets for qualifying cash variation margin posted in derivative
transactions (report as a positive amount) ..................................................................... Y823
2.8. Exempted exposures to central counterparties (CCPs) in cleared transactions
(report as a positive amount) ........................................................................................ Y824
2.9. Adjusted effective notional principal amount of sold credit protection .................................. M340
2.10. Adjusted effective notional principal amount offsets and PFE deductions for sold credit
protection (report as a positive amount)......................................................................... Y825
2.11. Total derivative exposures (sum of items 2.4, 2.5, 2.6 and 2.9, minus items 2.7, 2.8,
and 2.10) ................................................................................................................ Y826
Repo-style transactions
2.12. Gross assets for repo-style transactions, with no recognition of netting .............................. M334
2.13. Reduction of the gross value of receivables in reverse repurchase transactions by cash
payables in repurchase transactions (report as a positive value) ....................................... Y828
2.14. Counterparty credit risk for all repo-style transactions ..................................................... N507
2.15. Exposure amount for repo-style transactions where an institution acts as an agent .............. Y827
2.16. Total exposures for repo-style transactions (sum of items 2.12, 2.14, and 2.15, minus item 2.13) .. Y829
2.4.
2.5.
2.6.
2.7.
2.8.
2.9.
2.10.
2.11.
2.12.
2.13.
2.14.
2.15.
2.16.
1. Institutions that have adopted ASU 2016-13 and have elected to apply the CECL transition provision should include the applicable
portion of the CECL transitional amount in this item.
06/2020
For Federal Reserve Bank Use Only
FFIEC 101
Page 6 of 38
A-5
C.I.
Schedule A—Continued
Dollar Amounts in Thousands
Off-balance sheet exposures
2.17. Off-balance sheet exposures at gross notional amounts.....................................................
2.18. Adjustments for conversion to credit equivalent amounts (report as a positive amount) .........
2.19. Total off-balance sheet exposures (item 2.17 minus item 2.18) ..........................................
Capital and total leverage exposure
2.20. Tier 1 capital .............................................................................................................
2.21. Total leverage exposure (sum of items 2.3, 2.11, 2.16, and 2.19) .......................................
AAAA
Amount
H012
H013
Y831
2.17.
2.18.
2.19.
8274
AAAB
H015
2.20.
AAAA
Supplementary leverage ratio
2.22. Supplementary leverage ratio (item 2.20 divided by item 2.21) .......................................... H036
2.23. Holding companies subject to enhanced SLR standards only: Leverage buffer..................... FS93
2.21.
Percentage1
2.22.
2.23.
1. Report each ratio and buffer as a percentage, rounded to four decimal places.
03/2020
For Federal Reserve Bank Use Only
FFIEC 101
Page 7 of 38
B-1
C.I.
Schedule B—Summary Risk-Weighted Asset Information for Banks Approved to Use
Advanced Internal Ratings-Based and Advanced Measurement Approaches for Regulatory Capital Purposes
Dollar Amounts in Thousands
Exposure Category
Wholesale Exposures
1. Corporate .....................
Non-Defaulted and Defaulted Exposures
(Column A)
Weighted-Average
Probability of
Default
(Column B)
Balance Sheet
Amount
(Column C)
Total Undrawn
Amount
(Column D)
Exposure
at Default
(Column E)
(Column F)
Weighted-Average Wtd-Avg LGD after
Maturity
Consideration of
(Years)
Credit Risk
Mitigants
(Column G)
Risk-Weighted
Assets
(Column H)
Expected
Credit Loss
Percentage
Amount
Amount
Amount
Number
Percentage
Amount
Amount
AABA J124
AABB J124
AABC J124
AABD J124
AABE J124
AABF J124
AABG J124
AABH J124
AABA J125
AABB J125
AABC J125
AABD J125
AABE J125
AABF J125
AABG J125
AABH J125
AABA J126
AABB J126
AABC J126
AABD J126
AABE J126
AABF J126
AABG J126
AABH J126
AABA J127
AABB J127
AABC J127
AABD J127
AABE J127
AABF J127
AABG J127
AABH J127
AABA J128
AABB J128
AABC J128
AABD J128
AABE J128
AABF J128
AABG J128
AABH J128
1.
2. Bank............................
2.
3. Sovereign .....................
3.
4.
4. IPRE ...........................
5. HVCRE ........................
6. Eligible margin loans, repostyle transactions and OTC
derivatives with crossproduct netting—EAD
adjustment method ............
7. Eligible margin loans, repostyle transactions and OTC
derivatives with crossproduct netting—collateral
reflected in LGD................
8. Eligible margin loans, repostyle transactions—no crossproduct netting—EAD
adjustment method ............
9. Eligible margin loans, repostyle transactions—no crossproduct netting—collateral
reflected in LGD................
10. OTC derivatives—no crossproduct netting—EAD
adjustment method ............
11. OTC derivatives—no crossproduct netting—collateral
reflected in LGD ................
5.
AABA J129
AABD J129
AABE J129
AABF J129
AABG J129
AABH J129
6.
AABA J130
AABD J130
AABE J130
AABF J130
AABG J130
AABH J130
7.
AABA J131
AABD J131
AABE J131
AABF J131
AABG J131
AABH J131
8.
AABA J132
AABD J132
AABE J132
AABF J132
AABG J132
AABH J132
9.
AABA J133
AABD J133
AABE J133
AABF J133
AABG J133
AABH J133
10.
AABA J134
AABD J134
AABE J134
AABF J134
AABG J134
AABH J134
11.
06/2008
For Federal Reserve Bank Use Only
FFIEC 101
Page 8 of 38
B-2
C.I.
Schedule B—Continued
Dollar Amounts in Thousands
Exposure Category
Retail Exposures
12. Residential mortgage—
closed-end first lien
exposures.....................
13. Residential mortgage—
closed-end junior lien
exposures.....................
14. Residential mortgage—
revolving exposures ........
15. Qualifying revolving
exposures.....................
Non-Defaulted and Defaulted Exposures
(Column A)
Weighted-Average
Probability of
Default
(Column B)
Balance Sheet
Amount
(Column C)
Total Undrawn
Amount
(Column D)
Exposure
at Default
Percentage
Amount
Amount
Amount
AABA J135
AABB J135
AABC J135
AABD J135
(Column E)
(Column F)
Weighted-Average Weighted-Average
Maturity
LGD after
(Years)
Consideration
of Credit Risk
Mitigants
Number
(Column G)
Risk-Weighted
Assets
(Column H)
Expected
Credit Loss
Percentage
Amount
Amount
AABF J135
AABG J135
AABH J135
12.
AABA J136
AABB J136
AABC J136
AABD J136
AABF J136
AABG J136
AABH J136
AABA J137
AABB J137
AABC J137
AABD J137
AABF J137
AABG J137
AABH J137
AABA J138
AABB J138
AABC J138
AABD J138
AABF J138
AABG J138
AABH J138
AABA J139
AABB J139
AABC J139
AABD J139
AABF J139
AABG J139
AABH J139
13.
14.
15.
16. Other retail exposures .....
Securitization Exposures
17. Subject to the supervisory
formula approach ............
18. Subject to simplified
Supervisory formula
approach ......................
19. Subject to 1,250% risk
weight ..........................
Cleared transactions
20. Derivative contracts and
netting sets to
derivatives ....................
21. Repo-style
transactions ..................
22. Default fund
contributions..................
16.
AABB J142
AABG J142
17.
AABB P920
AABG P920
AABB P921
AABG P921
18.
19.
AABB P922
AABG P922
AABB P923
AABG P923
AABB P924
AABG P924
20.
21.
22.
03/2014
For Federal Reserve Bank Use Only
FFIEC 101
Page 9 of 38
B-3
C.I.
Schedule B—Continued
Dollar Amounts in Thousands
Exposure Category
Non-Defaulted and Defaulted Exposures
(Column A)
Weighted-Average
Probability of
Default
(Column B)
Balance Sheet
Amount
(Column C)
Total Undrawn
Amount
(Column D)
Exposure
at Default
Percentage
Amount
Amount
Amount
Equity Exposures
23. Simple risk-weight method
(SRWA)........................
24. Full internal models
approach (IMA) ..............
(Column E)
(Column F)
Weighted-Average Weighted-Average
Maturity
LGD after
(Years)
Consideration
of Credit Risk
Mitigants
Number
Percentage
(Column G)
Risk-Weighted
Assets
(Column H)
Expected
Credit Loss
Amount
Amount
AABG J144
23.
AABG J145
24.
AABG J146
25. Partial IMA, partial SRWA
Other Assets
26. Unsettled transactions .....
27. Assets not included in a
defined exposure category ..
28. Non-material portfolios of
exposures.....................
29. Sum of Column G, 1
through 28 ....................
30. Total credit risk weighted
assets (cell G-29 x 1.06)
31. Credit Valuation Adjustments:
a. Simple ......................
25.
AABB J147
AABG J147
AABB J148
AABG J148
AABB J149
AABG J149
26.
27.
28.
AABG J150
29.
AABG J151
30.
AABG P925
31.a.
AABG P926
b. Advanced ..................
32. Assets subject to the
general risk-based capital
requirements .................
33. Excess eligible credit
reserves not included in
Tier 2 capital .................
34. Advanced market risk
equivalent assets ...........
31.b.
AABG J198
32.
AABG J152
33.
AABG J153
34.
AABG J154
35. Operational risk .............
36. Total (add cells G-30,
G-31, G-32, G-34 and
G-35, and subtract G-33)
35.
AABG A223
36.
09/2017
FFIEC 101
Page 10 of 38
C-1
Schedule C—Wholesale Exposure: Corporate
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD2
(Column C)
Balance
Sheet
Amount
(Column D)
Total
Undrawn
Amount
(Column E)
EAD
PD Range
Percentage
(Column F) (Column G) (Column H)
(Column I)
WeightedWeightedWeightedEffect of PD
Average
Average
Average
Substitution
Effective
LGD before
LGD after
and LGD
Maturity Consideration Consideration Adjustment
of Eligible of Credit Risk Approaches
(Years)2
Guarantees
on RWA
Mitigants2
and Credit
Derivatives2
(Column J)
Effect of
Double
Default
Treatment
on RWA
(Column K)
RiskWeighted
Assets3
(Column L)
Expected
Credit Loss
Percentage
Number
Amount
Amount
Amount
Number
Percentage
Percentage
Amount
Amount
Amount
Amount
AACA J005
AACB J005
AACC J005
AACD J005
AACE J005
AACF J005
AACG J005
AACH J005
AACI J005
AACJ J005
AACK J005
AACL J005
AACA J008
AACB J008
AACC J008
AACD J008
AACE J008
AACF J008
AACG J008
AACH J008
AACI J008
AACJ J008
AACK J008
AACL J008
AACA J010
AACB J010
AACC J010
AACD J010
AACE J010
AACF J010
AACG J010
AACH J010
AACI J010
AACJ J010
AACK J010
AACL J010
AACA J013
AACB J013
AACC J013
AACD J013
AACE J013
AACF J013
AACG J013
AACH J013
AACI J013
AACJ J013
AACK J013
AACL J013
AACA J014
AACB J014
AACC J014
AACD J014
AACE J014
AACF J014
AACG J014
AACH J014
AACI J014
AACJ J014
AACK J014
AACL J014
AACA J016
AACB J016
AACC J016
AACD J016
AACE J016
AACF J016
AACG J016
AACH J016
AACI J016
AACJ J016
AACK J016
AACL J016
AACA J019
AACB J019
AACC J019
AACD J019
AACE J019
AACF J019
AACG J019
AACH J019
AACI J019
AACJ J019
AACK J019
AACL J019
AACA J025
AACB J025
AACC J025
AACD J025
AACE J025
AACF J025
AACG J025
AACH J025
AACI J025
AACJ J025
AACK J025
AACL J025
AACA J029
AACB J029
AACC J029
AACD J029
AACE J029
AACF J029
AACG J029
AACH J029
AACI J029
AACJ J029
AACK J029
AACL J029
AACA J031
AACB J031
AACC J031
AACD J031
AACE J031
AACF J031
AACG J031
AACH J031
AACI J031
AACJ J031
AACK J031
AACL J031
AACA J033
AACB J033
AACC J033
AACD J033
AACE J033
AACF J033
AACG J033
AACH J033
AACI J033
AACJ J033
AACK J033
AACL J033
AACA J034
AACB J034
AACC J034
AACD J034
AACE J034
AACF J034
AACG J034
AACH J034
AACI J034
AACJ J034
AACK J034
AACL J034
AACB J035
AACC J035
AACD J035
AACE J035
AACF J035
AACG J035
AACH J035
AACI J035
AACJ J035
AACK J035
AACL J035
1. 0.00 to < 0.15 ....
1.
2. 0.15 to < 0.25 ....
2.
3.
3. 0.25 to < 0.35 ....
4. 0.35 to < 0.50 ....
4.
5. 0.50 to < 0.75 ....
5.
6.
6. 0.75 to < 1.35 ....
7. 1.35 to < 2.50 ....
7.
8. 2.50 to < 5.50 ....
8.
9.
9. 5.50 to < 10.00 ..
10. 10.00 to < 20.00..
10.
11. 20.00 to < 100 ...
12. 100.00 (default)..
11.
100.00
AACA J035
12.
13. Total1 .............
13.
Memoranda
Amount
Dollar Amounts in Thousands
1. Risk-weighted assets associated with non-material portfolios not included above ..................................................................................................................
1. Cells in line 13 are calculated.
2. Report weighted averages rounded to two decimal places.
3. Not calculated from previous column entries.
AACX J036
M.1.
10/2022
FFIEC 101
Page 11 of 38
C-2
Schedule C—Continued
Memoranda–Continued
Exposures subject to a wholesale correlation factor multiplier of 1.25.
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD1
2. Regulated financial
institutions .......
3. Unregulated
financial institutions
(Column C)
Balance
Sheet
Amounts
(Column D)
Total
Undrawn
Amount
(Column E)
EAD
(Column F) (Column G) (Column H)
(Column I)
WeightedWeightedWeightedEffect of PD
Average
Average
Average
Substitution
Effective
LGD before
LGD after
and LGD
Maturity Consideration Consideration Adjustment
of Eligible of Credit Risk Approaches
(Years)1
Guarantees
on RWA
Mitigants1
and Credit
Derivatives1
(Column J)
Effect of
Double
Default
Treatment
on RWA
(Column K)
RiskWeighted
Assets
(Column L)
Expected
Credit Loss
Percentage
Number
Amount
Amount
Amount
Number
Percentage
Percentage
Amount
Amount
Amount
Amount
AACA P929
AACB P929
AACC P929
AACD P929
AACE P929
AACF P929
AACG P929
AACH P929
AACI P929
AACJ P929
AACK P929
AACL P929
AACA P930
AACB P930
AACC P930
AACD P930
AACE P930
AACF P930
AACG P930
AACH P930
AACI P930
AACJ P930
AACK P930
AACL P930
M.2.
M.3.
1. Report weighted averages rounded to two decimal places.
03/2016
FFIEC 101
Page 12 of 38
D-1
Schedule D—Wholesale Exposure: Bank
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD2
(Column C)
Balance
Sheet
Amount
(Column D)
Total
Undrawn
Amount
(Column E)
EAD
PD Range
Percentage
(Column F) (Column G)
(Column H)
WeightedWeightedWeightedAverage
Average
Average
Effective
LGD before
LGD after
Maturity
Consideration Consideration
of Eligible
of Credit
(Years)2
Guarantees
Risk
and Credit
Mitigants2
Derivatives2
(Column I)
Effect of PD
Substitution
and LGD
Adjustment
Approaches
on RWA
(Column J)
RiskWeighted
Assets3
(Column K)
Expected
Credit Loss
Percentage
Number
Amount
Amount
Amount
Number
Percentage
Percentage
Amount
Amount
Amount
AADA J005
AADB J005
AADC J005
AADD J005
AADE J005
AADF J005
AADG J005
AADH J005
AADI J005
AADJ J005
AADK J005
AADA J008
AADB J008
AADC J008
AADD J008
AADE J008
AADF J008
AADG J008
AADH J008
AADI J008
AADJ J008
AADK J008
AADA J010
AADB J010
AADC J010
AADD J010
AADE J010
AADF J010
AADG J010
AADH J010
AADI J010
AADJ J010
AADK J010
AADA J013
AADB J013
AADC J013
AADD J013
AADE J013
AADF J013
AADG J013
AADH J013
AADI J013
AADJ J013
AADK J013
AADA J014
AADB J014
AADC J014
AADD J014
AADE J014
AADF J014
AADG J014
AADH J014
AADI J014
AADJ J014
AADK J014
AADA J016
AADB J016
AADC J016
AADD J016
AADE J016
AADF J016
AADG J016
AADH J016
AADI J016
AADJ J016
AADK J016
AADA J019
AADB J019
AADC J019
AADD J019
AADE J019
AADF J019
AADG J019
AADH J019
AADI J019
AADJ J019
AADK J019
AADA J025
AADB J025
AADC J025
AADD J025
AADE J025
AADF J025
AADG J025
AADH J025
AADI J025
AADJ J025
AADK J025
AADA J029
AADB J029
AADC J029
AADD J029
AADE J029
AADF J029
AADG J029
AADH J029
AADI J029
AADJ J029
AADK J029
AADA J031
AADB J031
AADC J031
AADD J031
AADE J031
AADF J031
AADG J031
AADH J031
AADI J031
AADJ J031
AADK J031
AADA J033
AADB J033
AADC J033
AADD J033
AADE J033
AADF J033
AADG J033
AADH J033
AADI J033
AADJ J033
AADK J033
AADA J034
AADB J034
AADC J034
AADD J034
AADE J034
AADF J034
AADG J034
AADH J034
AADI J034
AADJ J034
AADK J034
AADB J035
AADC J035
AADD J035
AADE J035
AADF J035
AADG J035
AADH J035
AADI J035
AADJ J035
AADK J035
1. 0.00 to < 0.15 ...................
1.
2.
2. 0.15 to < 0.25 ..................
3.
3. 0.25 to < 0.35 ...................
4.
4. 0.35 to < 0.50 ...................
5.
5. 0.50 to < 0.75 ...................
6.
6. 0.75 to < 1.35 ...................
7.
7. 1.35 to < 2.50 ...................
8.
8. 2.50 to < 5.50 ...................
9.
9. 5.50 to < 10.00 .................
10.
10. 10.00 to < 20.00.................
11.
11. 20.00 to < 100 ..................
12. 100.00 (default).................
100.00
AADA J035
12.
13. Total1 ............................
13.
Memoranda
Amount
Dollar Amounts in Thousands
1. Risk-weighted assets associated with non-material portfolios not included above ..................................................................................................................
1. Cells in line 13 are calculated.
2. Report weighted averages rounded to two decimal places.
3. Not calculated from previous column entries.
AADX J036
M.1.
10/2022
FFIEC 101
Page 13 of 38
D-2
Schedule D—Continued
Memoranda–Continued
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD1
(Column C)
Balance
Sheet
Amount
(Column D)
Total
Undrawn
Amount
(Column E)
EAD
(Column F) (Column G) (Column H)
(Column I)
WeightedWeightedEffect of PD
WeightedAverage
Average
Substitution
Average
Effective
LGD before
and LGD
LGD after
Maturity Consideration Consideration Adjustment
of Eligible of Credit Risk Approaches
(Years)1
Guarantees
on RWA
Mitigants1
and Credit
Derivatives1
(Column J)
RiskWeighted
Assets
(Column K)
Expected
Credit Loss
Percentage
Number
Amount
Amount
Amount
Number
Percentage
Percentage
Amount
Amount
Amount
AADA P929
AADB P929
AADC P929
AADD P929
AADE P929
AADF P929
AADG P929
AADH P929
AADI P929
AADJ P929
AADK P929
AADA P930
AADB P930
AADC P930
AADD P930
AADE P930
AADF P930
AADG P930
AADH P930
AADI P930
AADJ P930
AADK P930
2. Regulated financial institutions ..
M.2.
3. Unregulated financial institutions ..
M.3.
1. Report weighted averages rounded to two decimal places.
03/2016
FFIEC 101
Page 14 of 38
E-1
Schedule E—Wholesale Exposure: Sovereign
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD2
(Column C)
Balance
Sheet
Amount
(Column D)
Total
Undrawn
Amount
(Column E)
EAD
PD Range
Percentage
(Column F) (Column G)
(Column H)
WeightedWeightedWeightedAverage
Average
Average
Effective
LGD before
LGD after
Maturity
Consideration Consideration
of Eligible
of Credit
(Years)2
Guarantees
Risk
and Credit
Mitigants2
Derivatives2
(Column I)
Effect of PD
Substitution
and LGD
Adjustment
Approaches
on RWA
(Column J)
RiskWeighted
Assets3
(Column K)
Expected
Credit Loss
Percentage
Number
Amount
Amount
Amount
Number
Percentage
Percentage
Amount
Amount
Amount
AAEA J005
AAEB J005
AAEC J005
AAED J005
AAEE J005
AAEF J005
AAEG J005
AAEH J005
AAEI J005
AAEJ J005
AAEK J005
AAEA J008
AAEB J008
AAEC J008
AAED J008
AAEE J008
AAEF J008
AAEG J008
AAEH J008
AAEI J008
AAEJ J008
AAEK J008
AAEA J010
AAEB J010
AAEC J010
AAED J010
AAEE J010
AAEF J010
AAEG J010
AAEH J010
AAEI J010
AAEJ J010
AAEK J010
AAEA J013
AAEB J013
AAEC J013
AAED J013
AAEE J013
AAEF J013
AAEG J013
AAEH J013
AAEI J013
AAEJ J013
AAEK J013
AAEA J014
AAEB J014
AAEC J014
AAED J014
AAEE J014
AAEF J014
AAEG J014
AAEH J014
AAEI J014
AAEJ J014
AAEK J014
AAEA J016
AAEB J016
AAEC J016
AAED J016
AAEE J016
AAEF J016
AAEG J016
AAEH J016
AAEI J016
AAEJ J016
AAEK J016
AAEA J019
AAEB J019
AAEC J019
AAED J019
AAEE J019
AAEF J019
AAEG J019
AAEH J019
AAEI J019
AAEJ J019
AAEK J019
AAEA J025
AAEB J025
AAEC J025
AAED J025
AAEE J025
AAEF J025
AAEG J025
AAEH J025
AAEI J025
AAEJ J025
AAEK J025
AAEA J029
AAEB J029
AAEC J029
AAED J029
AAEE J029
AAEF J029
AAEG J029
AAEH J029
AAEI J029
AAEJ J029
AAEK J029
AAEA J031
AAEB J031
AAEC J031
AAED J031
AAEE J031
AAEF J031
AAEG J031
AAEH J031
AAEI J031
AAEJ J031
AAEK J031
AAEA J033
AAEB J033
AAEC J033
AAED J033
AAEE J033
AAEF J033
AAEG J033
AAEH J033
AAEI J033
AAEJ J033
AAEK J033
AAEA J034
AAEB J034
AAEC J034
AAED J034
AAEE J034
AAEF J034
AAEG J034
AAEH J034
AAEI J034
AAEJ J034
AAEK J034
AAEA J035
AAEB J035
AAEC J035
AAED J035
AAEE J035
AAEF J035
AAEG J035
AAEH J035
AAEI J035
AAEJ J035
AAEK J035
1. 0.00 to < 0.15 ...................
1.
2. 0.15 to < 0.25 ...................
2.
3. 0.25 to < 0.35 ...................
3.
4. 0.35 to < 0.50 ...................
4.
5. 0.50 to < 0.75 ...................
5.
6. 0.75 to < 1.35 ...................
6.
7. 1.35 to < 2.50 ...................
7.
8. 2.50 to < 5.50 ...................
8.
9. 5.50 to < 10.00 .................
9.
10. 10.00 to < 20.00.................
10.
11. 20.00 to < 100 ..................
11.
12. 100.00 (default) ................
12.
13. Total1 ............................
13.
Memoranda
Amount
Dollar Amounts in Thousands
1. Risk-weighted assets associated with non-material portfolios not included above .................................................................................................................
1. Cells in line 13 are calculated.
2. Report weighted averages rounded to two decimal places.
3. Not calculated from previous column entries.
AAEX J036
M.1.
10/2022
FFIEC 101
Page 15 of 38
F-1
Schedule F—Wholesale Exposure: IPRE
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD2
(Column C)
Balance
Sheet
Amount
(Column D)
Total
Undrawn
Amount
(Column E)
EAD
PD Range
Percentage
(Column F) (Column G) (Column H)
(Column I)
WeightedWeightedWeightedEffect of PD
Average
Average
Average
Substitution
Effective
LGD before
LGD after
and LGD
Maturity Consideration Consideration Adjustment
of Eligible of Credit Risk Approaches
(Years)2
Guarantees
on RWA
Mitigants2
and Credit
Derivatives2
(Column J)
Effect of
Double
Default
Treatment
on RWA
(Column K)
RiskWeighted
Assets3
(Column L)
Expected
Credit Loss
Percentage
Number
Amount
Amount
Amount
Number
Percentage
Percentage
Amount
Amount
Amount
Amount
AAFA J005
AAFB J005
AAFC J005
AAFD J005
AAFE J005
AAFF J005
AAFG J005
AAFH J005
AAFI J005
AAFJ J005
AAFK J005
AAFL J005
AAFA J008
AAFB J008
AAFC J008
AAFD J008
AAFE J008
AAFF J008
AAFG J008
AAFH J008
AAFI J008
AAFJ J008
AAFK J008
AAFL J008
AAFA J010
AAFB J010
AAFC J010
AAFD J010
AAFE J010
AAFF J010
AAFG J010
AAFH J010
AAFI J010
AAFJ J010
AAFK J010
AAFL J010
AAFA J013
AAFB J013
AAFC J013
AAFD J013
AAFE J013
AAFF J013
AAFG J013
AAFH J013
AAFI J013
AAFJ J013
AAFK J013
AAFL J013
AAFA J014
AAFB J014
AAFC J014
AAFD J014
AAFE J014
AAFF J014
AAFG J014
AAFH J014
AAFI J014
AAFJ J014
AAFK J014
AAFL J014
AAFA J016
AAFB J016
AAFC J016
AAFD J016
AAFE J016
AAFF J016
AAFG J016
AAFH J016
AAFI J016
AAFJ J016
AAFK J016
AAFL J016
AAFA J019
AAFB J019
AAFC J019
AAFD J019
AAFE J019
AAFF J019
AAFG J019
AAFH J019
AAFI J019
AAFJ J019
AAFK J019
AAFL J019
AAFA J025
AAFB J025
AAFC J025
AAFD J025
AAFE J025
AAFF J025
AAFG J025
AAFH J025
AAFI J025
AAFJ J025
AAFK J025
AAFL J025
AAFA J029
AAFB J029
AAFC J029
AAFD J029
AAFE J029
AAFF J029
AAFG J029
AAFH J029
AAFI J029
AAFJ J029
AAFK J029
AAFL J029
AAFA J031
AAFB J031
AAFC J031
AAFD J031
AAFE J031
AAFF J031
AAFG J031
AAFH J031
AAFI J031
AAFJ J031
AAFK J031
AAFL J031
AAFA J033
AAFB J033
AAFC J033
AAFD J033
AAFE J033
AAFF J033
AAFG J033
AAFH J033
AAFI J033
AAFJ J033
AAFK J033
AAFL J033
AAFA J034
AAFB J034
AAFC J034
AAFD J034
AAFE J034
AAFF J034
AAFG J034
AAFH J034
AAFI J034
AAFJ J034
AAFK J034
AAFL J034
AAFA J035
AAFB J035
AAFC J035
AAFD J035
AAFE J035
AAFF J035
AAFG J035
AAFH J035
AAFI J035
AAFJ J035
AAFK J035
AAFL J035
1. 0.00 to < 0.15 ....
1.
2. 0.15 to < 0.25 ....
2.
3. 0.25 to < 0.35 ....
3.
4. 0.35 to < 0.50 ....
4.
5. 0.50 to < 0.75 ....
5.
6. 0.75 to < 1.35 ....
6.
7. 1.35 to < 2.50 ....
7.
8. 2.50 to < 5.50 ....
8.
9. 5.50 to < 10.00 ..
9.
10. 10.00 to < 20.00..
10.
11. 20.00 to < 100 ...
11.
12. 100.00 (default) ..
12.
13. Total1 .............
13.
Memoranda
Amount
Dollar Amounts in Thousands
1. Risk-weighted assets associated with non-material portfolios not included above .................................................................................................................
1. Cells in line 13 are calculated.
2. Report weighted averages rounded to two decimal places.
3. Not calculated from previous column entries.
AAFX J036
M.1.
10/2022
FFIEC 101
Page 16 of 38
G-1
Schedule G—Wholesale Exposure: HVCRE
Dollar Amounts in Thousands
(Column A) (Column B)
Weighted- Number of
Average
Obligors
Obligor PD2
(Column C)
Balance
Sheet
Amount
(Column D)
Total
Undrawn
Amount
(Column E)
EAD
PD Range
Percentage
(Column F) (Column G) (Column H)
(Column I)
WeightedWeightedWeightedEffect of PD
Average
Average
Average
Substitution
Effective
LGD before
LGD after
and LGD
Maturity Consideration Consideration Adjustment
of Eligible of Credit Risk Approaches
(Years)2
Guarantees
on RWA
Mitigants2
and Credit
Derivatives2
(Column J)
Effect of
Double
Default
Treatment
on RWA
(Column K)
RiskWeighted
Assets3
(Column L)
Expected
Credit Loss
Percentage
Number
Amount
Amount
Amount
Number
Percentage
Percentage
Amount
Amount
Amount
Amount
AAGA J005
AAGB J005
AAGC J005
AAGD J005
AAGE J005
AAGF J005
AAGG J005
AAGH J005
AAGI J005
AAGJ J005
AAGK J005
AAGL J005
AAGA J008
AAGB J008
AAGC J008
AAGD J008
AAGE J008
AAGF J008
AAGG J008
AAGH J008
AAGI J008
AAGJ J008
AAGK J008
AAGL J008
AAGA J010
AAGB J010
AAGC J010
AAGD J010
AAGE J010
AAGF J010
AAGG J010
AAGH J010
AAGI J010
AAGJ J010
AAGK J010
AAGL J010
AAGA J013
AAGB J013
AAGC J013
AAGD J013
AAGE J013
AAGF J013
AAGG J013
AAGH J013
AAGI J013
AAGJ J013
AAGK J013
AAGL J013
AAGA J014
AAGB J014
AAGC J014
AAGD J014
AAGE J014
AAGF J014
AAGG J014
AAGH J014
AAGI J014
AAGJ J014
AAGK J014
AAGL J014
AAGA J016
AAGB J016
AAGC J016
AAGD J016
AAGE J016
AAGF J016
AAGG J016
AAGH J016
AAGI J016
AAGJ J016
AAGK J016
AAGL J016
AAGA J019
AAGB J019
AAGC J019
AAGD J019
AAGE J019
AAGF J019
AAGG J019
AAGH J019
AAGI J019
AAGJ J019
AAGK J019
AAGL J019
AAGA J025
AAGB J025
AAGC J025
AAGD J025
AAGE J025
AAGF J025
AAGG J025
AAGH J025
AAGI J025
AAGJ J025
AAGK J025
AAGL J025
AAGA J029
AAGB J029
AAGC J029
AAGD J029
AAGE J029
AAGF J029
AAGG J029
AAGH J029
AAGI J029
AAGJ J029
AAGK J029
AAGL J029
AAGA J031
AAGB J031
AAGC J031
AAGD J031
AAGE J031
AAGF J031
AAGG J031
AAGH J031
AAGI J031
AAGJ J031
AAGK J031
AAGL J031
AAGA J033
AAGB J033
AAGC J033
AAGD J033
AAGE J033
AAGF J033
AAGG J033
AAGH J033
AAGI J033
AAGJ J033
AAGK J033
AAGL J033
AAGA J034
AAGB J034
AAGC J034
AAGD J034
AAGE J034
AAGF J034
AAGG J034
AAGH J034
AAGI J034
AAGJ J034
AAGK J034
AAGL J034
AAGA J035
AAGB J035
AAGC J035
AAGD J035
AAGE J035
AAGF J035
AAGG J035
AAGH J035
AAGI J035
AAGJ J035
AAGK J035
AAGL J035
1. 0.00 to < 0.15 ....
1.
2. 0.15 to < 0.25 ....
2.
3. 0.25 to < 0.35 ....
3.
4. 0.35 to < 0.50 ....
4.
5. 0.50 to < 0.75 ....
5.
6. 0.75 to < 1.35 ....
6.
7. 1.35 to < 2.50 ....
7.
8. 2.50 to < 5.50 ....
8.
9. 5.50 to < 10.00 ..
9.
10. 10.00 to < 20.00..
10.
11. 20.00 to < 100 ...
11.
12. 100.00 (default) ..
12.
13. Total1 .............
13.
Memoranda
Amount
Dollar Amounts in Thousands
1. Risk-weighted assets associated with non-material portfolios not included above .................................................................................................................
1. Cells in line 13 are calculated.
2. Report weighted averages rounded to two decimal places.
3. Not calculated from previous column entries.
AAGX J036
M.1.
10/2022
FFIEC 101
Page 17 of 38
H-1
Schedule H—Wholesale Exposure: Eligible Margin Loans, Repo-Style Transactions, and OTC Derivatives
with Cross-Product Netting
Dollar Amounts in Thousands
Exposures with EAD Adjustment
PD Range
Percentage
(Column A) (Column B)
Weighted- WeightedAverage PD2 Average
Effective
Maturity
(Years)2
(Column C)
EAD
(Column D)
WeightedAverage
LGD2
Exposures Where Collateral Is Reflected in LGD
(Column E)
RiskWeighted
Assets3
(Column F)
Expected
Credit Loss
(Column G) (Column H)
Weighted- WeightedAverage
Average
Maturity
PD2
(Years)2
(Column I)
EAD
(Column J)
WeightedAverage
LGD2
(Column K)
RiskWeighted
Assets3
(Column L)
Expected
Credit Loss
Percentage
Number
Amount
Percentage
Amount
Amount
Percentage
Number
Amount
Percentage
Amount
Amount
AAHA J001
AAHB J001
AAHC J001
AAHD J001
AAHE J001
AAHF J001
AAHG J001
AAHH J001
AAHI J001
AAHJ J001
AAHK J001
AAHL J001
AAHA J003
AAHB J003
AAHC J003
AAHD J003
AAHE J003
AAHF J003
AAHG J003
AAHH J003
AAHI J003
AAHJ J003
AAHK J003
AAHL J003
AAHA J006
AAHB J006
AAHC J006
AAHD J006
AAHE J006
AAHF J006
AAHG J006
AAHH J006
AAHI J006
AAHJ J006
AAHK J006
AAHL J006
AAHA J008
AAHB J008
AAHC J008
AAHD J008
AAHE J008
AAHF J008
AAHG J008
AAHH J008
AAHI J008
AAHJ J008
AAHK J008
AAHL J008
AAHA J012
AAHB J012
AAHC J012
AAHD J012
AAHE J012
AAHF J012
AAHG J012
AAHH J012
AAHI J012
AAHJ J012
AAHK J012
AAHL J012
AAHA J014
AAHB J014
AAHC J014
AAHD J014
AAHE J014
AAHF J014
AAHG J014
AAHH J014
AAHI J014
AAHJ J014
AAHK J014
AAHL J014
AAHA J016
AAHB J016
AAHC J016
AAHD J016
AAHE J016
AAHF J016
AAHG J016
AAHH J016
AAHI J016
AAHJ J016
AAHK J016
AAHL J016
AAHA J019
AAHB J019
AAHC J019
AAHD J019
AAHE J019
AAHF J019
AAHG J019
AAHH J019
AAHI J019
AAHJ J019
AAHK J019
AAHL J019
AAHA J025
AAHB J025
AAHC J025
AAHD J025
AAHE J025
AAHF J025
AAHG J025
AAHH J025
AAHI J025
AAHJ J025
AAHK J025
AAHL J025
AAHA J029
AAHB J029
AAHC J029
AAHD J029
AAHE J029
AAHF J029
AAHG J029
AAHH J029
AAHI J029
AAHJ J029
AAHK J029
AAHL J029
AAHA J032
AAHB J032
AAHC J032
AAHD J032
AAHE J032
AAHF J032
AAHG J032
AAHH J032
AAHI J032
AAHJ J032
AAHK J032
AAHL J032
AAHA J034
AAHB J034
AAHC J034
AAHD J034
AAHE J034
AAHF J034
AAHG J034
AAHH J034
AAHI J034
AAHJ J034
AAHK J034
AAHL J034
1. 0.00 to < 0.03 ........
1.
2. 0.03 to < 0.10 ........
2.
3. 0.10 to < 0.15 ........
3.
4.
4. 0.15 to < 0.25 ........
5. 0.25 to < 0.50 ........
5.
6. 0.50 to < 0.75 ........
6.
7.
7. 0.75 to < 1.35 ........
8. 1.35 to < 2.50 ........
8.
9. 2.50 to < 5.50 ........
9.
10.
10. 5.50 to < 10.00 ......
11. 10.00 to < 100 .......
11.
12. 100.00 (default) ....
12.
13. Eligible margin
loans where a
300% risk weight
has been applied....
AAHC J037
AAHE J037
13.
AAHA J035
AAHB J035
AAHC J035
14. Total1 .................
1. Cells in line 14 are calculated.
2. Report weighted averages rounded to two decimal places.
3. Not calculated from previous column entries.
AAHD J035
AAHE J035
AAHF J035
AAHG J035
AAHH J035
AAHI J035
AAHJ J035
AAHK J035
AAHL J035
14.
10/2022
FFIEC 101
Page 18 of 38
H-2
Schedule H—Continued
Memoranda
Exposures subject to a wholesale correlation factor multiplier of 1.25.
Dollar Amounts in Thousands
Exposures with EAD Adjustment
(Column A) (Column B)
Weighted- WeightedAverage PD1 Average
Effective
Maturity
(Years)1
(Column C)
EAD
(Column D)
WeightedAverage
LGD1
Exposures Where Collateral Is Reflected in LGD
(Column E)
RiskWeighted
Assets
(Column F)
Expected
Credit Loss
(Column G) (Column H)
Weighted- WeightedAverage
Average
Maturity
PD1
(Years)1
(Column I)
EAD
(Column J)
WeightedAverage
LGD1
(Column K)
RiskWeighted
Assets
(Column L)
Expected
Credit Loss
Percentage
Number
Amount
Percentage
Amount
Amount
Percentage
Number
Amount
Percentage
Amount
Amount
1. Regulated
institutions..........
AAHA P929
AAHB P929
AAHC P929
AAHD P929
AAHE P929
AAHF P929
AAHG P929
AAHH P929
AAHI P929
AAHJ P929
AAHK P929
AAHL P929
2. Unregulated
institutions..........
AAHA P930
AAHB P930
AAHC P930
AAHD P930
AAHE P930
AAHF P930
AAHG P930
AAHH P930
AAHI P930
AAHJ P930
AAHK P930
AAHL P930
M.1.
M.2.
IMM Margin Period of Risk and Specific Wrong Way Risk.
Dollar Amounts in Thousands
Holding Period or Margin Period of risk Holding period or Margin Period of risk Exposures with specific wrong-way risk
set for 20 days
for which the bank would otherwise
set for at least twice the minimum holdapply the IMM.
ing period that would otherwise be used
(due to at least 3 disputes)
Holding Period, Margin Period of Risk and Specific Wrong Way Risk
3. Exposure amount and risk-weighted assets ...............................
(Column A)
Exposure
Amount
(Column B)
Risk-Weighted
Assets
(Column C)
Exposure
Amount
(Column D)
Risk-Weighted
Assets
(Column E)
Exposure
Amount
(Column F)
Risk-Weighted
Assets
Amount
Amount
Amount
Amount
Amount
Amount
AAHM P931
AAHN P931
AAHO P931
AAHP P931
AAHQ P931
AAHR P931
M.3.
1. Report weighted averages rounded to two decimal places.
03/2016
FFIEC 101
Page 19 of 38
I-1
Schedule I—Wholesale Exposure: Eligible Margin Loans and Repo-Style Transactions
with No Cross-Product Netting
Dollar Amounts in Thousands
Exposures with EAD Adjustment
PD Range
Percentage
(Column A) (Column B)
Weighted- WeightedAverage PD2 Average
Effective
Maturity
(Years)2
(Column C)
EAD
(Column D)
WeightedAverage
LGD2
Exposures Where Collateral Is Reflected in LGD
(Column E)
RiskWeighted
Assets3
(Column F)
Expected
Credit Loss
(Column G) (Column H)
Weighted- WeightedAverage
Average
Maturity
PD2
(Years)2
(Column I)
EAD
(Column J)
WeightedAverage
LGD2
(Column K)
RiskWeighted
Assets3
(Column L)
Expected
Credit Loss
Percentage
Number
Amount
Percentage
Amount
Amount
Percentage
Number
Amount
Percentage
Amount
Amount
AAIA J001
AAIB J001
AAIC J001
AAID J001
AAIE J001
AAIF J001
AAIG J001
AAIH J001
AAII J001
AAIJ J001
AAIK J001
AAIL J001
AAIA J003
AAIB J003
AAIC J003
AAID J003
AAIE J003
AAIF J003
AAIG J003
AAIH J003
AAII J003
AAIJ J003
AAIK J003
AAIL J003
AAIA J006
AAIB J006
AAIC J006
AAID J006
AAIE J006
AAIF J006
AAIG J006
AAIH J006
AAII J006
AAIJ J006
AAIK J006
AAIL J006
AAIA J008
AAIB J008
AAIC J008
AAID J008
AAIE J008
AAIF J008
AAIG J008
AAIH J008
AAII J008
AAIJ J008
AAIK J008
AAIL J008
AAIA J012
AAIB J012
AAIC J012
AAID J012
AAIE J012
AAIF J012
AAIG J012
AAIH J012
AAII J012
AAIJ J012
AAIK J012
AAIL J012
AAIA J014
AAIB J014
AAIC J014
AAID J014
AAIE J014
AAIF J014
AAIG J014
AAIH J014
AAII J014
AAIJ J014
AAIK J014
AAIL J014
AAIA J016
AAIB J016
AAIC J016
AAID J016
AAIE J016
AAIF J016
AAIG J016
AAIH J016
AAII J016
AAIJ J016
AAIK J016
AAIL J016
AAIA J019
AAIB J019
AAIC J019
AAID J019
AAIE J019
AAIF J019
AAIG J019
AAIH J019
AAII J019
AAIJ J019
AAIK J019
AAIL J019
AAIA J025
AAIB J025
AAIC J025
AAID J025
AAIE J025
AAIF J025
AAIG J025
AAIH J025
AAII J025
AAIJ J025
AAIK J025
AAIL J025
AAIA J029
AAIB J029
AAIC J029
AAID J029
AAIE J029
AAIF J029
AAIG J029
AAIH J029
AAII J029
AAIJ J029
AAIK J029
AAIL J029
AAIA J032
AAIB J032
AAIC J032
AAID J032
AAIE J032
AAIF J032
AAIG J032
AAIH J032
AAII J032
AAIJ J032
AAIK J032
AAIL J032
AAIA J034
AAIB J034
AAIC J034
AAID J034
AAIE J034
AAIF J034
AAIG J034
AAIH J034
AAII J034
AAIJ J034
AAIK J034
AAIL J034
1. 0.00 to < 0.03 ......
1.
2. 0.03 to < 0.10 ......
2.
3. 0.10 to < 0.15 ......
3.
4.
4. 0.15 to < 0.25 ......
5. 0.25 to < 0.50 ......
5.
6. 0.50 to < 0.75 ......
6.
7.
7. 0.75 to < 1.35 ......
8. 1.35 to < 2.50 ......
8.
9. 2.50 to < 5.50 ......
9.
10.
10. 5.50 to < 10.00 ....
11. 10.00 to < 100 .....
11.
12. 100.00 (default) ...
12.
13. Eligible margin
loans where a
300% risk weight
has been applied..
AAIC J037
AAIE J037
13.
AAIA J035
AAIB J035
AAIC J035
14. Total1 ...............
1. Cells in line 14 are calculated.
2. Report weighted averages rounded to two decimal places.
3. Not calculated from previous column entries
AAID J035
AAIE J035
AAIF J035
AAIG J035
AAIH J035
AAII J035
AAIJ J035
AAIK J035
AAIL J035
14.
10/2022
FFIEC 101
Page 20 of 38
I-2
Schedule I—Continued
Memoranda
EAD Adjustment Method
(Column A)
Collateral Haircut
(Column B)
Simple VaR
(Column C)
Internal Models
AAIX J038
AAIX J039
AAIX J040
1
1. Percent of line 14, column C calculated using ........................................................................................................................
M.1.
Exposures subject to a wholesale correlation factor multiplier of 1.25.
Dollar Amounts in Thousands
Exposures with EAD Adjustment
(Column A) (Column B)
Weighted- WeightedAverage PD2 Average
Effective
Maturity
(Years)2
(Column C)
EAD
(Column D)
WeightedAverage
LGD2
Exposures Where Collateral Is Reflected in LGD
(Column E)
RiskWeighted
Assets
(Column F)
Expected
Credit Loss
(Column G) (Column H)
Weighted- WeightedAverage
Average
Maturity
PD2
(Years)2
(Column I)
EAD
(Column J)
WeightedAverage
LGD2
(Column K)
RiskWeighted
Assets
(Column L)
Expected
Credit Loss
Percentage
Number
Amount
Percentage
Amount
Amount
Percentage
Number
Amount
Percentage
Amount
Amount
2. Regulated
institutions .........
AAIA P929
AAIB P929
AAIC P929
AAID P929
AAIE P929
AAIF P929
AAIG P929
AAIH P929
AAII P929
AAIJ P929
AAIK P929
AAIL P929
3. Unregulated
institutions .........
AAIA P930
AAIB P930
AAIC P930
AAID P930
AAIE P930
AAIF P930
AAIG P930
AAIH P930
AAII P930
AAIJ P930
AAIK P930
AAIL P930
M.2.
M.3.
IMM Margin Period of Risk and Specific Wrong Way Risk.
Dollar Amounts in Thousands
Holding Period or Margin Period of risk Holding period or Margin Period of risk Exposures with specific wrong-way risk
set for 20 days
for which the bank would otherwise
set for at least twice the minimum holdapply the IMM.
ing period that would otherwise be used
(due to at least 3 disputes)
Holding Period, Margin Period of Risk and Specific Wrong Way Risk
4. Exposure amount and risk-weighted assets ...............................
(Column A)
Exposure
Amount
(Column B)
Risk-Weighted
Assets
(Column C)
Exposure
Amount
(Column D)
Risk-Weighted
Assets
(Column E)
Exposure
Amount
(Column F)
Risk-Weighted
Assets
Amount
Amount
Amount
Amount
Amount
Amount
AAIM P931
AAIN P931
AAIO P931
AAIP P931
AAIQ P931
AAIR P931
M.4.
1. Report each percentage rounded to one decimal place.
2. Report weighted averages rounded to two decimal places.
03/2016
FFIEC 101
Page 21 of 38
J-1
Schedule J—Wholesale Exposure: OTC Derivatives
with No Cross-Product Netting
Dollar Amounts in Thousands
Exposures with EAD Adjustment
PD Range
Percentage
(Column A) (Column B)
Weighted- WeightedAverage PD2 Average
Effective
Maturity
(Years)2
(Column C)
EAD
(Column D)
WeightedAverage
LGD2
(Column E)
RiskWeighted
Assets3
(Column F)
Expected
Credit Loss
Exposures Where Collateral Is Reflected in LGD4
(Column G) (Column H) (Column I)
(Column J) (Column K)
Weighted- WeightedEAD
WeightedRiskAverage
Average
Average
Weighted
Maturity
PD2
LGD2
Assets3
(Years)2
(Column L)
Expected
Credit Loss
Percentage
Number
Amount
Percentage
Amount
Amount
Percentage
Number
Amount
Percentage
Amount
Amount
AAJA J001
AAJB J001
AAJC J001
AAJD J001
AAJE J001
AAJF J001
AAJG J001
AAJH J001
AAJI J001
AAJJ J001
AAJK J001
AAJL J001
AAJA J003
AAJB J003
AAJC J003
AAJD J003
AAJE J003
AAJF J003
AAJG J003
AAJH J003
AAJI J003
AAJJ J003
AAJK J003
AAJL J003
AAJA J006
AAJB J006
AAJC J006
AAJD J006
AAJE J006
AAJF J006
AAJG J006
AAJH J006
AAJI J006
AAJJ J006
AAJK J006
AAJL J006
AAJA J008
AAJB J008
AAJC J008
AAJD J008
AAJE J008
AAJF J008
AAJG J008
AAJH J008
AAJI J008
AAJJ J008
AAJK J008
AAJL J008
AAJA J012
AAJB J012
AAJC J012
AAJD J012
AAJE J012
AAJF J012
AAJG J012
AAJH J012
AAJI J012
AAJJ J012
AAJK J012
AAJL J012
AAJA J014
AAJB J014
AAJC J014
AAJD J014
AAJE J014
AAJF J014
AAJG J014
AAJH J014
AAJI J014
AAJJ J014
AAJK J014
AAJL J014
AAJA J016
AAJB J016
AAJC J016
AAJD J016
AAJE J016
AAJF J016
AAJG J016
AAJH J016
AAJI J016
AAJJ J016
AAJK J016
AAJL J016
AAJA J019
AAJB J019
AAJC J019
AAJD J019
AAJE J019
AAJF J019
AAJG J019
AAJH J019
AAJI J019
AAJJ J019
AAJK J019
AAJL J019
AAJA J025
AAJB J025
AAJC J025
AAJD J025
AAJE J025
AAJF J025
AAJG J025
AAJH J025
AAJI J025
AAJJ J025
AAJK J025
AAJL J025
AAJA J029
AAJB J029
AAJC J029
AAJD J029
AAJE J029
AAJF J029
AAJG J029
AAJH J029
AAJI J029
AAJJ J029
AAJK J029
AAJL J029
AAJA J032
AAJB J032
AAJC J032
AAJD J032
AAJE J032
AAJF J032
AAJG J032
AAJH J032
AAJI J032
AAJJ J032
AAJK J032
AAJL J032
AAJA J034
AAJB J034
AAJC J034
AAJD J034
AAJE J034
AAJF J034
AAJG J034
AAJH J034
AAJI J034
AAJJ J034
AAJK J034
AAJL J034
AAJA J035
AAJB J035
AAJC J035
AAJD J035
AAJE J035
AAJF J035
AAJG J035
AAJH J035
AAJI J035
AAJJ J035
AAJK J035
AAJL J035
1. 0.00 to < 0.03 ......
1.
2.
2. 0.03 to < 0.10 ......
3. 0.10 to < 0.15 ......
3.
4. 0.15 to < 0.25 ......
4.
5.
5. 0.25 to < 0.50 ......
6. 0.50 to < 0.75 ......
6.
7. 0.75 to < 1.35 ......
7.
8.
8. 1.35 to < 2.50 ......
9. 2.50 to < 5.50 ......
9.
10. 5.50 to < 10.00 ....
10.
11.
11. 10.00 to < 100 .....
12. 100.00 (default) ...
12.
13. Total1 ...............
13.
1. Cells in line 13 are calculated.
2. Report weighted averages rounded to two decimal places.
3. Not calculated from previous column entries.
4. Report exposures for which the bank uses the current exposure methodology to determine EAD and reflects collateral, if any, in LGD.
10/2022
FFIEC 101
Page 22 of 38
J-2
Schedule J—Continued
Memoranda
(Column A)
(Column B)
Collateral Haircut Internal Models
EAD Adjustment Method
AAJX J038
AAJX J040
1
1. Percent of line 13, column C calculated using ........................................................................................................................................
M.1.
Exposures subject to a wholesale correlation factor multiplier of 1.25.
Dollar Amounts in Thousands
Exposures with EAD Adjustment
(Column A) (Column B)
Weighted- WeightedAverage PD2 Average
Effective
Maturity
(Years)2
(Column C)
EAD
(Column D)
WeightedAverage
LGD2
Exposures Where Collateral Is Reflected in LGD
(Column E)
RiskWeighted
Assets
(Column F)
Expected
Credit Loss
(Column G) (Column H)
Weighted- WeightedAverage
Average
Maturity
PD2
(Years)2
(Column I)
EAD
(Column J)
WeightedAverage
LGD2
(Column K)
RiskWeighted
Assets
(Column L)
Expected
Credit Loss
Percentage
Number
Amount
Percentage
Amount
Amount
Percentage
Number
Amount
Percentage
Amount
Amount
2. Regulated
institutions .........
AAJA P929
AAJB P929
AAJC P929
AAJD P929
AAJE P929
AAJF P929
AAJG P929
AAJH P929
AAJI P929
AAJJ P929
AAJK P929
AAJL P929
3. Unregulated
institutions .........
AAJA P930
AAJB P930
AAJC P930
AAJD P930
AAJE P930
AAJF P930
AAJG P930
AAJH P930
AAJI P930
AAJJ P930
AAJK P930
AAJL P930
M.2.
M.3.
IMM Margin Period of Risk and Specific Wrong Way Risk.
Dollar Amounts in Thousands
Holding Period or Margin Period of risk Holding period or Margin Period of risk Exposures with specific wrong-way risk
set for 20 days
for which the bank would otherwise
set for at least twice the minimum holdapply the IMM.
ing period that would otherwise be used
(due to at least 3 disputes)
Holding Period, Margin Period of Risk and Specific Wrong Way Risk
4. Exposure amount and risk-weighted assets ...............................
(Column A)
Exposure
Amount
(Column B)
Risk-Weighted
Assets
(Column C)
Exposure
Amount
(Column D)
Risk-Weighted
Assets
(Column E)
Exposure
Amount
(Column F)
Risk-Weighted
Assets
Amount
Amount
Amount
Amount
Amount
Amount
AAJM P931
AAJN P931
AAJO P931
AAJP P931
AAJQ P931
AAJR P931
M.4.
1. Report each percentage rounded to one decimal place.
2. Report weighted averages rounded to two decimal places.
03/2016
FFIEC 101
Page 23 of 38
K-1
Schedule K—Retail Exposure: Residential Mortgage—Closed-End First Lien Exposures
Dollar Amounts in Thousands
LTV4
PD Range
(Column A)
WeightedAverage PD2
(Column B)
Number of
Exposures
(Column C)
(Column D)
Total Balance Total Undrawn
Sheet Amount
Amount
(Column E)
EAD
(Column F)
(Column G)
(Column H)
WeightedWeighted- Risk-Weighted
Average Age Average LGD2
Assets3
(Months)2
(Column I)
Expected
Credit Loss
(Column J)
Less Than
70%
(Column K)
At Least
70% but
Less Than
80%
(Column L)
At Least
80% but
Less Than
90%
(Column M)
At Least
90% but
Less Than
100%
(Column N)
(Column O)
(Column P)
Greater than
WeightedEAD of
or Equal to
Average
Accounts with
100%
Bureau Score5 Updated LTV
Percentage
Percentage
Number
Amount
Amount
Amount
Number
Percentage
Amount
Amount
Amount
Amount
Amount
Amount
Amount
Number
Amount
AAKA J002
AAKB J002
AAKC J002
AAKD J002
AAKE J002
AAKF J002
AAKG J002
AAKH J002
AAKI J002
AAKJ J002
AAKK J002
AAKL J002
AAKM J002
AAKN J002
AAKO J002
AAKP J002
AAKA J004
AAKB J004
AAKC J004
AAKD J004
AAKE J004
AAKF J004
AAKG J004
AAKH J004
AAKI J004
AAKJ J004
AAKK J004
AAKL J004
AAKM J004
AAKN J004
AAKO J004
AAKP J004
AAKA J006
AAKB J006
AAKC J006
AAKD J006
AAKE J006
AAKF J006
AAKG J006
AAKH J006
AAKI J006
AAKJ J006
AAKK J006
AAKL J006
AAKM J006
AAKN J006
AAKO J006
AAKP J006
AAKA J007
AAKB J007
AAKC J007
AAKD J007
AAKE J007
AAKF J007
AAKG J007
AAKH J007
AAKI J007
AAKJ J007
AAKK J007
AAKL J007
AAKM J007
AAKN J007
AAKO J007
AAKP J007
AAKA J009
AAKB J009
AAKC J009
AAKD J009
AAKE J009
AAKF J009
AAKG J009
AAKH J009
AAKI J009
AAKJ J009
AAKK J009
AAKL J009
AAKM J009
AAKN J009
AAKO J009
AAKP J009
AAKA J010
AAKB J010
AAKC J010
AAKD J010
AAKE J010
AAKF J010
AAKG J010
AAKH J010
AAKI J010
AAKJ J010
AAKK J010
AAKL J010
AAKM J010
AAKN J010
AAKO J010
AAKP J010
AAKA J013
AAKB J013
AAKC J013
AAKD J013
AAKE J013
AAKF J013
AAKG J013
AAKH J013
AAKI J013
AAKJ J013
AAKK J013
AAKL J013
AAKM J013
AAKN J013
AAKO J013
AAKP J013
AAKA J014
AAKB J014
AAKC J014
AAKD J014
AAKE J014
AAKF J014
AAKG J014
AAKH J014
AAKI J014
AAKJ J014
AAKK J014
AAKL J014
AAKM J014
AAKN J014
AAKO J014
AAKP J014
AAKA J016
AAKB J016
AAKC J016
AAKD J016
AAKE J016
AAKF J016
AAKG J016
AAKH J016
AAKI J016
AAKJ J016
AAKK J016
AAKL J016
AAKM J016
AAKN J016
AAKO J016
AAKP J016
AAKA J019
AAKB J019
AAKC J019
AAKD J019
AAKE J019
AAKF J019
AAKG J019
AAKH J019
AAKI J019
AAKJ J019
AAKK J019
AAKL J019
AAKM J019
AAKN J019
AAKO J019
AAKP J019
AAKA J025
AAKB J025
AAKC J025
AAKD J025
AAKE J025
AAKF J025
AAKG J025
AAKH J025
AAKI J025
AAKJ J025
AAKK J025
AAKL J025
AAKM J025
AAKN J025
AAKO J025
AAKP J025
AAKA J029
AAKB J029
AAKC J029
AAKD J029
AAKE J029
AAKF J029
AAKG J029
AAKH J029
AAKI J029
AAKJ J029
AAKK J029
AAKL J029
AAKM J029
AAKN J029
AAKO J029
AAKP J029
AAKA J031
AAKB J031
AAKC J031
AAKD J031
AAKE J031
AAKF J031
AAKG J031
AAKH J031
AAKI J031
AAKJ J031
AAKK J031
AAKL J031
AAKM J031
AAKN J031
AAKO J031
AAKP J031
AAKA J033
AAKB J033
AAKC J033
AAKD J033
AAKE J033
AAKF J033
AAKG J033
AAKH J033
AAKI J033
AAKJ J033
AAKK J033
AAKL J033
AAKM J033
AAKN J033
AAKO J033
AAKP J033
AAKA J034
AAKB J034
AAKC J034
AAKD J034
AAKE J034
AAKF J034
AAKG J034
AAKH J034
AAKI J034
AAKJ J034
AAKK J034
AAKL J034
AAKM J034
AAKN J034
AAKO J034
AAKP J034
AAKA J035
AAKB J035
AAKC J035
AAKD J035
AAKE J035
AAKF J035
AAKG J035
AAKH J035
AAKI J035
AAKJ J035
AAKK J035
AAKL J035
AAKM J035
AAKN J035
AAKO J035
AAKP J035
1. 0.00 to < 0.05 . . . .
1.
2. 0.05 to < 0.10 . . . .
2.
3. 0.10 to < 0.15 . . . .
3.
4. 0.15 to < 0.20 . . . .
4.
5. 0.20 to < 0.25 . . . .
5.
6. 0.25 to < 0.35 . . . .
6.
7. 0.35 to < 0.50 . . . .
7.
8. 0.50 to < 0.75 . . . .
8.
9. 0.75 to < 1.35 . . . .
9.
10. 1.35 to < 2.50. . . .
10.
11. 2.50 to < 5.50. . . .
11.
12.
12. 5.50 to < 10.00. . .
13. 10.00 to < 20.00. .
13.
14. 20.00 to < 100 . . .
14.
15. 100.00 Default . . .
15.
16. Total1 . . . . . . . . . .
1. Cells in line 16 are calculated, except for Column O. 2. Report weighted averages in Columns A, F, and G rounded to two decimal places. 3. Not calculated from previous column entries.
4. LTV values should be calculated using only first lien exposures. Where LTV information is available for all accounts, the sum of EADs reported in Columns J through N for a given PD range should
equal the amount reported in Column E for that same PD range. Otherwise, the sum of EADs reported in Columns J through N for a given PD range will be less than the EAD reported in Column E
10/2022
for that same PD range. 5. Report weighted averages in Column O rounded to one decimal place, except in item 16, which should be rounded to the nearest whole number.
16.
FFIEC 101
Page 24 of 38
K-2
Schedule K—Continued
Memoranda
Dollar Amounts in Thousands
Amount
AAKX J036
1. Risk-weighted assets associated with non-material portfolios not included above................................................................................................
2. Credit scores shown in Column O are from which credit scoring system(s)? ............
M.1.
AAKX J041
M.2.
03/2014
FFIEC 101
Page 25 of 38
L-1
Schedule L—Retail Exposure: Residential Mortgage—Closed-end Junior Lien Exposures
Dollar Amounts in Thousands
LTV4
PD Range
(Column A)
WeightedAverage PD2
(Column B)
Number of
Exposures
(Column C)
(Column D)
Total Balance Total Undrawn
Sheet Amount
Amount
(Column E)
EAD
(Column F)
(Column G)
(Column H)
WeightedWeighted- Risk-Weighted
Average Age Average LGD2
Assets3
(Months)2
(Column I)
Expected
Credit Loss
(Column J)
Less Than
70%
(Column K)
At Least
70% but
Less Than
80%
(Column L)
At Least
80% but
Less Than
90%
(Column M)
At Least
90% but
Less Than
100%
(Column N)
(Column O)
(Column P)
Greater than
WeightedEAD of
or Equal to
Average
Accounts with
100%
Bureau Score5 Updated LTV
Percentage
Percentage
Number
Amount
Amount
Amount
Number
Percentage
Amount
Amount
Amount
Amount
Amount
Amount
Amount
Number
Amount
AALA J002
AALB J002
AALC J002
AALD J002
AALE J002
AALF J002
AALG J002
AALH J002
AALI J002
AALJ J002
AALK J002
AALL J002
AALM J002
AALN J002
AALO J002
AALP J002
AALA J004
AALB J004
AALC J004
AALD J004
AALE J004
AALF J004
AALG J004
AALH J004
AALI J004
AALJ J004
AALK J004
AALL J004
AALM J004
AALN J004
AALO J004
AALP J004
AALA J006
AALB J006
AALC J006
AALD J006
AALE J006
AALF J006
AALG J006
AALH J006
AALI J006
AALJ J006
AALK J006
AALL J006
AALM J006
AALN J006
AALO J006
AALP J006
AALA J007
AALB J007
AALC J007
AALD J007
AALE J007
AALF J007
AALG J007
AALH J007
AALI J007
AALJ J007
AALK J007
AALL J007
AALM J007
AALN J007
AALO J007
AALP J007
AALA J009
AALB J009
AALC J009
AALD J009
AALE J009
AALF J009
AALG J009
AALH J009
AALI J009
AALJ J009
AALK J009
AALL J009
AALM J009
AALN J009
AALO J009
AALP J009
AALA J010
AALB J010
AALC J010
AALD J010
AALE J010
AALF J010
AALG J010
AALH J010
AALI J010
AALJ J010
AALK J010
AALL J010
AALM J010
AALN J010
AALO J010
AALP J010
AALA J013
AALB J013
AALC J013
AALD J013
AALE J013
AALF J013
AALG J013
AALH J013
AALI J013
AALJ J013
AALK J013
AALL J013
AALM J013
AALN J013
AALO J013
AALP J013
AALA J014
AALB J014
AALC J014
AALD J014
AALE J014
AALF J014
AALG J014
AALH J014
AALI J014
AALJ J014
AALK J014
AALL J014
AALM J014
AALN J014
AALO J014
AALP J014
AALA J016
AALB J016
AALC J016
AALD J016
AALE J016
AALF J016
AALG J016
AALH J016
AALI J016
AALJ J016
AALK J016
AALL J016
AALM J016
AALN J016
AALO J016
AALP J016
AALA J019
AALB J019
AALC J019
AALD J019
AALE J019
AALF J019
AALG J019
AALH J019
AALI J019
AALJ J019
AALK J019
AALL J019
AALM J019
AALN J019
AALO J019
AALP J019
AALA J025
AALB J025
AALC J025
AALD J025
AALE J025
AALF J025
AALG J025
AALH J025
AALI J025
AALJ J025
AALK J025
AALL J025
AALM J025
AALN J025
AALO J025
AALP J025
AALA J029
AALB J029
AALC J029
AALD J029
AALE J029
AALF J029
AALG J029
AALH J029
AALI J029
AALJ J029
AALK J029
AALL J029
AALM J029
AALN J029
AALO J029
AALP J029
AALA J031
AALB J031
AALC J031
AALD J031
AALE J031
AALF J031
AALG J031
AALH J031
AALI J031
AALJ J031
AALK J031
AALL J031
AALM J031
AALN J031
AALO J031
AALP J031
AALA J033
AALB J033
AALC J033
AALD J033
AALE J033
AALF J033
AALG J033
AALH J033
AALI J033
AALJ J033
AALK J033
AALL J033
AALM J033
AALN J033
AALO J033
AALP J033
AALA J034
AALB J034
AALC J034
AALD J034
AALE J034
AALF J034
AALG J034
AALH J034
AALI J034
AALJ J034
AALK J034
AALL J034
AALM J034
AALN J034
AALO J034
AALP J034
AALA J035
AALB J035
AALC J035
AALD J035
AALE J035
AALF J035
AALG J035
AALH J035
AALI J035
AALJ J035
AALK J035
AALL J035
AALM J035
AALN J035
AALO J035
AALP J035
1. 0.00 to < 0.05 . . . .
1.
2. 0.05 to < 0.10 . . . .
2.
3. 0.10 to < 0.15 . . . .
3.
4. 0.15 to < 0.20 . . . .
4.
5. 0.20 to < 0.25 . . . .
5.
6. 0.25 to < 0.35 . . . .
6.
7. 0.35 to < 0.50 . . . .
7.
8. 0.50 to < 0.75 . . . .
8.
9. 0.75 to < 1.35 . . . .
9.
10. 1.35 to < 2.50. . . .
10.
11. 2.50 to < 5.50. . . .
11.
12. 5.50 to < 10.00. . .
12.
13. 10.00 to < 20.00. .
13.
14. 20.00 to < 100 . . .
14.
15. 100.00 Default . . .
15.
16. Total1 . . . . . . . . . .
1. Cells in line 16 are calculated, except for Column O. 2. Report weighted averages in Columns A, F, and G rounded to two decimal places. 3. Not calculated from previous column entries.
4. LTV values should be calculated by combining junior liens applicable to amounts on this schedule with prior lien amounts. Where LTV information is available for all accounts, the sum of EADs reported in
Columns J through N for a given PD range should equal the amount reported in Column E for that same PD range. Otherwise, the sum of EADs reported in Columns J through N for a given PD range will be
less than the EAD reported in Column E for that same PD range. 5. Report weighted averages in Column O rounded to one decimal place, except in item 16, which should be rounded to the
10/2022
nearest whole number.
16.
FFIEC 101
Page 26 of 38
L-2
Schedule L—Continued
Memoranda
Dollar Amounts in Thousands
Amount
AALX J036
1. Risk-weighted assets associated with non-material portfolios not included above................................................................................................
2. Credit scores shown in Column O are from which credit scoring system(s)? ............
M.1.
AALX J041
M.2.
03/2014
FFIEC 101
Page 27 of 38
M-1
Schedule M—Retail Exposure: Residential Mortgage—Revolving Exposures
Dollar Amounts in Thousands
LTV4
PD Range
Percentage
(Column A)
WeightedAverage PD2
(Column B)
Number of
Exposures
(Column C)
(Column D)
Total Balance Total Undrawn
Sheet Amount
Amount
(Column E)
EAD
(Column F)
(Column G)
(Column H)
WeightedWeighted- Risk-Weighted
Average Age Average LGD2
Assets3
(Months)2
(Column I)
Expected
Credit Loss
(Column J)
Less Than
70%
(Column K)
At Least
70% but
Less Than
80%
(Column L)
At Least
80% but
Less Than
90%
(Column M)
At Least
90% but
Less Than
100%
(Column N)
(Column O)
(Column P)
Greater than
WeightedEAD of
or Equal to
Average
Accounts with
100%
Bureau Score5 Updated LTV
Percentage
Number
Amount
Amount
Amount
Number
Percentage
Amount
Amount
Amount
Amount
Amount
Amount
Amount
Number
Amount
AAMA J002
AAMB J002
AAMC J002
AAMD J002
AAME J002
AAMF J002
AAMG J002
AAMH J002
AAMI J002
AAMJ J002
AAMK J002
AAML J002
AAMM J002
AAMN J002
AAMO J002
AAMP J002
AAMA J004
AAMB J004
AAMC J004
AAMD J004
AAME J004
AAMF J004
AAMG J004
AAMH J004
AAMI J004
AAMJ J004
AAMK J004
AAML J004
AAMM J004
AAMN J004
AAMO J004
AAMP J004
AAMA J006
AAMB J006
AAMC J006
AAMD J006
AAME J006
AAMF J006
AAMG J006
AAMH J006
AAMI J006
AAMJ J006
AAMK J006
AAML J006
AAMM J006
AAMN J006
AAMO J006
AAMP J006
AAMA J007
AAMB J007
AAMC J007
AAMD J007
AAME J007
AAMF J007
AAMG J007
AAMH J007
AAMI J007
AAMJ J007
AAMK J007
AAML J007
AAMM J007
AAMN J007
AAMO J007
AAMP J007
AAMA J009
AAMB J009
AAMC J009
AAMD J009
AAME J009
AAMF J009
AAMG J009
AAMH J009
AAMI J009
AAMJ J009
AAMK J009
AAML J009
AAMM J009
AAMN J009
AAMO J009
AAMP J009
AAMA J010
AAMB J010
AAMC J010
AAMD J010
AAME J010
AAMF J010
AAMG J010
AAMH J010
AAMI J010
AAMJ J010
AAMK J010
AAML J010
AAMM J010
AAMN J010
AAMO J010
AAMP J010
AAMA J013
AAMB J013
AAMC J013
AAMD J013
AAME J013
AAMF J013
AAMG J013
AAMH J013
AAMI J013
AAMJ J013
AAMK J013
AAML J013
AAMM J013
AAMN J013
AAMO J013
AAMP J013
AAMA J014
AAMB J014
AAMC J014
AAMD J014
AAME J014
AAMF J014
AAMG J014
AAMH J014
AAMI J014
AAMJ J014
AAMK J014
AAML J014
AAMM J014
AAMN J014
AAMO J014
AAMP J014
AAMA J016
AAMB J016
AAMC J016
AAMD J016
AAME J016
AAMF J016
AAMG J016
AAMH J016
AAMI J016
AAMJ J016
AAMK J016
AAML J016
AAMM J016
AAMN J016
AAMO J016
AAMP J016
AAMA J019
AAMB J019
AAMC J019
AAMD J019
AAME J019
AAMF J019
AAMG J019
AAMH J019
AAMI J019
AAMJ J019
AAMK J019
AAML J019
AAMM J019
AAMN J019
AAMO J019
AAMP J019
AAMA J025
AAMB J025
AAMC J025
AAMD J025
AAME J025
AAMF J025
AAMG J025
AAMH J025
AAMI J025
AAMJ J025
AAMK J025
AAML J025
AAMM J025
AAMN J025
AAMO J025
AAMP J025
AAMA J029
AAMB J029
AAMC J029
AAMD J029
AAME J029
AAMF J029
AAMG J029
AAMH J029
AAMI J029
AAMJ J029
AAMK J029
AAML J029
AAMM J029
AAMN J029
AAMO J029
AAMP J029
AAMA J031
AAMB J031
AAMC J031
AAMD J031
AAME J031
AAMF J031
AAMG J031
AAMH J031
AAMI J031
AAMJ J031
AAMK J031
AAML J031
AAMM J031
AAMN J031
AAMO J031
AAMP J031
AAMA J033
AAMB J033
AAMC J033
AAMD J033
AAME J033
AAMF J033
AAMG J033
AAMH J033
AAMI J033
AAMJ J033
AAMK J033
AAML J033
AAMM J033
AAMN J033
AAMO J033
AAMP J033
AAMA J034
AAMB J034
AAMC J034
AAMD J034
AAME J034
AAMF J034
AAMG J034
AAMH J034
AAMI J034
AAMJ J034
AAMK J034
AAML J034
AAMM J034
AAMN J034
AAMO J034
AAMP J034
AAMA J035
AAMB J035
AAMC J035
AAMD J035
AAME J035
AAMF J035
AAMG J035
AAMH J035
AAMI J035
AAMJ J035
AAMK J035
AAML J035
AAMM J035
AAMN J035
AAMO J035
AAMP J035
1. 0.00 to < 0.05 . . . .
1.
2. 0.05 to < 0.10 . . . .
2.
3. 0.10 to < 0.15 . . . .
3.
4. 0.15 to < 0.20 . . . .
4.
5. 0.20 to < 0.25 . . . .
5.
6. 0.25 to < 0.35 . . . .
6.
7. 0.35 to < 0.50 . . . .
7.
8. 0.50 to < 0.75 . . . .
8.
9. 0.75 to < 1.35 . . . .
9.
10. 1.35 to < 2.50. . . .
10.
11. 2.50 to < 5.50. . . .
11.
12. 5.50 to < 10.00. . .
12.
13. 10.00 to < 20.00. .
13.
14. 20.00 to < 100 . . .
14.
15. 100.00 Default . . .
15.
16. Total1 . . . . . . . . . .
1. Cells in line 16 are calculated, except for Column O. 2. Report weighted averages in Columns A, F, and G rounded to two decimal places. 3. Not calculated from previous column entries.
4. LTV values should be calculated by combining junior liens applicable to amounts on this schedule with prior lien amounts. Where LTV information is available for all accounts, the sum of EADs reported in
Columns J through N for a given PD range should equal the amount reported in Column E for that same PD range. Otherwise, the sum of EADs reported in Columns J through N for a given PD range will be
less than the EAD reported in Column E for that same PD range. 5. Report weighted averages in Column O rounded to one decimal place, except in item 16, which should be rounded to the
10/2022
nearest whole number.
16.
FFIEC 101
Page 28 of 38
M-2
Schedule M—Continued
Memoranda
Dollar Amounts in Thousands
Amount
AAMX J036
1. Risk-weighted assets associated with non-material portfolios not included above................................................................................................
2. Credit scores shown in Column O are from which credit scoring system(s)? ............
M.1.
AAMX J041
M.2.
03/2014
FFIEC 101
Page 29 of 38
N-1
Schedule N—Retail Exposure: Qualifying Revolving Exposures
Dollar Amounts in Thousands
PD Range
(Column A)
WeightedAverage PD2
(Column B)
Number of
Exposures
(Column C)
Total
Balance
Sheet
Amount
(Column D)
Total
Undrawn
Amount
(Column E)
EAD
(Column F)
EAD of
Accounts
< Two
Years Old
(Column G)
WeightedAverage
LGD2
(Column H)
RiskWeighted
Assets3
(Column I)
Expected
Credit Loss
(Column J)
WeightedAverage
Bureau
Score4
Percentage
Percentage
Number
Amount
Amount
Amount
Amount
Percentage
Amount
Amount
Number
AANA J011
AANB J011
AANC J011
AAND J011
AANE J011
AANF J011
AANG J011
AANH J011
AANI J011
AANJ J011
AANA J015
AANB J015
AANC J015
AAND J015
AANE J015
AANF J015
AANG J015
AANH J015
AANI J015
AANJ J015
AANA J017
AANB J017
AANC J017
AAND J017
AANE J017
AANF J017
AANG J017
AANH J017
AANI J017
AANJ J017
AANA J018
AANB J018
AANC J018
AAND J018
AANE J018
AANF J018
AANG J018
AANH J018
AANI J018
AANJ J018
AANA J020
AANB J020
AANC J020
AAND J020
AANE J020
AANF J020
AANG J020
AANH J020
AANI J020
AANJ J020
AANA J021
AANB J021
AANC J021
AAND J021
AANE J021
AANF J021
AANG J021
AANH J021
AANI J021
AANJ J021
AANA J022
AANB J022
AANC J022
AAND J022
AANE J022
AANF J022
AANG J022
AANH J022
AANI J022
AANJ J022
AANA J023
AANB J023
AANC J023
AAND J023
AANE J023
AANF J023
AANG J023
AANH J023
AANI J023
AANJ J023
AANA J024
AANB J024
AANC J024
AAND J024
AANE J024
AANF J024
AANG J024
AANH J024
AANI J024
AANJ J024
AANA J026
AANB J026
AANC J026
AAND J026
AANE J026
AANF J026
AANG J026
AANH J026
AANI J026
AANJ J026
AANA J027
AANB J027
AANC J027
AAND J027
AANE J027
AANF J027
AANG J027
AANH J027
AANI J027
AANJ J027
AANA J028
AANB J028
AANC J028
AAND J028
AANE J028
AANF J028
AANG J028
AANH J028
AANI J028
AANJ J028
AANA J030
AANB J030
AANC J030
AAND J030
AANE J030
AANF J030
AANG J030
AANH J030
AANI J030
AANJ J030
AANA J032
AANB J032
AANC J032
AAND J032
AANE J032
AANF J032
AANG J032
AANH J032
AANI J032
AANJ J032
AANA J034
AANB J034
AANC J034
AAND J034
AANE J034
AANF J034
AANG J034
AANH J034
AANI J034
AANJ J034
AANA J035
AANB J035
AANC J035
AAND J035
AANE J035
AANF J035
AANG J035
AANH J035
AANI J035
AANJ J035
1. 0.00 to < 0.50 .............................
1.
2. 0.50 to < 1.00 .............................
2.
3. 1.00 to < 1.50 .............................
3.
4. 1.50 to < 2.00 .............................
4.
5. 2.00 to < 2.50 .............................
5.
6. 2.50 to < 3.00 .............................
6.
7. 3.00 to < 3.50 .............................
7.
8. 3.50 to < 4.00 .............................
8.
9. 4.00 to < 5.00 .............................
9.
10. 5.00 to < 6.00 .............................
10.
11. 6.00 to < 7.00 .............................
11.
12.
12. 7.00 to < 8.00 .............................
13. 8.00 to < 10.00 ...........................
13.
14. 10.00 to < 100 ............................
14.
15. 100.00 (default) ...........................
15.
16. Total1 .......................................
1. Cells in line 16 are calculated, except for Column J.
2. Report weighted averages in Columns A and G rounded to two decimal places.
3. Not calculated from previous column entries.
4. Report weighted averages in Column J rounded to one decimal place, except for item 16, which should be rounded to the nearest whole number.
16.
10/2022
FFIEC 101
Page 30 of 38
N-2
Schedule N—Continued
Memoranda
Dollar Amounts in Thousands
Amount
AANX J036
1. Risk-weighted assets associated with non-material portfolios not included above................................................................................................
2. Credit scores shown in Column J are from which credit scoring system(s)? .............
M.1.
AANX J041
M.2.
03/2014
FFIEC 101
Page 31 of 38
O-1
Schedule O—Retail Exposure: Other Retail Exposures
Dollar Amounts in Thousands
PD Range
(Column A)
WeightedAverage PD2
(Column B)
Number of
Exposures
(Column C)
Total
Balance
Sheet
Amount
(Column D)
Total
Undrawn
Amount
(Column E)
EAD
(Column F)
EAD of
Accounts
< Two
Years Old
(Column G)
WeightedAverage
LGD2
(Column H)
RiskWeighted
Assets3
(Column I)
Expected
Credit Loss
(Column J)
WeightedAverage
Bureau
Score4
Percentage
Percentage
Number
Amount
Amount
Amount
Amount
Percentage
Amount
Amount
Number
AAOA J011
AAOB J011
AAOC J011
AAOD J011
AAOE J011
AAOF J011
AAOG J011
AAOH J011
AAOI J011
AAOJ J011
AAOA J015
AAOB J015
AAOC J015
AAOD J015
AAOE J015
AAOF J015
AAOG J015
AAOH J015
AAOI J015
AAOJ J015
AAOA J017
AAOB J017
AAOC J017
AAOD J017
AAOE J017
AAOF J017
AAOG J017
AAOH J017
AAOI J017
AAOJ J017
AAOA J018
AAOB J018
AAOC J018
AAOD J018
AAOE J018
AAOF J018
AAOG J018
AAOH J018
AAOI J018
AAOJ J018
AAOA J020
AAOB J020
AAOC J020
AAOD J020
AAOE J020
AAOF J020
AAOG J020
AAOH J020
AAOI J020
AAOJ J020
AAOA J021
AAOB J021
AAOC J021
AAOD J021
AAOE J021
AAOF J021
AAOG J021
AAOH J021
AAOI J021
AAOJ J021
AAOA J022
AAOB J022
AAOC J022
AAOD J022
AAOE J022
AAOF J022
AAOG J022
AAOH J022
AAOI J022
AAOJ J022
AAOA J023
AAOB J023
AAOC J023
AAOD J023
AAOE J023
AAOF J023
AAOG J023
AAOH J023
AAOI J023
AAOJ J023
AAOA J024
AAOB J024
AAOC J024
AAOD J024
AAOE J024
AAOF J024
AAOG J024
AAOH J024
AAOI J024
AAOJ J024
AAOA J026
AAOB J026
AAOC J026
AAOD J026
AAOE J026
AAOF J026
AAOG J026
AAOH J026
AAOI J026
AAOJ J026
AAOA J027
AAOB J027
AAOC J027
AAOD J027
AAOE J027
AAOF J027
AAOG J027
AAOH J027
AAOI J027
AAOJ J027
AAOA J028
AAOB J028
AAOC J028
AAOD J028
AAOE J028
AAOF J028
AAOG J028
AAOH J028
AAOI J028
AAOJ J028
AAOA J030
AAOB J030
AAOC J030
AAOD J030
AAOE J030
AAOF J030
AAOG J030
AAOH J030
AAOI J030
AAOJ J030
AAOA J032
AAOB J032
AAOC J032
AAOD J032
AAOE J032
AAOF J032
AAOG J032
AAOH J032
AAOI J032
AAOJ J032
AAOA J034
AAOB J034
AAOC J034
AAOD J034
AAOE J034
AAOF J034
AAOG J034
AAOH J034
AAOI J034
AAOJ J034
AAOA J035
AAOB J035
AAOC J035
AAOD J035
AAOE J035
AAOF J035
AAOG J035
AAOH J035
AAOI J035
AAOJ J035
1. 0.00 to < 0.50 .............................
1.
2. 0.50 to < 1.00 .............................
2.
3. 1.00 to < 1.50 .............................
3.
4. 1.50 to < 2.00 .............................
4.
5. 2.00 to < 2.50 .............................
5.
6. 2.50 to < 3.00 .............................
6.
7. 3.00 to < 3.50 .............................
7.
8. 3.50 to < 4.00 .............................
8.
9. 4.00 to < 5.00 .............................
9.
10. 5.00 to < 6.00 .............................
10.
11. 6.00 to < 7.00 .............................
11.
12. 7.00 to < 8.00 .............................
12.
13. 8.00 to < 10.00 ...........................
13.
14. 10.00 to < 100 ............................
14.
15. 100.00 (default) ...........................
15.
16. Total1 .......................................
1. Cells in line 16 are calculated, except for Column J.
2. Report weighted averages in Columns A and G rounded to two decimal places.
3. Not calculated from previous column entries.
4. Report weighted averages in Column J rounded to one decimal place, except for item 16, which should be rounded to the nearest whole number.
16.
10/2022
FFIEC 101
Page 32 of 38
O-2
Schedule O—Continued
Memoranda
Dollar Amounts in Thousands
Amount
AAOX J036
1. Risk-weighted assets associated with non-material portfolios not included above................................................................................................
2. Credit scores shown in Column J are from which credit scoring system(s)? .............
M.1.
AAOX J041
M.2.
03/2014
FFIEC 101
Page 33 of 38
P-1
Schedule P—Securitization Exposures
Securitizations
(excluding resecuritizations)
Dollar Amounts in Thousands
Resecuritizations
(Column A)
Exposure
Amount
(Column B)
Risk-Weighted
Assets
(Column C)
Deduction
(Column D)
Exposure Amount
(Column E)
Risk-Weighted
Assets
(Column F)
Deduction
Amount
AAPP P932
Amount
AAPP P933
Amount
Amount
AAPP P934
Amount
AAPP P935
Amount
AAPP P936
AAPP P937
AAPP P938
AAPP P939
AAPP P940
AAPP P941
AAPP P942
AAPP P943
1. Exposures subject to the supervisory formula approach ............
1.
2. Exposures subject to the simplified supervisory formula approach..
2.
3. Exposures subject to 1,250 percent risk weight .......................
3.
AAPP P944
AAPP P945
4. Exposures subject to deduction ...........................................
4.
AAPP P946
5. Total securitization exposures and risk-weighted assets ............
AAPP P947
AAPP P948
AAPP P949
5.
03/2014
FFIEC 101
Page 34 of 38
Q-1
Schedule Q—Cleared Transactions
(Column A)
(Column B)
Exposure amount Exposure amount
with QCCP qualifying not qualifying for
for 2% risk weight
2% risk weight
Dollar Amounts in Thousands
Clearing Member Client Bank
1. Derivative contracts or netting sets of derivative contracts ......................................................
(Column C)
Exposure amount
for default fund
contributions
Amount
(Column D)
Risk-Weighted
Assets
Amount
Amount
AAQQ P950
AAQQ P951
AAQQ P952
Amount
AAQQ P953
AAQQ P954
AAQQ P955
1.
2. Repo-style transactions ...................................................................................................
Clearing Member Bank
3. Derivative contracts or netting sets of derivative contracts ......................................................
2.
AAQQ P956
AAQQ P957
AAQQ P958
AAQQ P959
AAQQ P960
AAQQ P961
3.
4.
4. Repo-style transactions ...................................................................................................
AAQQ P962
AAQQ P963
AAQQ P964
AAQQ P965
5. Default fund contributions to non-QCCP1 ............................................................................
5.
6. Default fund contributions to QCCP ...................................................................................
Total
7. Total clearing member exposures and risk weighted assets ....................................................
6.
AAQQ P966
AAQQ P967
AAQQ P968
AAQQ P969
7.
1. QCCP: qualifying central counterparty
03/2014
FFIEC 101
Page 35 of 38
R-1
Schedule R—Equity Exposures
Simple Risk Weight Approach
(Column A)
Exposure
Dollar Amounts in Thousands
Risk Weight
or
Multiplier
Amount
(Column B)
RiskWeighted
Assets
Amount
AARA J053
Full Internal Models Approach
(Column C)
Exposure
Risk Weight
or
Multiplier
Amount
(Column D)
RiskWeighted
Assets
Amount
AARC J053
Publicly Traded Internal Models Approach
(Column E)
Exposure
Risk Weight
or
Multiplier
Amount
(Column F)
RiskWeighted
Assets
Amount
AARE J053
1. Total equity exposures ..................................
1.
AARA J054
AARA J055
AARA J056
AARC J055
AARB J056
AARC J056
AARA J057
AARD J054
AARE J054
AARD J055
AARE J055
AARD J056
AARE J056
0%
AARF J054
0%
20%
100%
4. Community development equity exposures .......
2.
AARF J055
20%
100%
3.
AARF J056
100%
4.
AARB J057
100%
AARA J058
Equity Exposures to Investment Funds
12. Full look-through approach ............................
AARB J055
20%
3. 20% risk weight ...........................................
6. Non-significant equity exposures ....................
7. Significant investments in unconsolidated
financial institutions ......................................
8. Publicly traded equity exposures under the
SRWA .......................................................
9. Non-publicly traded equity exposures under the
SRWA .......................................................
10. 600% risk-weight equity exposures under the
SRWA .......................................................
11. Total RWA under the SRWA
(sum column B, lines 2 through 10) .................
AARC J054
0%
2. 0% risk weight ............................................
Simple Risk Weight Approach (SRWA)
5. Effective portion of hedge pairs ......................
AARB J054
5.
AARB J058
100%
AARA P970
6.
AARB P970
250%
AARA J059
7.
AARB J059
300%
AARA J060
8.
AARB J060
AARE J060
AARB J061
AARE J061
400%
AARA J061
AARF J060
400%
600%
9.
AARF J061
600%
10.
AARB J062
11.
AARA J063
AARB J063
AARC J063
AARD J063
AARE J063
AARF J063
AARA J064
AARB J064
AARC J064
AARD J064
AARE J064
AARF J064
AARA J065
AARB J065
AARC J065
AARD J065
AARE J065
AARF J065
12.
13. Simple modified look-through approach ............
14. Alternative modified look-through approach .......
13.
14.
03/2018
FFIEC 101
Page 36 of 38
R-2
Schedule R—Continued
Simple Risk Weight Approach
(Column A)
Exposure
Dollar Amounts in Thousands
15. Total RWA for investment funds
(sum columns B, D, and F, lines 12 through 14)
Amount
Risk Weight
or
Multiplier
Full Internal Models Approach
(Column B)
RiskWeighted
Assets
(Column C)
Exposure
Amount
Amount
Risk Weight
or
Multiplier
AARB J067
Publicly Traded Internal Models Approach
(Column D)
RiskWeighted
Assets
(Column E)
Exposure
Amount
Amount
Risk Weight
or
Multiplier
(Column F)
RiskWeighted
Assets
Amount
AARD J067
AARF J067
15.
AARB J068
16. Total: SRWA (column B, lines 11 and 15) ..........
Full Internal Models Approach (Full IMA)
17. Estimate of potential losses on equity exposures ...
Floors (Full IMA)
18. Publicly traded ............................................
16.
AARC J069
AARD J069
12.5
AARC J070
200%
AARC J071
19. Non-publicly traded ......................................
17.
AARD J070
18.
AARD J071
300%
19.
AARD J072
20. RWA floors (add from column D, lines 18 and 19) ..
21. Total RWA—Full IMA
(larger of column D, lines 17 and 20) ...............
22. Total: Full IMA
(add from column D lines 3, 4, 15, and 21) ........
Publicly Traded Internal Models Approach
(Partial IMA)
23. Estimate of potential losses on publicly traded
equity ........................................................
Floors (Partial IMA)
24. Publicly traded ............................................
25. Total RWA—Partial IMA
(larger of column F, lines 23 and 24) ...............
26. Total: Partial IMA, partial SRWA
(add from column F, lines 3, 4, 9, 10, 15, and 25) ..
20.
AARD J073
21.
AARD J074
22.
AARE J075
AARF J075
12.5
AARE J076
23.
AARF J076
200%
24.
AARF J077
25.
AARF J078
26.
03/2014
For Federal Reserve Bank Use Only
C.I.
FFIEC 101
Page 37 of 38
S-1
Schedule S—Operational Risk
Dollar Amounts in Thousands
PUBLIC ITEMS
Operational Risk Capital
1. Risk-based capital requirement for operational risk................................................................
J079
2. Is item 1 generated from an "alternative operational risk quantification system?" (Enter "1" for Yes;
enter "0" for No.) ....................................................................................................................
CONFIDENTIAL ITEMS
Expected Operational Loss (EOL) and Eligible Operational Risk Offsets
3. Expected operational loss (EOL) ......................................................................................
4. Total eligible operational risk offsets
Amount
AASA
1.
0=No AASA
1=Yes J080
2.
Amount
AASA
J081
3.
a. Eligible GAAP reserves ................................................................................................
b. Other eligible offsets ...................................................................................................
J082
J083
4.a.
4.b.
Total Risk-Based Capital Requirement for Operational Risk without:
5. Dependence assumptions ...............................................................................................
6. Adjustments reflecting business environment and internal control factors ..................................
7. Risk mitigants (e.g., insurance) ........................................................................................
J084
J085
5.
6.
7.
Internal Operational Loss Event Data Characteristics
8. Date ranges of internal operational loss event data used in modeling operational risk capital:
a. Starting date for frequency distribution (if applicable) .........................................................
b. Ending date for frequency distribution (if applicable) ...........................................................
c. Starting date for severity distribution (if applicable) ............................................................
d. Ending date for severity distribution (if applicable) .............................................................
J086
Date1
AASA
J087
J088
8.a.
8.b.
8.c.
8.d.
J089
J090
Amount
AASA
9. Highest dollar threshold applied in modeling internal operational loss event data ........................
J091
9.
0=No
10. Does the dollar threshold change across units of measure? (Enter "1" for Yes; enter "0" for No.)............
AASA
11. Total number of loss events .............................................................................................
AASA
1=Yes J092
Number
J093
AASA
12. Total dollar amount of loss events .....................................................................................
13. Dollar amount of largest loss event ...................................................................................
J094
J095
14. Number of loss events in the following ranges (e.g., ≥ 10,000 and < $100,000):
a. Less than $10,000 ......................................................................................................
b. $10,000–$100,000 ......................................................................................................
c. $100,000–$1 million ....................................................................................................
d. $1 million–$10 million ..................................................................................................
e. $10 million–$100 million ..............................................................................................
f. $100 million–$1 billion .................................................................................................
g. $1 billion + ................................................................................................................
AASA
J096
J097
J098
J099
J100
J101
J102
10.
11.
Amount
12.
13.
Number
14.a.
14.b.
14.c.
14.d.
14.e.
14.f.
14.g.
1. Report the date in MMYYYY format.
03/2016
For Federal Reserve Bank Use Only
C.I.
FFIEC 101
Page 38 of 38
S-2
Schedule S—Continued
Dollar Amounts in Thousands
15. Total dollar amount of losses in the following ranges (e.g., ≥ $10,000 and < $100,000):
a. Less than $10,000 ......................................................................................................
b. $10,000–$100,000 ......................................................................................................
c. $100,000–$1 million ....................................................................................................
d. $1 million–$10 million ..................................................................................................
e. $10 million–$100 million ...............................................................................................
f. $100 million–$1 billion..................................................................................................
g. $1 billion + ................................................................................................................
AASA
Scenario Analysis
16. How many individual scenarios were used in calculating the risk-based capital requirement for
operational risk? ............................................................................................................
AASA
Amount
J103
15.a
15.b.
15.c.
15.d.
15.e.
15.f.
15.g.
J104
J105
J106
J107
J108
J109
Number
J110
AASA
17. What is the dollar value of the largest individual scenario? ......................................................
J111
18. Number of scenarios in the following ranges (e.g., ≥ $1 million and < $10 million):
a. Less than $1 million.....................................................................................................
b. $1 million–$10 million ..................................................................................................
c. $10 million–$100 million ...............................................................................................
d. $100 million–$500 million .............................................................................................
e. $500 million–$1 billion..................................................................................................
f. $1 billion +.................................................................................................................
AASA
16.
Amount
17.
Number
J112
J117
18.a.
18.b.
18.c.
18.d.
18.e.
18.f.
J118
19.
J113
J114
J115
J116
Distributional Assumptions
19. How many units of measure were used in calculating the risk-based capital requirement for
operational risk? ............................................................................................................
20. Frequency Distribution: Across how many individual units of measure did the choice of frequency
distribution change since the last reporting period (if applicable)? ............................................
21. Severity Distribution: Across how many individual units of measure did the choice of severity
distribution change since the last reporting period (if applicable)? ............................................
J119
20.
J120
21.
Loss Caps
22. How many loss caps are used in calculating the risk-based capital requirement for operational risk?..
J121
22.
AASA
23. What is the dollar amount of the smallest cap used (if applicable)? ..........................................
24. What is the dollar amount of the largest cap used (if applicable)? ............................................
J122
J123
Amount
23.
24.
06/2008
| File Type | application/pdf |
| Subject | Regulatory Capital Reporting for Institutions Subject to the Advanced Capital Adequacy Framework—FFIEC 101 |
| Author | Federal Reserve Board |
| File Modified | 2023-10-02 |
| File Created | 2023-10-02 |