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DEPARTMENT OF THE TREASURY
Office of the Comptroller of the Currency
FEDERAL RESERVE SYSTEM
FEDERAL DEPOSIT INSURANCE CORPORATION
DEPARTMENT OF THE TREASURY
Office of Thrift Supervision
Proposed Agency Information Collection Activities; Comment Request
AGENCIES: Office of the Comptroller of the Currency (OCC), Treasury; Board of Governors
of the Federal Reserve System (Board); Federal Deposit Insurance Corporation (FDIC); and
Office of Thrift Supervision (OTS), Treasury.
ACTION: Joint notice and request for comment.
SUMMARY: In accordance with the requirements of the Paperwork Reduction Act of 1995 (44
U.S.C. chapter 35), the OCC, the Board, the FDIC, and the OTS (collectively, the agencies) may
not conduct or sponsor, and the respondent is not required to respond to, an information
collection unless it displays a currently valid Office of Management and Budget (OMB) control
number. The Federal Financial Institutions Examination Council (FFIEC), of which the agencies
are members, has approved the agencies’ publication for public comment of proposed new
regulatory reporting requirements for banks1 that qualify for and adopt the Advanced Capital
Adequacy Framework to calculate their risk-based capital requirement or are in the parallel run
stage of qualifying to adopt this framework. The proposal describes the scope of reporting and
the proposed reporting requirements. At the end of the comment period, the comments and
1

For simplicity, and unless otherwise indicated, this notice uses the term “bank” to include banks, savings
associations, and bank holding companies (BHCs). The terms “bank holding company” and “BHC” refer only to
bank holding companies regulated by the Board and do not include savings and loan holding companies regulated by
the OTS. For a detailed description of the institutions covered by this notice, refer to Part I, Section 1, of the
proposed regulatory text in the notice of proposed rulemaking entitled Risk-Based Capital Standards: Advanced
Capital Adequacy Framework.

recommendations received will be analyzed to determine the extent to which the FFIEC should
modify the proposed reporting requirements prior to giving its final approval. The agencies will
then submit the proposed reporting requirements to OMB for review and approval and, upon
approval, OMB will assign control numbers.
DATES: Comments must be received on or before [INSERT DATE 120 DAYS FROM DATE
OF PUBLICATION IN THE FEDERAL REGISTER].
ADDRESSES: Interested parties are invited to submit written comments to any or all of the
agencies. All comments will be shared among the agencies.
OCC: You may submit comments, identified by “OMB Control No. 1557-NEW,” by any
of the following methods:
•

E-mail: regs.comments@occ.treas.gov. Include “OMB Control No. 1557-NEW” in the
subject line of the message.

•

Fax: (202) 874-4448.

•

Mail: Public Information Room, Office of the Comptroller of the Currency, 250 E Street,
SW., Mailstop 1-5, Washington, DC 20219; Attention: OMB Control No. 1557-NEW.

Public Inspection: You may inspect and photocopy comments at the Public Information Room.
You can make an appointment to inspect the comments by calling (202) 874-5043.
Board: You may submit comments, which should refer to “Advanced Capital Adequacy
Framework Regulatory Reporting Requirements,” by any of the following methods:
•

Agency Web Site: http://www.federalreserve.gov. Follow the instructions for submitting
comments on the http://www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm.

•

Federal eRulemaking Portal: http://www.regulations.gov. Follow the instructions for
submitting comments.

•

E-mail: regs.comments@federalreserve.gov. Include “Advanced Capital Adequacy
Framework Regulatory Reporting Requirements” in the subject line of the message.

•

FAX: 202-452-3819 or 202-452-3102.

•

Mail: Jennifer J. Johnson, Secretary, Board of Governors of the Federal Reserve System,
20th Street and Constitution Avenue, NW., Washington, DC 20551.

All public comments are available from the Board’s web site at
www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm as submitted, unless modified for
technical reasons. Accordingly, your comments will not be edited to remove any identifying or
contact information. Public comments may also be viewed electronically or in paper in Room
MP-500 of the Board’s Martin Building (20th and C Streets, NW.) between 9:00 a.m. and 5:00
p.m. on weekdays.
FDIC: You may submit comments, which should refer to “Advanced Capital Adequacy
Framework Regulatory Reporting Requirements,” by any of the following methods:
•

http://www.FDIC.gov/regulations/laws/federal/notices.html.

•

E-mail: comments@FDIC.gov. Include “Advanced Capital Adequacy Framework
Regulatory Reporting Requirements” in the subject line of the message.

•

Mail: Steven F. Hanft, Clearance Officer (202-898-3907), Legal Division, Federal Deposit
Insurance Corporation, 550 17th Street, NW., Washington, DC 20429.

•

Hand Delivery: Comments may be hand delivered to the guard station at the rear of the 550
17th Street Building (located on F Street) on business days between 7 a.m. and 5 p.m.

Public Inspection: All comments received will be posted without change to
http://www.fdic.gov/regulations/laws/federal/propose.html including any personal information

provided. Comments may be inspected at the FDIC Public Information Center, Room E-1002,
3502 North Fairfax Drive, Arlington, VA 22226, between 9 a.m. and 5 p.m. on business days.
OTS: You may submit comments, identified by “Advanced Capital Adequacy
Framework Regulatory Reporting Requirements (1550-NEW),” by any of the following
methods:
•

Federal eRulemaking Portal: http://www.regulations.gov. Follow the instructions for

submitting comments.
•

E-mail address: infocollection.comments@ots.treas.gov. Please include “Advanced

Capital Adequacy Framework Regulatory Reporting Requirements (1550-NEW)” in the subject
line of the message and include your name and telephone number in the message.
•

Fax: (202) 906-6518.

•

Mail: Information Collection Comments, Chief Counsel’s Office, Office of Thrift

Supervision, 1700 G Street, NW., Washington, DC 20552, Attention: “Advanced Capital
Adequacy Framework Regulatory Reporting Requirements (1550-NEW).”
•

Hand Delivery/Courier: Guard’s Desk, East Lobby Entrance, 1700 G Street, NW., from

9:00 a.m. to 4:00 p.m. on business days, Attention: Information Collection Comments, Chief
Counsel’s Office, Attention: “Advanced Capital Adequacy Framework Regulatory Reporting
Requirements (1550-NEW).”
Instructions: All submissions received must include the agency name and “Advanced
Capital Adequacy Framework Regulatory Reporting Requirements (1550-NEW).” All
comments received will be posted without change to the OTS Internet Site at
http://www.ots.treas.gov/pagehtml.cfm?catNumber=67&an=1, including any personal
information provided.

Docket: For access to the docket to read background documents or comments received,
go to http://www.ots.treas.gov/pagehtml.cfm?catNumber=67&an=1.
In addition, you may inspect comments at the Public Reading Room, 1700 G Street, NW., by
appointment. To make an appointment for access, call (202) 906-5922, send an e-mail to
public.info@ots.treas.gov, or send a facsimile transmission to (202) 906-7755. (Prior notice
identifying the materials you will be requesting will assist us in serving you.) We schedule
appointments on business days between 10:00 a.m. and 4:00 p.m. In most cases, appointments
will be available the next business day following the date we receive a request.
A copy of the comments may also be submitted to the OMB desk officer for the agencies
by mail to the Office of Information and Regulatory Affairs, U.S. Office of Management and
Budget, New Executive Office Building, Room 10235, 725 17th Street, NW., Washington, DC
20503, or by fax to (202) 395-6974.

FOR FURTHER INFORMATION CONTACT:
For further information about the proposed regulatory reporting requirements discussed
in this notice, please contact any of the agency clearance officers whose names appear below. In
addition, copies of reporting schedules and instructions can be obtained at each agency’s web
site as well as the FFIEC’s web site.2
OCC: Please direct substantive questions to Lorey Hoffman, Large Bank Director,
Large Bank Supervision, (202) 874-4595, and requests for copies of the collection to Mary
Gottlieb, OCC Clearance Officer, or Camille Dickerson, (202-874-5090), Legislative and

For the OCC: http://www.occ.treas.gov; for the FDIC: http://www.fdic.gov; for the OTS:
http://www.ots.treas.gov; for the Board: http://www.federalreserve.gov/boarddocs/reportforms/review.cfm; and for
the FFIEC: http://www.ffiec.gov/ffiec_report_forms.htm.

Regulatory Activities Division, Office of the Comptroller of the Currency, 250 E Street, SW.,
Washington, DC 20219.
Board: Michelle Long, Federal Reserve Board Clearance Officer, Division of Research
and Statistics, Board of Governors of the Federal Reserve System, Washington, DC 20551 (202452-3829).
FDIC: Steven F. Hanft, Clearance Officer, at shanft@fdic.gov, (202-898-3907), Legal
Division, Federal Deposit Insurance Corporation, 550 17th Street, NW., Washington, DC
20429.
OTS: Marilyn K. Burton, OTS Clearance Officer, at marilyn.burton@ots.treas.gov, (202)
906-6467, or facsimile number (202) 906-6518, Litigation Division, Chief Counsel’s Office,
Office of Thrift Supervision, 1700 G Street, NW., Washington, DC 20552.

SUPPLEMENTARY INFORMATION: The agencies are proposing to implement the
following new information collections.

Report Title: Advanced Capital Adequacy Framework Regulatory Reporting
Requirements.
Form Numbers: FFIEC 101.
Frequency of Response: Quarterly.
Affected Public: Business or other for-profit.
OCC:
OMB Number: 1557-NEW.
Estimated Number of Respondents: 52 national banks.
Estimated Time per Response: 280 hours.

Estimated Total Annual Burden: 58,240 hours.
Board:
OMB Number: 7100-NEW.
Estimated Number of Respondents: 6 state member banks.
Estimated Time per Response: 280 hours.
Estimated Total Annual Burden: 6,720 hours.

OMB Number: 7100-NEW.
Estimated Number of Respondents: 15 BHCs.
Estimated Time per Response: 280 hours.
Estimated Total Annual Burden: 16,800 hours.
FDIC:
OMB Number: 3064-NEW.
Estimated Number of Respondents: 19 state nonmember banks.
Estimated Time per Response: 280 hours.
Estimated Total Annual Burden: 21,280 hours.
OTS:
OMB Number: 1550-NEW.
Estimated Number of Respondents: 5 savings associations.
Estimated Time per Response: 280 hours.
Estimated Total Annual Burden: 5,600 hours.

General Description of Reports
These information collections would be mandatory for banks using the Advanced Capital
Adequacy Framework: 12 U.S.C. 161 (for national banks), 12 U.S.C. 324 and 12 U.S.C. 1844(c)
(for state member banks and BHCs, respectively), 12 U.S.C. 1817 (for insured state nonmember
commercial and savings banks), and 12 U.S.C. 1464 (for savings associations). These
information collections would be given confidential treatment (5 U.S.C. 552(b)(4)) except for
selected data items to be released for data collected from a reporting entity during periods
subsequent to its parallel run period (Schedules A and B, and data items 1-7 of Schedule V).

Abstract
Each bank that qualifies for and applies the advanced internal ratings-based approach for
credit risk and the advanced measurement approach for operational risk would file quarterly
regulatory data for the agencies’ use in assessing and monitoring the levels and components of
each reporting entity’s risk-based capital requirements and the adequacy of the entity’s capital
under the Advanced Capital Adequacy Framework. These data also would support the agencies’
efforts to evaluate the quantitative impact and competitive implications of the advanced capital
adequacy framework on individual reporting entities and on an industry-wide basis. The
reporting schedules would also assist banks in understanding expectations surrounding the
system development necessary for implementation and validation of the Advanced Capital
Adequacy Framework. The submitted data that is released publicly would also provide other
interested parties with information about banks’ risk-based capital. In addition, the submitted
data would supplement on-site examination processes.

Current Actions
Risk-Based Capital Standards: Advanced Capital Adequacy Framework: Regulatory
Reporting Requirements
I.

Background
The agencies have today published a joint notice of proposed rulemaking entitled Risk-

Based Capital Standards: Advanced Capital Adequacy Framework (the NPR).3 The NPR
describes a new regulatory capital framework for U.S. banks that qualify for and adopt the
advanced internal ratings-based (AIRB) approach for credit risk and the advanced measurement
approach (AMA) for operational risk (together, the advanced approaches). Included within the
NPR are requirements for public disclosure of certain information at the consolidated banking
organization level as well as a reference to certain additional regulatory reporting requirements
for depository institutions (DIs) and BHCs. The additional regulatory reporting requirements
referenced within the NPR, and described more fully herein, comprise the agencies’ proposed
regulatory reporting requirements.
The agencies, all of which would have access to both the public and confidential data
submitted in these schedules by each bank, would use the data collected through this proposal to:
•

Assess the components of each bank’s risk-based capital requirements;

•

Assess each bank’s capital relative to inherent risks and the agencies’ minimum capital
requirements;

•

Monitor the levels and components of the risk-based capital requirements for banks
through peer, outlier, and risk trend analyses;

Terms used in this text and in the proposed regulatory reporting schedules and instructions are used as defined in
the NPR.

•

Evaluate the quantitative impact and competitive implications of the implementation of
the Advanced Capital Adequacy Framework on risk-based capital levels within reporting
banks and on an overall industry basis;

•

Provide market participants, depositors, the public, supervisors, and other interested
parties with information about banks’ risk-based capital; and

•

Supplement on-site examination processes and decisions pertaining to the allocation of
supervisory resources.
In addition, this proposal would assist supervised institutions in understanding

expectations surrounding the system development necessary for implementation and validation
of the Advanced Capital Adequacy Framework.
The agencies require the ability to monitor and assess individual banks’ conformance
with capital adequacy standards and understand the capital resulting from the implementation of
the Advanced Capital Adequacy Framework. The current regulatory capital data submitted by
banks would not provide relevant information regarding risk-based capital under the Advanced
Capital Adequacy Framework. As a result, the agencies outline in this notice their proposed
changes in regulatory capital reporting for banks using the Advanced Capital Adequacy
Framework within the United States. Because the NPR includes transitional arrangements that
involve capital floors linked to the general risk-based capital rules (as defined in the NPR), the
agencies believe it is necessary to require data submissions under both the general risk-based
capital rules and advanced risk-based capital frameworks for as long as a bank is subject to riskbased capital floors.
As noted in the NPR, the agencies intend to conduct analyses to gauge the impact of the
Advanced Capital Adequacy Framework, and the preparedness of banks to compute risk-based

capital consistent with those requirements, during the parallel run and transitional floor periods.
Data submitted through this proposal, combined with dual reporting requirements for the general
risk-based capital data,4 would provide quantitative support for these impact analyses. Such
analyses would also help the agencies evaluate the competitive and cyclical implications of the
Advanced Capital Adequacy Framework relative to capital requirements for banks subject to the
general risk-based capital rules and the adequacy of capital generated under the Advanced
Capital Adequacy Framework.
A bank that applies the proposed advanced approaches would generally use its internal
risk measurement systems to estimate risk parameters for credit risk exposures and to estimate
operational risk exposure. The bank would use specific risk-based capital formulas to transform
the risk parameters into risk-weighted asset amounts for each wholesale credit exposure and
segment of retail credit exposures. For each wholesale credit exposure and segment of retail
credit exposures, a bank would assign three quantitative risk parameter estimates: probability of
default (PD), which measures the likelihood that an obligor will default over a one-year horizon;
loss given default (LGD), which is an estimate of the economic loss if a default occurs during
downturn economic conditions; and exposure at default (EAD), which is measured in dollars and
is an estimate of the amount that would be owed to the bank at the time of default. For each
wholesale credit exposure, the bank would also determine effective maturity (M), which is
measured in years and reflects the effective remaining maturity of the exposure. These risk
parameters are the drivers of the bank’s regulatory capital requirement for wholesale and retail
credit exposures and the focus of much of the proposed regulatory reporting.
4

General risk-based capital data under the existing risk-based capital standards are currently captured in the
Consolidated Reports of Condition and Income (Call Report) for banks (Form FFIEC 031 or FFIEC 041; OMB No.
1557-0081 for the OCC, 7100-0036 for the Board, and 3064-0052 for the FDIC), the Thrift Financial Report (TFR)
for savings associations (OTS Form 1313; OMB No. 1550-0023), and the Consolidated Financial Statements for
Bank Holding Companies (Board Form FR Y-9C; OMB No. 7100-0128).

Under the advanced approaches, a bank would employ simple risk weights to determine
regulatory capital requirements for certain equity and securitization exposures, and may use
internal models to determine regulatory capital requirements for other equity and securitization
exposures, as well as for operational risk. The associated proposed regulatory reporting
schedules primarily relate to data on inputs to and outputs from these internal models and riskweight functions.
Under the advanced approaches, a bank would use its internal systems and processes to
assess its exposure to operational risk. The proposed operational risk reporting schedule would
capture some of the critical inputs used by the bank to estimate its operational risk exposure.
The agencies believe it is necessary to develop surveillance tools to assist in monitoring
banks’ risk-based capital measures. Such surveillance tools include the ability to perform bankto-bank comparisons of the risk-based capital drivers underlying banks’ capital measures, the
ability to identify potential outliers through bank-to-peer comparisons, and the ability to monitor
banks’ capital measures over time relative to trends in other risk indicators.
The agencies believe that certain information about banks’ risk-based capital calculations
that would be submitted under this proposal should be publicly available to market participants
and that such disclosures at the bank level are consistent with the agencies’ objectives of
promoting market discipline as described in part VII of the preamble of the NPR. The agencies
intend that the public data items contained within this proposal would provide market
participants with basic, summary-level standardized information about the main components of
banks’ risk-based capital requirements. The standardized regulatory reporting information that
would be available to the public should augment the disclosures required for other public
financial reporting purposes.

As is true for any off-site surveillance system, the collection of advanced risk-based
capital data is unlikely to capture the full range and complexity of bank activities. As a result,
the agencies recognize that it will often not be possible to draw definitive conclusions from an
analysis of data submissions without further follow-up through on-site supervisory activities.
Nevertheless, the agencies believe that off-site analyses of the data described in this proposal
would be helpful in focusing the activities of on-site examiners and deploying supervisory
resources most effectively.
In developing this proposal, the agencies weighed several considerations. The factors the
agencies considered included several trade-offs between reporting burden and the information
needs of bank supervisors and market participants (for example, the level of reporting granularity
necessary to produce meaningful comparisons of portfolio-level risks while minimizing reporting
compliance costs and the potential for collected information to promote more informed decisions
by market participants against the sensitive and confidential nature of risk estimates embedded
within the advanced approaches). The agencies have also tried to anticipate and include data that
meet their long-term data needs because comprehensive requests for data at the inception of a
new reporting regime typically would be less costly to reporting institutions than the addition of
items at a later date. The agencies believe this proposal appropriately balances these, and other,
competing considerations.
The agencies are publishing the NPR and the regulatory reporting proposal described
herein at the same time as their notice of proposed rulemaking for the Market Risk Framework
and its associated regulatory reporting proposal so that the industry, and other interested parties,
may assess the full impact of the proposed rules. Part of this assessment includes an
understanding of the requirements of compliant data systems, including the ability to produce

certain high-level capital information for the public and more detailed, but still aggregated,
summary information about each bank’s capital risk estimates to augment supervisory processes.
II.

Scope and Frequency of Reporting
The proposed regulatory reporting requirements associated with the NPR described

herein would apply, on a consolidated basis, to each BHC and each DI that qualifies for and
applies the advanced approaches (see Part I, Section 1, of the proposed regulatory text in the
NPR for a detailed description of the institutions covered by this notice) as well as to those banks
in the parallel run stage of qualifying to use the advanced approaches (see Part III, Section 21(c)
of the proposed regulatory text in the NPR). Reporting BHCs and DIs would submit data
quarterly because efforts to monitor banks’ progress toward, and actions under, the Advanced
Capital Adequacy Framework require regular and consistent reports from all of the institutions
adopting this framework.
The agencies expect that the report due dates for the proposal described herein would be
the same as the report due dates currently required of banks, savings associations, and BHCs
when filing their respective Call Report, TFR, or BHC FR Y-9C report. In addition, the agencies
expect all banks to meet the existing reporting standards for accuracy and other requirements as
currently mandated by their primary Federal supervisor.
The first reporting period for Schedules A through V for each reporting entity seeking to
qualify for the advanced approaches would correspond to the first quarter of its parallel run
period. All data collected from each reporting entity on Schedules A through V, including those
data items identified as public data items below, would remain confidential during the entity’s
parallel run period. The data items identified below as public data elements would be available

to the public for each reporting entity for data collected during reporting periods subsequent to
the entity’s parallel run period.
Reporting banks would be required to submit capital information under both this
reporting proposal and under the existing risk-based capital reporting requirements during both
the relevant parallel run period and subsequent transitional floor periods.5 The purpose of this
dual reporting requirement is threefold: (1) it would facilitate dialogue between supervisors and
banks as banks bring their systems and data into compliance with supervisory expectations; (2) it
would allow the agencies to monitor and ensure compliance with existing risk-based capital rules
during the parallel run period and with those rules that would be in effect during subsequent
transitional floor periods; and (3) it would aid in supervisors’ development of comparisons of
risk-based capital results between the Advanced Capital Adequacy Framework and the existing
risk-based capital frameworks for individual institutions and for the banking industry in the
aggregate.
III.

Overview of the Data Collection Proposal
The agencies believe that banks would produce the data necessary to support supervisory

analyses as part of their calculation of regulatory capital requirements. Accordingly, the
regulatory reporting proposal requires certain data that would be publicly available and other
data that would not be publicly available. Although this reporting proposal has not been
designed to satisfy the NPR’s Pillar 3 public disclosure requirements, banks may be able to use
certain data items submitted through this proposal to help satisfy certain public disclosure
requirements established in the Advanced Capital Adequacy Framework.

See footnote 4.

Publicly Available Risk-Based Capital Data for the Advanced Approaches
Regulatory reporting disclosures that would be publicly available for data collected from

a reporting bank during periods subsequent to its parallel run period comprise various aggregated
portfolio drivers of reporting banks’ risk-based capital levels. The intent of these disclosures is
to provide market participants, depositors, supervisors, the public, and other interested parties
with a sufficient level of detail (comparable, in principle, to risk-based capital information
collected currently) about banks’ major capital and risk-weighted asset components as well as
summary information about the composition of regulatory capital and the risk parameters that
underlie risk-weighted asset calculations.
Proposed Schedules A and B (and data items 1-7 of proposed Schedule V, Operational
Risk) show the data items that would be publicly available for each reporting entity for reporting
periods subsequent to its parallel run period. Schedule A contains information about the
components of Tier 1 capital, Tier 2 capital, and adjustments to regulatory capital as defined
within the NPR.6 Schedule B contains summary information about risk-weighted assets by risk
type, and, in the case of credit risk exposures, outstanding balances and aggregated information
about the drivers and estimates that underlie the calculation of risk-weighted assets. The general
exposure breakdowns in Schedule B are as follows: Wholesale Exposures (including separate
reporting for the following types of exposures: Corporate; Bank; Sovereign; Construction
Income Producing Real Estate; High Volatility Commercial Real Estate; Income Producing Real

One version of Schedule A would apply to banks and BHCs and another version of Schedule A would apply to
savings associations. The version for banks and BHCs is modeled after the portion of the Call Report and BHC
FR Y-9C report used to capture information on the components of and adjustments to Tier 1 and Tier 2 capital under
the existing risk-based capital standards. Similarly, the version of Schedule A for savings associations is modeled
after the portion of the TFR used to capture such information under the existing standards. In addition, to the extent
the information collected in the Call Report, BHC FR Y-9C report, and TFR on the components of and adjustments
to Tier 1 and Tier 2 capital under the existing standards is revised, e.g., for changes in the fair value of liabilities to
which a fair value option is applied that are attributable to changes in a reporting entity’s own creditworthiness,
corresponding revisions would be made to Schedule A.

Estate; Eligible Margin Loans, Repo-Style Transactions, and OTC Derivatives with Cross
Product Netting; Eligible Margin Loans, Repo-Style Transactions, and OTC Derivatives without
Cross Product Netting); Retail Exposures (including separate reporting for the following types of
exposures: Residential Mortgage Closed-end First Liens, Residential Mortgage Closed-end
Junior Liens, Residential Mortgage Revolving Exposures, Qualifying Revolving Exposures
Credit Cards, Qualifying Revolving Exposures All Other, Other Retail Small Business, and
Other Retail All Other); Securitization Exposures; Equity Exposures; and Operational Risk. The
aggregate data items submitted in Schedule B are derived from information contained in the
more detailed confidential supporting schedules described below. The exposures and risk
parameters used to calculate these aggregations would apply the definitions contained in the
NPR. The data contained in Schedule B describe the main summary-level components of banks’
risk-weighted assets, but would not allow users to exactly replicate banks’ risk-weighted asset
calculations since the data are averaged, weighted, and rounded.
B.

Non-publicly Available Risk-Based Capital Data for the Advanced Approaches
The confidential data submitted in these schedules by each bank would be shared among

the four agencies but would not be released to the public. Data items that would not be publicly
available comprise additional, but still aggregated, detail about the main data items and drivers of
reporting banks’ risk-based capital levels. With respect to credit portfolios, the focus of these
more detailed reports is to collect information at the level of supervisory PD bands that broadly
reflect risk segments within each portfolio. The proposed reports would enable supervisors to
conduct off-site assessments of banks’ regulatory capital calculations, perform trend analyses of
capital changes, conduct peer analyses of capital and risk parameters, and focus on-site
examination efforts.

The data items contained in Schedules C through V describe the main components of
banks’ risk-weighted assets and are essentially expanded detail of the more summary information
contained in the public data items shown in Schedule B. The data submitted in these schedules
would not be made available to the public (except for data items 1-7 of Schedule V, Operational
Risk, which are proposed to become public information for each reporting entity for data
collected during periods subsequent to its parallel run reporting period). Supervisors are
requesting these data to support comparisons of certain critical capital drivers across banks and
across time. For the reasons cited previously, however, the information contained in the columns
of the tables would not allow users to exactly replicate banks’ risk-weighted asset calculations.
A brief description of the content of Schedules C through V follows. As with the
publicly available information described above, the exposures and risk parameters used to
calculate these aggregations would apply the definitions contained in the NPR.
Wholesale Exposures
Schedules C through K show data items within the wholesale exposure category that
would be submitted under this proposal. Each schedule represents a sub-portfolio of the
wholesale exposure category as listed on the public Schedule B. For each reported sub-portfolio,
the schedule groups exposures into sub-portfolio segments using supervisor-defined PD ranges.
The reported cells within these schedules then describe the main risk parameters and
characteristics of each sub-portfolio segment.
Retail Exposures
Schedules L through R show data items within the retail exposure category that would be
submitted under this proposal. Again, each schedule represents a sub-portfolio of the retail
exposure category as listed on the public Schedule B. PD ranges are used to sub-divide each

sub-portfolio into segments.7 The reported cells within these schedules then describe the main
risk parameters and characteristics of each sub-portfolio segment. The retail schedules also
incorporate risk characteristics that are believed to be commonly used drivers within banks’ risk
management and measurement processes, including the distribution of each sub-portfolio
segment by loan-to-value ranges (applies only to real estate exposures), weighted average credit
bureau score, and weighted average account age.8
Securitization Exposures
Schedules S and T show data items within the securitization exposure class that would be
submitted under this proposal. Schedule S provides information by rating categories about
exposures subject to either the Ratings-Based Approach (RBA) or the Internal Assessment
Approach (IAA). Schedule T provides certain memoranda information about unrated
securitization exposures, exposures treated under the Supervisory Formula Approach, synthetic
securitizations, and risk-weighted assets relating to early amortization features of securitizations
as prescribed in the NPR.9
Equities
Schedule U provides information about a bank’s equity exposures by type of exposure and by
approach to measuring required capital. Schedule U also provides information on equity
exposures subject to specific risk weights and equity exposures to investment funds. A bank
would also complete the appropriate section of the schedule based on whether it uses a simple
risk-weight approach, a full internal models approach, or a partially modeled approach to
measuring required capital for equity exposures.
7

Unlike the wholesale credit exposure reporting schedules, the PD ranges for retail exposures differ from subportfolio to sub-portfolio.
8
For qualifying and other non-mortgage retail exposures, the EAD of accounts under two years old is reported
instead of weighted average age for each sub-portfolio exposure segment.
9
Amounts are further broken down by retail and non-retail.

Operational Risk
Schedule V shows the data items within the operational risk exposure class that banks
would submit under this proposal. Data items submitted in this schedule include various details
about historical operational losses, on a stand-alone and group-wide basis, for the current
reporting period and those historical operational losses used to model operational risk capital.
The schedule also contains data items related to scenarios, distribution assumptions, and loss
caps used to model operational risk capital.
IV.

Request for Comment
Public comment is requested on all aspects of this joint notice. The agencies wish to

encourage banks and other interested parties to comment on such matters as data availability,
data alternatives, and reporting thresholds for each proposal for new data. The agencies are
particularly interested in responses to the questions that follow relating to certain key aspects of
the proposal and potential data collection alternatives.

(1) The agencies seek comment from the industry concerning the feasibility of collecting
certain additional information beyond that described in this proposal. The purpose of this
additional information is to help identify the causes of changes in credit risk regulatory capital
requirements (for example, due to changes in exposure mix or changes in the bank’s assessment
of risk).
To facilitate such analyses, reporting banks would be required to submit additional data
items that summarize current and previous risk parameters for exposures that were in wholesale
and retail credit portfolios as of the previous reporting period (for example, prior quarter, prior
year) -- the “lookback” portfolio. The intent of this lookback-portfolio approach would be to

allow the agencies to better identify reasons for observed changes in regulatory credit risk capital
requirements and allow for peer comparisons of changes from period to period.
A lookback-portfolio approach would require additional data collection and processing.
For example, banks would need to retain data on the internal risk rating category to which each
exposure was previously assigned, and the previous EAD of each exposure. The agencies
believe that this data maintenance requirement is consistent with supervisory expectations
described in the NPR and proposed AIRB guidance in that banks subject to the Advanced
Capital Adequacy Framework are expected to be able to evaluate and explain changes in risk
parameters in order to assess their risk parameter estimation procedures.
The agencies specifically seek industry comment on the following questions:
•

What aggregate summary information might banks submit that best describes or
characterizes period-to-period migration across internal rating grades or retail
segments?

•

If such information were required, are there particular formats or other considerations
that would reduce the reporting burden for banks?

(2) The agencies are considering another alternative reporting treatment with respect to
the wholesale and retail portions of the above proposal (Schedules C-R). This alternative
treatment would complement the lookback-portfolio approach just described but could be
implemented whether or not the lookback-portfolio approach was implemented. Under this
approach, banks would submit data according to each of their internal obligor rating grades or
segments, rather than in the fixed bands defined in the current regulatory reporting proposal. In
this case, each reporting bank could submit a different number of rows corresponding to the

number of internal risk rating/segmentation categories employed by that bank for the given
portfolio.
The agencies specifically seek industry comment on the following question:
•

Would reporting burden be lessened if banks submitted data using internally-defined
obligor grades or segments, rather than aggregating the grades or segments in
supervisory reporting bands?

(3) The agencies request comment on the appropriateness of making the data items on
Schedules A and B and data items 1 through 7 of the operational risk reporting schedule
(Schedule V) available to the public for each reporting entity for data collected during periods
subsequent to its parallel run reporting periods as currently proposed. Comments are requested
on the extent to which banks are already providing these data to the public or are planning to
make such data public as well as the timing of these disclosures. In addition, comments are
requested on the perceived risks associated with public reporting of these data items.

(4) What changes in the proposed regulatory reporting requirements for the Advanced
Capital Adequacy Framework, including additional data or definitions, would better assist the
agencies in reaching their stated goals? In this regard, the agencies also seek input on possible
alternative ways to capture the requested information and the appropriateness of the requested
data given the stated purposes of the information collections and the associated reporting burden.

Paperwork Reduction Act
The agencies seek comment on:

(a) Whether the proposed collections of information are necessary for the proper performance of
the agencies’ functions, including whether the information has practical utility;
(b) The accuracy of the agencies’ estimates of the burden of the proposed information
collections, including the validity of the methodology and assumptions used;
(c) Ways to enhance the quality, utility, and clarity of the information to be collected;
(d) Ways to minimize the burden of the information collections on respondents, including
through the use of automated collection techniques or other forms of information technology;
and
(e) Estimates of capital or start up costs and costs of operation, maintenance, and purchase of
services to provide information.

Comments submitted in response to this joint notice will be shared among the agencies
and will be summarized or included in the agencies’ requests for OMB approval. All comments
will become a matter of public record.

[THIS SIGNATURE PAGE PERTAINS TO THE JOINT NOTICE AND REQUEST FOR
COMMENT, “AGENCY INFORMATION COLLECTION ACTIVITIES; COMMENT
REQUEST”]

Dated:
Stuart E. Feldstein,
Assistant Director, Legislative and Regulatory Activities Division,
Office of the Comptroller of the Currency.

[THIS SIGNATURE PAGE PERTAINS TO THE JOINT NOTICE AND REQUEST FOR
COMMENT, “AGENCY INFORMATION COLLECTION ACTIVITIES; COMMENT
REQUEST”]
Board of Governors of the Federal Reserve System,

Jennifer J. Johnson
Secretary of the Board.

, 2006.

[THIS SIGNATURE PAGE PERTAINS TO THE JOINT NOTICE AND REQUEST FOR
COMMENT, “AGENCY INFORMATION COLLECTION ACTIVITIES; COMMENT
REQUEST”]
Dated at Washington, D.C., this

day of

FEDERAL DEPOSIT INSURANCE CORPORATION

Robert E. Feldman
Executive Secretary

, 2006.

[THIS SIGNATURE PAGE PERTAINS TO THE JOINT NOTICE AND REQUEST FOR
COMMENT, “AGENCY INFORMATION COLLECTION ACTIVITIES; COMMENT
REQUEST”]

Dated:

_________________________________
Deborah Dakin,
Senior Deputy Chief Counsel,
Regulations and Legislation Division,
Office of Thrift Supervision.

Billing Codes
OCC: 4810-33-P
Board: 6210-01-P
FDIC: 6714-01-P
OTS: 6720-01-P

1/4
1/4
1/4
1/4

Draft 8/29/06
FFIEC 101

Reporting Under the Advanced Internal Ratings-Based and
Advanced Measurement Approaches
Schedules A through V

Draft 8/29/06
FFIEC 101

Schedule A - ADVANCED RISK-BASED CAPITAL (Calculation of
Numerator and Ratios for banks and bank holding companies)
Tier 1 capital
1. Total equity capital ...................................................................................................................
2. LESS: Net unrealized gains (losses) on available-for-sale securities1 (if a gain, report as a
positive value; if a loss, report as a negative value) .........................................................................
3. LESS: Net unrealized loss on available-for-sale EQUITY securities1 (report loss as a positive
value) ...............................................................................................................................................
4. LESS: Accumulated net gains (losses) on cash flow hedges1 (if a gain, report as a positive
value; if a loss, report as a negative value) .......................................................................................
5. LESS: Nonqualifying perpetual preferred stock ................................................................................
6. Qualifying minority interests in consolidated subsidiaries .................................................................
7. LESS: Disallowed goodwill and other disallowed intangible assets ..................................................
8. Subtotal (sum of items 1 and 6, less items 2, 3, 4, 5, and 7) ............................................................
9.
a. LESS: Disallowed servicing assets and purchased credit card relationships .....................
b. LESS: Disallowed deferred tax assets …………………………………………………………
c. LESS: Shortfall of eligible credit reserves below total expected credit losses (50% of shortfall
plus tier 2 carryover)* ……………………………………………………………………
d. LESS: Gain-on-sale associated with securitization exposures………………………………
e. LESS: Certain failed capital markets transactions (50% of deductions plus tier 2 carryover)*
f. LESS: Other securitization deductions (50% of deductions plus tier 2 carryover)* .......
……………………………………………
10. Other additions to (deductions from) Tier 1 capital ..........................................................................
11. Tier 1 capital (sum of items 8 and 10, less items 9.a through 9.f) ........................................................
Tier 2 capital
12. Qualifying subordinated debt and redeemable preferred stock ........................................................
13. Qualifying cumulative perpetual preferred stock includible in Tier 2 capital ......................................
14. Excess of eligible credit reserves over total expected credit losses (up to .60% of credit risk-weighted
assets)** .............................................................................................................................................
15. Unrealized gains on available-for-sale equity securities includible in Tier 2 capital ..........................
16. Other additions to (deductions from) Tier 2 capital .......................................................................
17. Adjustments to Tier 2 capital
a. LESS: Shortfall of eligible credit reserves below total expected credit losses (up to lower of
50% of the shortfall or amount of tier 2 capital)……………………………………
b. LESS: Certain failed capital markets transactions (up to the lower of 50% of shortfall or amount
of tier 2 capital)……………………………………………
c. LESS: Other securitization deductions (up to lower of 50% of shortfall or amount of tier 2
capital) ………………………………………………………………………………….
18. Tier 2 capital (sum of items 12 through 16, less item 17.a through 17.c)…………………………….
19. Allowable Tier 2 capital (lesser of item 11 or 18) ...............................................................................
20. Tier 3 capital allocated for market risk................................................................................................
21. LESS: Deductions from total risk-based capital………………………………………………………….
22. Total risk-based capital (sum of items 11, 19, 20, less item 21) .................................................
Total assets for leverage ratio
23. Average total assets .......................................................................................................................
24. LESS: Disallowed goodwill and other disallowed intangible assets (from item 7 above) .................
25. LESS: Disallowed servicing assets and purchased credit card relationships (from item 9.a above)
26. LESS: Disallowed deferred tax assets (from item 9.b above) ...........................................................
27. LESS: Other deductions from assets for leverage capital purposes .................................................
28. Average total assets for leverage capital purposes (item 23 less items 24 through 27) ...................
Adjustments for financial subsidiaries
29.
a. Adjustment to Tier 1 capital reported in item 11 ....................................................................
b. Adjustment to total risk-based capital reported in item 22....................................................
30. Adjustment to risk-weighted assets .................................................................................................
31. Adjustment to average total assets reported in item 28 ....................................................................

Draft 8/29/06
FFIEC 101

Capital ratios
(Column B is to be completed by all banks. Column A is to be completed by banks with financial subsidiaries.)
(Column A)
Percentage

(Column B)
Percentage

32. Tier 1 leverage ratio2 …………………………………………….
33. Tier 1 risk-based capital ratio3 ……………………………………………
34. Total risk-based capital ratio4 …………………………………………….
35. Eligible credit reserves………………………………………..
36. Total expected credit losses………………………………………..

*Tier 2 carryover is the amount by which 50% of the deductions (i) for the shortfall of eligible credit reserves below total
expected credit losses or (ii) certain failed capital markets transactions, or (iii) other securitization deductions exceed
actual tier 2 capital.
** The term credit risk weighted assets for purposes of computing the amount of excess eligible credit reserves
includable in tier 2 capital refers to the sum of: (i) total wholesale and retail risk-weighted assets; (ii) risk-weighted
assets for securitization exposures; and (iii) risk-weighted assets for equity exposures.
1 Report

amount included in Schedule RC of the Call Report, item 26.b, “Accumulated other comprehensive income.”
ratio for column B is item 11 divided by item 28. The ratio for column A is item 11 minus item 29.a divided by (item 28 minus
item 31).
3 The ratio for column B is item 11 divided by total risk-weighted assets (Schedule B, item 31). The ratio for column A is item 11
minus item 29.a divided by (Schedule B, item 31, minus item 30).
4 The ratio for column B is item 22 divided by total risk-weighted assets (Schedule B, item 31). The ratio for column A is item 22
minus item 29.b divided by (Schedule B, item 31, minus item 30).
2 The

Draft 8/29/06
FFIEC 101
Schedule B
Summary Risk-weighted Asset Information for Banks Approved to Use Advanced Internal RatingsBased and Advanced Measurement Approaches for Regulatory Capital Purposes
Non-Defaulted and Defaulted Exposures

Exposure Category

A
Weighted
Average
Probability
of Default*
(%)

B
Balance
Sheet
Amount **
($)

Total Undrawn Exposure at
Amount
Default
($)
($)

E
Weighted
Average
Maturity
(Years)

F
Wtd Avg LDG after
consideration of
eligible guarantees
and credit
derivatives
(%)

Wholesale Exposures
Corporate
Bank
Sovereign
Construction IPRE
HVCRE
IPRE
Eligible margin loans, repo-style transactions and OTC Derivatives with
Cross Product Netting - EAD Adjusted
7
Eligible margin loans, repo-style transactions and OTC Derivatives with
Cross Product Netting - LGD Adjusted
8
Eligible margin loans, repo-style transactions - No Cross Product Netting EAD Adjusted
9
Eligible margin loans, repo-style transactions - No Cross Product Netting LGD Adjusted
10
11
OTC Derivatives - No Cross Product Netting - EAD Adjusted
12
OTC Derivatives - No Cross Product Netting - LGD Adjusted
Retail Exposures
Residential Mortgage Exposures
13
Closed-end First Lien Exposures
14
Closed-end Junior Lien Exposures
15
Revolving Exposures
Qualifying Revolving Exposures
Credit Cards
16
All Other
17
Other Retail Exposures
18
Small Business
19
All Other
Securitization Exposures
Subject to Ratings-based Approach
20
Subject to Internal Assessment Approach
21
22
Subject to the Supervisory Formula
23
Investors' Interest Subject to Early Amortization Charge
Equity Exposures
Excluded from Simple Risk Weight Method or Internal Models Approach
24
25
Simple Risk Weight Method
26
Internal Models Approach
27 Market Risk Equivalent Assets
28 Operational Risk
Other Assets
29 Assets Not Subject to the Internal Ratings-Based Approach
30 Immaterial Exposures
31 TOTAL
1
2
3
4
5
6

*
In estimating weighted average PD for wholesale exposures, do not include effects of credit risk mitigation (guarantees, credit derivatives and collateral).
** For securitization exposures, report the total dollar amount of exposures outstanding.
*** Reported Risk Weighted Assets cannot be calculated for some exposure types from the data provided.

Risk
Weighted
Assets***
($)

Expected
Credit Loss
($)

Draft 8/29/06
FFIEC 101

Wholesale Exposure - Schedule C - Corporate
A

PD Range
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13

<0.15
0.15 to < 0.25
0.25 to < 0.35
0.35 to < 0.50
0.50 to< 0.75
0.75 to < 1.35
1.35 to < 2.5
2.5 to < 5.5
5.5 to < 10
10 to < 20
20 to < 100
100 (default)
TOTAL **

Weighted
Average
Obligor PD*

Number of Balance Sheet Total Undrawn
Obligors
Amount
Amount
($)
($)

E
EAD
($)

Weighted
Average
Maturity
(Years)

sum

wtd avg

(%)

100
wtd avg

sum

wtd avg

Risk Weighted Assets associated with immaterial
14 exposures not included above
15 Subcategory weighted average Expected LGD****
*
**
***
****

In estimating obligor PD, do not include effects of credit risk mitigation (guarantees, credit derivatives and collateral).
Cells in line 13 are calculated.
Not calculated from previous column entries.
Report weighted average ELGD only if using own internal estimates of LGD. Otherwise, do not report.

Effect of PD
Weighted Average Weighted Average
LGD after
substitution and
LGD before
consideration of LGD adjustment
consideration of
eligible
eligible
approaches on
guarantees and
guarantees and
RWA
credit
derivatives
credit derivatives
($)
(%)
(%)

wtd avg

sum

Effect of
Risk Weighted
Double Default
Assets
Treatment on
Post-CRM***
RWA ($)
($)

sum

J
Expected
Credit Loss
($)

sum

Draft 8/29/06
FFIEC 101

Wholesale Exposure - Schedule D - Bank
PD Range
(%)

Weighted
Average
Obligor PD*

Number of
Obligors

Balance Sheet Total Undrawn
Amount
Amount
($)
($)

EAD
($)

Weighted
Average
Maturity
(Years)

sum

wtd avg

(%)

1
2
3
4
5
6
7
8
9
10
11
12
13

<0.15
0.15 to < 0.25
0.25 to < 0.35
0.35 to < 0.50
0.50 to< 0.75
0.75 to < 1.35
1.35 to < 2.5
2.5 to < 5.5
5.5 to < 10
10 to < 20
20 to < 100
100 (default)
TOTAL**

100
wtd avg

sum

G2
G1
Weighted Average
Weighted
LGD after
Average LGD
consideration of
before
consideration of eligible guarantees
and credit
eligible
derivatives (%)
guarantees and
credit derivatives
(%)

wtd avg

Risk Weighted Assets associated with immaterial exposures
14 not included above
15 Subcategory weighted average Expected LGD****
*
**
***
****

wtd avg

H
Effect of PD
substitution and
LGD adjustment
approaches on
RWA
($)

sum

Risk Weighted Expected
Credit Loss
Assets
($)
Post-CRM***
($)

sum

Draft 8/29/06
FFIEC 101

Wholesale Exposure - Schedule E - Sovereign

1
2
3
4
5
6
7
8
9
10
11
12
13

PD Range
(%)

Weighted
Average
Obligor PD*

Number of
Obligors

<0.15
0.15 to < 0.25
0.25 to < 0.35
0.35 to < 0.50
0.50 to< 0.75
0.75 to < 1.35
1.35 to < 2.5
2.5 to < 5.5
5.5 to < 10
10 to < 20
20 to < 100
100 (default)
TOTAL**

100
wtd avg

Balance Sheet Total Undrawn
Amount
Amount
($)
($)

EAD
($)

Weighted
Average
Maturity
(Years)

sum

wtd avg

(%)

sum

G2
G1
Weighted Average
Weighted
LGD after
Average LGD
consideration of
before
consideration of eligible guarantees
and credit
eligible
derivatives (%)
guarantees and
credit derivatives
(%)

wtd avg

Risk Weighted Assets associated with immaterial exposures
14 not included above
15 Subcategory weighted average Expected LGD****
*
**
***
****

wtd avg

H
Effect of PD
substitution and
LGD adjustment
approaches on
RWA
($)

sum

Risk Weighted Expected
Assets
Credit Loss
Post-CRM***
($)
($)

sum

Draft 8/29/06
FFIEC 101

Wholesale Exposure - Schedule F - Construction IPRE
A

PD Range
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13

<0.15
0.15 to < 0.25
0.25 to < 0.35
0.35 to < 0.50
0.50 to< 0.75
0.75 to < 1.35
1.35 to < 2.5
2.5 to < 5.5
5.5 to < 10
10 to < 20
20 to < 100
100 (default)
TOTAL**

Weighted
Average
Obligor PD*

B
Number of
Obligors

Balance Sheet Total Undrawn
Amount
Amount
($)
($)

E
EAD
($)

Weighted
Average
Maturity
(Years)

sum

wtd avg

(%)

100
wtd avg

sum

wtd avg

Risk Weighted Assets associated with immaterial exposures
14 not included above
15 Subcategory weighted average Expected LGD****
*
**
***
****

wtd avg

sum

Effect of
Risk Weighted Expected
Double Default
Assets
Credit Loss
Treatment on
Post-CRM***
($)
RWA ($)
($)

sum

Draft 8/29/06
FFIEC 101

Wholesale Exposure - Schedule G - HVCRE

PD Range
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13

<0.15
0.15 to < 0.25
0.25 to < 0.35
0.35 to < 0.50
0.50 to< 0.75
0.75 to < 1.35
1.35 to < 2.5
2.5 to < 5.5
5.5 to < 10
10 to < 20
20 to < 100
100 (default)
TOTAL**

Weighted
Average
Obligor PD*

Number of
Obligors

Balance Sheet Total Undrawn
Amount
Amount
($)
($)

EAD
($)

Weighted
Average
Maturity
(Years)

sum

wtd avg

(%)

100
wtd avg

sum

wtd avg

Weighted Average
Effect of PD
Weighted
LGD after
substitution and
Average LGD
consideration of
before
LGD adjustment
consideration of eligible guarantees approaches on
and
credit
eligible
RWA
derivatives (%)
guarantees and
($)
credit derivatives
(%)

Risk Weighted Assets associated with immaterial exposures
14 not included above
15 Subcategory weighted average Expected LGD****
*
**
***
****

wtd avg

sum

Expected
Effect of
Risk
Credit
Double
Weighted
Loss
Default
Assets
($)
Treatment
Poston RWA
CRM***
($)
($)

sum

Draft 8/29/06
FFIEC 101

Wholesale Exposure - Schedule H - IPRE

PD Range
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13

<0.15
0.15 to < 0.25
0.25 to < 0.35
0.35 to < 0.50
0.50 to< 0.75
0.75 to < 1.35
1.35 to < 2.5
2.5 to < 5.5
5.5 to < 10
10 to < 20
20 to < 100
100 (default)
TOTAL**

Weighted
Average
Obligor PD*

Number of
Obligors

Balance Sheet Total Undrawn
Amount
Amount
($)
($)

EAD
($)

Weighted
Average
Maturity
(Years)

sum

wtd avg

(%)

100
wtd avg

sum

wtd avg

Weighted Average
Effect of PD
Weighted
LGD after
substitution and
Average LGD
consideration of
before
LGD adjustment
consideration of eligible guarantees approaches on
and credit
eligible
RWA
derivatives (%)
guarantees and
($)
credit derivatives
(%)

Risk Weighted Assets associated with immaterial exposures
14 not included above
15 Subcategory weighted average Expected LGD****
*
**
***
****

wtd avg

sum

Effect of
Risk
Expected
Double
Weighted
Credit
Default
Assets
Loss
Treatment
Post($)
on RWA
CRM***
($)
($)

sum

Draft 8/29/06
FFIEC 101
Wholesale Exposure Schedule I - Eligible Margin Loans, Repo-Style Transactions and OTC Derivatives WITH CROSS-PRODUCT NETTING

1
2
3
4
5
6
7
8
9
10
11
12
13

Exposures with EAD Adjustment
D
E
C

PD Range
(%)

Weighted
Average PD
(%)

Number of
Counterparties

Weighted
Average
Maturity
(Years)

EAD
($)

0.00 to < 0.03
0.03 to < 0.05
0.05 to < 0.10
0.10 to < 0.25
0.25 to < 0.50
0.50 to < .75
0.75 to < 1.35
1.35 to < 2.50
2.50 to < 5.50
5.50 to < 10.00
10.00 to < 100.00
100 (default)
TOTAL

100
wtd ave

sum

wtd ave

sum

Expected
Weighted
Risk Weighted
Average LGD Assets Post- Credit Losses
($)
(%)
CRM*
($)

sum

Exposures with LGD Adjustment
L
K
J

Weighted
Average PD
(%)

Number of
Counterparties

Weighted
Average
Maturity
(Years)

EAD
($)

wtd ave

sum

wtd ave

sum

Report all Eligible Margin Loans and OTC derivatives wherever booked provided that a cross product netting agreement is in place. Do not include credit default swaps or total rate of return swaps used to hedge assets.
* Not calculated from previous column entries.

Expected
Weighted Risk Weighted
Average LGD Assets Post- Credit Losses
($)
(%)
CRM*
($)

sum

Draft 8/29/06
FFIEC 101
Wholesale Exposure Schedule J - Eligible Margin Loans and Repo-Style Transactions

PD Range
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13

0.00 to < 0.03
0.03 to < 0.05
0.05 to < 0.10
0.10 to < 0.25
0.25 to < 0.50
0.50 to < .75
0.75 to < 1.35
1.35 to < 2.50
2.50 to < 5.50
5.50 to < 10.00
10.00 to < 100.00
100 (default)
TOTAL

Exposures with EAD Adjustment
E
C
D

Weighted
Average PD
(%)

Number of
Counterparties

Weighted
Average
Maturity
(Years)

EAD
($)

sum

wtd ave

sum

M1
Collateral
Haircut

M2
Simple VaR

M3
Internal
Models

100
wtd ave

EAD
Adjustment Method (%):

Weighted
Risk Weighted
Expected
Average LGD Assets Post- Credit Losses
(%)
CRM*
($)
($)

sum

14
Report all Eligible Margin Loan transactions wherever booked.
* Not calculated from previous column entries.

Exposures with LGD Adjustment
J
L
K

Weighted
Average PD
(%)

Number of
Counterparties

Weighted
Average
Maturity
(Years)

EAD
($)

wtd ave

sum

wtd ave

sum

Weighted Risk Weighted
Expected
Average LGD Assets Post- Credit Losses
CRM*
(%)
($)
($)

sum

Draft 8/29/06
FFIEC 101
Wholesale Exposure Schedule K - OTC Derivatives

PD Range
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13

0.00 to < 0.03
0.03 to < 0.05
0.05 to < 0.10
0.10 to < 0.25
0.25 to < 0.50
0.50 to < .75
0.75 to < 1.35
1.35 to < 2.50
2.50 to < 5.50
5.50 to < 10.00
10.00 to < 100.00
100 (default)
TOTAL

Exposures with EAD Adjustment
C
D
E

Weighted
Average PD
(%)

Number of
Counterparties

Weighted
Average
Maturity
(Years)

EAD
($)

sum

wtd ave

sum

M1
Collateral
Haircut

M2
Internal
Models

100
wtd ave

EAD
Adjustment Method (%):

Expected
Risk Weighted
Weighted
Average LGD Assets Post- Credit Losses
($)
CRM*
(%)
($)

sum

14
Report all OTC derivatives wherever booked. Do not include credit default swaps or total rate of return swaps used to hedge assets.
* Not calculated from previous column entries.

Exposures with LGD Adjustment
K
L
J

Weighted
Average PD
(%)

Number of
Counterparties

Weighted
Average
Maturity
(Years)

EAD
($)

wtd ave

sum

wtd ave

sum

Weighted Risk Weighted
Expected
Average LGD Assets Post- Credit Losses
CRM*
(%)
($)
($)

sum

Draft 8/29/06
FFIEC 101
Retail Exposure - Schedule L - Residential Mortgage - Closed-end First Lien Exposures
A

PD Range
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

0.00 to < 0.05
0.05 to < 0.10
0.10 to < 0.15
0.15 to < 0.20
0.20 to < 0.25
0.25 to < 0.35
0.35 to < 0.50
0.50 to < 0.75
0.75 to < 1.35
1.35 to < 2.50
2.50 to < 5.50
5.50 to < 10.00
10.00 to < 20.00
20.00 to < 100
100 Default
TOTAL **

Weighted Number of
Average
Accounts
PD
(%)

100
wtd avg

sum

Total
Balance
Sheet
Amount
($)

Total
Undrawn
Amount
($)

EAD
($)

Weighted
Average
Age
(Months)

sum

wtd avg

Weighted
Weighted Average
Average LGD
LGD after
before
consideration of
consideration of eligible guarantees
eligible
and credit
guarantees and
derivatives (%)
credit derivatives
(%)

wtd avg

Risk
Expected
Weighted Credit Loss
($)
Assets***
($)

sum

Less
Than
70%
($)

At Least
70% but
less than
80%
($)

sum

LTV*
L

100%+
At Least
At Least
($)
80% but 90% but not
less than more than
100%
90%
($)
($)

sum

Weighted
Average
Bureau
Score

EAD of
Accounts
with
Updated
LTV****

wtd avg

sum

17 Risk Weighted Assets associated with immaterial exposures not included above
18 Subcategory weighted average Expected LGD*****
19 Credit scores shown in Column O are from which credit scoring system(s)?
*
LTV cell values are cumulative EAD totals. LTV values are calculated by combining any junior lien amounts with the exposure amounts applicable to this report.
**
Cells in line 16 are calculated.
*** Not calculated from previous column entries.
**** Report the EAD of accounts that are included in the segments reported in this row where the LTV has been updated since the last report date for portfolio management purposes, that is, the updated LTV is based upon a
refreshed assessment of the collateral value. If LTVs were not updated for any accounts in the segments reported in the row since the last report date, report 0.
***** Report weighted average ELGD only if using own internal estimates of LGD. Otherwise, do not report.

Draft 8/29/06
FFIEC 101
Retail Exposure - Schedule M - Residential Mortgage - Closed-end Junior Lien Exposures
A

PD Range
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

Weighted Number of
Average Accounts
PD
(%)

100
wtd avg

sum

Total
Balance
Sheet
Amount
($)

Total
Undrawn
Amount
($)

EAD
($)

sum

Weighted
Weighted Average
Risk
Expected
Weighted
Average LGD
LGD after
Weighted
Credit
Average
before
consideration of
Assets***
Loss
Age
consideration of eligible guarantees
($)
($)
(Months)
eligible
and credit

wtd avg

guarantees and
credit derivatives
(%)

derivatives (%)

wtd avg

sum

LTV*
L

Less
Than
70%
($)

At Least
70% but
less than
80%
($)

At Least
80% but
less than
90%
($)

sum

At Least
100%+ Weighted
90% but not
($)
Average
more than
Bureau
100%
Score
($)

sum

wtd avg

P
EAD of
Accounts
with
Updated
LTV****

sum

Draft 8/29/06
FFIEC 101
Retail Exposure - Schedule N - Residential Mortgage - Revolving Exposures

PD Range
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

Weighted
Average
PD
(%)

Number of
Accounts

Total
Balance
Sheet
Amount
($)

Total
Undrawn
Amount
($)

EAD
($)

Weighted
Average
Age
(Months)

sum

wtd avg

100
wtd avg

Weighted
Weighted Average
Average LGD
LGD after
before
consideration of
consideration of eligible guarantees
eligible
and credit
guarantees and
derivatives (%)
credit derivatives
(%)

wtd avg

Expected
Risk
Credit
Weighted
Loss
Assets***
($)
($)

sum

J
Less
Than
70%
($)

sum

LTV*
L

At Least
At Least At Least
70% but 80% but 90% but not
less than less than more than
100%
90%
80%
($)
($)
($)

sum

100%+
($)

Weighted
Average
Bureau
Score

EAD of
Accounts
with
Updated
LTV****

sum

wtd avg

sum

Draft 8/29/06
FFIEC 101

Retail Exposure - Schedule O - Qualifying Revolving Exposures - Credit Cards
PD Range
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

0.00 to < 0.50
0.50 to < 1.00
1.00 to < 1.50
1.50 to < 2.00
2.00 to < 2.50
2.50 to < 3.00
3.00 to < 3.50
3.50 to < 4.00
4.00 to < 5.00
5.00 to < 6.00
6.00 to < 7.00
7.00 to < 8.00
8.00 to < 10.00
10.00 to < 100
100 Default
TOTAL *

Weighted
Average PD
(%)

Number of
Accounts

Total Balance
Sheet
Amount
($)

Total
Undrawn
Amount
($)

EAD
($)

EAD of
Accounts <
Two Years
Old
($)

sum

100
wtd avg

Weighted
Weighted
Average LGD Average LGD after
before
consideration of
consideration of eligible guarantees
eligible
and credit
guarantees and
derivatives (%)
credit derivatives
(%)

wtd avg

17 Risk Weighted Assets associated with immaterial exposures not included above
18 Subcategory weighted average Expected LGD***
19 Credit scores shown in Column J are from which credit scoring system(s)?
*
**
***

Cells in line 16 are calculated.
Not calculated from previous column entries.
Report weighted average ELGD only if using own internal estimates of LGD. Otherwise, do not report.

wtd avg

Expected
Risk
Weighted Credit Loss
($)
Assets**
($)

sum

J
Weighted
Average
Bureau
Score

wtd avg

Draft 8/29/06
FFIEC 101

Retail Exposure - Schedule P - Qualifying Revolving Exposures - All Other
PD Range
(%)

Weighted
Average PD
(%)

Number of
Accounts

Total Balance
Sheet
Amount
($)

Total
Undrawn
Amount
($)

EAD
($)

Weighted
Weighted Average
EAD of
Expected
Risk
LGD after
Accounts < Average LGD
Weighted Credit Loss
before
consideration of
Two Years consideration of eligible guarantees Assets**
($)
Old
($)
eligible
and credit
guarantees and
derivatives (%)
($)

J
Weighted
Average
Bureau
Score

credit derivatives
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

100
wtd avg

sum

wtd avg

Cells in line 16 are calculated.
Not calculated from previous column entries.
Report weighted average ELGD only if using own internal estimates of LGD. Otherwise, do not report.

wtd avg

sum

wtd avg

Draft 8/29/06
FFIEC 101

Retail Exposure - Schedule Q - Other Retail Exposures - Small Business
PD Range
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

Weighted
Average PD
(%)

Number of
Accounts

Total Balance
Sheet
Amount
($)

Total
Undrawn
Amount
($)

EAD
($)

EAD of
Accounts <
Two Years
Old
($)

sum

100
wtd avg

Weighted
Weighted
Average LGD Average LGD after
before
consideration of
consideration of eligible guarantees
eligible
and credit
guarantees and
derivatives (%)
credit derivatives
(%)

wtd avg

Cells in line 16 are calculated.
Not calculated from previous column entries.
Report weighted average ELGD only if using own internal estimates of LGD. Otherwise, do not report.

wtd avg

Expected
Risk
Weighted Credit Loss
($)
Assets**
($)

sum

J
Weighted
Average
Bureau
Score

wtd avg

Draft 8/29/06
FFIEC 101

Retail Exposure - Schedule R - Other Retail Exposures - All Other
PD Range
(%)

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

Weighted
Average PD
(%)

Number of
Accounts

Total Balance
Sheet
Amount
($)

Total
Undrawn
Amount
($)

EAD
($)

100
wtd avg

sum

credit derivatives
(%)

(%)

wtd avg

Cells in line 16 are calculated.
Not calculated from previous column entries.
Report weighted average ELGD only if using own internal estimates of LGD. Otherwise, do not report.

Weighted
Weighted
EAD of
Expected
Risk
Accounts < Average LGD Average LGD after Weighted Credit Loss
before
consideration of
Two Years consideration of
($)
Assets**
eligible
Old
($)
eligible
guarantees and
guarantees and credit derivatives
($)

sum

J
Weighted
Average
Bureau
Score

wtd avg

Draft 8/29/06
FFIEC 101
Securitization - Schedule S - Exposures Subject to the Ratings-Based or Internal Assessment Approaches

Rating Category
Exposures with Highest or Second-Highest Investment Grade Long-Term Credit Rating or Highest Investment
1 Grade Short-Term Credit Rating
Exposures with Third-Highest Investment Grade Long Term Credit Rating or Second-Highest Investment Grade
2 Short-Term Credit Rating
Exposures with Lowest Investment Grade Long-Term Credit Rating or Third-Highest Investment Grade Short3 Term Credit Rating
4 Exposures with Long-Term Credit Rating One Category Below Investment Grade
5 Total RBA and IAA Securitization Exposures and RWA

Exposures Subject to
the RBA

Exposures Subject to the
Internal Assessment
Approach

RWA

Draft 8/29/06
FFIEC 101

Securitization - Schedule T - Detail Schedule
A

Exposure Amount

RWA

Deduction

Memorandum Items
1
2
3
4
5
6
7
8

Unrated exposures requiring deduction because no IRB treatment for the underlying
exposures
Exposures requiring deduction under the SFA
Exposures not requiring deduction under the SFA
Total exposures to synthetic securitizations
eligible credit derivatives from eligible securitization guarantors
Total RWA for securitization exposures if not capped under section 42(d) of NPR
RWA for Early Amortization Provisions, Retail Credit Lines
RWA for Early Amortization Provisions, Non-Retail Credit Lines

Draft 8/29/06
FFIEC 101

Equity Exposures - Schedule U
A

Risk Weight
Exposure ($) or Multiplier
1 Total Equity Exposures
Excluded Exposures:
2 0% Risk Weight Equity Exposures
3 FHLB/Farmer Mac Exposures - 20%
4 FHLB/Farmer Mac Exposures - 100%
5 Community Development Equity Exposures
6
6a
6b
6c

0%
20%
100%
100%

Equity Exposures to Investment Funds
Full look-through approach
Simple modified look-through approach
Alternative modified look-through approach

Simple Risk Weight Approach (SRWA)
7 Excluded Equity Exposures to Investment Funds
8 Aggregate equity exposures in hedge pairs with smaller
adjusted carrying value
9 Effective Portion of Hedge Pairs
10 Non-significant equity exposures
11 Publicly traded equity exposures
12 Non-publicly traded equity exposures
13 Total RWA - SWRA
Full Internal Models Approach (Full IMA)
14 Estimate of Potential Losses on Equity Exposures
Floors (Full IMA):
15 Publicly Traded
16 Non-Publicly Traded
17 RWA - Floors

100%
100%
300%
400%

12.5

200%
300%

18 Total RWA - Full IMA
Publicly-Traded Internal Models Approach (Partial IMA)
19 Estimate of Potential Losses on Publicly-Traded Equity
Exposures
Floors (Partial IMA):
20 Publicly Traded
21 Non-Publicly Traded Equity Exposures
22 Total RWA -- Partial IMA

12.5

200%
400%

RWA ($)

Draft 8/29/06
FFIEC 101
Operational Risk - Schedule V
A

Format

PUBLIC

1
2
3
4
4a
4b
5
6
7

Operational Risk Capital
Risk-based Capital Requirement for Operational Risk
Is item 1 generated from an "alternative operational risk quantification system?"
Expected Operational Loss (EOL) and Eligible Operational Risk Offsets
Expected Operational Loss (EOL)
Total Eligible Operational Risk Offsets
Eligible GAAP reserves
Other eligible offsets
Total Risk-based Capital Requirement for Operational Risk without:
Dependence assumptions
Adjustments reflecting business environment and internal control factors
Risk mitigants (e.g., insurance)

Num
Text

y/n

Num
Num
Num
Num
Num
Num

CONFIDENTIAL

8
8a
8b
9
10

11
12
13
14
14a
14b
14c
14d
14e
14f
15
15a
15b
15c
15d
15e
15f

16
17
18
18a
18b
18c
18d
18e

Internal Operational Loss Data Characteristics
Reporting dates
Starting date
Ending date
Highest dollar threshold on loss data
Does the dollar threshold change across units of measure?

Num
Num
Num
Text

y/n

Total number of losses
Total dollar amount of losses
Dollar amount of largest loss
Number of losses in the following ranges (e.g., ≥ $10,000 and < $100,000):
$10,000 - $100,000
$100,000 - $1 Million
$1 Million - $10 Million
$10 Million - $100 Million
$100 Million - $1 Billion
$1 Billion+
Total dollar amount of losses in the following ranges (e.g., ≥ $10,000 and < $100,000):
$10,000 - $100,000
$100,000 - $1 Million
$1 Million - $10 Million
$10 Million - $100 Million
$100 Million - $1 Billion
$1 Billion+
Scenario Analysis
How many individual scenarios were used in calculating the risk-based capital requirement
for operational risk?
What is the dollar value of the largest individual scenario?
Number of scenarios in the following ranges (e.g., ≥ $1 Million and < $10 Million):
$1 Million - $10 Million
$10 Million - $100 Million
$100 Million - $500 Million
$500 Million - $1 Billion
$1 Billion+

Distributional Assumptions
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?
21 Severity Distribution: Across how many individual units of measure did the choice of
severity distribution change since the last reporting period?
19

Loss Caps
How many loss caps are used in calculating the risk-based capital requirement for
operational risk?
23 What is the dollar amount of the smallest cap used?
24 What is the dollar amount of the largest cap used?
22

Used in
Modeling Op
Risk Capital

Total for
Current
Reporting
Period

Format

Num
Num
Num
Num
Num
Num
Num
Num
Num
Num
Num
Num
Num
Num
Num

Num
Num
Num
Num
Num
Num
Num

Num
Num
Num

Draft 8/29/06
FFIEC 101

Reporting Instructions for Schedules A through V

Draft 8/29/06
FFIEC 101

Schedule A - ADVANCED RISK-BASED CAPITAL (Calculation of
Numerator and Ratios for banks and bank holding companies)
Item Instructions
Item No. Caption and Instructions

Tier 1 Capital
1. Total equity capital. Report the amount of the bank’s total equity capital as reported in
Schedule RC, item 28, of the Call Report.
2. LESS: Net unrealized gains (losses) on available-for-sale securities. Report the amount
of net unrealized holding gains (losses) on available-for-sale securities that is included in Schedule RC of
the Call Report, item 26.b, "Accumulated other comprehensive income." If the amount is a net unrealized
holding gain, report it as a positive value in this item. If the amount is a net unrealized holding loss, report
it as a negative value in this item.
3. LESS: Net unrealized loss on available-for-sale equity securities. Report as a positive
value the amount of any net unrealized holding loss on available-for-sale equity securities
that is included in Schedule RC of the Call Report, item 26.b, "Accumulated other comprehensive income."
4. LESS: Accumulated net gains (losses) on cash flow hedges. Report the amount of
accumulated net gains (losses) on cash flow hedges that is included in
Schedule RC of the Call Report, item 26.b, "Accumulated other comprehensive income." If the amount is
an accumulated net gain, report it as a positive value in this item. If the amount is an accumulated net loss,
report it as a negative value in this item.
5. LESS: Nonqualifying perpetual preferred stock. Report the portion of perpetual preferred
stock (and any related surplus) included in the Call Report, item 23, that does not qualify for
inclusion in Tier 1 capital based on the capital guidelines of the bank’s primary Federal
supervisor. Generally, banks should include in this item the book value of all
perpetual preferred stock except for noncumulative perpetual preferred stock. However,
noncumulative perpetual preferred stock in which the dividend rate is periodically reset based
on the bank’s credit standing or financial condition e.g., Dutch auction, money market, and
remarketable preferred stock, is not eligible for Tier 1 capital and should be included in this
item. Although the amount reported in this item is not eligible for Tier 1 capital, it may be
eligible for inclusion in Tier 2 capital in item 13.
6. Qualifying minority interests in consolidated subsidiaries. Report the portion of minority
interests in consolidated subsidiaries included in Schedule RC of the Call Report, item 22, that is eligible
for inclusion in Tier 1 capital based on the capital guidelines of the bank’s primary Federal
supervisor. Generally, banks may include minority interests in equity capital
accounts (both common and noncumulative perpetual preferred stocks) of consolidated
subsidiaries unless such accounts would not otherwise qualify for inclusion in Tier 1 capital.
For example, a bank may not include minority interests representing cumulative preferred
stock in consolidated subsidiaries since such preferred stock if issued directly by the bank
would not be eligible for inclusion in Tier 1 capital.
[Note: Placeholder for BHC instructions: Qualifying trust preferred securities.

Draft 8/29/06
FFIEC 101
7. LESS: Disallowed goodwill and other disallowed intangible assets. Report the portion
of goodwill included in Schedule RC of the Call Report, item 10.a, and the portion of other identifiable
intangible assets included in Schedule RC-M of the Call Report, item 2.c, that does not qualify for
inclusion in Tier 1 capital based on the capital guidelines of the bank's primary Federal supervisor.
Generally, all goodwill reported in item 10.a, and all other identifiable intangible assets reported in
Schedule RC-M of the Call Report, item 2.c, do not qualify for Tier 1 capital and should be included in this
item.
However, if the bank has a deferred tax liability that is specifically related to an intangible
asset (other than servicing assets and purchased credit card relationships) acquired in a
nontaxable purchase business combination that it chooses to net against the intangible asset
for regulatory capital purposes, the amount of disallowed intangibles to be reported in this
item should be reduced by the amount of this deferred tax liability. However, a deferred tax
liability that the bank chooses to net against the related intangible asset for purposes of this
item may not also be netted against deferred tax assets when the bank determines the
amount of deferred tax assets that are dependent upon future taxable income and calculates
the maximum allowable amount of such deferred tax assets for regulatory capital purposes.
For state member banks, if the amount reported for other identifiable intangible assets in
Schedule RC-M of the Call Report, item 2.c, includes intangible assets that were recorded on the reporting
bank's balance sheet on or before February 19, 1992, the remaining book value as of the report date of these
intangible assets may be excluded from this item.
8. Subtotal. Report the sum of items 1 and 6, less items 2, 3, 4, 5, and 7.
The amount reported in this item should be used to determine the limitations on servicing
assets and purchased credit card relationships for item 9.a; deferred tax
assets, item 9.b, below.
9a. LESS: Disallowed servicing assets and purchased credit card relationships. Report
the portion of servicing assets and purchased credit card relationships included in
Schedule RC-M of the Call Report, items 2.a and 2.b, that does not qualify for inclusion in Tier 1 capital
based on the capital guidelines of the bank's primary Federal supervisor. Generally, servicing assets and
purchased credit card relationships (PCCRs) are limited to 100 percent of Tier 1 capital. In addition,
nonmortgage servicing assets and PCCRs are subject to a
separate sublimit of 25 percent of Tier 1 capital. Banks may use the following approach to
determine the amount of disallowed servicing assets and PCCRs.
Disallowed Mortgage Servicing Assets, Nonmortgage Servicing Assets, and
PCCRs Calculation
(a) Enter the amount from item 8 ________
(b) Enter 25% of the amount in (a) above ________
(c) Enter the amount of nonmortgage servicing assets
and PCCRs reported in Schedule RC-M of the Call Report, item 2.b ________
(d) Enter 90% of the fair value of the nonmortgage servicing
assets and PCCRs reported in (c) above ________
(e) Enter the lesser of (b), (c), or (d) ________
(f) Minimum amount of nonmortgage servicing assets and
PCCRs to be deducted from Tier 1 capital: subtract
(e) from (c); enter 0 if the result is a negative amount ________

Draft 8/29/06
FFIEC 101
(g) Enter the amount of mortgage servicing assets
reported in Schedule RC-M of the Call Report, item 2.a ________
(h) Enter 90% of the estimated fair value of mortgage servicing
assets reported in Schedule RC-M of the Call Report, item 2.a.(1) ________
(i) Enter the lesser of (a), (g), or (h) ________
(j) Minimum amount of mortgage servicing assets to be
deducted from Tier 1 capital: subtract (i) from (g);
enter 0 if the result is a negative amount ________
(k) Excess nonmortgage servicing assets, PCCRs, and
mortgage servicing assets (i.e., the combined amount
exceeding 100% of Tier 1 capital): sum of (e) and (i)
minus (a); enter 0 if the result is a negative amount ________
(l) Disallowed nonmortgage servicing assets, PCCRs, and
mortgage servicing assets: enter the sum of
(f), (j), and (k) ________
9b. LESS: Disallowed deferred tax assets. Report the portion of net deferred tax assets
included in Schedule RC-F of the Call Report, item 2, that does not qualify for inclusion in Tier 1 capital
based on the capital guidelines of the reporting bank's primary Federal supervisor. Generally, deferred tax
assets that are dependent upon future taxable income are limited to the lesser of: (i) the amount of such
deferred tax assets that the bank expects to realize
within one year of the calendar quarter-end date, based on its projected future taxable
income for that year or (ii) 10% of the amount of the bank's Tier 1 capital. A bank may
calculate one overall limit on deferred tax assets that covers all tax jurisdictions in which the
bank operates.
Deferred tax assets that are dependent upon future taxable income are (a) deferred tax
assets arising from deductible temporary differences that exceed the amount of taxes
previously paid that a bank could recover through loss carrybacks if the bank's temporary
differences (both deductible and taxable) fully reverse at the report date and (b) deferred tax
assets arising from operating loss and tax credit carryforwards. Therefore, for purposes of
this item, all temporary differences should be assumed to fully reverse at the report date.
A bank may use its future taxable income projection for its current fiscal year (adjusted for
any significant changes that have occurred or are expected to occur) when determining the
regulatory capital limit for its deferred tax assets at an interim calendar quarter-end date
rather than preparing a new projection each quarter. Projected future taxable income should
not include net operating loss carryforwards expected to be used within one year of the
quarter-end report date or the amount of existing temporary differences expected to reverse
within that year, but should include the estimated effect of tax planning strategies that are
expected to be implemented to realize carryforwards that will otherwise expire during that
year.
When determining the amount to be reported in this item, each reporting bank's calculations
should be made on a separate entity basis. Under the separate entity method, a bank
(together with its consolidated subsidiaries) that is a subsidiary of a holding company is
treated as a separate taxpayer rather than as part of the consolidated group of which it is a
member.
Deferred tax assets which can be realized from taxes paid in prior carryback years and from
future reversals of existing taxable temporary differences should generally not be reported in

Draft 8/29/06
FFIEC 101
this item. However, for a bank that is a subsidiary of a holding company, the parent holding
company may not have the financial capability to reimburse the reporting bank for tax
benefits derived from the bank's carryback of net operating losses or tax credits. In such a
situation, when determining the amount of deferred tax assets that are dependent upon future
taxable income, the amount of carryback potential the bank may consider as being available
for the realization of its deferred tax assets shall be limited to the amount which the bank
could reasonably expect to have refunded by its parent.
Treatment of deferred tax assets relating to available-for-sale securities -- In accordance with
FASB Statement No. 115, Accounting for Certain Investments in Debt and Equity Securities,
available-for-sale securities are reported in the Reports of Condition and Income at fair value,
with unrealized holding gains and losses on such securities, net of tax effects, included in a
separate component of equity capital. These tax effects may increase or decrease the
reported amount of a bank's deferred tax assets. The federal banking agencies exclude from
regulatory capital the amount of net unrealized holding gains and losses on available-for-sale
securities (except net unrealized holding losses on available-for-sale equity securities with
readily determinable fair values). When determining the regulatory capital limit for deferred
tax assets, a bank may, but is not required to, adjust the amount of its deferred tax assets for any deferred
tax assets and liabilities arising from marking-to-market available-for-sale debt
securities for purposes of these reports. A bank must follow a consistent approach with
respect to such adjustments.
Banks may use the following approach to determine the amount of disallowed deferred tax
assets.
Disallowed Deferred Tax Assets Calculation
(a) Enter the amount from item 8 ________
(b) Enter 10% of the amount in (a) above ________
(c) Enter the amount of deferred tax assets reported in
Schedule RC-F of the Call Report, item 2 ________
(d) Enter the amount of taxes previously paid that the bank
could recover through loss carrybacks if the bank's
temporary differences (both deductible and taxable)
fully reverse at the report date ________
(e) Amount of deferred tax assets that is dependent upon
future taxable income: subtract (d) from (c); enter 0
if the result is a negative amount ________
(f) Enter the portion of (e) that the bank could realize within
the next 12 months based on its projected future taxable
income. Future taxable income should not include net
operating loss carryforwards to be used during the next
12 months or existing temporary differences that are
expected to reverse over the next 12 months. ________
(g) Enter the lesser of (b) and (f) ________
(h) Disallowed net deferred tax assets - subtract (g) from (e);
enter 0 if the result is a negative amount ________
9.c LESS: Shortfall of eligible credit reserves below total expected credit losses (50% of the shortfall
plus tier 2 carryover)

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FFIEC 101
Eligible credit reserves are defined as all general allowances, including the ALLL, that have been
established through a charge against earnings to absorb credit losses associated with on- or off-balance
sheet wholesale and retail exposures. Eligible credit reserves would not include allocated transfer risk
reserves established pursuant to 12 U.S.C. 3904 and other specific reserves created against recognized
losses.
A bank’s total expected credit losses (ECL) is defined as the sum of the ECL for all wholesale and retail
exposures other than exposures to which the bank has applied double default treatment. The bank’s ECL
for a wholesale exposure to a non-defaulted obligor or a non-defaulted retail segment is the product of PD,
ELGD, and EAD for the exposure or segment. The bank’s ECL for a wholesale exposure to a defaulted
obligor or a defaulted retail segment is equal to the bank’s impairment estimate for ALLL purposes for the
exposure or segment.
A shortfall is created when the total dollar amount of ECL exceeds the bank’s eligible credit reserves. If
there is a shortfall of eligible credit reserves compared to ECL, the bank must deduct 50 percent of the
shortfall from tier 1 capital and 50 percent from tier 2 capital. If the amount deductible from tier 2 capital
exceeds the bank’s actual tier 2 capital, the bank would deduct the excess from tier 1 capital (this is known
as the “tier 2 carryover”).

9d. LESS: Gain-on-sale associated with securitization exposures.
A bank must deduct from tier 1 capital any increase in the bank’s equity capital at the inception of a
securitization transaction (gain-on-sale), other than an increase in equity capital that results from the bank’s
receipt of cash in connection with the securitization. Under SFAS No. 140, an institution initially measures
and records assets retained in connection with a sale or securitization, based on relative fair values. That is,
the institution allocates the previous carrying amount between the sold assets and the retained interests
based on their relative fair values. The reported gain is the difference between the net proceeds from the
sale and the allocated carrying value of the assets sold. This methodology is often called “gain-on-sale”
accounting. For example, a bank would deduct a gain attributable to a credit-enhancing interest-only strip
(CEIO) that results from FAS 140 accounting treatment for the sale of underlying exposures to a
securitization special purpose entity (SPE) Under the proposed rule, a bank must deduct such interests
from tier 1 to the extent they represent gain-on-sale. For CEIOs, a bank must deduct CEIOs, from tier 1
capital to the extent they represent gain-on-sale, and must deduct any remaining CEIOs 50 percent from tier
1 capital and 50 percent from tier 2 capital. Any remaining Tier 1 deductions for CEIOs (that does not
represent gain-on-sale) should be reported in item 9(f) below, and any remaining Tier 2 deductions should
be reported in item 17(c) below.
9e. LESS Certain failed capital markets transactions (50% of deductions plus tier 2 carryover).
Deduct in this item 50% of its exposure on certain unsettled and failed transactions (50 percent from tier 1
and 50 percent from tier 2). These transactions include non-delivery-versus-payment (non-DvP) and nonpayment-versus-payment (non-PvP) transactions (with a normal settlement period) where the bank has not
received the deliverables by the fifth business day after counterparty delivery was due. In these instances,
the bank must deduct the current market value of the deliverables owed to the bank 50 percent from tier 1
and 50 percent from tier 2.
If the amount deductible from tier 2 capital exceeds the bank’s actual tier 2 capital, the bank would deduct
the excess from tier 1 capital.
9f. LESS: Other securitization deductions (50% of deductions plus tier 2 carryover)
Certain other securitization exposures also would be deducted from tier 1 and tier 2 capital. These
exposures include, for example, securitization exposures that have an applicable external rating that is more
than one category below investment grade (for example, below BB) and most subordinated unrated

Draft 8/29/06
FFIEC 101
securitization exposures. When a bank must deduct a securitization exposure (other than gain-on-sale)
from regulatory capital, the bank must take the deduction 50 percent from tier 1 capital and 50 percent from
tier 2 capital. Report in this item any remaining Tier 1 deductions for CEIOs (that do not represent gain-onsale).
If the amount deductible from tier 2 capital exceeds the bank’s actual tier 2 capital, the bank would deduct
the excess from tier 1 capital..
A bank may calculate any deductions from regulatory capital with respect to a securitization exposure
(including after-tax gain-on-sale) net of any deferred tax liabilities associated with the exposure.
10. Other additions to (deductions from) Tier 1 capital. Report the amount of any additions to
or deductions from Tier 1 capital based on the capital guidelines of the reporting bank's
primary Federal supervisor that are not included in items 1 through 9.f, above. If the amount to be reported
in this item is a net deduction, enclose the amount in parentheses.
[NOTE: Placeholder for BHC instructions: The BHC must deduct from tier 1 capital an amount equal to
the insurance underwriting subsidiary’s minimum regulatory capital requirement as determined by its
functional (or equivalent) regulator. For U.S. regulated insurance subsidiaries, this amount would be 200
percent of the subsidiary’s Authorized Control Level as established by the appropriate state insurance
regulator.]
Banks with financial subsidiaries should exclude from this item adjustments to Tier 1 capital
for the deconsolidation of such subsidiaries. Adjustments to Tier 1 capital for financial subsidiaries should
be reported in item 29.a, below.
11. Tier 1 capital. Report the sum of items 8 and 10, less items 9.a through 9.f. If the bank has no financial
subsidiaries, the amount reported in this item is the numerator of the bank's Tier 1 risk-based capital ratio
and its Tier 1 leverage ratio.
Tier 2 Capital
12. Qualifying subordinated debt and redeemable preferred stock. Report the portion of the
bank's qualifying limited-life capital instruments that is includible in Tier 2 capital based on the
capital guidelines of the reporting bank's primary Federal supervisor. This amount
is the sum of:
(1) the portion of qualifying subordinated debt and intermediate-term preferred stock
includible in Tier 2 capital, and
(2) the portion of qualifying other limited-life capital instruments includible in Tier 2 capital.
The portion of limited-life capital instruments that is includible in Tier 2 capital is the amount
that remains after discounting those instruments, if any, with five years or less until maturity
and then applying any applicable percentage of Tier 1 capital limit. For limited-life capital
instruments with serial maturities or with sinking fund provisions, the amount associated with
each maturity date is to be treated as a separate issue and discounted on an individual basis.
If the holder of the reporting bank's subordinated debt or intermediate-term or long-term
preferred stock has the right to require the bank to redeem, repay, or repurchase the
instrument prior to the original stated maturity, then maturity would be defined as the earliest
possible date on which the holder can put the instrument back to the issuing bank.
Qualifying term subordinated debt and intermediate-term preferred stock (including any
related surplus) must have an original weighted average maturity of at least five years.
Intermediate-term preferred stock includes those issues of preferred stock with an original
maturity of less than 20 years. Mandatory convertible debt, i.e., equity contract notes, is not
considered a limited-life capital instrument for risk-based capital purposes and should be
excluded from this item.

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FFIEC 101
The portion of qualifying term subordinated debt and intermediate-term preferred stock that
remains after discounting and is includible in Tier 2 capital is limited to 50 percent of Tier 1
capital. This portion is calculated as follows:
(A1) Amount of subordinated debt and intermediate-term preferred stock with a remaining maturity of
more than five years ______x 100% =______
(A2) Amount of subordinated debt and intermediate-term preferred stock with a remaining maturity of
more than four years, but less than five years ______x 80% =______
(A3) Amount of subordinated debt and intermediate-term preferred stock with a remaining maturity of
more than three years, but less than four years ______x 60% =______
(A4) Amount of subordinated debt and intermediate-term preferred stock with a remaining maturity of
more than two years, but less than three years ______x 40% =______
(A5) Amount of subordinated debt and intermediate-term preferred stock with a remaining maturity of
more than one year, but less than two years ______x 20% =_____
(A6) Amount of subordinated debt and intermediate-term (cont.) preferred stock with a remaining maturity
of one year or less ______x 0% =______
(A7) Qualifying subordinated debt and intermediate-term preferred stock (sum of discounted amounts of
lines (A1) through (A6)) ______
(A8) Tier 1 capital (from item 11) ______
(A9) Multiplied by 50 percent x 50%
(A10) Limit for qualifying subordinated debt and intermediate-term preferred stock (line (A8) multiplied
by 50 percent) ______
(A11) Portion of qualifying subordinated debt and intermediate-term preferred stock includible in Tier 2
capital (lesser of lines (A7) and (A10)) ______
The entire amount of qualifying other limited-life capital instruments, such as long-term
preferred stock with an original maturity of 20 years or more, that remains after discounting is
includible in Tier 2 capital. This portion is calculated as follows:
(B1) Amount of other limited-life capital instruments with a remaining maturity of more than five years
______x 100% =______
(B2) Amount of other limited-life capital instruments with a remaining maturity of more than four years,
but less than five years ______x 80% =______
(B3) Amount of other limited-life capital instruments with a remaining maturity of more than three years,
but less than four years ______x 60% =______
(B4) Amount of other limited-life capital instruments with a remaining maturity of more than two year, but
less than three years ______x 40% =______
(B5) Amount of other limited-life capital instruments with a remaining maturity of more than one year, but
less than two years ______x 20% =______
(B6) Amount of other limited-life capital instruments with a remaining maturity of one year or less
______x 0% =______

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FFIEC 101
(B7) Portion of qualifying other limited-life capital instruments (sum of discounted amounts of lines (B1)
through (B6)) ______
Report the sum of the amounts from lines (A11) and (B7) above in item 12.
13. Qualifying cumulative perpetual preferred stock includible in Tier 2 capital. Report the amount of
qualifying outstanding cumulative perpetual preferred stock, including any amounts received in excess of
its par or stated value, that is included in Schedule RC of the Call Report, item 23. Also include perpetual
preferred stock issues that were excluded from Tier 1 capital such as noncumulative perpetual preferred
where the dividend is reset periodically based, in whole or in part, upon the bank's current credit standing
(including, but not limited to, auction rate, money market, and remarketable preferred stock).
14. Excess of eligible credit reserves over total expected credit losses (up to .60% of credit riskweighted assets). If eligible credit reserves exceed total ECL, the excess portion of eligible credit reserves
may be included in tier 2 capital up to 0.6 percent of credit-risk-weighted assets. Credit-risk-weighted
assets is defined as 1.06 multiplied by the sum of total wholesale and retail risk-weighted assets, riskweighted assets for securitization exposures, and risk-weighted assets for equity exposures.
15. Unrealized gains on available-for-sale equity securities includible in Tier 2 capital.
Report the pretax net unrealized holding gain (i.e., the excess of fair value as reported in
Schedule RC-B of the Call Report, item 7, column D, over historical cost as reported in Schedule RC-B of
the Call Report, item 7, column C), if any, on available-for-sale equity securities that is includible in Tier 2
capital subject to the limits specified by the capital guidelines of the reporting bank's primary Federal
supervisor. The amount reported in this item cannot exceed 45 percent of the bank's pretax net unrealized
holding gain on available-for-sale equity securities with readily determinable fair values.
16. Other additions to (deductions from) Tier 2 capital. Report the amount of any items that qualify for
inclusion in Tier 2 capital based on the capital guidelines of the reporting bank's primary Federal supervisor
that are not included in items 12 through 15, above. Include mandatory convertible debt, i.e., equity
contract notes, which is a form of subordinated debt that obligates the holder to take the common or
perpetual preferred stock of the issuer in lieu of cash for repayment of principal.
The bank should also report as a deduction in this item 50% of its exposure to certain unsettled and failed
transactions (50% from tier 1 and 50% from tier 2). These transactions include non-delivery-versuspayment (non-DvP) and non-payment-versus-payment (non-PvP) transactions (with a normal settlement
period) where the bank has not received the deliverables by the fifth business day after counterparty
delivery was due. In these instances, the bank must deduct the current market value of the deliverables
owed to the bank 50 percent from tier 1 and 50 percent from tier 2.

17. Adjustments to Tier 2 capital.
17a. LESS: Shortfall of eligible credit reserves below total expected credit losses (up to the lower of
50% of the shortfall or amount of tier 2 capital).
A bank’s total ECL is defined as the sum of the ECL for all wholesale and retail exposures other than
exposures to which the bank has applied double default treatment. The bank’s ECL for a wholesale
exposure to a non-defaulted obligor or a non-defaulted retail segment is the product of PD, ELGD, and
EAD for the exposure or segment. The bank’s ECL for a wholesale exposure to a defaulted obligor or a
defaulted retail segment is equal to the bank’s impairment estimate for ALLL purposes for the exposure or
segment.
A shortfall is created when the total dollar amount of ECL exceeds the bank’s eligible credit reserves. If
there is a shortfall of eligible credit reserves compared to ECL, the bank must deduct 50 percent of the

Draft 8/29/06
FFIEC 101
shortfall from tier 1 capital and 50 percent from tier 2 capital. If the amount deductible from tier 2 capital
exceeds the bank’s actual tier 2 capital, the bank would deduct the excess from tier 1 capital..
17b. LESS: Certain failed capital markets transactions (up to the lower of 50% of the shortfall or
amount of tier 2 capital).
Deduct in this item 50% of its exposure on certain unsettled and failed transactions (50 percent from tier 1
and 50 percent from tier 2). These transactions include non-delivery-versus-payment (non-DvP) and nonpayment-versus-payment (non-PvP) transactions (with a normal settlement period) where the bank has not
received the deliverables by the fifth business day after counterparty delivery was due. In these instances,
the bank must deduct the current market value of the deliverables owed to the bank 50 percent from tier 1
and 50 percent from tier 2.
If the amount deductible from tier 2 capital exceeds the bank’s actual tier 2 capital, the bank would deduct
the excess from tier 1 capital.

17c. LESS: Other securitization deductions (up to the lower of 50% of shortfall or amount of tier 2
capital).
Certain other securitization exposures also would be deducted from tier 1 and tier 2 capital. These
exposures include, for example, securitization exposures that have an applicable external rating that is more
than one category below investment grade (for example, below BB) and most subordinated unrated
securitization exposures. When a bank must deduct a securitization exposure (other than gain-on-sale)
from regulatory capital, the bank must take the deduction 50 percent from tier 1 capital and 50 percent from
tier 2 capital. Report in this item any remaining Tier 2 deductions for CEIOs (that do not represent gainon-sale) If the amount deductible from tier 2 capital exceeds the bank’s actual tier 2 capital, the bank would
deduct the excess from tier 1 capital.
18. Tier 2 capital. Report the sum of items 12 through 16, less items 17.a through 17.c.
19. Allowable Tier 2 capital. Report the amount of the bank's allowable Tier 2 capital. The
maximum amount of Tier 2 capital that is allowable in a bank’s qualifying total capital is
100 percent of Tier 1 capital. The amount reported in this item must be the lesser of
item 11, “Tier 1 capital," and item 18, "Tier 2 capital," if item 11 is a positive
number. If item 11, is a negative number, report a zero in this item.
20. Tier 3 capital allocated for market risk. Report the amount of the bank's Tier 3 capital
allocated for market risk. This item is only applicable to banks that are subject to the market
risk capital guidelines. The amount reported in this item may only be used to satisfy the bank's market risk
capital requirement and may not be used to support credit risk. The sum of the amount reported in this item
and the amount reported in item 19, “Allowable Tier 2 capital,” must be less than or equal to the amount
reported in item 11, “Tier 1 capital." In addition, Tier 3 capital allocated for market risk plus Tier 2 capital
allocated for market risk are limited to 71.4 percent of a bank's measure for market risk.
21. LESS: Deductions for total risk-based capital. Report the amount of the bank’s
investments in banking and finance subsidiaries that are not consolidated for regulatory
capital purposes, intentional reciprocal cross-holdings of banking organizations' capital
instruments, and any other deductions for total risk-based capital as determined by the
reporting bank's primary Federal supervisor. Banks with financial subsidiaries
should exclude adjustments to total risk-based capital for the deconsolidation of such
subsidiaries. Adjustments to total risk-based capital for financial subsidiaries should be
reported in item 29.b, below.
22. Total risk-based capital. Report the sum of items 11, 19, and 20, less
item 21. The amount reported in this item is the numerator of the bank's total risk-based
capital ratio.

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FFIEC 101
Total assets for leverage ratio
23. Average total assets. Report the bank’s average total assets as reported in
Schedule RC-K of the Call Report, item 9.
24. LESS: Disallowed goodwill and other disallowed intangible assets. Report the amount
of any disallowed goodwill and other disallowed intangible assets from item 7, above.
25. LESS: Disallowed servicing assets and purchased credit card relationships. Report
the amount of any disallowed servicing assets and purchased credit card relationships from
item 9.a, above.
26. LESS: Disallowed deferred tax assets. Report the amount of any disallowed deferred tax
assets from item 9.b, above.
27. LESS: Other deductions from assets for leverage capital purposes. Report the
amount of any other assets that are deducted in determining Tier 1 capital in accordance
with the capital standards issued by the reporting bank's primary federal supervisory
authority. Also include the adjusted carrying value of any nonfinancial equity investments for which a Tier
1 capital deduction is included on item 10, above.
Banks with financial subsidiaries should exclude from this item adjustments to average total
assets for the deconsolidation of such subsidiaries. Adjustments to average total assets for
financial subsidiaries should be reported in item 31, below.
28. Average total assets for leverage capital purposes. Report item 23, less
items 24 through 27.
Adjustments for financial subsidiaries
NOTE: Items 29.a through 31, and column A of items 32 through 34 are only to be completed by banks
with “financial subsidiaries” as defined by the Gramm-Leach-Bliley Act of 1999 (the Act). The Act
effectively amends the federal banking agencies' capital guidelines to require all banks with financial
subsidiaries to deconsolidate the assets and liabilities of all financial subsidiaries and to deduct the
aggregate outstanding equity investment in the financial subsidiaries from capital and assets for purposes of
calculating the bank’s regulatory capital ratios.
29a. Adjustment to Tier 1 capital reported in item 11. Report one half of the bank's aggregate
outstanding equity investment in financial subsidiaries as of the report date, which should be
determined in the following manner.
If a financial subsidiary is not consolidated into the bank for purposes of these reports, one
half of the bank's aggregate outstanding equity investment in the subsidiary is one half of the
amount of the bank's ownership interest accounted for under the equity method of
accounting. The bank’s ownership interest will have been included in Schedule RC of the Call Report, item
8, "Investments in unconsolidated subsidiaries and associated companies." However, the bank's ownership
interest in a financial subsidiary should exclude any loans and advances to
the subsidiary and any holdings of the subsidiary's bonds, notes, and debentures, which are
included in Schedule RC of the Call Report, item 8.
If one or more financial subsidiaries are consolidated into the bank for purposes of these
reports, the bank may use the following approach to determine one half of the bank's
aggregate outstanding equity investment in these consolidated financial subsidiaries.

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FFIEC 101
One Half of the Aggregate Outstanding Equity Investments in
Consolidated Financial Subsidiaries
(a) Enter the total assets of consolidated financial subsidiaries included in Schedule RC of the Call Report,
item 12 ____________
(b) Enter the total liabilities of consolidated financial subsidiaries included in Schedule RC of the Call
Report item 21 ____________
(c) Enter the sum of the amounts included in items 2, 3, 4, 5, 7, 9.a, and 9.b, above that are attributable to
the bank’s consolidated financial subsidiaries (e.g., goodwill on a financial subsidiary's balance sheet that
was included in the disallowed goodwill reported on
item 7 above) ____________
(d) Enter the amount of "Other additions to (deductions from) Tier 1 capital" included in Schedule item 10
above, that is attributable to the bank's consolidated financial subsidiaries ____________
(e) Enter the amount of any minority interests in consolidated financial subsidiaries included in Schedule
RC of the Call Report, item 22 ____________
(f) Enter the sum of (a) and (d) less (b), (c), and (e); enter 0 if the amount is a negative number
____________
(g) Adjustment to Tier 1 capital reported in item 11 above (one half of the bank's aggregate outstanding
equity investment for the bank’s consolidated financial subsidiaries): enter 50% of the amount in (f) above
_____________
29b. Adjustment to total risk-based capital reported in item 22. Report the bank's aggregate
outstanding equity investment in financial subsidiaries as of the report date, which should be
determined in the following manner.
If a financial subsidiary is not consolidated into the bank for purposes of these reports, the
bank's aggregate outstanding equity investment in the subsidiary is the amount of the bank’s
ownership interest accounted for under the equity method of accounting. The bank's
ownership interest will have been included in Schedule RC of the Call Report, item 8, "Investments in
unconsolidated subsidiaries and associated companies." However, the bank's ownership interest in a
financial subsidiary should exclude any loans and advances to the subsidiary and any holdings of the
subsidiary's bonds, notes, and debentures, which are included in Schedule RC of the Call Report, item 8.
If one or more financial subsidiaries are consolidated into the bank for purposes of these
reports, the bank may use the following approach to determine the aggregate outstanding
equity investments in these consolidated financial subsidiaries.
Aggregate Outstanding Equity Investments in Consolidated Financial Subsidiaries
(a) Enter the amount from line (f) in the calculation of the adjustment to Tier 1 capital for consolidated
financial subsidiaries in the instructions for item 28.a, above ____________
(b) Enter the sum of the amounts included in items 12, 13, 14, 15, 16, and 20 above that are attributable to
the bank's consolidated financial subsidiaries ____________
(c) Enter the amount of "Deductions for total risk-based capital" included in item 21 above, that is
attributable to the bank's consolidated financial subsidiaries ____________
(d) Adjustment to total risk-based capital reported in item 22 above, for the bank's consolidated financial
subsidiaries: enter the sum of (a) and (b) less (c) _____________

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FFIEC 101
30. Adjustment to risk-weighted assets. Report the amount of the adjustment to risk-weighted assets for
financial subsidiaries, which should be determined in the following manner.
If a financial subsidiary is not consolidated into the bank, the adjustment to risk-weighted
assets for the subsidiary will equal the bank's ownership interest accounted for under the
equity method of accounting that is included in total risk-weighted assets.
If a financial subsidiary is consolidated into the bank, the adjustment to risk-weighted assets
for the subsidiary will be the total amount of the subsidiary's individual assets, derivatives,
and off-balance sheet items as they have been allocated by risk weight across the risk weight
categories, less the risk-weighted amount of bank assets representing claims on the financial subsidiary,
other than the bank's ownership interest in the subsidiary, that were eliminated in consolidation. These
eliminated assets will not have been included in the amounts reported.
31. Adjustment to average total assets reported in item 28 above. Report the amount of the
adjustment to average total assets for financial subsidiaries, which should be determined in
the following manner.
If a financial subsidiary is not consolidated into the bank, the adjustment to average total
assets for the subsidiary will be the quarterly average of the bank's ownership interest
accounted for under the equity method of accounting that is included in item 28 above.
If a financial subsidiary is consolidated into the bank, the adjustment to average total assets
for the subsidiary will be the quarterly average of the assets of the subsidiary that have been
included in the consolidated assets of the bank, as reported in Schedule item 23 above; less
any disallowed intangible assets and deferred tax assets of the subsidiary that have been
included in items 24, 25, and 26 above; less any other assets of the subsidiary that
have been included as other deductions in item 27 above; and less the quarterly
average of bank assets representing claims on the financial subsidiary, other than the bank’s
ownership interest in the subsidiary, that were eliminated in consolidation. These eliminated
assets will not have been included in the amount reported in item 23 above.
Capital Ratios
32. Tier 1 leverage ratio. Report the bank’s Tier 1 leverage ratio as a percentage, rounded to
two decimal places. Column B is to be completed by all banks. The ratio for column B is
determined by dividing item 11, by item 28. Banks with financial subsidiaries must also complete column
A. The ratio for column A is determined as follows:
Item 11, minus item 29.a
Item 28, minus item 31
33. Tier 1 risk-based capital ratio. Report the bank’s Tier 1 risk-based capital ratio as a
percentage, rounded to two decimal places. Column B is to be completed by all banks. The
ratio for column B is determined by dividing item 11, by total risk-weighted assets. Banks with financial
subsidiaries must also complete column A. The ratio for column A is determined as follows:
Item 11, minus item 29.a
Schedule B, item 31, minus item 30 of Schedule A
34. Total risk-based capital ratio. Report the bank’s total risk-based capital ratio as a
percentage, rounded to two decimal places. Column B is to be completed by all banks. The
ratio for column B is determined by dividing item 22, by total risk-weighted assets. For banks with
financial subsidiaries must also complete column A. The ratio for column A is determined as follows:

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FFIEC 101
Item 22, minus item 29.b
Schedule B, item 31, minus item 30 of Schedule A
35. Eligible credit reserves.
Report the amount of the bank’s eligible credit reserves. Eligible credit reserves are defined as all general
allowances, including the ALLL, that have been established through a charge against earnings to absorb
credit losses associated with on- or off-balance sheet wholesale and retail exposures. Eligible credit
reserves would not include allocated transfer risk reserves established pursuant to 12 U.S.C. 3904 and other
specific reserves created against recognized losses.
36. Total expected credit losses.
Report the amount of the bank’s total ECL. A bank’s ECL are defined as the sum of the ECL for all
wholesale and retail exposures other than exposures to which the bank has applied double default
treatment. The bank’s ECL for a wholesale exposure to a non-defaulted obligor or a non-defaulted retail
segment is the product of PD, ELGD, and EAD for the exposure or segment. The bank’s ECL for a
wholesale exposure to a defaulted obligor or a defaulted retail segment is equal to the bank’s impairment
estimate for ALLL purposes for the exposure or segment.

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FFIEC 101

Schedule B PREPARATION INSTRUCTIONS
Report the information required for Table B using the definitions provided in the NPR. Round all numbers
to the nearest thousand and percentages to two decimal places.
Column
Row(s)
Instructions
Report the weighted average probability of default before
A
1
consideration of credit risk mitigation from cell A-13 of the
Wholesale Exposure – Corporate schedule.
Report the total balance sheet amount from cell C-13 of the
B
1
Wholesale Exposure – Corporate schedule.
Report the total dollar volume of undrawn exposures from cell DC
1
13 of the Wholesale Exposure – Corporate schedule.
Report the total dollar volume of exposure at default from cell ED
1
13 of the Wholesale Exposure – Corporate schedule.
Report the weighted average maturity from cell F-13 of the
E
1
Wholesale Exposure – Corporate schedule.
Report the weighted average loss given default after consideration
of credit risk mitigants (collateral, guarantees and credit
F
1
derivatives) from cell G2-13 of the Wholesale Exposures –
Corporate schedule.
Report the total amount of risk weighted assets from cell I-13 of
G
1
the Wholesale Exposure – Corporate schedule.
Report the total dollar volume of expected credit loss from cell JH
1
13 of the Wholesale Exposure – Corporate schedule.
Report the weighted average probability of default before
consideration of credit risk mitigation from cell A-13 of the
A
2
Wholesale Exposure – Bank schedule.
Report the total balance sheet amount from cell C-13 of the
B
2
Wholesale Exposure – Bank schedule.
Report the total dollar volume of undrawn exposures from cell DC
2
13 of the Wholesale Exposure – Bank schedule.
Report the total dollar volume of exposure at default from cell ED
2
13 of the Wholesale Exposure – Bank schedule.
Report the weighted average maturity from cell F-13 of the
E
2
Wholesale Exposure – Bank schedule.
Report the weighted average loss given default after consideration
of credit risk mitigants (collateral, guarantees and credit
F
2
derivatives) from cell G2-13 of the Wholesale Exposures – Bank
schedule.
Report the total amount of risk weighted assets from cell I-13 of
G
2
the Wholesale Exposure – Bank schedule.
Report the total dollar volume of expected credit loss from cell JH
2
13 of the Wholesale Exposure – Bank schedule.
Report the weighted average probability of default before
A
3
consideration of credit risk mitigation from cell A-13 of the
Wholesale Exposure – Sovereign schedule.
Report the total balance sheet amount from cell C-13 of the
B
3
Wholesale Exposure – Sovereign schedule.
Report the total dollar volume of undrawn exposures from cell DC
3
13 of the Wholesale Exposure – Sovereign schedule.

Draft 8/29/06
FFIEC 101

Schedule B PREPARATION INSTRUCTIONS
D

Report the total dollar volume of exposure at default from cell E13 of the Wholesale Exposure – Sovereign schedule.
Report the weighted average maturity from cell F-13 of the
Wholesale Exposure – Sovereign schedule.
Report the weighted average loss given default after consideration
of credit risk mitigants (collateral, guarantees and credit
derivatives) from cell G2-13 of the Wholesale Exposures –
Sovereign schedule.
Report the total amount of risk weighted assets from cell I-13 of
the Wholesale Exposure – Sovereign schedule.
Report the total dollar volume of expected credit loss from cell J13 of the Wholesale Exposure – Sovereign schedule.
Report the weighted average probability of default before
consideration of credit risk mitigation from cell A-13 of the
Wholesale Exposure – Construction IPRE schedule.
Report the total balance sheet amount from cell C-13 of the
Wholesale Exposure – Construction IPRE schedule.
Report the total dollar volume of undrawn exposures from cell D13 of the Wholesale Exposure – Construction IPRE schedule.
Report the total dollar volume of exposure at default from cell E13 of the Wholesale Exposure – Construction IPRE schedule.
Report the weighted average maturity from cell F-13 of the
Wholesale Exposure – Construction IPRE schedule.
Report the weighted average loss given default after consideration
of credit risk mitigants (collateral, guarantees and credit
derivatives) from cell G2-13 of the Wholesale Exposures –
Construction IPRE schedule.
Report the total amount of risk weighted assets from cell I-13 of
the Wholesale Exposure – Construction IPRE schedule.
Report the total dollar volume of expected credit loss from cell J13 of the Wholesale Exposure – Construction IPRE schedule.
Report the weighted average probability of default before
consideration of credit risk mitigation from cell A-13 of the
Wholesale Exposure – HVCRE schedule.
Report the total balance sheet amount from cell C-13 of the
Wholesale Exposure – HVCRE schedule.
Report the total dollar volume of undrawn exposures from cell D13 of the Wholesale Exposure – HVCRE schedule.
Report the total dollar volume of exposure at default from cell E13 of the Wholesale Exposure – HVCRE schedule.
Report the weighted average maturity from cell F-13 of the
Wholesale Exposure – HVCRE schedule.
Report the weighted average loss given default after consideration
of credit risk mitigants (collateral, guarantees and credit
derivatives) from cell G2-13 of the Wholesale Exposures –
HVCRE schedule.
Report the total amount of risk weighted assets from cell I-13 of
the Wholesale Exposure – HVCRE schedule.
Report the total dollar volume of expected credit loss from cell J-

Draft 8/29/06
FFIEC 101

Schedule B PREPARATION INSTRUCTIONS
A

13 of the Wholesale Exposure – HVCRE schedule.
Report the weighted average probability of default before
consideration of credit risk mitigation from cell A-13 of the
Wholesale Exposure – IPRE schedule.
Report the total balance sheet amount from cell C-13 of the
Wholesale Exposure – IPRE schedule.
Report the total dollar volume of undrawn exposures from cell D13 of the Wholesale Exposure – IPRE schedule.
Report the total dollar volume of exposure at default from cell E13 of the Wholesale Exposure – IPRE schedule.
Report the weighted average maturity from cell F-13 of the
Wholesale Exposure – IPRE schedule.
Report the weighted average loss given default after consideration
of credit risk mitigants (collateral, guarantees and credit
derivatives) from cell G2-13 of the Wholesale Exposures – IPRE
schedule.
Report the total amount of risk weighted assets from cell I-13 of
the Wholesale Exposure – IPRE schedule.
Report the total dollar volume of expected credit loss from cell J13 of the Wholesale Exposure – IPRE schedule.
Report the weighted average probability of default before
consideration of credit risk mitigation from cell A-13 of the
Wholesale Exposure – Eligible margin loans, repo-style
transactions and OTC Derivatives with Cross Product Netting
schedule.
Report the total dollar volume of exposure at default from cell D13 of the Wholesale Exposure – Eligible margin loans, repo-style
transactions and OTC Derivatives with Cross Product Netting
schedule.
Report the weighted average maturity from cell C-13 of the
Wholesale Exposure – Eligible margin loans, repo-style
transactions and OTC Derivatives with Cross Product Netting
schedule.
Report the weighted average loss given default from cell E-13 of
the Wholesale Exposures – Eligible margin loans, repo-style
transactions and OTC Derivatives with Cross Product Netting
schedule.
Report the total amount of risk weighted assets from cell F-13 of
the Wholesale Exposure – Eligible margin loans, repo-style
transactions and OTC Derivatives with Cross Product Netting
schedule.
Report the total dollar volume of expected credit loss from cell G13 of the Wholesale Exposure – Eligible margin loans, repo-style
transactions and OTC Derivatives with Cross Product Netting
schedule.
Report the weighted average probability of default before
consideration of credit risk mitigation from cell H-13 of the
Wholesale Exposure – Eligible margin loans, repo-style
transactions and OTC Derivatives with Cross Product Netting

Draft 8/29/06
FFIEC 101

Schedule B PREPARATION INSTRUCTIONS
D

schedule.
Report the total dollar volume of exposure at default from cell K13 of the Wholesale Exposure – Eligible margin loans, repo-style
transactions and OTC Derivatives with Cross Product Netting
schedule.
Report the weighted average maturity from cell J-13 of the
Wholesale Exposure – Eligible margin loans, repo-style
transactions and OTC Derivatives with Cross Product Netting
schedule.
Report the weighted average loss given default from cell L-13 of
the Wholesale Exposures – Eligible margin loans, repo-style
transactions and OTC Derivatives with Cross Product Netting
schedule.
Report the total amount of risk weighted assets from cell M-13 of
the Wholesale Exposure – Eligible margin loans, repo-style
transactions and OTC Derivatives with Cross Product Netting
schedule.
Report the total dollar volume of expected credit loss from cell N13 of the Wholesale Exposure – Eligible margin loans, repo-style
transactions and OTC Derivatives with Cross Product Netting
schedule.
Report the weighted average probability of default before
consideration of credit risk mitigation from cell A-13 of the
Wholesale Exposure – Eligible margin loans, repo-style
transactions - No Cross Product Netting schedule.
Report the total dollar volume of exposure at default from cell D13 of the Wholesale Exposure – Eligible margin loans, repo-style
transactions - No Cross Product Netting schedule.
Report the weighted average maturity from cell C-13 of the
Wholesale Exposure – Eligible margin loans, repo-style
transactions - No Cross Product Netting schedule.
Report the weighted average loss given default from cell E-13 of
the Wholesale Exposures – Eligible margin loans, repo-style
transactions - No Cross Product Netting schedule.
Report the total amount of risk weighted assets from cell F-13 of
the Wholesale Exposure – Eligible margin loans, repo-style
transactions - No Cross Product Netting schedule.
Report the total dollar volume of expected credit loss from cell G13 of the Wholesale Exposure – Eligible margin loans, repo-style
transactions - No Cross Product Netting schedule.
Report the weighted average probability of default before
consideration of credit risk mitigation from cell H-13 of the
Wholesale Exposure – Eligible margin loans, repo-style
transactions - No Cross Product Netting schedule.
Report the total dollar volume of exposure at default from cell K13 of the Wholesale Exposure – Eligible margin loans, repo-style
transactions - No Cross Product Netting schedule.
Report the weighted average maturity from cell J-13 of the
Wholesale Exposure – Eligible margin loans, repo-style

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FFIEC 101

Schedule B PREPARATION INSTRUCTIONS
F

transactions - No Cross Product Netting schedule.
Report the weighted average loss given default from cell L-13 of
the Wholesale Exposures – Eligible margin loans, repo-style
transactions - No Cross Product Netting schedule.
Report the total amount of risk weighted assets from cell M-13 of
the Wholesale Exposure – Eligible margin loans, repo-style
transactions - No Cross Product Netting schedule.
Report the total dollar volume of expected credit loss from cell N13 of the Wholesale Exposure – Eligible margin loans, repo-style
transactions - No Cross Product Netting schedule.
Report the weighted average probability of default before
consideration of credit risk mitigation from cell A-13 of the
Wholesale Exposure – OTC Derivatives - No Cross Product
Netting schedule.
Report the total dollar volume of exposure at default from cell D13 of the Wholesale Exposure – OTC Derivatives - No Cross
Product Netting schedule.
Report the weighted average maturity from cell C-13 of the
Wholesale Exposure – OTC Derivatives - No Cross Product
Netting schedule.
Report the weighted average loss given default from cell E-13 of
the Wholesale Exposures – OTC Derivatives - No Cross Product
Netting schedule.
Report the total amount of risk weighted assets from cell F-13 of
the Wholesale Exposure – OTC Derivatives - No Cross Product
Netting schedule.
Report the total dollar volume of expected credit loss from cell G13 of the Wholesale Exposure – OTC Derivatives - No Cross
Product Netting schedule.
Report the weighted average probability of default before
consideration of credit risk mitigation from cell H-13 of the
Wholesale Exposure – OTC Derivatives - No Cross Product
Netting schedule.
Report the total dollar volume of exposure at default from cell K13 of the Wholesale Exposure – OTC Derivatives - No Cross
Product Netting schedule.
Report the weighted average maturity from cell J-13 of the
Wholesale Exposure – OTC Derivatives - No Cross Product
Netting schedule.
Report the weighted average loss given default from cell L-13 of
the Wholesale Exposures – OTC Derivatives - No Cross Product
Netting schedule.
Report the total amount of risk weighted assets from cell M-13 of
the Wholesale Exposure – OTC Derivatives - No Cross Product
Netting schedule.
Report the total dollar volume of expected credit loss from cell N13 of the Wholesale Exposure – OTC Derivatives - No Cross
Product Netting schedule.
Report the weighted average probability of default from cell A-16

Draft 8/29/06
FFIEC 101

Schedule B PREPARATION INSTRUCTIONS

of the Retail Exposure – Residential Mortgage – Closed-end First
Lien Exposures schedule.
Report the total balance sheet amount from cell C-16 of the Retail
Exposure – Residential Mortgage – Closed-end First Lien
Exposures schedule.
Report the total dollar volume of undrawn exposures from cell D16 of the Retail Exposure – Residential Mortgage – Closed-end
First Lien Exposures schedule.
Report the total dollar volume of exposure at default from cell E16 of the Retail Exposure – Residential Mortgage – Closed-end
First Lien Exposures schedule.
Report the weighted average loss given default after consideration
of credit risk mitigants (collateral, guarantees and credit
derivatives) from cell G2-16 of the Retail Exposure – Residential
Mortgage – Closed-end First Lien Exposures schedule.
Report the total amount of risk weighted assets from cell H-16 of
the Retail Exposure – Residential Mortgage – Closed-end First
Lien Exposures schedule.
Report the total dollar volume of expected credit loss from cell I16 of the Retail Exposure – Residential Mortgage – Closed-end
First Lien Exposures schedule.
Report the weighted average probability of default from cell A-16
of the Retail Exposure – Residential Mortgage – Closed-end
Junior Lien Exposures schedule.
Report the total balance sheet amount from cell C-16 of the Retail
Exposure – Residential Mortgage – Closed-end Junior Lien
Exposures schedule.
Report the total dollar volume of undrawn exposures from cell D16 of the Retail Exposure – Residential Mortgage – Closed-end
Junior Lien Exposures schedule.
Report the total dollar volume of exposure at default from cell E16 of the Retail Exposure – Residential Mortgage – Closed-end
Junior Lien Exposures schedule.
Report the weighted average loss given default after consideration
of credit risk mitigants (collateral, guarantees and credit
derivatives) from cell G2-16 of the Retail Exposure – Residential
Mortgage – Closed-end Junior Lien Exposures schedule.
Report the total amount of risk weighted assets from cell H-16 of
the Retail Exposure – Residential Mortgage – Closed-end Junior
Lien Exposures schedule.
Report the total dollar volume of expected credit loss from cell I16 of the Retail Exposure – Residential Mortgage – Closed-end
Junior Lien Exposures schedule.
Report the weighted average probability of default from cell A-16
of the Retail Exposure – Residential Mortgage – Revolving
Exposures schedule.
Report the total balance sheet amount from cell C-16 of the Retail
Exposure – Residential Mortgage – Revolving Exposures
schedule.

Draft 8/29/06
FFIEC 101

Schedule B PREPARATION INSTRUCTIONS
C

Report the total dollar volume of undrawn exposures from cell D16 of the Retail Exposure – Residential Mortgage – Revolving
Exposures schedule.
Report the total dollar volume of exposure at default from cell E16 of the Retail Exposure – Residential Mortgage – Revolving
Exposures schedule.
Report the weighted average loss given default after consideration
of credit risk mitigants (collateral, guarantees and credit
derivatives) from cell G2-16 of the Retail Exposure – Residential
Mortgage – Revolving Exposures schedule.
Report the total amount of risk weighted assets from cell H-16 of
the Retail Exposure – Residential Mortgage – Revolving
Exposures schedule.
Report the total dollar volume of expected credit loss from cell I16 of the Retail Exposure – Residential Mortgage – Revolving
Exposures schedule.
Report the weighted average probability of default from cell A-16
of the Retail Exposure – Qualifying Revolving Exposures – Credit
Cards schedule.
Report the total balance sheet amount from cell C-16 of the Retail
Exposure – Qualifying Revolving Exposures – Credit Cards
schedule.
Report the total dollar volume of undrawn exposures from cell D16 of the Retail Exposure – Qualifying Revolving Exposures –
Credit Cards schedule.
Report the total dollar volume of exposure at default from cell E16 of the Retail Exposure – Qualifying Revolving Exposures –
Credit Cards schedule.
Report the weighted average loss given default after consideration
of credit risk mitigants (collateral, guarantees and credit
derivatives) from cell G2-16 of the Retail Exposure – Qualifying
Revolving Exposures – Credit Cards schedule.
Report the total amount of risk weighted assets from cell H-16 of
the Retail Exposure – Qualifying Revolving Exposures – Credit
Cards schedule.
Report the total dollar volume of expected credit loss from cell I16 of the Retail Exposure – Qualifying Revolving Exposures –
Credit Cards schedule.
Report the weighted average probability of default from cell A-16
of the Retail Exposure – Qualifying Revolving Exposures – All
Other schedule.
Report the total balance sheet amount from cell C-16 of the Retail
Exposure – Qualifying Revolving Exposures – All Other schedule.
Report the total dollar volume of undrawn exposures from cell D16 of the Retail Exposure – Qualifying Revolving Exposures – All
Other schedule.
Report the total dollar volume of exposure at default from cell E16 of the Retail Exposure – Qualifying Revolving Exposures – All
Other schedule.

Draft 8/29/06
FFIEC 101

Schedule B PREPARATION INSTRUCTIONS
F

Report the weighted average loss given default after consideration
of credit risk mitigants (collateral, guarantees and credit
derivatives) from cell G2-16 of the Retail Exposure – Qualifying
Revolving Exposures – All Other schedule.
Report the total amount of risk weighted assets from cell H-16 of
the Retail Exposure – Qualifying Revolving Exposures – All
Other schedule.
Report the total dollar volume of expected credit loss from cell I16 of the Retail Exposure – Qualifying Revolving Exposures – All
Other schedule.
Report the weighted average probability of default from cell A-16
of the Retail Exposure – Other Retail Exposures – Small Business
schedule.
Report the total balance sheet amount from cell C-16 of the Retail
Exposure – Other Retail Exposures – Small Business schedule.
Report the total dollar volume of undrawn exposures from cell D16 of the Retail Exposure – Other Retail Exposures – Small
Business schedule.
Report the total dollar volume of exposure at default from cell E16 of the Retail Exposure – Other Retail Exposures – Small
Business schedule.
Report the weighted average loss given default after consideration
of credit risk mitigants (collateral, guarantees and credit
derivatives) from cell G2-16 of the Retail Exposure – Other Retail
Exposures – Small Business schedule.
Report the total amount of risk weighted assets from cell H-16 of
the Retail Exposure – Other Retail Exposures – Small Business
schedule.
Report the total dollar volume of expected credit loss from cell I16 of the Retail Exposure – Other Retail Exposures – Small
Business schedule.
Report the weighted average probability of default from cell A-16
of the Retail Exposure – Other Retail Exposures – All Other
schedule.
Report the total balance sheet amount from cell C-16 of the Retail
Exposure – Other Retail Exposures – All Other schedule.
Report the total dollar volume of undrawn exposures from cell D16 of the Retail Exposure – Other Retail Exposures – All Other
schedule.
Report the total dollar volume of exposure at default from cell E16 of the Retail Exposure – Other Retail Exposures – All Other
schedule.
Report the weighted average loss given default after consideration
of credit risk mitigants (collateral, guarantees and credit
derivatives) from cell G2-16 of the Retail Exposure – Other Retail
Exposures – All Other schedule.
Report the total amount of risk weighted assets from cell H-16 of
the Retail Exposure – Other Retail Exposures – All Other
schedule.

Draft 8/29/06
FFIEC 101

Schedule B PREPARATION INSTRUCTIONS
H

B
G
B
G

24
24
25
25

Report the total dollar volume of expected credit loss from cell I16 of the Retail Exposure – Other Retail Exposures – All Other
schedule.
Report the total amount of exposures outstanding subject to the
Ratings-based Approach.
Report the total amount of risk weighted assets of exposures
outstanding subject to the Ratings-based Approach.
Report the total amount of exposures outstanding subject to the
Internal Assessment Approach.
Report the total amount of risk weighted assets of exposures
outstanding subject to the Internal Assessment Approach.
Report the total amount of exposures outstanding subject to the
Supervisory Formula.
Report the total amount of risk weighted assets of exposures
outstanding subject to the Supervisory Formula.
Report the total amount of risk weighted assets of investors’
interest subject to an early amortization charge.
Report the sum of cells A-2 through A-6 of the Equities schedule
Report the sum of cells B-3 through B-6 of the Equities schedule.
Report the sum of cells A-7 through A-12 of the Equities schedule
Report the amount from cell B-13 of the Equities schedule.
Report the sum of cells A-14 through A-16, and A-19 through A21 from the equities schedule.
Report the sum of the amounts from cells B-18 and B-22 of the
Equities schedule.
Report total Market Risk Equivalent Assets.
Report the amount in cell A-1 of the Operational Risk schedule,
multiplied by 12.5.
Report the balance sheet amount of assets not subject to the
Internal Ratings-Based Approach.
Report the total amount of risk weighted assets of assets not
subject to the Internal Ratings-Based Approach
Report the balance sheet amount of assets determined to be
immaterial exposures
Report the total amount of risk weighted assets determined to be
immaterial exposures
Report the sum of cells G-1 through G-30 above.

Draft 8/29/06
FFIEC 101

Preparation Instructions for Wholesale Exposures
(Schedules C through H)
GENERAL INSTRUCTIONS

Definitions

Apply the definitions provided in the NPR for the following terms: (1)
probability of default (PD); (2) loss given default (LGD); (3) expected loss
given default; (4) exposure at default (EAD); (5) effective maturity (M); (6)
expected credit loss (ECL); (7) guarantees; (8) credit derivatives; and (9)
double default treatment.
Weighted average obligor PD as used in this section is calculated by: (1)
Determining the obligors and their exposures that fall within each of the PD
ranges indicated, (2) multiplying each obligor’s PD by its total EAD, (3)
summing the products from step (2) for all exposures within each PD range,
and (4) dividing the summed products from step (3) by the sum of the EADs
of all exposures in the same PD range.
Weighted Average LGD before effects of guarantees and credit derivatives,
but after counting collateral as used in this section is calculated by: (1)
Determining the obligors and their exposures that fall within each of the PD
ranges indicated, (2) multiplying each exposure’s LGD before considering
effects of guarantees and credit derivatives, but after counting collateral by
its EAD, (3) summing the products from step (2) for all exposures within each
PD range, and (4) dividing the summed products from step (3) by the sum of
the EADs of all exposures in the same PD range.

Weighted Averages

Weighted average LGD with effects of guarantees, credit derivatives and
collateral as used in this section is calculated by: (1) Determining the obligors
and their exposures that fall within each of the PD ranges indicated, (2)
multiplying each exposure’s LGD with effects of credit risk mitigants
(guarantees, credit derivatives and collateral) by its EAD, (3) summing the
products from step (2) for all exposures within each PD range, and (4)
dividing the summed products from step (3) by the sum of the EADs of all
exposures in the same PD range.
Weighted average M as used in this section is calculated by: (1) Determining
the obligors and their exposures that fall within each of the PD ranges
indicated, (2) multiplying each exposure’s estimated M by its EAD, (3)
summing the products from step (2) for all exposures within each PD range,
and (4) dividing the summed products from step (3) by the sum of the EADs
of all exposures in the same PD range.

Draft 8/29/06
FFIEC 101

WHOLESALE EXPOSURES – SCHEDULE C
CORPORATE INSTRUCTIONS

Schedule
C

Wholesale
Corporate

Column

Row(s)

1 – 11

1 – 12

1-12

1 – 12

1-12

Report all Wholesale Exposures – Corporate, which include all wholesale
exposures as defined in the NPR, except those which are to be specifically
included in the Wholesale Exposures - Bank, Wholesale Exposures Sovereign, Wholesale Exposures - High Volatility Commercial Real
Estate, Wholesale Exposures - Income Producing Real Estate, Wholesale
Exposures - Construction Income Producing Real Estate, Eligible margin
loans, Repo-style transactions, or OTC Derivatives schedules of this
report.
Instructions
Report the weighted average obligor PD of all Wholesale Exposures –
Corporate where the obligor PD falls within each PD range indicated.
Report the total number of obligors included in this row for column A.
Report the total balance sheet amount of exposures included in this row for
column A.
Report the total dollar value of available but undrawn balance of exposures
included in this row for column A.
Report the total exposure at default (as defined in the NPR) of exposures
included in this row for column A.
Report the weighted average maturity of exposures included in this row for
column A.
Report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of collateral but not the
effects of guarantees or credit derivatives.
Report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of credit risk mitigants
(guarantees, credit derivatives and collateral).
Report the estimated benefit of credit risk mitigation of exposures included
in this row, expressed in terms of a reduction in risk-weighted assets in
dollars, arising from the application of the PD Substitution approach or the
LGD Adjustment approach. The estimate can be derived by deducting the
amount in column I of this row from the aggregated risk-weighted assets
that would have resulted from the application of the IRB Wholesale riskweight formula to all underlying obligations contained in this row as if
they had not been hedged or guaranteed. The estimate should reflect only
credit risk mitigation benefits derived from the application of the PD
Substitution approach or the LGD Adjustment approach as defined in the
NPR.
Report the estimated benefit of credit risk mitigation of exposures included
in this row, expressed in terms of a reduction in risk-weighted assets in
dollars, arising from the application of the Double Default treatment. The
estimate can be derived by deducting the amount in column I of this row
from the aggregated risk-weighted assets that would have resulted from the
application of the IRB Wholesale risk-weight formula to all underlying

Draft 8/29/06
FFIEC 101

WHOLESALE EXPOSURES – SCHEDULE C
CORPORATE INSTRUCTIONS

1 – 12

A-J

obligations contained in this row as if they had not been hedged or
guaranteed. The estimate should reflect only credit risk mitigation benefits
derived from the application of the Double Default treatment as defined in
the NPR.
Report the total risk weighted assets associated with all exposures included
in this row for column A - after any credit risk mitigation adjustments
including application of double default treatment.
Report the dollar amount of ECL for exposure included in this row for
column A.
Calculated cells.
Report the Risk Weighted Assets of immaterial exposures reportable in
this schedule but not included in the cells above.
Report the weighted average Expected Loss Given Default (ELGD) for the
exposures in this category, weighting each ELGD by the exposure’s
associated EAD. Only report in this item if using own internal estimates of
LGD.

Draft 8/29/06
FFIEC 101

WHOLESALE EXPOSURES – SCHEDULE D
BANKS INSTRUCTIONS

Schedule
D

Wholesale
–
Bank

Column

Row(s)

1 – 11

1 – 12

1-12

1 – 12

J
A-J

1 – 12
13

Report all Wholesale Exposures - Banks. For this schedule, Banks include the
following entities: (1) banks and depository institutions as defined in the Glossary
of the Reports of Condition and Income under the following headings: Banks,
U.S. and Foreign; and Depository Institutions in the U.S.; (2) securities firms; and
(3) government-related entities whose exposures do not have full faith & credit
support of a sovereign such as Federal Home Loan Bank, Federal Agricultural
Mortgage Corporation, and (4) multi-lateral development banks such as the World
Bank and the Asian Development Bank that do not have full faith and credit
backing of sovereign entities..
Instructions
Report the weighted average obligor PD of all Wholesale Exposures - Banks,
where the obligor falls within each PD range indicated.
Report the total number of obligors included in this row for column A.
Report the total balance sheet amount of exposures included in this row for
column A.
Report the total dollar value of available but undrawn balance of exposures
included in this row for column A.
Report the total exposure at default (as defined in the NPR) of exposures included
in this row for column A.
Report the weighted average maturity of exposures included in this row for
column A.
Report the weighted average LGD of exposures included in this row for column
A. In estimating LGD, include the effects of collateral but not the effects of
guarantees or credit derivatives.
Report the weighted average LGD of exposures included in this row for column
A. In estimating LGD, include the effects of credit risk mitigants (guarantees,
credit derivatives and collateral).
Report the estimated benefit of credit risk mitigation of exposures included in this
row, expressed in terms of a reduction in risk-weighted assets in dollars, arising
from the application of the PD substitution and the LGD adjustment approaches.
The estimate can be derived by deducting the amount in column I of this row
from the aggregated risk-weighted assets that would have resulted from the
application of the IRB Wholesale risk-weight formula to all underlying
obligations contained in this row as if they had not been hedged or guaranteed.
The estimate should reflect only credit risk mitigation benefits derived from the
application of the PD substitution and the LGD adjustment approaches as defined
in the NPR.
Report the total risk weighted assets associated with all exposures included in this
row for column A - after any credit risk mitigation adjustments.
Report the dollar amount of ECL for exposure included in this row for column A.
Calculated cells.
Report the Risk Weighted Assets of immaterial exposures reportable in this
schedule but not included in the cells above.
Report the weighted average Expected Loss Given Default (ELGD) for the
exposures in this category, weighting each ELGD by the exposure’s associated
EAD. Only report in this item if using own internal estimates of LGD.

Draft 8/29/06
FFIEC 101

WHOLESALE EXPOSURES – SCHEDULE E
SOVEREIGN INSTRUCTIONS

Schedule E

Wholesale
–
Sovereign

Column

Row(s)

1 – 11

B
C

1 – 12
1 – 12

1 – 12

1-12

1 – 12

A-J

Report all Wholesale Exposures – Sovereign (Sovereign exposures), which
are defined for this schedule as: (1) direct claims on sovereign entities, (2)
exposures unconditionally backed by the full faith and credit of a sovereign
entity, U.S. Government-sponsored agencies such as Federal National
Mortgage Association and Federal Home Loan Mortgage Corporation.
Wholesale Exposures-Corporate. Wholesale exposures and sovereign
entities are defined in the NPR.
Instructions
Report the weighted average obligor PD of all Wholesale Exposures –
Sovereign where the obligor PD falls within each PD range indicated.
Report the total number of obligors included in this row for column A.
Report the total book value of exposures included in this row for column A.
Report the total dollar value of available but undrawn balance of exposures
included in this row for column A.
Report the total exposure at default (as defined in the NPR) of exposures
included in this row for column A.
Report the weighted average maturity of exposures included in this row for
column A.
Report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of collateral but not the
effects of guarantees or credit derivatives.
Report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of credit risk mitigants
(guarantees, credit derivatives and collateral).
Report the estimated benefit of credit risk mitigation of exposures included
in this row, expressed in terms of a reduction in risk-weighted assets in
dollars, arising from the application of the PD substitution and LGD
adjustment approaches. The estimate can be derived by deducting the
amount in column I of this row from the aggregated risk-weighted assets
that would have resulted from the application of the IRB Wholesale riskweight formula to all underlying obligations contained in this row as if they
had not been hedged or guaranteed. The estimate should reflect only credit
risk mitigation benefits derived from the application of the PD substitution
and LGD adjustment approaches as defined in the NPR.
Report the total risk weighted assets associated with all exposures included
in this row for column A - after any credit risk mitigation adjustments.
Report the dollar amount of ECL for exposure included in this row for
column A.
Calculated cells.
Report the Risk Weighted Assets of immaterial exposures reportable in this
schedule but not included in the cells above.
Report the weighted average Expected Loss Given Default (ELGD) for the
exposures in this category, weighting each ELGD by the exposure’s
associated EAD. Only report in this item if using own internal estimates of
LGD.

Draft 8/29/06
FFIEC 101

Schedule
F

Wholesale –
Construction IPRE

WHOLESALE EXPOSURES – SCHEDULE F CONSTRUCTION INCOME
PRODUCING REAL ESTATE (Construction IPRE) INSTRUCTIONS

Column

Row(s)

1 – 11

1 – 12

1-12

1 – 12

1-12

Report all Wholesale Exposures – Construction IPRE. Construction IPRE
contains all of the following characteristics: (1) exposure must be a wholesale
exposure collateralized by real estate; (2) repayment of the obligation is
primarily reliant on the cash flows of the real estate serving as collateral for the
exposure; (3) the exposure is (a) a construction loan or a land development
loan, as defined in the Interagency Guidelines for Real Estate Lending Policies,
or (b) a loan to acquire property in conjunction with a land development or
construction project; (4) exposure is not to be reported in Wholesale Exposures
– High Volatility Commercial Real Estate; and (5) obligor revenues are not
diversified into property management, i.e. property management companies,
hotel operators, real estate investment trusts, etc.
Wholesale exposures are defined in the NPR.
Instructions
Report the weighted average obligor PD of all Wholesale Exposures –
Construction IPRE where the obligor PD falls within each PD range indicated.
Report the total number of obligors included in this row for column A.
Report the total balance sheet value of exposures included in this row for
column A.
Report the total dollar value of available but undrawn balance of exposures
included in this row for column A.
Report the total exposure at default (as defined in the NPR) of exposures
included in this row for column A.
Report the weighted average maturity of exposures included in this row for
column A.
Report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of collateral but not the
effects of guarantees or credit derivatives.
Report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of credit risk mitigants
(guarantees, credit derivatives and collateral).
Report the estimated benefit of credit risk mitigation of exposures included in
this row, expressed in terms of a reduction in risk-weighted assets in dollars,
arising from the application of the PD substitution and LGD adjustment
approaches. The estimate can be derived by deducting the amount in column I
of this row from the aggregated risk-weighted assets that would have resulted
from the application of the IRB Wholesale risk-weight formula to all
underlying obligations contained in this row as if they had not been hedged or
guaranteed. The estimate should reflect only credit risk mitigation benefits
derived from the application of the PD substitution and LGD adjustment
approaches as defined in the NPR.
Report the estimated benefit of credit risk mitigation of exposures included in
this row, expressed in terms of a reduction in risk-weighted assets in dollars,
arising from the application of the Double Default treatment. The estimate can
be derived by deducting the amount in column I of this row from the
aggregated risk-weighted assets that would have resulted from the application
of the IRB Wholesale risk-weight formula to all underlying obligations

Draft 8/29/06
FFIEC 101

WHOLESALE EXPOSURES – SCHEDULE F CONSTRUCTION INCOME
PRODUCING REAL ESTATE (Construction IPRE) INSTRUCTIONS

1 – 12

A-J

contained in this row as if they had not been hedged or guaranteed. The
estimate should reflect only credit risk mitigation benefits derived from the
application of the Double Default treatment as defined in the NPR.
Report the total risk weighted assets associated with all exposures included in
this row for column A - after any credit risk mitigation adjustments including
application of double default treatment.
Report the dollar amount of ECL for exposures included in this row for column
A.
Calculated cells.
Report the Risk Weighted Assets of immaterial exposures reportable in this
schedule but not included in the cells above.
Report the weighted average Expected Loss Given Default (ELGD) for the
exposures in this category, weighting each ELGD by the exposure’s associated
EAD. Only report in this item if using own internal estimates of LGD.

Draft 8/29/06
FFIEC 101

WHOLESALE EXPOSURES – SCHEDULE G HIGH VOLATILITY
COMMERCIAL REAL ESTATE (HVCRE) INSTRUCTIONS

Column

Wholesale
HVCRE
Row(s)

1 – 11

1 – 12

1-12

1 – 12

1-12

1 – 12

Schedule
G

This section should report all exposures that meet the definition of
HVCRE in the NPR.
Instructions
Report the weighted average obligor PD of all Wholesale Exposures –
HVCRE where the obligor PD falls within each PD range indicated.
Report the total number of obligors included in this row for column A.
Report the total balance sheet amount of exposures included in this row for
column A.
Report the total dollar value of available but undrawn balance of exposures
included in this row for column A.
Report the total exposure at default (as defined in the NPR) of exposures
included in this row for column A.
Report the weighted average maturity of exposures included in this row for
column A.
Report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of collateral but not the
effects of guarantees or credit derivatives.
Report the weighted average LGD of exposures included in this row for
column A. In estimating LGD, include the effects of credit risk mitigants
(guarantees, credit derivatives and collateral).
Report the estimated benefit of credit risk mitigation of exposures included
in this row, expressed in terms of a reduction in risk-weighted assets in
dollars, arising from the application of the PD substitution and the LGD
adjustment approaches. The estimate can be derived by deducting the
amount in column I of this row from the aggregated risk-weighted assets
that would have resulted from the application of the IRB Wholesale riskweight formula to all underlying obligations contained in this row as if
they had not been hedged or guaranteed. The estimate should reflect only
credit risk mitigation benefits derived from the application of the PD
substitution and the LGD Adjustment approaches as defined in the NPR.
Report the estimated benefit of credit risk mitigation of exposures included
in this row, expressed in terms of a reduction in risk-weighted assets in
dollars, arising from the application of the Double Default treatment. The
estimate can be derived by deducting the amount in column I of this row
from the aggregated risk-weighted assets that would have resulted from the
application of the IRB Wholesale risk-weight formula to all underlying
obligations contained in this row as if they had not been hedged or
guaranteed. The estimate should reflect only credit risk mitigation benefits
derived from the application of the Double Default treatment as defined in
the NPR.
Report the total risk weighted assets associated with all exposures included
in this row for column A - after any credit risk mitigation adjustments
including the application of double default treatment.

Draft 8/29/06
FFIEC 101

WHOLESALE EXPOSURES – SCHEDULE G HIGH VOLATILITY
COMMERCIAL REAL ESTATE (HVCRE) INSTRUCTIONS
J

1 – 12

A-J

Report the dollar amount of ECL for exposure included in this row for
column A.
Calculated cells.
Report the Risk Weighted Assets of immaterial exposures reportable in
this schedule but not included in the cells above.
Report the weighted average Expected Loss Given Default (ELGD) for the
exposures in this category, weighting each ELGD by the exposure’s
associated EAD. Only report in this item if using own internal estimates
of LGD.

Draft 8/29/06
FFIEC 101

Schedule
H

Wholesale –
Other IPRE

WHOLESALE EXPOSURES – SCHEDULE H INCOME PRODUCING
REAL ESTATE (IPRE) INSTRUCTIONS

Column

Row(s)

1 – 11

B
C

1 – 12
1 – 12

1 – 12

1-12

1 – 12

1-12

Report all Wholesale Exposures – Income Producing Real Estate (IPRE).
Wholesale Exposures - IPRE contains all of the following characteristics: (1)
exposure must be a wholesale exposure collateralized by real estate; (2)
repayment of the obligation is primarily reliant on the cashflows of the real estate
serving as collateral for the exposure; (3) purpose of the exposure is to purchase,
refinance, or maintain existing property; (4) exposure is not to be reported in
Wholesale Exposures – High Volatility Commercial Real Estate or Wholesale
Exposures - Construction Income Producing Real Estate; and (5) obligor
revenues are not diversified into property management, i.e. property management
companies, hotel operators, real estate investment trusts, etc. (Wholesale
exposures are defined in the NPR.)
Instructions
Report the weighted average obligor PD of all Wholesale Exposures – IPRE
where the obligor PD falls within each PD range indicated.
Report the total number of obligors included in this row for column A.
Report the total book value of exposures included in this row for column A.
Report the total dollar value of available but undrawn balance of exposures
included in this row for column A.
Report the total exposure at default (as defined in the NPR) of exposures
included in this row for column A.
Report the weighted average maturity of exposures included in this row for
column A.
Report the weighted average LGD of exposures included in this row for column
A. In estimating LGD, include the effects of collateral but not the effects of
guarantees or credit derivatives.
Report the weighted average LGD of exposures included in this row for column
A. In estimating LGD, include the effects of credit risk mitigants (guarantees,
credit derivatives and collateral).
Report the estimated benefit of credit risk mitigation of exposures included in
this row, expressed in terms of a reduction in risk-weighted assets in dollars,
arising from the application of the PD substitution and LGD adjustment
approaches. The estimate can be derived by deducting the amount in column I of
this row from the aggregated risk-weighted assets that would have resulted from
the application of the IRB Wholesale risk-weight formula to all underlying
obligations contained in this row as if they had not been hedged or guaranteed.
The estimate should reflect only credit risk mitigation benefits derived from the
application of the PD substitution and LGD adjustment approaches as defined in
the NPR.
Report the estimated benefit of credit risk mitigation of exposures included in
this row, expressed in terms of a reduction in risk-weighted assets in dollars,
arising from the application of the Double Default treatment. The estimate can
be derived by deducting the amount in column I of this row from the aggregated
risk-weighted assets that would have resulted from the application of the IRB
Wholesale risk-weight formula to all underlying obligations contained in this row
as if they had not been hedged or guaranteed. The estimate should reflect only
credit risk mitigation benefits derived from the application of the Double Default
treatment as defined in the NPR.

Draft 8/29/06
FFIEC 101

WHOLESALE EXPOSURES – SCHEDULE H INCOME PRODUCING
REAL ESTATE (IPRE) INSTRUCTIONS
I

1 – 12

A-J

Report the total risk weighted assets associated with all exposures included in
this row for column A - after any credit risk mitigation adjustments.
Report the dollar amount of ECL for exposures included in this row for column
A.
Calculated cells.
Report the Risk Weighted Assets of immaterial exposures reportable in this
schedule but not included in the cells above.
Report the weighted average Expected Loss Given Default (ELGD) for the
exposures in this category, weighting each ELGD by the exposure’s associated
EAD. Only report in this item if using own internal estimates of LGD.

Draft 8/29/06
FFIEC 101

Preparation Instructions for Eligible Margin Loans, Repo-Style
Transactions, OTC Derivatives, and Combinations of these Instruments
Subject to Qualifying Master Netting Agreements
(Schedules I through K)

GENERAL INSTRUCTIONS

Definitions

Apply the definitions provided in the NPR for the following terms: (1)
probability of default (PD); (2) loss given default (LGD); (3) expected
loss given default (ELGD); (4) exposure at default (EAD); (5) effective
maturity (M); and (6) expected credit loss (ECL).
Weighted average PD as used in this section is calculated by: (1)
Determining the exposures that have estimated PDs prior to
considering the effects of credit risk mitigation (pre-CRM PD) that fall
within each of the PD ranges indicated, (2) summing the products from
step (1) for all exposures within each PD range, and (3) dividing the
summed products from step (2) by the sum of the EADs of all
exposures in the same PD range.

Weighted Averages

Weighted average LGD as used in this section is calculated by: (1)
Determining the obligors and their exposures that have estimated PDs
prior to considering the effects of credit risk mitigation that fall within
each of the PD ranges indicated, (2) multiplying each exposure’s LGD
by its EAD, (3) summing the products from step (2) for all exposures
within each PD range, and (4) dividing the summed products from step
(3) by the sum of the EADs of all exposures in the same PD range.
Weighted average M as used in this section is calculated by: (1)
Determining the obligors and their exposures that have estimated PDs
prior to considering the effects of credit risk mitigation that fall within
each of the PD ranges indicated, (2) multiplying each exposure’s
estimated M by its EAD, (3) summing the products from step (2) for all
exposures within each PD range, and (4) dividing the summed products
from step (3) by the sum of the EADs of all exposures in the same PD
range.

Draft 8/29/06
FFIEC 101

WHOLESALE EXPOSURES – SCHEDULE I
ELIGIBLE MARGIN LOANS/REPO-STYLE / OTC DERIVATIVES WITH
CROSS-PRODUCT NETTING INSTRUCTIONS

Schedule I

Column

A
B
C
D
E
F
G

H
I

Report all eligible margin loans, repo-style transactions and OTC
Derivatives positions that are subject to a qualified master netting
Wholesale agreement as defined in the NPR. Exposures that are not covered
by netting agreements or whose netting agreements do not meet the
Corporate standard called for in the NPR to qualify for netting under the
capital rules will be reported separately as gross exposures in the
following two schedules.
Row(s)
Instructions
COLUMNS A THROUGH G CONTAIN DATA ONLY FOR NET
EXPOSURES WHERE THE BANK USED THE EAD
ADJUSTMENT METHOD FOR DETERMINING RISK
WEIGHTED ASSETS. EXPOSURES CALCULATED USING
ADJUSTED LGDS SHOULD BE REPORTED IN COLUMNS H
THROUGH N.
Report the weighted average PD of all Wholesale Exposures –
1 – 11
Corporate where the obligor PD - before any credit risk mitigation
adjustments - falls within each PD range indicated.
Report the total number of unique counterparties included in this
1 – 12
row for column A.
Report the weighted average maturity in years of exposures
1 – 12
included in this row for column A, calculated to two decimal places.
Report the total Exposure at Default (EAD, as defined in the NPR)
1 – 12
of exposures included in this row for column A.
Report the weighted average LGD of exposures included in this row
1 – 12
for column A.
Report the total risk weighted assets associated with all exposures
1 – 12
included in this row for column A after any adjustments for eligible
guarantees and eligible credit derivatives.
Report the Expected Credit Loss, as defined in the NPR, associated
1-12
with the exposures aggregated in this row for column A.
COLUMNS H THROUGH N CONTAIN DATA ONLY FOR NET
EXPOSURES WHERE THE BANK USED ADJUSTED LGDS
FOR DETERMINING RISK WEIGHTED ASSETS.
EXPOSURES CALCULATED USING THE EAD ADJUSTMENT
METHODS SHOULD BE REPORTED IN COLUMNS A
THROUGH G.
Report the weighted average PD of all Wholesale Exposures –
1 – 11
Corporate where the obligor PD - before any credit risk mitigation
adjustments - falls within each PD range indicated.
Report the total number of unique counterparties included in this
1 – 12
row for column H.

Draft 8/29/06
FFIEC 101

WHOLESALE EXPOSURES – SCHEDULE I
ELIGIBLE MARGIN LOANS/REPO-STYLE / OTC DERIVATIVES WITH
CROSS-PRODUCT NETTING INSTRUCTIONS
J

1 – 12

1-12

Report the weighted average maturity in years of exposures
included in this row for column G, calculated to two decimal places.
Report the total Exposure at Default (EAD, as defined in the NPR)
of exposures included in this row for column H.
Report the weighted average LGD of exposures included in this row
for column H.
Report the total risk weighted assets associated with all exposures
included in this row for column H - after any adjustments eligible
guarantees and eligible credit derivatives.
Report the Expected Credit Loss, as defined in the NPR, associated
with the exposures aggregated in this row for column H.

Draft 8/29/06
FFIEC 101

WHOLESALE EXPOSURES – SCHEDULE J
ELIGIBLE MARGIN LOANS AND REPO-STYLE TRANSACTIONS/ SEC
LEND / SECURED OTS DERIVATIVES NOT QUALIFIED FOR NETTING
TREATMENT INSTRUCTIONS
Schedule J

Column

A
B
C
D
E
F
G

Report all eligible margin loans and repo-style transactions that are
Wholesale NOT subject to a qualifying master netting agreement as defined in
the NPR. Exposures that are not covered by qualifying master
Corporate netting agreements should be reported here as gross exposures in the
following two schedules.
Row(s)
Instructions
COLUMNS A THROUGH G CONTAIN DATA ONLY FOR
REPO, REPO-LIKE AND SECURITIES LENDING
TRANSACTIONS WHERE THE BANK USED THE EAD
ADJUSTMENT METHOD FOR DETERMINING RISK
WEIGHTED ASSETS. EXPOSURES CALCULATED USING
ADJUSTED LGDS SHOULD BE REPORTED IN COLUMNS H
THROUGH N.
Report the weighted average PD of all Wholesale Exposures –
1 – 11
Corporate where the obligor PD- before any credit risk mitigation
adjustments - falls within each PD range indicated.
Report the total number of unique counterparties included in this
1 – 12
row for column A.
Report the weighted average maturity in years of exposures
1 – 12
included in this row for column A, calculated to two decimal places.
Report the total Exposure at Default (EAD, as defined in the NPR)
1 – 12
of exposures included in this row for column A.
Report the weighted average LGD of exposures included in this row
1 – 12
for column A.
Report the total risk weighted assets associated with all exposures
1 – 12
included in this row for column A after any adjustments for eligible
guarantees and eligible credit derivatives.
Report the Expected Credit Loss, as defined in the NPR, associated
1-12
with the exposures aggregated in this row for column A.

1 – 11

COLUMNS H THROUGH N CONTAIN DATA ONLY FOR
ELIGIBLE MARGIN LOANS AND REPO – STYLE
TRANSACTIONS WHERE THE BANK USED ADJUSTED
LGDS FOR DETERMINING RISK WEIGHTED ASSETS.
EXPOSURES CALCULATED USING THE EAD ADJUSTMENT
METHODS SHOULD BE REPORTED IN COLUMNS A
ATHROUGH G.
Report the weighted average PD of all Wholesale Exposures –
Corporate where the obligor PD - before any credit risk mitigation
adjustments - falls within each PD range indicated.

Draft 8/29/06
FFIEC 101

WHOLESALE EXPOSURES – SCHEDULE J
ELIGIBLE MARGIN LOANS AND REPO-STYLE TRANSACTIONS/ SEC
LEND / SECURED OTS DERIVATIVES NOT QUALIFIED FOR NETTING
TREATMENT INSTRUCTIONS
I

1 – 12

1-12

Row 15,
cells:
L-1
L-2
L-3

Report the total number of unique counterparties included in this
row for column H.
Report the weighted average maturity in years of exposures
included in this row for column H, calculated to two decimal places.
Report the total Exposure at Default (EAD, as defined in the NPR)
of exposures included in this row for column H.
Report the weighted average LGD of exposures included in this row
for column H.
Report the total risk weighted assets associated with all exposures
included in this row for column H after adjustments for eligible
guarantees and eligible credit derivatives.
Report the total Expected Credit Loss (ECL) for the exposures
reported in this row for column H.
Report the percentage, to one decimal place, of total EAD for this
schedule calculated by the methods listed. L-1 is for the percentage
EAD calculated by collateral haircuts, L-2 is for the percentage
EAD calculated by Simple VaR, and L-3 is for the percentage EAD
calculated using Internal Models. Report the method that is used for
each exposure type (for example, simple VaR for repo-style
transactions, haircuts for collateralized derivatives).

Draft 8/29/06
FFIEC 101

WHOLESALE EXPOSURES – SCHEDULE K
OTC DERIVATIVES NOT QUALIFIED FOR NETTING TREATMENT
INSTRUCTIONS
Schedule K

Column

A
B
C
D
E
F
G

Report all OTC Derivative positions which are NOT subject to a
Wholesale qualifying master netting agreement as defined in the NPR.
Exposures that are not covered by qualifying master netting
Corporate agreements should be reported here as gross exposures in the
following two schedules.
Row(s)
Instructions
COLUMNS A THROUGH G CONTAIN DATA ONLY FOR OTC
DERIVATIVES WHERE THE BANK USED THE EAD
ADJUSTMENT METHOD FOR DETERMINING RISK
WEIGHTED ASSETS. EXPOSURES CALCULATED USING
ADJUSTED LGDS SHOULD BE REPORTED IN COLUMNS H
THROUGH N.
Report the weighted average PD of all Wholesale Exposures –
1 – 11
Corporate where the obligor PD falls within each PD range indicated.
Report the total number of unique counterparties included in this row
1 – 12
for column A.
Report the weighted average maturity in years of exposures included
1 – 12
in this row for column A, calculated to two decimal places.
Report the total Exposure at Default (EAD, as defined in the NPR) of
1 – 12
exposures included in this row for column A.
Report the weighted average LGD of exposures included in this row
1 – 12
for column A.
Report the total risk weighted assets associated with all exposures
1 – 12
included in this row for column A after any adjustments for eligible
guarantees and eligible credit derivatives.
Report the total Expected Credit Loss (ECL) for the exposures
1-12
reported in this row for column A.

1 – 11

1 – 12

COLUMNS H THROUGH N CONTAIN DATA ONLY FOR OTC
DERIVATIVES WHERE THE BANK USED ADJUSTED LGDS
FOR DETERMINING RISK WEIGHTED ASSETS. EXPOSURES
CALCULATED USING THE EAD ADJUSTMENT METHODS
SHOULD BE REPORTED IN COLUMNS A THROUGH G.
Report the weighted average PD of all Wholesale Exposures –
Corporate where the obligor PD falls within each PD range indicated.
Report the total number of unique counterparties included in this row
for column G.
Report the weighted average maturity in years of exposures included
in this row for column G, calculated to two decimal places.
Report the total Exposure at Default (EAD, as defined in the NPR) of
exposures included in this row for column A.

Draft 8/29/06
FFIEC 101

WHOLESALE EXPOSURES – SCHEDULE K
OTC DERIVATIVES NOT QUALIFIED FOR NETTING TREATMENT
INSTRUCTIONS
L

1 – 12

1 - 12

Row 15,
cells:
L-1
L-2

Report the weighted average LGD of exposures included in this row
for column G.
Report the total risk weighted assets associated with all exposures
included in this row for column G after any adjustments for eligible
guarantees and eligible credit derivatives.
Report the total Expected Credit Loss (ECL) for the exposures
reported in this row for Column H.
Report the percentage, to one decimal place, of total EAD for this
schedule calculated by the methods listed. L-1 is for the percentage
EAD calculated by collateral haircuts and L-2 is for the percentage
EAD calculated using Internal Models.

Draft 8/29/06
FFIEC 101

Preparation Instructions for Retail Exposures
(Schedules L through R)

GENERAL INSTRUCTIONS
These templates should reflect summary or aggregate information based on the bank’s own
segmentation system for risk-based capital purposes. For each retail category, banks should use
the PDs calculated in its segmentation process and report each PD (and related segment
information) in the corresponding estimated PD range.

Definitions

Loan-to-Value

Loan to Value: Where LTV information is requested, reporting of these cells is
required only if LTVs are available. If LTVs are used in the segmentation
process, report the LTV that is used in the segmentation process. If LTVs are not
used in the segmentation process, report the most recent well-supported LTV for
the exposures (original or well supported updated LTV).

Credit Risk Score

Credit Risk Score: Reporting of these cells is required only if the scores are
available. Report scores only from credit scoring systems with a common
mapping from scores to default probabilities and/or expected losses. Where two
or more credit scoring systems with different mappings are used in the same
portfolio, report scores only from the system used for the largest number of
exposures in that portfolio.

Draft 8/29/06
FFIEC 101

GENERAL INSTRUCTIONS
Weighted average PD as used in this section is calculated by: (1) Determining the
exposures that are in risk segments whose PDs fall within each of the PD ranges
indicated, (2) multiplying each segment’s PD by its EAD, (3) summing the
products from step (2) for all segments within each PD range, and (4) dividing
the summed products from step (3) by the sum of the EADs of all segments in the
same PD range.

Weighted Averages

Weighted Average LGD before effects of guarantees and credit derivatives, but
after counting collateral as used in this section is calculated by: (1) Determining
the segments that have PDs that fall within each of the PD ranges indicated, (2)
multiplying each segment’s LGD before considering effects of guarantees and
credit derivatives, but after counting collateral by its EAD, (3) summing the
products from step (2) for all segments within each PD range, and (4) dividing
the summed products from step (3) by the sum of the EADs of all segments in the
same PD range.
Weighted average LGD with effects of guarantees, credit derivatives and
collateral as used in this section is calculated by: (1) Determining the segments
that have PDs that fall within each of the PD ranges indicated, (2) multiplying
each segment’s LGD with effects of credit risk mitigants (guarantees, credit
derivatives and collateral) by its EAD, (3) summing the products from step (2)
for all segments within each PD range, and (4) dividing the summed products
from step (3) by the sum of the EADs of all segments in the same PD range.
Weighted average credit score and Weighted Average Age are calculated in the
same manner but weighted by number of accounts.

Average Age

Average Age is defined as number of months since loan origination.

Draft 8/29/06
FFIEC 101

RETAIL EXPOSURES – SCHEDULE L
RESIDENTIAL MORTGAGE - NON-REVOLVING FIRST LIENS
INSTRUCTIONS

Column

Residential
Mortgage
Exposures (First
Liens)
Row(s)

1 – 15

1 - 15

Schedule
L

Report all Residential Mortgage Exposures as defined in the NPR that (1)
are secured by first liens, and (2) are not revolving lines of credit.
Instructions
Report the weighted average PD of all segments of exposures applicable
to this section as noted above, whose IRB PD falls within each range
indicated.
Report the total number of exposures in all segments included in this row
for column A.
Report the total balance sheet amount of exposures within the segments
included in this row for column A.
Report the dollar volume of available but undrawn balances of exposures
within the segments included in this row for column A. Include undrawn
commitments to lend, including available negative amortization and
unfunded mortgage commitments.
Report the total EAD of segments of exposures included in this row for
column A.
Report the weighted average age of exposures in the segments included
in this row for column A.
Report the weighted average LGD of exposures in the segments included
in this row for column A. In estimating LGD, include the effects of
collateral but not the effects of guarantees or credit derivatives.
Report the weighted average LGD of exposures in the segments included
in this row for column A. In estimating LGD, do include the effects of
credit risk mitigants (collateral, guarantees and credit derivatives).
Report total risk-weighted assets associated with all segments of
exposures included in this row for column A.
Report the dollar volume of ECL for segments of exposures included in
this row for column A.
Report the EAD of exposures included in this row for column A that
have less than a 70% LTV.
Report the EAD of exposures included in this row for column A that
have at least a 70% but less than 80% LTV.
Report the EAD of exposures included in this row for column A that
have at least an 80% but less than 90% LTV.
Report the EAD of exposures included in this row for column A that
have at least a 90% but not more than 100% LTV.
Report the EAD of exposures included in this row for column A that
have a 100+% LTV.
Report the weighted average credit risk score of exposures in the
segments included in this row for column A.
Report the EAD of accounts that are included in the segments reported in
this row where the LTV has been updated since the last report date for
portfolio management purposes, that is, the updated LTV is based upon a

Draft 8/29/06
FFIEC 101

RETAIL EXPOSURES – SCHEDULE L
RESIDENTIAL MORTGAGE - NON-REVOLVING FIRST LIENS
INSTRUCTIONS

A-P

refreshed assessment of the collateral value. If LTVs were not updated
for any accounts in the segments reported in the row since the last report
date, report 0.
Calculated cells.
Report the risk-weighted assets of immaterial exposures reportable in this
schedule but not included in the above cells.
Report the subcategory weighted average Expected Loss Given Default
(ELGD), weighting each ELGD by the exposure’s associated EAD
calculated using the bank’s internal estimates of LGD. Report in this
item only if using own internal estimate of LGD.
Report the name of the credit bureau or credit scoring system used to
produce the values in column O.

Draft 8/29/06
FFIEC 101

RETAIL EXPOSURES – SCHEDULE M
RESIDENTIAL MORTGAGE – NON-REVOLVING JUNIOR LIENS
INSTRUCTIONS

Column

Residential
Mortgage
Exposures
(NonRevolving
Junior
Liens)
Row(s)

1 – 15

Schedule
M

Report all Residential Mortgage Exposures as defined in the NPR that (1) are
secured by liens subordinate to any other lien, and (2) are not revolving.

Instructions
Report the weighted average PD of all segments of exposures applicable to
this section as noted above, whose IRB PD falls within each range indicated.
Report the total number of exposures in all segments included in this row for
column A.
Report the total balance sheet amount of exposures within the segments
included in this row for column A.
Report the dollar volume of available but undrawn balances of exposures
within the segments included in this row for column A. Include undrawn
commitments to lend, including available negative amortization and unfunded
mortgage commitments.
Report the total EAD of segments of exposures included in this row for
column A.
Report the weighted average age of exposures in the segments included in this
row for column A.
Report the weighted average LGD of exposures in the segments included in
this row for column A. In estimating LGD, include the effects of collateral
but not the effects of guarantees or credit derivatives.
Report the weighted average LGD of exposures in the segments included in
this row for column A. In estimating LGD, do include the effects of credit
risk mitigants (collateral, guarantees and credit derivatives).
Report total risk-weighted assets associated with all segments of exposures
included in this row for column A.
Report the dollar volume of ECL for segments of exposures included in this
row for column A.
Report the EAD of exposures included in this row for column A that have less
than a 70% LTV.
Report the EAD of exposures included in this row for column A that have at
least a 70% but less than 80% LTV.
Report the EAD of exposures included in this row for column A that have at
least an 80% but less than 90% LTV.
Report the EAD of exposures included in this row for column A that have at
least a 90% but not more than 100% LTV.
Report the EAD of exposures included in this row for column A that have a
100+% LTV.
Report the weighted average credit risk score of exposures in the segments
included in this row for column A.

Draft 8/29/06
FFIEC 101

RETAIL EXPOSURES – SCHEDULE M
RESIDENTIAL MORTGAGE – NON-REVOLVING JUNIOR LIENS
INSTRUCTIONS
P

1 - 15

A-P

Report the EAD of accounts that are included in the segments reported in this
row where the LTV has been updated since the last report date for portfolio
management purposes, that is, the updated LTV is based upon a refreshed
assessment of the collateral value. If LTVs were not updated for any
accounts in the segments reported in the row since the last report date, report
0.
Calculated cells.
Report the risk-weighted assets of immaterial exposures reportable in this
schedule but not included in the above cells.
Report the subcategory weighted average Expected Loss Given Default
(ELGD), weighting each ELGD by the exposure’s associated EAD calculated
using the bank’s internal estimates of LGD. Report in this item only if using
own internal estimate of LGD.
Report the name of the credit bureau or credit scoring system used to produce
the values in column O.

Draft 8/29/06
FFIEC 101

RETAIL EXPOSURES – SCHEDULE N
RESIDENTIAL MORTGAGE – REVOLVING EXPOSURES
INSTRUCTIONS

Column

Residential
Mortgage
Exposures
(Revolving
Exposures)
Row(s)

1 – 15

1 - 15

Schedule N

Report all Residential Mortgage Exposures as defined in the NPR that are
revolving.
Instructions
Report the weighted average PD of the segments whose PDs fall within
each of the PD ranges indicated.
Report the total number of exposures in all segments included in this row
for column A.
Report the total balance sheet amount value of exposures within the
segments included in this row for column A.
Report the dollar volume of available but undrawn balances of exposures
within the segments included in this row for column A. Include undrawn
commitments to lend, including available negative amortization and
unfunded mortgage commitments.
Report the total EAD of segments of exposures included in this row for
column A.
Report the weighted average age of exposures in the segments included in
this row for column A.
Report the weighted average LGD of exposures in the segments included in
this row for column A. In estimating LGD, include the effects of collateral
but not the effects of guarantees or credit derivatives.
Report the weighted average LGD percentage of exposures in the segments
included in this row for column A. In estimating LGD, do include the
effects of credit risk mitigants (collateral, guarantees and credit
derivatives).
Report total risk-weighted assets associated with all segments of exposures
included in this row for column A.
Report the dollar amount of ECL for segments of exposures included in
this row for column A.
Report the EAD of exposures included in this row for column A that have
less than a 70% LTV.
Report the EAD of exposures included in this row for column A that have
at least a 70% but less than 80% LTV.
Report the EAD of exposures included in this row for column A that have
at least an 80% but less than 90% LTV.
Report the EAD of exposures included in this row for column A that have
at least a 90% but not more than 100% LTV.
Report the EAD of exposures included in this row for column A that are
have a 100+% LTV.
Report the weighted average credit risk score of exposures in the segments
included in this row for column A.
Report the EAD of accounts that are included in the segments reported in
this row where the LTV has been updated since the last report date for

Draft 8/29/06
FFIEC 101

RETAIL EXPOSURES – SCHEDULE N
RESIDENTIAL MORTGAGE – REVOLVING EXPOSURES
INSTRUCTIONS

A-P

portfolio management purposes, that is, the updated LTV is based upon a
refreshed assessment of the collateral value. If LTVs were not updated for
any accounts in the segments reported in the row since the last report date,
report 0.
Calculated cells.
Report the risk-weighted assets of immaterial exposures reportable in this
schedule but not included in the above cells.
Report the subcategory weighted average Expected Loss Given Default
(ELGD), weighting each ELGD by the exposure’s associated EAD
calculated using the bank’s internal estimates of LGD. Report in this item
only if using own internal estimate of LGD.
Report the name of the credit bureau or credit scoring system used to
produce the values in column O.

Draft 8/29/06
FFIEC 101

RETAIL EXPOSURES – SCHEDULE O
QUALIFYING REVOLVING EXPOSURES – CREDIT CARDS
INSTRUCTIONS

Column

QRE
(Credit
Cards)
Row(s)

1 – 15

A-J

Schedule O

Report all Qualifying Revolving Exposures as defined in the NPR, in
which the obligor is issued a credit card to access available funds.
Instructions
Report the weighted average PD of the segments whose PDs fall
within each of the PD ranges indicated.
Report the total number of exposures in all segments included in this
row for column A.
Report the total balance sheet amount of exposures within the
segments included in this row for column A.
Report the dollar amount of available but undrawn balances of
exposures within the segments included in this row for column A.
Report the total EAD of segments of exposures included in this row
for column A.
Report the total EAD for the exposures in the segments included in
this row for column A that are less than 2 years old.
Report the weighted average LGD of exposures in the segments
included in this row for column A. In estimating LGD, include the
effects of collateral but not the effects of guarantees or credit
derivatives.
Report the weighted average LGD of exposures in the segments
included in this row for column A. In estimating LGD, do include the
effects of credit risk mitigants (collateral, guarantees and credit
derivatives).
Report total risk-weighted assets associated with all segments of
exposures included in this row for column A.
Report the dollar amount of ECL for segments of exposures included
in this row for column A.
Report the weighted average credit risk score of exposures in the
segments included in this row for column A.
Calculated cells.
Report the risk-weighted assets of immaterial exposures reportable in
this schedule but not included in the above cells.
Report the subcategory weighted average Expected Loss Given
Default (ELGD), weighting each ELGD by the exposure’s associated
EAD calculated using the bank’s internal estimates of LGD. Report in
this item only if using own internal estimate of LGD.
Report the name of the credit bureau or credit scoring system used to
produce the values in column J.

Draft 8/29/06
FFIEC 101

RETAIL EXPOSURES – SCHEDULE P
QUALIFYING REVOLVING EXPOSURES – ALL OTHER
INSTRUCTIONS
Column

QRE
(Other)
Row(s)

1 – 15

A-J

Schedule P

Report all other Qualifying Revolving Exposures as defined in the
NPR, except those reported in Schedule O.
Instructions
Report the weighted average PD of the segments whose PDs fall
within each of the PD ranges indicated
Report the total number of exposures in all segments included in this
row for column A.
Report the total balance sheet amount of exposures within the
segments included in this row for column A.
Report the dollar amount of available but undrawn balances of
exposures within the segments included in this row for column A.
Report the total EAD of segments of exposures included in this row
for column A.
Report the total EAD for the exposures in the segments included in
this row for column A that are less than 2 years old.
Report the weighted average LGD of segments of exposures in the
segments included in this row for column A. In estimating LGD,
include the effects of collateral but not the effects of guarantees or
credit derivatives.
Report the weighted average LGD percentage of exposures in the
segments included in this row for column A. In estimating LGD,
include the effects of credit risk mitigants (collateral, guarantees and
credit derivatives).
Report total risk weighted assets associated with all segments of
exposures included in this row for column A.
Report the dollar amount of ECL for segments of exposures
included in this row for column A.
Report the weighted average credit risk score of exposures in the
segments included in this row for column A.
Calculated cells.
Report the risk-weighted assets of immaterial exposures reportable
in this schedule but not included in the above cells.
Report the subcategory weighted average Expected Loss Given
Default (ELGD), weighting each ELGD by the exposure’s
associated EAD calculated using the bank’s internal estimates of
LGD. Report in this item only if using own internal estimate of
LGD.
Report the name of the credit bureau or credit scoring system used to
produce the values in column J.

Draft 8/29/06
FFIEC 101

RETAIL EXPOSURES – SCHEDULE Q
OTHER RETAIL EXPOSURES – SMALL BUSINESS
INSTRUCTIONS

Column

Other
Retail
Exposure
(Small
Business)
Row(s)

1 – 15

A-J

Schedule Q

Report Other Retail Exposures as defined in the NPR, to an
individual or company for business purposes if the bank’s
consolidated business credit exposure to the individual or company
is $1 million or less.
Instructions
Report the weighted average PD of the segments whose PDs fall
within each of the PD ranges indicated
Report the total number of exposures in all segments included in this
row for column A.
Report the total balance sheet amount of exposures within the
segments included in this row for column A.
Report the dollar amount of available but undrawn balances of
exposures within the segments included in this row for column A.
Report the total EAD of segments of exposures included in this row
for column A.
Report the total EAD for the exposures in the segments included in
this row for column A that are less than 2 years old.
Report the weighted average LGD of exposures in the segments
included in this row for column A. In estimating LGD, include the
effects of collateral but not the effects of guarantees or credit
derivatives.
Report the weighted average LGD of exposures in the segments
included in this row for column A. In estimating LGD, include the
effects of credit risk mitigants (collateral, guarantees and credit
derivatives).
Report total risk weighted assets associated with all segments of
exposures included in this row for column A.
Report the dollar amount of ECL for segments of exposures
included in this row for column A.
Report the weighted average credit risk score of exposures in the
segments included in this row for column A.
Calculated cells.
Report the risk-weighted assets of immaterial exposures reportable
in this schedule but not included in the above cells.
Report the subcategory weighted average Expected Loss Given
Default (ELGD), weighting each ELGD by the exposure’s
associated EAD calculated using the bank’s internal estimates of
LGD. Report in this item only if using own internal estimate of
LGD.
Report the name of the credit bureau or credit scoring system used to
produce the values in column J.

Draft 8/29/06
FFIEC 101

RETAIL EXPOSURES – SCHEDULE R
OTHER RETAIL EXPOSURES – ALL OTHER
INSTRUCTIONS

Column

Other
Retail
Exposure
Row(s)

1 – 15

A-J

Schedule R

Report Other Retail Exposures as defined in the NPR, except those
reported in Schedule Q.
Instructions
Report the weighted average PD of the segments whose PDs fall
within each of the PD ranges indicated
Report the total number of exposures in all segments included in this
row for column A.
Report the total balance sheet amount of exposures within the
segments included in this row for column A.
Report the dollar amount of available but undrawn balances of
exposures within the segments included in this row for column A.
Report the total EAD of segments of exposures included in this row
for column A.
Report the total EAD for the exposures in the segments included in
this row for column A that are less than 2 years old.
Report the weighted average LGD of exposures in the segments
included in this row for column A. In estimating LGD, include the
effects of collateral but not the effects of guarantees or credit
derivatives.
Report the weighted average LGD of the exposures in the segments
included in this row for column A. In estimating LGD, include the
effects of credit risk mitigants (collateral, guarantees and credit
derivatives).
Report total risk-weighted assets associated with all segments of
exposures included in this row for column A.
Report the dollar amount of ECL for segments of exposures
included in this row for column A.
Report the weighted average credit risk score of exposures in the
segments included in this row for column A.
Calculated cells.
Report the risk-weighted assets of immaterial exposures reportable
in this schedule but not included in the above cells.
Report the subcategory weighted average Expected Loss Given
Default (ELGD), weighting each ELGD by the exposure’s
associated EAD calculated using the bank’s internal estimates of
LGD. Report in this item only if using own internal estimate of
LGD.
Report the name of the credit bureau or credit scoring system used to
produce the values in column J.

Draft 8/29/06
FFIEC 101

Preparation Instructions for Securitization Exposures
(Schedules S and T)
INSTRUCTIONS FOR SECURITIZATION EXPOSURES – SCHEDULE S

Schedule
S

RBA and
IAA

5A – 5C

Report the aggregate amount of securitization exposures in each
line item that correspond to a particular rating category, separating
those subject to the RBA from those subject to the IAA. Report
RWA for each line item in the last column. Do not include
exposures that require deduction and should be reported in
Schedule A.
If a securitization exposure benefits from credit risk mitigation,
reflect such credit risk mitigation in risk-weighted assets. However,
enter the entire notional amount of the exposure into the appropriate
column according to its external or inferred rating.
Report the sums of each of the columns from items 1 through 4 in
Schedule S in columns A through C.

Draft 8/29/06
FFIEC 101

INSTRUCTIONS FOR SECURITIZATION EXPOSURES – SCHEDULE T

Schedule
T

1C – 2C

Schedule
T

3A – 3B

Schedule
T

4A – 4B

Schedule
T

6A-7B

In column C, report the aggregate amount that must be deducted..
Report the amount that must be deducted for unrated exposures
with non-IRB underlying exposures in line 1 and the amount that
must be deducted due to a 1250 percent or greater risk weight under
the SFA in line 2. Do not use columns A or B. These amounts
should also be reported in the Call Report Schedule RC-R, FR Y9C Report Schedule HC-R, or TFR Schedule CCR.
In column A, report the total dollar amount of notional exposures to
synthetic securitizations. In column B, report the RWA associated
with those exposures. Do not use column C.
In column A, report the total dollar amount of positions in synthetic
securitizations hedged by collateral or eligible guarantees or eligible
credit derivatives from eligible securitization guarantors. In column
B, report the amount of RWA associated with these hedged
positions. Do not use column C.
In column B, report the amount of RWA that would have been
required for the all securitization exposures if the capital
requirement were not capped under section 42(d) of the proposed
rule. For purposes of this cell only, convert amounts required to be
deducted into risk-weighted assets by multiplying them by 1250
percent.
Report EAD and RWA associated with the investors’ interest in
revolving securitizations that could be subject to an early
amortization capital requirement.
Report amounts associated with retail credit lines (e.g., individual
credit card lines) in line 6 and with non-retail credit lines in line 7.

Draft 8/29/06
FFIEC 101

Preparation Instructions for Equity Exposures
(Schedule U)
INSTRUCTIONS FOR EQUITY EXPOSURES – SCHEDULE U
(Refer to the NPR for Equity Exposure terms and definitions)
Data
Description
Total Equity
Exposures

Excluded
Equity
Exposures –
0% Risk
Weight
Exposures
Excluded
Equity
Exposures –
FHLB/Farm
er Mac
Equity
Exposures –
20% Risk
Weight
Excluded
Equity
Exposures –
FHLB/Farm
er Mac
Equity
Exposures –
100% Risk
Weight

Instructions

Row(s)

In line 1, column A, report the aggregate adjusted carrying value of
equity exposures that are subject to Part VI of the NPR. Do not
include exposures subject to the market risk capital framework.

In line 2, column A, report the adjusted carrying value of equity
exposures that are sovereign exposures or exposures to the Bank for
International Settlements, the International Monetary Fund, the
European Commission, the European central bank or a multi-lateral
development bank.

In line 3, column A, report the aggregate adjusted carrying value of
equity exposures to a Federal Home Loan Bank or Farmer Mac that
are not publicly traded and are held as a condition of membership in
that entity.
In line 3, column B, report the product of line 3, column A and 20
percent.
In line 4, column A, report the aggregate adjusted carrying value of
equity exposures to a Federal Home Loan Bank or Farmer Mac not
reported in line 3, column A.

4
In line 4, column B, report the amount contained in line 4, column A.

Draft 8/29/06
FFIEC 101

INSTRUCTIONS FOR EQUITY EXPOSURES – SCHEDULE U
(Refer to the NPR for Equity Exposure terms and definitions)
Excluded
Equity
Exposures –
Community
Developmen
t Equity
Exposures –
100% Risk
Weight
Equity
Exposures to
Investment
Funds

In line 5, column A, report the aggregate adjusted carrying value of
community development equity exposures.
5

In line 5, column B, report the amount contained in line 5, column A.

In line 6, column A, report the adjusted carrying value of all equity
exposures to investment funds.
6
In line 6, column B, report RWA for all equity exposures to
investment funds.
In line 6a, column A, report the adjusted carrying value of all equity
exposures to investment funds to which the bank applies the full
look-through approach.
6a

In line 6a, column B, report RWA for all equity exposures to
investment funds to which the bank applies the full look-through
approach.
In line 6b, column A, report the adjusted carrying value of all equity
exposures to investment funds to which the bank applies the simple
modified look-through approach.

In line 6b, column B, report RWA for all equity exposures to
investment funds to which the bank applies the simple modified lookthrough approach.
In line 6c, column A, report the adjusted carrying value of all equity
exposures to investment funds to which the bank applies the
alternative modified look-through approach.

Simple
Risk-Weight
Approach
Calculations

In line 6c, column B, report RWA for all equity exposures to
investment funds to which the bank applies the alternative modified
look-through approach.
Lines 7 through 13 are to be completed by banks that use the simple
risk-weight approach.

Draft 8/29/06
FFIEC 101

INSTRUCTIONS FOR EQUITY EXPOSURES – SCHEDULE U
(Refer to the NPR for Equity Exposure terms and definitions)
Excluded
Exposures to
Investment
Funds
Excluded
Equity
Exposures –
Hedge Pair
Equity
Exposures
Effective
Portion of
Hedge Pair
Equity
Exposures –
100% Risk
Weight
Nonsignificant
Equity
Exposures
Publicly
Traded
Equity
Exposures –
300% Risk
Weight
NonPublicly
Traded
Equity
Exposures –
400% Risk
Weight
Total
SRWA

In line 7, column A, report the aggregate adjusted carrying value of
excluded equity exposures to investment funds.
In line 8, column A, report the sum of the adjusted carrying values of
each equity exposure in a hedge pair with the smaller adjusted
carrying value.

In line 9, column A, report the effective portion of each hedge pair.
9

In line 9, column B, report the amount contained in line 9, column A.

In line 10, report the adjusted carrying value of non-significant equity
exposures (excluding items reported in lines 2 through 5 and 7
through 9) up to 10 percent of tier 1 plus tier 2 capital.
In line 11, column A, report the aggregate adjusted carrying value of
the bank’s publicly traded equity exposures not included in lines 2
through 10, including the ineffective portion of each hedge pair.
In line 11, column B, report the product of line 11, column A and 300
percent.
In line 12, column A, report the adjusted carrying value of the bank’s
equity exposures not included in line 11 that are not publicly traded.

In line 12, column B, report the product of line 12, column A and 400
percent.

In line 13, column B, report the sum of lines 2 through 6 and 9
through 12 of column B.
This is the bank’s risk-weighted asset amount under the SRWA.

Draft 8/29/06
FFIEC 101

INSTRUCTIONS FOR EQUITY EXPOSURES – SCHEDULE U
(Refer to the NPR for Equity Exposure terms and definitions)
Full Internal
Models
Approach
Calculations

Estimate of
Potential
Losses

Full IMA
Floors
Publicly
Traded

Lines 14 -18 are for banks that use the internal models approach for
both publicly traded and non-publicly traded equity exposures (Full
IMA).

Full IMA
Floors
NonPublicly
Traded

Full IMA
Floors

Actual
RWA – Full
IMA

In line 14, column A, report the estimate of potential losses on the
bank’s equity exposures excluding those reported in lines 2 through 5
and equity exposures to investment funds.
In line 14, column B, report the product of line 16, column A, and
12.5.
In line 15, column A, report the sum of (i) the aggregate adjusted
carrying values of the bank’s publicly traded equity exposures that do
not belong to a hedge pair, are not reported in lines 2-5, and are not
equity exposures to an investment fund and (ii) the aggregate
ineffective portion of all hedge pairs.
In line 15, column B, report the product of line 15, column A and 200
percent.
In line 16, column A, report the aggregate adjusted carrying values of
the bank’s equity exposures that are not publicly traded, not reported
in lines 2-5, and are not equity exposures to an investment fund.
In line 16, column B, report the product of line 16, column A and 300
percent
Report the sum of line 15, column B and line 16, column B.
In line 18, column B, report the sum of line 3, column B, line 4,
column B, line 5, column B, line 6 column B, and the greater of line
14, column B and line 17, column B.
This is the bank’s risk-weighted asset amount under the full IMA.

Partial
Internal
Models
Approach
Calculation
Estimate of
Potential
Losses

Lines –19-22 are for banks that use the internal models approach only
for publicly traded equity exposures (partial IMA).

In line 19, column A, report the estimate of potential losses on the
bank’s publicly traded equity exposures excluding those reported in
lines 3 through 5 and equity exposures to investment funds.
In line 19, column B, report the product of line 19, column A, and
12.5.

Draft 8/29/06
FFIEC 101

INSTRUCTIONS FOR EQUITY EXPOSURES – SCHEDULE U

Partial IMA
Floor

NonPublicly
Traded
Equity
Exposures –
400% Risk
Weight
Actual
RWA –
Partial IMA

(Refer to the NPR for Equity Exposure terms and definitions)
In line 20, column A, report the sum of (i) the aggregate adjusted
carrying values of the bank’s publicly traded equity exposures that do
not belong to a hedge pair, are not reported in lines 2-5, and are not
equity exposures to an investment fund and (ii) the aggregate
20
ineffective portion of all hedge pairs.
In line 20, column B, report the product of line 20, column A and 200
percent
In line 21, column A, report the adjusted carrying value of nonpublicly traded equity exposures (other than those reported on lines 26).
21
In line 21, column B, report the product of line 21, column A, and
400 percent.

In line 22, column B, report the sum of line 3, column B, line 4,
column B, line 5, column B, line 6, column B, line 21, column B and
the greater of line 19, column B and line 20, column B.
This is the bank’s risk-weighted asset amount under the partial IMA.

Draft 8/29/06
FFIEC 101

Preparation Instructions for Operational Risk
(Schedule V)
Item No. Caption and Instructions

Public
Operational Risk Capital
1. Risk-based Capital Requirement for Operational Risk
The NPR describes the risk-based capital requirement for operational risk as follows:
If a bank does not qualify to use or does not have qualifying operational risk
mitigants, the bank’s dollar risk-based capital requirement for operational risk is its
operational risk exposure minus eligible operational risk offsets (if any).
If a bank qualifies to use operational risk mitigants and has qualifying operational
risk mitigants, the bank’s dollar risk-based capital requirement for operational risk is
the greater of:
(1) The bank’s operational risk exposure adjusted for qualifying operational risk
mitigants minus eligible operational risk offsets (if any); or
(2) 0.8 multiplied by the difference between: (i) The bank’s operational risk
exposure; and (ii) Eligible operational risk offsets (if any).
2. Is item 1 generated from an "alternative operational risk quantification system?"
Indication (y/n) of whether the risk-based capital figure reported in item 1 results
from an “alternative operational risk quantification system” as discussed in section
22(h)(3)(ii) of the NPR.
Expected Operational Loss (EOL) and Eligible Operational Risk Offsets
3. Expected Operational Loss (EOL)
As defined in the NPR, EOL is the expected value of the distribution of potential
aggregate operational losses, as generated by the bank’s operational risk
quantification system using a one-year horizon.

Draft 8/29/06
FFIEC 101
4. Total Eligible Operational Risk Offsets
Summary: As defined in the NPR, eligible operational risk offsets are amounts, not
to exceed expected operational loss, that: (1) are generated by internal business
practices to absorb highly predictable and reasonably stable operational losses,
including reserves calculated consistent with GAAP; and (2) are available to cover
expected operational losses with a high degree of certainty over a one-year horizon.
a. Eligible GAAP reserves: Reserves calculated in a manner consistent with GAAP
as described above.
b. Other eligible offsets: Offsets approved by the institution’s supervisor outside of
GAAP reserves reported in item 4.a. above.

Total Risk-based Capital Requirement for Operational Risk without:
Summary: The effects of each of the following three adjustments on risk-based
capital for operational risk should be calculated independently (e.g. item 7 should
only exclude Risk Mitigants from the calculation, and should continue to include
adjustments for dependence assumptions and those related to business environment
and internal control factors).
5. Dependence Assumptions: This amount is equal to the risk-based capital for
operational risk excluding the effects of dependence assumptions. As defined in the
NPR, dependence is a measure of the association among operational losses across and
within business lines and operational loss event types.
6. Adjustments Reflecting Business Environment and Internal Control Factors: This
amount is equal to the risk-based capital for operational risk excluding the effects of
qualitative adjustments that account for key business environment and internal control
factors.
7. Risk Mitigants (e.g., insurance): This amount is equal to the risk-based capital
requirement for operational risk excluding the effects of risk mitigants, as described
in section 61(b) of the NPR.

Confidential
Internal Operational Loss Data Characteristics
8. Reporting dates
a. Starting date: The beginning date of the time period of internal loss data used in
modeling operational risk capital.

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b. Ending date: The ending date of the time period of internal loss data used in
modeling operational risk capital.
9. Highest dollar threshold on loss data
The highest dollar amount that is used to exclude internal operational loss data from
operational risk capital modeling.
10. Does the dollar threshold change across units of measure?
Indication (y/n) of whether the thresholds for the internal loss data used in modeling
operational risk capital differ across units of measure. As defined in the NPR, unit of
measure is the level (for example, organizational unit or operational loss event type)
at which the bank’s operational risk quantification system generates a separate
distribution of potential operational losses.
11. Total number of losses:
Column A: The total number of internal losses used in the model to determine the
risk-based capital requirement for operational risk.
Column B: The total number of internal losses in the current reporting period.
12. Total dollar amount of losses:
Column A: The total dollar amount of internal losses used in the model to determine
the risk-based capital requirement for operational risk.
Column B: The total dollar amount of internal losses in the current reporting period.
13. Dollar amount of largest loss:
Column A: The dollar value of the largest single loss used in the model to determine
the risk-based capital requirement for operational risk.
Column B: The dollar value of the largest single loss in the current reporting period.

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14. Number of losses in the following ranges (e.g., ≥ $10,000 and < $100,000):
For the ranges specified in a. through e. below, report the number of losses greater
than or equal to the low-end of the range and less than the high-end of the range. For
f., report the number of losses greater than or equal to $1 Billion.
a.
b.
c.
d.
e.
f.

$10,000 - $100,000
$100,000 - $1 Million
$1 Million - $10 Million
$10 Million - $100 Million
$100 Million - $1 Billion
$1 Billion+

Column A: For each range, the total number of internal losses used in the model to
determine the risk-based capital requirement for operational risk.
Column B: For each range, the total number of internal losses in the current reporting
period.
15. Total dollar amount of losses in the following ranges (e.g., ≥ $10,000 and <
$100,000):
For the ranges specified in a. through e. below, report the dollar amount of losses
greater than or equal to the low-end of the range and less than the high-end of the
range. For f., report the dollar amount of losses greater than or equal to $1 Billion.
a.
b.
c.
d.
e.
f.

$10,000 - $100,000
$100,000 - $1 Million
$1 Million - $10 Million
$10 Million - $100 Million
$100 Million - $1 Billion
$1 Billion+

Column A: For each range, the total dollar amount of internal losses used in the
model to determine the risk-based capital requirement for operational risk.
Column B: For each range, the total dollar amount of internal losses in the current
reporting period.

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Scenario Analysis
16. How many individual scenarios were used in calculating the risk-based capital
requirement for operational risk?
The total number of scenarios used in the model to determine the risk-based capital
requirement for operational risk.
17. What is the dollar value of the largest individual scenario?
The dollar value of the largest scenario used in the model to determine the risk-based
capital requirement for operational risk.
18. Number of scenarios in the following ranges (e.g., ≥ $1 Million and < $10 Million):
For the ranges specified in a. through d. below, report the number of scenarios greater
than or equal to the low-end of the range and less than the high-end of the range. For
e., report the number of scenarios greater than or equal to $1 Billion.
a.
b.
c.
d.
e.

$1 Million - $10 Million
$10 Million - $100 Million
$100 Million - $500 Million
$500 Million - $1 Billion
$1 Billion +

Distributional Assumptions
19. How many units of measure were used in calculating the risk-based capital
requirement for operational risk?
The number of units of measure for which a separate distribution of potential
operational losses is generated by the institution’s operational risk quantification
system.
20. Frequency Distribution: Across how many individual units of measure did the
choice of frequency distribution change since the last reporting period?
The total number of units of measure for which the statistical distribution(s) used this
reporting period to estimate loss frequency differs from those used in the prior
reporting period.

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21. Severity Distribution: Across how many individual units of measure did the choice
of severity distribution change since the last reporting period?
The total number of units of measure for which the statistical distribution(s) used this
reporting period to estimate loss severity differs from those used in the prior reporting
period.

Loss Caps
Summary: The use of caps to exclude losses over a certain threshold can have a
significant impact on modeling operational risk exposure, and can lead to an underestimation of the risk-based capital requirement for operational risk. Items 22
through 24 solicit information on the extent to which such loss caps are used and the
levels at which those caps are set.
22. How many loss caps are used in calculating the risk-based capital requirement for
operational risk?
The number of loss caps used to limit loss size in the quantification process for
determining the risk-based capital requirement for operational risk.
23. What is the dollar amount of the smallest cap used?
The dollar amount of the smallest cap used to limit loss size in the quantification
process for determining the risk-based capital requirement for operational risk.
24. What is the dollar amount of the largest cap used?
The dollar amount of the largest cap used to limit loss size in the quantification
process for determining the risk-based capital requirement

Full text of District Notices (Federal Reserve Bank of Dallas) : Agencies Seek Comment on Basel II and Market-Risk Proposed Rulemakings, Notice 06-47 : Basel II Draft Federal Register Notice and Supervisory Reporting Templates

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