Reporting Instructions for Schedules A through S

Transcription

1 FFIEC 0 Reportng Instructons for Schedules A through S FFIEC 0

2 FFIEC 0 CONTENTS INSTRUCTIONS FOR PREPARATION OF FFIEC 0 Rsk-Based Captal Reportng for Insttutons Subject to the Advanced Captal Adequacy Framework TABLE OF CONTENTS General Instructons Schedule A: Advanced Rsk-Based Captal Part : Rsk-Based Captal Numerator and Ratos for Banks and Bank Holdng Companes Part 2: Rsk-Based Captal Numerator and Ratos for Savngs Assocatons Schedule B: Summary Rsk-Weghted Asset Informaton for Banks Approved to Use Advanced Internal Ratngs-Based and Advanced Measurement Approaches for Regulatory Captal Purposes Schedule C: Wholesale Exposure - Corporate Schedule D: Wholesale Exposure Bank Schedule E: Wholesale Exposure Soveregn Schedule F: Wholesale Exposure IPRE Schedule G: Wholesale Exposure HVCRE Schedule H: Wholesale Exposure Elgble Margn Loans, Repo-Style Transactons and OTC Dervatves (Wth Cross-Product Nettng) Schedule I: Wholesale Exposure Elgble Margn Loans, Repo-Style Transactons (No Cross-Product Nettng) Schedule J: Wholesale Exposure OTC Dervatves (No Cross-Product Nettng) Schedule K: Retal Exposure Resdental Mortgage Closed-end Frst Len Exposures Schedule L: Retal Exposure Resdental Mortgage Closed-end Junor Len Exposures Schedule M: Retal Exposure Resdental Mortgage Revolvng Exposures Schedule N: Retal Exposure Qualfyng Revolvng Exposures Schedule O: Retal Exposure Other Retal Exposures FFIEC 0 CONTENTS (9-0)

3 FFIEC 0 CONTENTS TABLE OF CONTENTS (Contnued) Schedule P: Securtzaton Exposures Subject to the Ratngs-Based or Internal Assessment Approaches Schedule Q: Securtzaton Detal Schedule Schedule R: Equty Exposures Schedule S: Operatonal Rsk FFIEC 0 CONTENTS (9-0)

4 FFIEC 0 GENERAL INSTRUCTIONS GENERAL INSTRUCTIONS Who Must Report A. Scope and Reportng Crtera For purposes of ths report, each bank, BHC, and savngs assocaton that apples the Advanced Captal Adequacy Framework must submt a report. For purposes of ths report, the Advanced Captal Adequacy Framework s referred to as the advanced approaches rules throughout these nstructons. B. Shfts n Reportng Status The nsttutons specfed above n secton A must begn reportng FFIEC 0 data at the end of the frst quarter n whch they have begun ther parallel run perod. Durng ts parallel run and the three year transtonal floor perods, the nsttuton wll contnue to fle the regulatory captal schedule n ts Call Report, FR Y-9C, or TFR, as well as the FFIEC 0. If an opt-n nsttuton decdes that t wll no longer use the advanced approaches for regulatory captal purposes, t should consult wth ts prmary Federal supervsor before adoptng another approach. Reportng of FFIEC 0 data should contnue untl the prmary Federal supervsor agrees that reportng s no longer necessary. What Must Be Reported C. Reportng Schedules and Instructons The nformaton contaned n the attached reportng schedules must be completed n accordance wth the nstructons accompanyng these schedules. The schedules and nstructons are collectvely referred to as FFIEC Form 0. D. Organzaton of the Instructons These nstructons cover the FFIEC 0 report schedules. They are dvded nto the followng sectons: () The General Instructons that descrbe overall reportng requrements. (2) Lne tem nstructons for each schedule of the FFIEC 0. The nstructons and defntons n () and (2) are not necessarly self-contaned; reference to the advanced approaches rules may be needed for more detaled defntons and regulatory captal treatments under the advanced approaches. Where to Submt the Reports E. Electronc Submsson See 72 FR FFIEC 0 GENERAL INSTRUCTIONS (9-0)

5 FFIEC 0 GENERAL INSTRUCTIONS All reportng nsttutons must submt ther completed reports electroncally. Reportng nsttutons should contact ther prmary Federal supervsor for procedures for electronc submsson. Each bank s responsble for ensurng that the data reported each quarter reflects fully and accurately the tem reportng requrements for that report date, ncludng any changes that may be made from tme to tme. Ths responsblty cannot be transferred or delegated to software vendors, servcers, or others outsde the reportng entty. F. Frequency of Reportng Each reportng nsttuton must submt a report as of the end of each quarter on a calendar year bass. The as-of date for each reportng perod s March 3, June 30, September 30 and December 3 of each calendar year. G. When to Submt the Reports Durng an nsttuton s parallel run (as defned n the advanced approaches rules), the nformaton contaned n ths report must be submtted to the prmary Federal supervsor 60 days after the as-of date. That s, the March 3 report must be submtted by May 30, the June 30 report s due by August 29, the September 30 report s due by November 29, and the December 3 report s due by March (or February 29 f a leap year) of the subsequent year. Durng parallel run, f the submsson deadlne falls on a weekend or holday, the report must be receved on the frst busness day after the Saturday, Sunday, or holday. After completon of the parallel run, the submsson date for each report wll be the same date as requred by the Call Report, FR Y-9C and TFR for each bank, BHC, and savngs assocaton, respectvely. The reports are due by the end of the reportng day on the submsson date (5:00 P.M.). H. Preparaton of the Reports Each reportng nsttuton must prepare and fle the FFIEC 0 report n accordance wth the nstructons provded. All reports must be prepared n a consstent manner. Note that there are two separate schedules for reportng of rsk-based captal numerator and rato tems (Schedule A): Part for banks and bank holdng companes, and Part 2 for savngs assocatons. All remanng schedules (schedules B through S) contan common data tems to be completed by banks, bank holdng companes, and savngs assocatons. Questons and requests for nterpretatons of matters appearng n any part of the nstructons should be addressed to the reportng entty s prmary Federal supervsor. Regardless of whether a reportng entty requests an nterpretaton of a matter appearng n these nstructons, when the reportng entty s prmary Federal supervsor s nterpretaton of the nstructons dffers from that of the reportng entty, the Federal supervsor may requre the reportng entty to prepare ts FFIEC 0 report n accordance wth ts nterpretaton and may requre amended flngs for prevously submtted reports. I. Roundng For bankng organzatons wth total assets of less than $0 bllon, all dollar amounts must be reported n thousands, wth the fgures rounded to the nearest thousand. Items less than $500 wll be reported as zero. For bankng organzatons wth total assets of $0 bllon or more, all dollar amounts may be reported n thousands, but each bankng organzaton, at ts opton, may round the fgures reported to the nearest FFIEC 0 2 GENERAL INSTRUCTIONS (9-0)

6 FFIEC 0 GENERAL INSTRUCTIONS mllon, wth zeroes reported n the thousands column. For bankng organzatons exercsng ths opton, amounts less than $500,000 wll be reported as zero. Report to two decmal places any weghted averages requred to be reported n ths report, except as otherwse noted. J. Negatve Entres Except as ndcated n the reportng nstructons for specfc reportng tems, negatve entres are generally not approprate n ths report. K. Confdentalty Every reportng tem on the report wll be granted confdental treatment durng an nsttuton s parallel run perod. For reports that an nsttuton fles after ts parallel run perod, all tems reported on Schedules A and B (and tems and 2 only of the operatonal rsk schedule) wll be avalable to the publc. All other tems wll be confdental. However, a reportng nsttuton may request confdental treatment for all or some of the portons of ths report that wll be made avalable to the publc after an nsttuton s parallel run perod f the nsttuton s of the opnon that dsclosure of specfc commercal or fnancal nformaton n the report would lkely result n substantal harm to ts compettve poston, or that dsclosure of the submtted nformaton would result n unwarranted nvason of personal prvacy. In certan lmted crcumstances the prmary Federal supervsor may approve confdental treatment of some or all of the tems requested f the nsttuton has clearly provded a compellng justfcaton for the request. A request for confdental treatment must be submtted n wrtng pror to the electronc submsson of the report. The request must dscuss n wrtng the justfcaton for whch confdentalty s requested and must demonstrate the specfc nature of the harm that would result from publc release of the nformaton. Merely statng that compettve harm would result or that nformaton s personal s not suffcent. Informaton for whch confdental treatment s requested may subsequently be released by the prmary Federal supervsors f t determnes that the dsclosure of such nformaton s n the publc nterest. L. Verfcaton and Sgnatures Verfcaton. All addtons and subtractons should be double-checked before reports are submtted. Totals and subtotals n supportng materals should be cross-checked to any applcable correspondng tems elsewhere n the reports. Sgnatures. The report must be sgned by a senor offcer of the reportng entty who can attest that the rsk estmates and other nformaton submtted n ths report meet the requrements set forth n the advanced approaches rules and the reportng nstructons of ths report. The senor offcer may be the chef fnancal offcer, the chef rsk offcer, or equvalent senor offcer. The cover page of ths report form should be used to fulfll the sgnature and attestaton requrement and should be attached to the prntout placed n the reportng nsttuton s fles. M. Amended Reports The agences may requre the flng of amended reports f reports as prevously submtted contan sgnfcant errors. In addton, a reportng nsttuton must fle an amended report when t dscovers sgnfcant errors or omssons subsequent to submsson of a report. Falure to fle amended reports on a tmely bass may subject the nsttuton to supervsory acton. FFIEC 0 3 GENERAL INSTRUCTIONS (9-0)

7 FFIEC 0 GENERAL INSTRUCTIONS N. Retenton of Reports In general, a reportng entty should mantan n ts fles a sgned and attested record of ts completed FFIEC 0 report, ncludng any amended reports, and the related work papers and supportng documentaton for fve years after the report date, unless there are applcable state requrements that mandate a longer retenton tme. O. Consoldaton Exposure amounts and rsk weghted asset amounts should be reported on a consoldated bass usng the same consoldaton rules appled to the bank s Call Report, FR Y-9C, or TFR. FFIEC 0 4 GENERAL INSTRUCTIONS (9-0)

8 FFIEC 0 SCHEDULE A Schedule A - ADVANCED RISK-BASED CAPITAL Part : Rsk-Based Captal Numerator and Ratos for Banks and Bank Holdng Companes Banks and bank holdng companes must report rsk-based captal numerator and rato tems on Schedule A Advanced Rsk Based Captal (Calculaton of Numerator and Ratos for Banks and Bank Holdng Companes). Savngs assocatons should report rsk-based captal numerator and rato nformaton on Schedule A ADVANCED RISK-BASED CAPITAL (Calculaton of Numerator and Ratos for Savngs Assocatons). See Part 2 of ths secton for nstructons to ths schedule. General Instructons Defntons. Apply the defntons provded n the advanced approaches rules for the followng terms: () elgble credt reserves; (2) expected credt losses (ECL); (3) gan-on-sale; (4) credt rsk weghted assets; (5) ter captal; (6) ter 2 captal; (7) total rsk-weghted assets; and (8) total qualfyng captal. Ter 2 carryover s any amount deductble from ter 2 captal that exceeds the bankng organzaton s actual ter 2 captal. Item Instructons Item No. Capton and Instructons Ter Captal Total equty captal. Report the amount of the bankng organzaton s total equty captal as reported n Schedule RC of the Call Report or Schedule HC of the FR Y-9C. 2 LESS: Net unrealzed gans (losses) on avalable-for-sale securtes. Report n ths tem the amount reported on Schedule RC-R of the Call Report (FFIEC 03 or 04) or Schedule HC-R of the BHC FR Y-9C. 3 LESS: Net unrealzed losses on avalable-for-sale equty securtes. Report n ths tem the amount reported on Schedule RC-R of the Call Report (FFIEC 03 or 04) or Schedule HC-R of the BHC FR Y-9C. 4 LESS: Accumulated net gans (losses) on cash flow hedges. Report n ths tem the amount reported on Schedule RC-R of the Call Report (FFIEC 03 or 04) or Schedule HC-R of the BHC FR Y-9C. 5 LESS: Nonqualfyng perpetual preferred stock. Report n ths tem the amount reported on Schedule RC-R of the Call Report (FFIEC 03 or 04). For BHCs, report n ths tem usng the nstructons for Schedule HC-R, tem 5, of the FR Y-9C. 6a Qualfyng mnorty nterests n consoldated subsdares. Report n ths tem the amount reported on Schedule RC-R of the Call Report (FFIEC 03 or 04) or the BHC FR Y-9C. (For banks, report per the nstructon to Schedule RC-R, tem 6, of the Call Report FFIEC 03 or 04. For BHCs, report n ths tem usng the nstructons to Schedule HC-R, tem 6.a, of the FR Y-9C). FFIEC 0 A- SCHEDULE A (9-0)

9 FFIEC 0 SCHEDULE A 6b 7a 7b Qualfyng trust preferred securtes. NOTE: Item 6b s only to be reported by bank holdng companes (BHCs). Report n ths tem the amount reported on Schedule HC-R of the FR Y-9C. BHCs should nclude n ths tem the total amounts reported n tems 6.b and 6.c on Schedule HC-R of the FR Y-9C. LESS: Dsallowed goodwll and other dsallowed ntangble assets. Report n ths tem the amount reported on Schedule RC-R of the Call Report (FFIEC 03 or 04) or Schedule HC-R of the BHC FR Y-9C. LESS: Cumulatve change n far value of all fnancal labltes accounted for under a far value opton that s ncluded n retaned earnngs and s attrbutable to changes n the bank s own credtworthness. Report n ths tem the amount reported on Schedule RC-R of the Call Report (FFIEC 03 or 04) or Schedule HC-R of the BHC FR Y-9C. 8 Subtotal. Report the sum of tems and 6a (and 6b for BHCs) less tems 2, 3, 4, 5, 7a, and 7b. 9a 9b 9c 9d 9e 9f LESS: Dsallowed servcng assets and purchased credt card relatonshps. Report n ths tem the amount reported on Schedule RC-R of the Call Report (FFIEC 03 or 04) or Schedule HC-R of the BHC FR Y-9C. LESS: Dsallowed deferred tax assets. Report n ths tem the amount reported on Schedule RC-R of the Call Report (FFIEC 03 or 04) or Schedule HC-R of the BHC FR Y-9C. LESS: Shortfall of elgble credt reserves below total expected credt losses (50% of the shortfall plus any ter 2 carryover). Report 50 percent of the amount by whch total expected credt losses exceed elgble credt reserves n ths tem (plus any ter 2 carryover assocated wth ths amount). LESS: Gan-on-sale assocated wth securtzaton exposures. Report gan-on-sale assocated wth securtzaton exposures. LESS: Certan faled captal markets transactons. Report n ths tem 50% of the current market value of the delverables owed to the bankng organzaton for non-delveryversus-payment (non-dvp) and non-payment-versus-payment (non-pvp) transactons (wth a normal settlement perod) where the bankng organzaton has not receved the delverables by the ffth busness day after counterparty delvery was due. LESS: Other securtzaton deductons. Report n ths tem 50% of all non-gan-on-sale securtzaton exposures requred to be deducted from captal under the advanced approaches rules. A bankng organzaton may calculate any deductons from regulatory captal wth respect to a securtzaton exposure (ncludng after-tax gan-on-sale) net of any deferred tax labltes assocated wth the exposure. 0a LESS: Insurance underwrtng subsdares mnmum regulatory captal (for BHCs only). For BHCs wth consoldated nsurance underwrtng subsdares that are functonally regulated by a state nsurance regulator (or subject to comparable supervson and regulatory captal requrements n a non-u.s. jursdcton), report n ths tem 50% of the FFIEC 0 A-2 SCHEDULE A (9-0)

10 FFIEC 0 SCHEDULE A nsurance underwrtng subsdary s mnmum regulatory captal requrement as determned by ts functonal (or equvalent) regulator, plus any ter 2 carryover. For U.S. regulated nsurance subsdares, ths amount s generally 200 percent of the subsdary s Authorzed Control Level as establshed by the approprate state nsurance regulator. 0b Other addtons to (deductons from) Ter captal. Report the amount of any addtons to or deductons from ter captal based on the captal gudelnes of the bankng organzaton's prmary Federal supervsor that are not ncluded n tems through 0a above. If the amount to be reported n ths tem s a net deducton, enclose the amount n parentheses. BHCs should nclude n ths tem any excess core captal elements that would have otherwse been excluded from Ter captal under the new lmts put n place by the Federal Reserve effectve on March 3, 20 (but stll ncludable n Ter I captal under the exstng lmts). See the nstructons for reportng qualfyng restrcted core captal elements n Ter captal on Schedule HC-R of the FR Y-9C. Banks wth fnancal subsdares should exclude from ths tem adjustments to ter captal for the deconsoldaton of such subsdares. Adjustments to ter captal for fnancal subsdares should be reported n tem 23a below. Ter captal. Report the sum of tems 8 and 0b, less tems 9a through 0a. If a bank has no fnancal subsdares, the amount reported n ths tem s the numerator of the bank's ter rsk-based captal rato. Ter 2 Captal 2 Qualfyng subordnated debt and redeemable preferred stock. Report n ths tem the amount reported on Schedule RC-R of the bank Call Report (FFIEC 03 or 04). For BHCs, report n ths tem usng the nstructons for Schedule HC-R, tem 2, of the FR Y- 9C. 3 Qualfyng cumulatve perpetual preferred stock ncludble n Ter 2 captal. Report n ths tem the amount reported on Schedule RC-R of the bank Call Report (FFIEC 03 or 04). For BHCs, report n ths tem usng the nstructons for Schedule HC-R, tem 3, of the FR Y-9C. 4 Excess of elgble credt reserves over total expected credt losses (up to 0.60% of credt rsk-weghted assets). If elgble credt reserves exceed total ECL, then report n ths tem the amount by whch elgble credt reserves exceed ECL, up to a maxmum amount of 0.60 percent of credt-rsk-weghted assets. 5 Unrealzed gans on avalable-for-sale equty securtes ncludble n Ter 2 captal. Report n ths tem the amount reported on Schedule RC-R of the bank Call Report (FFIEC 03 or 04) or Schedule HC-R of the BHC FR Y-9C. 6a LESS: Insurance underwrtng subsdares mnmum regulatory captal (for BHCs only). Report n ths tem 50% of the nsurance underwrtng subsdary s mnmum regulatory captal requrement as descrbed n tem 0a above. If the amount deductble from ter 2 captal exceeds the BHC s actual ter 2 captal, the BHC must report the excess n tem 0a above. FFIEC 0 A-3 SCHEDULE A (9-0)

11 FFIEC 0 SCHEDULE A 6b Other addtons to (deductons from) Ter 2 captal. Report the amount of any tems that qualfy for ncluson n ter 2 captal based on the captal gudelnes of the bankng organzaton's prmary Federal supervsor that are not ncluded n tems 2 through 6a, above.. Adjustments to Ter 2 captal 7a 7b 7c LESS: Shortfall of elgble credt reserves below total expected credt losses (up to the lower of 50 percent of the shortfall or amount of ter 2 captal). Report n the tem 50 percent of any shortfall of elgble credt reserves below total expected credt losses as descrbed n tem 9c above. If the amount exceeds the bankng organzaton s actual ter 2 captal, the bankng organzaton must report the excess n tem 9c above. LESS: Certan faled captal markets transactons (up to the lower of 50% of deductons from such faled transactons or amount of ter 2 captal). Report n ths tem 50% of certan faled captal markets transactons as descrbed n tem 9e above. If the amount exceeds the bankng organzaton s actual ter 2 captal, the bankng organzaton must report the excess n tem 9e above. LESS: Other securtzaton deductons (up to the lower of 50% of deductons or amount of ter 2 captal). Report n ths tem 50% of all non-gan-on-sale securtzaton exposures requred to be deducted from captal under the advanced approaches rules. 8 Ter 2 captal. Report the sum of tems 2 through 5 and 6b, less tems 6a and tems 7a through 7c. 9 Allowable Ter 2 captal. Report the amount of the bankng organzaton's allowable ter 2 captal. The maxmum amount of ter 2 captal that s allowable n the bankng organzaton s qualfyng total captal s 00 percent of ter captal. The amount reported n ths tem must be the lesser of tem and tem 8 f tem s a postve number. If tem s a negatve number, report a zero n ths tem. 20 Ter 3 captal allocated for market rsk. Report n ths tem the amount reported on Schedule RC-R of the bank Call Report (FFIEC 03 or 04) or Schedule HC-R of the BHC FR Y-9C. 2 LESS: Deductons for total rsk-based captal. Report n ths tem the amount reported on Schedule RC-R of the bank Call Report (FFIEC 03 or 04) or Schedule HC-R of the BHC FR Y-9C. 22 Total rsk-based captal. Report the sum of tems, 9, and 20, less tem 2. The amount reported n ths tem s the numerator of the bankng organzaton s total rskbased captal rato. Adjustments for fnancal subsdares Items 23a through 24 and column A of tems 25 and 26 are only to be completed by banks wth fnancal subsdares as defned by the Gramm-Leach-Blley Act of 999. FFIEC 0 A-4 SCHEDULE A (9-0)

12 FFIEC 0 SCHEDULE A 23a 23b Adjustment to Ter captal. Report n ths tem the amount reported on Schedule RC-R of the bank Call Report (FFIEC 03 or 04). Adjustment to total rsk-based captal. Report n ths tem the amount reported on Schedule RC-R of the bank Call Report (FFIEC 03 or 04). 24 Adjustment to rsk-weghted assets. Report n ths tem the amount reported on Schedule RC-R of the bank Call Report (FFIEC 03 or 04). 25 Ter rsk-based captal rato. Report the bankng organzaton s ter rsk-based captal rato as a percentage. Column B s to be completed by all bankng organzatons. The rato for column B s determned by dvdng tem by total rsk weghted assets (from Schedule B, tem 33). Only banks wth fnancal subsdares must also complete column A. The rato for column A s determned by dvdng tem (mnus tem 23a) by adjusted total rsk weghted assets (Schedule B, tem 33 mnus tem 24 of ths schedule). 26 Total rsk-based captal rato. Report the bankng organzaton s total rsk-based captal rato as a percentage. Column B s to be completed by all bankng organzatons. The rato for column B s determned by dvdng tem 22 by total rsk weghted assets (from Schedule B, tem 33). Only banks wth fnancal subsdares must also complete column A. The rato for column A s determned by dvdng tem 22 (mnus tem 23b) by adjusted total rsk weghted assets (Schedule B, tem 33 mnus tem 24 of ths schedule). 27 Elgble credt reserves. Report the amount of elgble credt reserves as defned n the advanced approaches rules. 28 Total expected credt losses. Report the amount of total expected credt losses (ECL). Ths amount should equal the sum of tems through 6 n column H of Schedule B. Part 2: Rsk-Based Captal Numerator and Ratos for Savngs Assocatons Savngs assocatons should report rsk-based captal numerator and rato nformaton on Schedule A ADVANCED RISK-BASED CAPITAL (Calculaton of Numerator and Ratos for Savngs Assocatons). Banks and bank holdng companes must report rsk-based captal numerator and rato tems on Schedule A Advanced Rsk Based Captal (Calculaton of Numerator and Ratos for Banks and Bank Holdng Companes). See Part of ths secton for nstructons to ths schedule. General Instructons Defntons. Apply the defntons provded n the advanced approaches rules for the followng terms: () elgble credt reserves; (2) expected credt losses; (3) ter 2 carryover; (4) gan-on-sale; (5) credt rsk weghted assets; (6) ter captal; (7) ter 2 captal; (8) total rsk-weghted assets; and (9) total qualfyng captal. Item Instructons Item No. Capton and Instructons FFIEC 0 A-5 SCHEDULE A (9-0)

13 FFIEC 0 SCHEDULE A Ter Captal Total Equty Captal. Report the amount of Total Equty Captal. General note for tems 2 through 9: Report postve balances for each of these tems. You wll deduct each of these tems when you calculate Ter captal for tem 4. 2 Investments n and Loans to Nonncludable Subsdares. Reduce ter (core) captal by your nvestment n, loans to, and guaranteed oblgatons of certan nonncludable subsdares. In consoldaton, you elmnate the nvestment and ntercompany loan accounts of subsdares on Schedule SC. Therefore, you must obtan the amount of the nvestment and advances from your books before consoldaton. Calculate the nvestment usng the equty method as prescrbed by GAAP plus any loans, advances, guaranteed oblgatons, or other extensons of credt, whether secured or unsecured. Use negatve nvestments to offset loans, guaranteed oblgatons, or advances to the same subsdary, but do not reduce ths tem below zero. If you have a nonncludable subsdary and the result on ths tem rounds to zero or s a negatve amount, report a one to ndcate that you have reported your nonncludable subsdary. Nonncludable Subsdares Secton 5(t)(5)(a) of HOLA [2 USC 464(t)(5)(A)] requres a savngs assocaton to deduct nvestments and extensons of credt to ts subsdary that engages n actvtes mpermssble for a natonal bank wth the followng exceptons:. Subsdares solely engaged n mpermssble actvtes as an agent for ts customers where the subsdary has no rsk of loss. 2. Subsdares engaged solely n mortgage bankng actvtes. 3. Insured depostory nsttutons acqured as subsdares before May, Subsdares of federal savngs assocatons that exsted on August 9, 989, and were chartered before October 5, 982, as a savngs bank or cooperatve bank under state law. 5. Subsdares of federal savngs assocatons that exsted on August 9, 989, that acqured ther prncpal assets from a savngs assocaton chartered before October 5, 982, as a savngs bank or cooperatve bank under state law. Generally, a subsdary of a savngs assocaton s nonncludable f any of ts actvtes are mpermssble for a natonal bank. If any lower-ter subsdary engages n mpermssble actvtes or nvests n an entty that engages n mpermssble actvtes, but the frst-ter subsdary owned by the parent savngs assocaton does not drectly engage n mpermssble actvtes, the frst-ter subsdary s an ncludable subsdary. Deduct your nvestment and loans (and guarantees) n the nonncludable lower-ter subsdary n computng the captal of the upper-ter subsdary on an unconsoldated bass and n computng your consoldated captal. Fully deduct all nonncludable subsdares from captal. FFIEC 0 A-6 SCHEDULE A (9-0)

14 FFIEC 0 SCHEDULE A You should report nvestments n and advances to nonncludable subsdares net of all general valuaton allowances, specfc valuaton allowances, and charge-offs, as they have already reduced equty captal. 3 Goodwll and Certan Other Intangble Assets. Ths tem wll generally equal SC660 wth the excepton of certan ntangble assets such as ntangble penson assets and computer software. You may change ths amount n certan cases. For purposes of regulatory captal only, you may reduce the amount of core depost premums and certan other ntangble assets that you acqured n a nontaxable busness combnaton by any correspondng deferred tax labltes. Include:. Core depost ntangble assets (CDIs). 2. Purchased credt card relatonshps, (PCCRs). 3. Favorable leaseholds Do not nclude:. Servcng assets. 2. Certan nonsecurty fnancal nstruments accounted for under FASB Statement No Net deferred tax assets. 4 Dsallowed Servcng Assets, Dsallowed Deferred Tax Assets, and Other Dsallowed Assets Dsallowed Servcng Assets Generally, you may nclude servcng assets reported on SC642 and SC644 n regulatory captal, subject to both of the followng lmtatons:. For mortgage and nonmortgage servcng assets, and PCCRs, combned nclude n captal the lesser of: a. 00 percent of Ter (core) captal. b. 90 percent of far value. c. 00 percent of reported amount. 2. For nonmortgage servcng assets and PCCRs, as a separate sub-lmt nclude n captal the lesser of the followng: a. 25 percent of Ter (core) captal. b. 90 percent of far value. c. 00 percent of reported amount. Accordngly, on tem 4, nclude the amount of servcng assets reported on SC642 and SC644 (that are not n a nonncludable subsdary) and PCCRs ncluded on SC660 that exceed the above lmtatons. For purposes of the 25 percent and 00 percent of ter (core) captal lmtatons above, base the deducton on a ter (core) captal subtotal before the deducton. In addton, n computng the deducton for the 25 percent and 00 percent lmtatons, you may reduce the amount of servcng assets by any correspondng deferred tax lablty. FFIEC 0 A-7 SCHEDULE A (9-0)

15 FFIEC 0 SCHEDULE A Dsallowed Deferred Tax Assets Generally, f regulatory captal ncludes dsallowed deferred tax assets, nclude the amount of the dsallowed deferred tax assets n ths tem. To the extent that realzng deferred tax assets depends on your future taxable ncome (exclusve of reversng temporary dfferences and carryforwards), or your tax plannng strateges, such deferred tax assets are lmted for regulatory captal purposes to the lesser of the followng:. The amount that you can realze wthn one year percent of Ter (core) captal. Accordngly, dsallowed deferred tax assets s that amount ncludable n assets under GAAP, but not ncludable n regulatory captal pursuant to OTS polcy. The deferred tax asset subject to the lmtaton s the net deferred tax asset or lablty ncluded on Schedule SC, adjusted for the deferred tax asset or lablty added to or subtracted from total assets related to the followng:. Accumulated gans and losses on certan AFS securtes and cash flow hedges on tem 0 (CCR80). 2. Goodwll and other ntangble assets on Schedule CCR, lnes 265 and Servcng assets on Schedule CCR, lne 270. Note: You can generally realze deferred tax assets wthout lmtaton from the followng sources:. Taxes pad n pror carry-back years. 2. Future reversals of exstng taxable temporary dfferences. For purposes of the 0 percent of ter (core) captal lmtaton above, base the deducton on a ter (Core) captal subtotal before the deducton. 5 Shortfall of Elgble Credt Reserves Below Total Expected Credt Losses (50% of Shortfall Plus Ter 2 Carryover). Elgble credt reserves are defned as all general allowances, ncludng the ALLL, that have been establshed through a charge aganst earnngs to absorb credt losses assocated wth on- or off-balance sheet wholesale and retal exposures. Elgble credt reserves would not nclude other specfc reserves created aganst recognzed losses. A thrft s total expected credt losses (ECL) s the sum of the ECL for all wholesale and retal exposures other than exposures to whch the thrft has appled double default treatment. The thrft s ECL for a wholesale exposure to a non-defaulted oblgor or for a segment of non-defaulted retal exposures that s carred at far value wth gans and losses flowng through earnngs or that s classfed as held-for-sale and s carred at the lower of cost or far value wth losses flowng through earnngs s zero. For all other wholesale exposures to non-defaulted oblgors or segments of non-defaulted retal exposures, the product of PD tmes LGD tmes EAD for the exposure or segment. The thrft s ECL for a wholesale exposure to a defaulted oblgor or a segment of defaulted retal exposures s equal to the thrft s mparment estmate for allowance purposes for the exposure or segment. A shortfall s created when the total dollar amount of ECL exceeds the thrft s elgble credt reserves. If there s a shortfall of elgble credt reserves compared to ECL, the thrft must deduct 50 percent of the shortfall from ter captal and 50 percent from ter 2 FFIEC 0 A-8 SCHEDULE A (9-0)

16 FFIEC 0 SCHEDULE A captal. If the amount deductble from ter 2 captal exceeds the thrft s actual ter 2 captal, the thrft would deduct the excess from ter captal (ths amount s referred to as the ter 2 carryover). 6 Gan-on-Sale Assocated wth Securtzaton Exposures. A thrft must deduct from ter captal any ncrease n the thrft s equty captal at the ncepton of a securtzaton transacton (gan-on-sale), other than an ncrease n equty captal that results from the thrft s recept of cash n connecton wth the securtzaton. Under SFAS No. 40, an nsttuton ntally measures and records assets retaned n connecton wth a sale or securtzaton, based on relatve far values. That s, the nsttuton allocates the prevous carryng amount between the sold assets and the retaned nterests based on ther relatve far values. The reported gan s the dfference between the net proceeds from the sale and the allocated carryng value of the assets sold. Ths methodology s often called gan-on-sale accountng. For example, a thrft would deduct a gan attrbutable to a credt-enhancng nterest-only strp (CEIO) that results from FAS 40 accountng treatment for the sale of underlyng exposures to a securtzaton specal purpose entty (SPE). A thrft must deduct these nterests n securtzatons from Ter to the extent they represent gan-on-sale. A thrft must deduct any remanng CEIOs 50 percent from ter captal and 50 percent from ter 2 captal. Any remanng CEIOs (that do not represent gan-on-sale) should be deducted from ter captal n tem 8 below, and any remanng Ter 2 deductons should be reported n tem 22 below. 7 Certan Faled Captal Markets Transactons (up to the lower of 50% of shortfall or amount of Ter 2 captal). Deduct n ths tem 50% of your exposure on certan unsettled and faled transactons (50 percent from ter and 50 percent from ter 2). These transactons nclude non-delvery-versus-payment (non DvP) and non-payment-versuspayment (non-pvp) transactons (wth a normal settlement perod) where the thrft has not receved the delverables by the ffth busness day after counterparty delvery was due. In these nstances, the thrft must deduct the current market value of the delverables owed to the thrft 50 percent from ter and 50% from ter 2 captal. (See tem 2). If the amount deductble from ter 2 captal exceeds the thrft s actual ter 2 captal, the thrft would deduct the excess from ter captal. 8 Other Securtzaton Deductons (50% of Deductons Plus Ter 2 Carryover). Certan other securtzaton exposures are also deducted from ter and ter 2 captal. These exposures nclude any securtzaton that () does not qualfy for the Ratngs-Based Approach, the Internal Assessment Approach, or the Supervsory Formula Approach; (2) securtzatons of non-irb exposures (.e. exposures that are not a wholesale exposure, retal exposure, or securtzaton exposure, or equty exposure); (3) low-rated securtzaton exposures that qualfy for and must be deducted under the Ratngs-Based Approach; and (4) Hgh-rsk exposures under the Supervsory Formula Approach. When a thrft must deduct a securtzaton exposure (other than gan-on-sale) from regulatory captal, the thrft must take the deducton 50 percent from ter captal and 50 percent from ter 2 captal. Report n ths tem any remanng ter deductons for CEIOs (that do not represent gan-on-sale). Refer also to tem 22. If the amount deductble from ter 2 captal exceeds the thrft s actual ter 2 captal, the thrft would deduct the excess from Ter captal n ths tem. FFIEC 0 A-9 SCHEDULE A (9-0)

17 FFIEC 0 SCHEDULE A A thrft may calculate any deductons from regulatory captal wth respect to a securtzaton exposure (ncludng after-tax gan-on-sale) net of any deferred tax labltes assocated wth the exposure. 9 Other. Report other tems deducted from ter captal not ncluded n tems 2 through 8. For example, OTS captal rules do not nclude cumulatve perpetual preferred stock n ter (core) captal. 0 Accumulated Losses (Gans) on Certan Avalable-For-Sale Securtes and Cash Flow Hedges, Net of Taxes. Report n ths tem:. Accumulated Unrealzed Gans and Losses on Certan Avalable-for-Sale Securtes Equty captal on SC80 ncludes a separate component for accumulated, unrealzed gans and losses, net of ncome taxes, on AFS securtes. See SC860, Unrealzed Gans (Losses) on Avalable-for-sale Securtes. However, you cannot nclude most of that separate component of equty captal n regulatory captal, as specfed below. For regulatory captal purposes on ths schedule, but not for reportng purposes on Schedule SC: Report aggregate AFS debt securtes at amortzed cost, not at far value. Report aggregate AFS equty securtes at the lower of cost or far value, not at far value. Report on tem 0 the amount on SC860, Unrealzed Gans (Losses) on Avalable-for- Sale Securtes, adjusted for losses on certan equty securtes, as follows: SC860, Unrealzed Gans (Losses) on Avalable-for-Sale Securtes Plus: As a postve number, any porton of the amount on SC860 that represents unrealzed losses on equty securtes (but not debt securtes), net of gans and net of ncome taxes. 2. Accumulated Gans and Losses Related to Qualfyng Cash Flow Hedges Equty captal on SC80 ncludes a separate component for accumulated gans and losses on qualfyng cash flow hedges. See SC865, Gans (Losses) on Cash Flow Hedges. However, you cannot nclude that separate component of equty captal n regulatory captal. Report the result n tem 0 as follows: When the amount of ths tem represents gans, net of losses, report a negatve number reducng captal. When the amount of ths tem represents losses, net of gans, report a postve number ncreasng captal. Intangble Assets. Report PCCRs ncluded on SC660 as well as tem 3. FFIEC 0 A-0 SCHEDULE A (9-0)

18 FFIEC 0 SCHEDULE A 2 Noncontrollng (mnorty) Interest n Includable Consoldated Subsdares Includng REIT Preferred Stock Reported as a Borrowng. Report noncontrollng nterest n common and noncumulatve perpetual preferred stock of ncludable consoldated subsdares that you report on SC800, Noncontrollng Interest. Also nclude REIT preferred stock of an ncludable, consoldated subsdary that you report on ether SC736 or SC800, to the extent the amount s elgble for ncluson n ter (core) captal. See the nstructons for tem 2 for a defnton of nonncludable subsdares. 3 Other. Report other tems permtted to be added to ter captal that are not ncluded n tems 0 through 2. 4 Ter Captal. Compute ths tem as follows: tem less tems 2, 3, 4, 5, 6, 7, 8, and 9 plus tems 0,, 2, and 3. Ter 2 (Supplementary) Captal Under the OTS rsk-based captal regulatons, there are two types of captal: ter (core) captal and ter 2 (supplementary) captal. Ter 2 (supplementary) captal ncludes certan specfed nstruments wth characterstcs of captal that do not qualfy as ter (core) captal. You may nclude ter 2 (supplementary) captal n your total rsk-based captal, up to a maxmum of 00 percent of your ter (core) captal. Ter 2 (supplementary) captal conssts of the followng:. Permanent nstruments not qualfyng as ter (core) captal. Report n tem 6, Qualfyng Subordnated Debt and Redeemable Preferred Stock; tem 7, Other Equty Instruments; and tem 9, Other. 2. Maturng captal nstruments. After adjustments for the lmtatons descrbed below, report n tem 6, Qualfyng Subordnated Debt and Redeemable Preferred Stock; tem 7, Other Equty Instruments; and tem 9, Other. 3. Up to 45 percent of your pretax unrealzed gans, net of unrealzed losses, on AFS equty securtes. Report n tem Noncontrollng nterests n ncludable subsdares consoldated under GAAP that are not elgble for ncluson n ter (core) captal n tem 2, provded the noncontrollng nterest meets the other requrements for ter 2 (supplementary) captal and nether you nor any of your subsdares or other subordnate organzatons that you own, drectly or ndrectly, hold the noncontrollng nterest. Report such noncontrollng nterest n tem 7, Other Equty Instruments. Maturng Captal Instruments You may elect to nclude maturng captal nstruments by choosng one of the followng optons. Once you elect ether opton, you must contnue to apply that opton for all subsequent ssuances of maturng captal nstruments as long as there s a balance outstandng of such ssuances. Once such ssuances have all been repad, you may elect the other opton for future ssuances. FFIEC 0 A- SCHEDULE A (9-0)

19 FFIEC 0 SCHEDULE A Opton Ter 2 (supplementary) captal s equal to the outstandng captal nstrument multpled by the applcable percentage from the followng amortzaton schedule: Years to Maturty Greater than 5 Greater than 4, but less than or equal to 5 Greater than 3, but less than or equal to 4 Greater than 2, but less than or equal to 3 Greater than, but less than or equal to 2 Less than or equal to Percentage Counted as Ter 2 (Supplementary) Captal 00% 80% 60% 40% 20% 0% Opton 2 Ter 2 (supplementary) captal wll nclude only the aggregate amount of maturng captal nstruments that mature n any one year durng the seven years mmedately before an nstrument s maturty that does not exceed 20 percent of your captal. For ths purpose, captal s ter (core) captal plus, wthout lmtaton, tems ncluded n ter 2 (supplementary) captal. For ths computaton, there s no percentage of assets lmtaton for general loan and lease valuaton allowances. Also, for ths computaton, there are no lmtatons on maturng captal nstruments based on maturty dates. Furthermore, for ths computaton, there s no lmtaton on ter 2 (supplementary) based on the amount of ter (core) captal. 5 Unrealzed Gans on Avalable-for-Sale Equty Securtes. You may nclude n ter 2 (supplementary) captal up to 45 percent of the amount of any pretax unrealzed gans. Ths s net of any unrealzed losses, on AFS equty securtes ncluded n SC40, Equty Securtes Subject to FASB Statement No. 5. If losses exceed gans, do not report an amount for ths tem. Do not nclude unrealzed gans on AFS debt securtes or on equty securtes n a tradng portfolo. 6 Subordnated Debt and Redeemable Preferred Stock. Include:. Perpetual subordnated debentures and mandatory convertble subordnated (captal notes) securtes. 2. Maturng subordnated debentures, mandatory convertble subordnated debt, and mandatory redeemable preferred stock calculated accordng to the above nstructons. 3. Intermedate term preferred stock (subject to maturty rules). 7 Other Equty Instruments. Report equty nstruments you ssued that we permt as supplemental captal but not as ter (core) captal and that you deducted for tem 9. Include:. Cumulatve preferred stock reported on SC82. FFIEC 0 A-2 SCHEDULE A (9-0)

20 FFIEC 0 SCHEDULE A 2. Preferred stock reported on SC82 or SC84 where the dvdend adjusts based on current market condtons or ndexes and the ssuer s current credt ratng; 3. Any other equty nstruments reported n tem 9 except preferred stock that s, n effect, collateralzed by assets of the reportng savngs assocaton; and 4. Mnorty nterest reported on SC800, Mnorty Interest, n excess of the amount ncluded n ter (core) captal n tem 2. 8 Excess of Elgble Credt Reserves Over Total Expected Credt Losses (up to 0.60% of credt rsk weghted assets). If elgble credt reserves exceed total ECL, the excess porton of elgble credt reserves may be ncluded n ter 2 captal up to 0.6 percent of credt-rsk-weghted assets. Refer also to the nstructons for tem 5. Credt-rskweghted assets s defned as [.06] multpled by the sum of total wholesale and retal rsk-weghted assets, rsk-weghted assets for securtzaton exposures, and rsk-weghted assets for equty exposures. (See tems 5 and 20). 9 Other. Report other tems permtted n ter 2 captal that you do not nclude n tems 5 through 8. Adjustments to Ter 2 Captal General note for tems 20 through 22: Report postve balances for each of these tems. You wll deduct each of these tems when you calculate Ter 2 captal for tem Shortfall of Elgble Credt Reserves Below Total Expected Credt Losses (up to lower of 50% of the shortfall or amount of Ter 2 captal). A thrft s total ECL s the sum of the ECL for all wholesale and retal exposures other than exposures to whch the thrft has appled double default treatment. The thrft s ECL for a wholesale exposure to a nondefaulted oblgor that s carred at far value wth gans and losses flowng through earnngs or that s classfed as held-for-sale and s carred at the lower of cost or far value wth losses flowng through earnngs s zero. For all other wholesale exposures to non-defaulted oblgors or segments of non-defaulted retal exposures, the product of PD tmes LGD tmes EAD for the exposure or segment. The thrft s ECL for a wholesale exposure to a defaulted oblgor or a segment of defaulted retal exposures s equal to the thrft s mparment estmate for allowance purposes for the exposure or segment. A shortfall exsts when the total dollar amount of ECL exceeds the thrft s elgble credt reserves. If there s a shortfall of elgble credt reserves compared to ECL, the thrft must deduct 50 percent of the shortfall from ter captal and 50 percent from ter 2 captal. If the amount deductble from ter 2 captal exceeds the thrft s actual ter 2 captal, the thrft would deduct the excess from ter captal. Refer also to tem 5. 2 Certan Faled Captal Market Transactons (up to the lower of 50% of shortfall or amount of Ter 2 captal). Deduct n ths tem 50% of your exposure on certan unsettled and faled transactons (50 percent from ter and 50% from ter 2). These transactons nclude non-delvery-versus-payment (non-dvp) and non-payment-versus-payment (non-pvp) transactons (wth a normal settlement perod) where the thrft has not receved the delverables by the ffth busness day after counterparty delvery was due. In these nstances, the thrft must deduct the current market value of the delverables owed to the FFIEC 0 A-3 SCHEDULE A (9-0)

21 FFIEC 0 SCHEDULE A thrft 50% from ter and 50% from ter 2. If the amount of the deductble from ter 2 captal exceeds the thrft s actual ter 2 captal, the thrft would deduct the excess from ter captal. Refer also to tem Other Securtzaton Deductons (up to the lower of 50% of shortfall of amount of Ter 2 captal). Certan other securtzaton exposures would also be deducted from ter and ter 2 captal. These exposures nclude any securtzaton that () does not qualfy for the Ratngs-Based Approach, the Internal Assessment Approach, or the Supervsory Formula Approach; (2) securtzatons of non-irb exposures (.e. exposures that are not a wholesale exposure, retal exposure, or securtzaton exposure, or equty exposure); (3) low-rated securtzaton exposures that qualfy for and must be deducted under the Ratngs-Based Approach; and (4) hgh-rsk exposures under the Supervsory Formula Approach. When a thrft must deduct a securtzaton exposure (other than gan-on-sale) from regulatory captal, the thrft must take the deducton 50 percent from ter captal and 50 percent from ter 2 captal. Report n ths tem any remanng ter 2 deductons for CEIOs (that do not represent gan-on-sale). If the amount deductble from ter 2 captal exceeds the thrft s actual ter 2 captal, the thrft would deduct the excess from ter captal. Refer also to tem Ter 2 (Supplementary) Captal. Compute ths tem as the sum of tems 5, 6, 7, 8, and 9 less tems 20, 2, and Allowable Ter 2 (Supplementary) Captal. Computes ths tem as follows: If ter (core) captal s a postve amount, report the lesser of the followng:. Ter 2 (supplementary) captal reported n tem Ter (core) captal reported n tem 4. If you have negatve ter (core) captal, report zero n tem 24. The amount of ter 2 (supplementary) captal ncluded n total captal cannot exceed the amount of ter captal. 25 Ter 3 Captal Allocated for Market Rsk. Ter 3 captal s subordnated debt that s unsecured, s fully pad up, has an orgnal maturty of at least two years, s not redeemable before maturty wthout pror OTS approval, ncludes a lock-n clause precludng payment of ether nterest or prncpal (even at maturty) f the payment would cause the ssung nsttuton s rsk-based captal rato to fall or reman below the mnmum requred under the general rsk-based captal rules or the proposed advanced captal adequacy framework, as applcable, and does not contan and s not covered by any covenants, terms, or restrctons that are nconsstent wth safe and sound bankng practces. Report the amount of the savng assocaton s ter 3 captal allocated for market rsk. Ths tem s only applcable to nsttutons that are subject to the market rsk captal gudelnes. The amount reported n ths tem may only be used to satsfy the savng FFIEC 0 A-4 SCHEDULE A (9-0)

22 FFIEC 0 SCHEDULE A assocaton s market rsk captal requrement and may not be used to support credt rsk. The sum of the amount reported n ths tem and the amount reported for tem 24, Allowable Ter 2 (Supplementary) Captal, must be less than or equal to the amount reported for tem 4, Ter (Core) Captal. In addton, ter 3 captal allocated for market rsk plus ter 2 captal allocated for market rsk are lmted to 7.4 percent of an nsttuton s measure for market rsk. 26 Equty Investments and Other Assets Requred to be Deducted. Report the assets that 2 CFR 567.5(c) requres to be deducted from total captal unless deducted elsewhere. Include:. Investments n other depostory nsttutons (recprocal holdngs) that other depostory nsttutons may count n ther regulatory captal such as captal stock, qualfyng subordnated debt, etc. 2. The entre amount of all the followng tems: a. Equty nvestments n real property except real property prmarly used or ntended to be used by you, your subsdares, subordnate organzatons, or afflates as offces, or related facltes for the conduct of busness. b. Real property acqured n satsfacton of a debt, where you ntend to hold the property for real estate nvestment purposes or do not expect to dspose of t wthn fve years. 27 Total Rsk-Based Captal. Compute ths tem as the total of tem 4 plus tems 24 and 25 mnus tem Elgble Credt Reserves. Report the amount of the thrft s elgble credt reserves. Elgble credt reserves are defned as all general allowances, ncludng the ALLL, that have been establshed through a charge aganst earnngs to absorb credt losses assocated wth on- or off-balance sheet wholesale and retal exposures. Elgble credt reserves would not nclude specfc reserves created aganst recognzed losses. 29 Total Expected Credt Losses. Report the amount of the thrfts total ECL. A thrft s ECL s the sum of the ECL for all wholesale and retal exposures other than exposures to whch the thrft has appled double default treatment. The thrft s ECL for a wholesale exposure to a non-defaulted oblgor or a segment of non-defaulted retal exposures that s carred at far value wth gans and losses flowng through earnngs or that s classfed as held-for-sale and s carred at the lower of cost or far value wth losses flowng through earnngs s zero. For all other wholesale exposures to non-defaulted oblgors or segments of non-defaulted retal exposures, the product of PD tmes LGD tmes EAD for the exposure or segment. The thrft s ECL for a wholesale exposure to a defaulted oblgor or a segment of defaulted retal exposures s equal to the thrft s mparment estmate for allowance purposes for the exposure or segment. 30 Total Rsk-Weghted Assets. Carry over ths tem from Schedule B, tem 33. Captal Ratos 3 Total Rsk-Based Captal Rato. Report total rsk-based captal (lne 27) dvded by total rsk-weghted assets (lne 30). FFIEC 0 A-5 SCHEDULE A (9-0)