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)

23 FFIEC 0 SCHEDULE A 32 Ter Rsk-Based Captal Rato. Report Ter captal (lne 4) dvded by total rskweghted assets (lne 30). FFIEC 0 A-6 SCHEDULE A (9-0)

24 FFIEC 0 SCHEDULE B Schedule B Summary Rsk-Weghted Asset Informaton for Banks Approved to Use Advanced Internal Ratngs-Based and Advanced Measurement Approaches for Regulatory Captal Purposes General Instructons Report the nformaton requred for Schedule B usng the defntons provded n the advanced approaches rules. Item Instructons Item No. Capton and Instructons Wholesale Exposures Corporate 2 Bank In column A, the weghted average probablty of default s derved from cell A-3 of Schedule C -Wholesale Exposure Corporate. In column B, the total balance sheet amount s derved from cell C-3 of Schedule C - Wholesale Exposure Corporate. In column C, the total dollar volume of undrawn exposures s derved from cell D-3 of Schedule C -Wholesale Exposure Corporate. In column D, the total dollar volume of exposure at default s derved from cell E-3 of Schedule C- Wholesale Exposure Corporate. In column E, the weghted average effectve maturty n years s derved from cell F-3 of Schedule C - Wholesale Exposure Corporate. In column F, the weghted average loss gven default s derved from cell H-3 of Schedule C -Wholesale Exposures Corporate. In column G, the total amount of rsk weghted assets s derved from cell K-3 of Schedule C - Wholesale Exposure Corporate. In column H, the total dollar volume of expected credt loss s derved from cell L-3 of Schedule C - Wholesale Exposure Corporate. In column A, the weghted average probablty of default s derved from cell A-3 of Schedule D - Wholesale Exposure Bank. In column B, the total balance sheet amount s derved from cell C-3 of Schedule D - Wholesale Exposure Bank. FFIEC 0 B- SCHEDULE B (9-0)

25 FFIEC 0 SCHEDULE B 3 Soveregn In column C, the total dollar volume of undrawn exposures s derved from cell D-3 of Schedule D-Wholesale Exposure Bank. In column D, the total dollar volume of exposure at default s derved from cell E-3 of Schedule D -Wholesale Exposure Bank. In column E, the weghted average effectve maturty n years s derved from cell F-3 of Schedule D-Wholesale Exposure Bank. In column F, the weghted average loss gven default s derved from cell H-3 of Schedule D-Wholesale Exposures Bank. In column G, the total amount of rsk weghted assets s derved from cell J-3 of Schedule D - Wholesale Exposure Bank. In column H, the total dollar volume of expected credt loss s derved from cell K-3 of Schedule D - Wholesale Exposure Bank. In column A, the weghted average probablty of default s derved from cell A-3 of Schedule E - Wholesale Exposure Soveregn. In column B, the total balance sheet amount s derved from cell C-3 of Schedule E - Wholesale Exposure Soveregn. In column C, the total dollar volume of undrawn exposures s derved from cell D-3 of Schedule E - Wholesale Exposure Soveregn. In column D, the total dollar volume of exposure at default s derved from cell E-3 of Schedule E - Wholesale Exposure Soveregn. In column E, the weghted average effectve maturty n years s derved from cell F-3 of Schedule E -Wholesale Exposure Soveregn. In column F, the weghted average loss gven default s derved from cell H-3 of Schedule E - Wholesale Exposures Soveregn. In column G, the total amount of rsk weghted assets s derved from cell J-3 of Schedule E - Wholesale Exposure Soveregn. In column H, the total dollar volume of expected credt loss s derved from cell K-3 of Schedule E- Wholesale Exposure Soveregn. 4 Income-Producng Real Estate (IPRE) In column A, the weghted average probablty of default s derved from cell A-3 of Schedule F - Wholesale Exposure IPRE. In column B, the total balance sheet amount s derved from cell C-3 of Schedule F - Wholesale Exposure IPRE. FFIEC 0 B-2 SCHEDULE B (9-0)

26 FFIEC 0 SCHEDULE B In column C, the total dollar volume of undrawn exposures s derved from cell D-3 of Schedule F - Wholesale Exposure IPRE. In column D, the total dollar volume of exposure at default s derved from cell E-3 of Schedule F - Wholesale Exposure Constructon IPRE. In column E, the weghted average effectve maturty n years s derved from cell F-3 of Schedule F - Wholesale Exposure IPRE. In column F, the weghted average loss gven default s derved from cell H-3 of Schedule F -Wholesale Exposures IPRE. In column G, the total amount of rsk weghted assets s derved from cell K-3 of Schedule F - Wholesale Exposure IPRE. In column H, the total dollar volume of expected credt loss s derved from cell L-3 of Schedule F - Wholesale Exposure IPRE. 5 Hgh-Volatlty Commercal Real Estate (HVCRE) In column A, the weghted average probablty of default s derved from cell A-3 of Schedule G - Wholesale Exposure HVCRE. In column B, the total balance sheet amount s derved from cell C-3 of Schedule G - Wholesale Exposure HVCRE. In column C, the total dollar volume of undrawn exposures s derved from cell D-3 of Schedule G - Wholesale Exposure HVCRE. In column D, the total dollar volume of exposure at default s derved from cell E-3 of Schedule G - Wholesale Exposure HVCRE. In column E, the weghted average effectve maturty n years s derved from cell F-3 of Schedule G - Wholesale Exposure HVCRE. In column F, the weghted average loss gven default s derved from cell H-3 of Schedule G - Wholesale Exposures HVCRE. In column G, the total amount of rsk weghted assets s derved from cell K-3 of Schedule G - Wholesale Exposure HVCRE. In column H, the total dollar volume of expected credt loss s derved from cell L-3 of Schedule G - Wholesale Exposure HVCRE. 6 Elgble Margn Loans, Repo-Style Transactons and OTC Dervatves Wth Cross- Product Nettng EAD Adjustment Method In column A, the weghted average probablty of default s derved from cell A-4 of Schedule H - Wholesale Exposure Elgble margn loans, repo-style transactons and OTC Dervatves wth Cross Product Nettng. FFIEC 0 B-3 SCHEDULE B (9-0)

27 FFIEC 0 SCHEDULE B In column D, the total dollar volume of exposure at default s derved from cell C-4 of Schedule H - Wholesale Exposure Elgble margn loans, repo-style transactons and OTC Dervatves wth Cross Product Nettng. In column E, the weghted average effectve maturty n years s derved from cell B-4 of Schedule H - Wholesale Exposure Elgble margn loans, repo-style transactons and OTC Dervatves wth Cross Product Nettng. In column F, the weghted average loss gven default s derved from cell D-4 of Schedule H - Wholesale Exposures Elgble margn loans, repo-style transactons and OTC Dervatves wth Cross Product Nettng. In column G, the total amount of rsk weghted assets s derved from cell E-4 of Schedule H - Wholesale Exposure Elgble margn loans, repo-style transactons and OTC Dervatves wth Cross Product Nettng. In column H, the total dollar volume of expected credt loss s derved from cell F-4 of Schedule H - Wholesale Exposure Elgble margn loans, repo-style transactons and OTC Dervatves wth Cross Product Nettng. 7 Elgble Margn Loans, Repo-Style Transactons and OTC Dervatves Wth Cross- Product Nettng Collateral Reflected n LGD In column A, the weghted average probablty of default s derved from cell G-4 of Schedule H - Wholesale Exposure Elgble margn loans, repo-style transactons and OTC Dervatves wth Cross Product Nettng. In column D, the total dollar volume of exposure at default s derved from cell I-4 of Schedule H - Wholesale Exposure Elgble margn loans, repo-style transactons and OTC Dervatves wth Cross Product Nettng. In column E, the weghted average effectve maturty n years s derved from cell H-4 of Schedule H - Wholesale Exposure Elgble margn loans, repo-style transactons and OTC Dervatves wth Cross Product Nettng. In column F, the weghted average loss gven default s derved from cell J-4 of Schedule H - Wholesale Exposures Elgble margn loans, repo-style transactons and OTC Dervatves wth Cross Product Nettng. In column G, the total amount of rsk weghted assets s derved from cell K-4 of Schedule H - Wholesale Exposure Elgble margn loans, repo-style transactons and OTC Dervatves wth Cross Product Nettng. In column H, the total dollar volume of expected credt loss s derved from cell L-4 of Schedule H - Wholesale Exposure Elgble margn loans, repo-style transactons and OTC Dervatves wth Cross Product Nettng. 8 Elgble Margn Loans, Repo-Style Transactons -- No Cross-Product Nettng EAD Adjustment Method FFIEC 0 B-4 SCHEDULE B (9-0)

28 FFIEC 0 SCHEDULE B In column A, the weghted average probablty of default s derved from cell A-4 of Schedule I - Wholesale Exposure Elgble margn loans, repo-style transactons - No Cross Product Nettng. In column D, the total dollar volume of exposure at default s derved from cell C-4 of Schedule I - Wholesale Exposure Elgble margn loans, repo-style transactons - No Cross Product Nettng. In column E, the weghted average effectve maturty n years s derved from cell B-4 of Schedule I - Wholesale Exposure Elgble margn loans, repo-style transactons - No Cross Product Nettng. In column F, the weghted average loss gven default s derved from cell D-4 of Schedule I - Wholesale Exposures Elgble margn loans, repo-style transactons - No Cross Product Nettng. In column G, the total amount of rsk weghted assets s derved from cell E-4 of Schedule I - Wholesale Exposure Elgble margn loans, repo-style transactons - No Cross Product Nettng. In column H, the total dollar volume of expected credt loss s derved from cell F-4 of Schedule I - Wholesale Exposure Elgble margn loans, repo-style transactons - No Cross Product Nettng. 9 Elgble Margn Loans, Repo-Style Transactons -- No Cross-Product Nettng Collateral Reflected n LGD In column A, the weghted average probablty of default s derved from cell G-4 of Schedule I - Wholesale Exposure Elgble margn loans, repo-style transactons - No Cross Product Nettng. In column D, the total dollar volume of exposure at default s derved from cell I-4 of Schedule I - Wholesale Exposure Elgble margn loans, repo-style transactons - No Cross Product Nettng. In column E, the weghted average effectve maturty n years s derved from cell H-4 of Schedule I - Wholesale Exposure Elgble margn loans, repo-style transactons - No Cross Product Nettng. In column F, the weghted average loss gven default s derved from cell J-4 of Schedule I - Wholesale Exposures Elgble margn loans, repo-style transactons - No Cross Product Nettng. In column G, the total amount of rsk weghted assets s derved from cell K-4 of Schedule I - Wholesale Exposure Elgble margn loans, repo-style transactons - No Cross Product Nettng. In column H, the total dollar volume of expected credt loss s derved from cell L-4 of Schedule I - Wholesale Exposure Elgble margn loans, repo-style transactons - No Cross Product Nettng. FFIEC 0 B-5 SCHEDULE B (9-0)

29 FFIEC 0 SCHEDULE B 0 OTC Dervatves No Cross-Product Nettng EAD Adjustment Method In column A, the weghted average probablty of default s derved from cell A-3 of Schedule J - Wholesale Exposure OTC Dervatves - No Cross Product Nettng. In column D, the total dollar volume of exposure at default s derved from cell C-3 of Schedule J - Wholesale Exposure OTC Dervatves - No Cross Product Nettng. In column E, the weghted average effectve maturty n years s derved from cell B-3 of Schedule J - Wholesale Exposure OTC Dervatves - No Cross Product Nettng. In column F, the weghted average loss gven default s derved from cell D-3 of Schedule J - Wholesale Exposures OTC Dervatves - No Cross Product Nettng. In column G, the total amount of rsk weghted assets s derved from cell E-3 of Schedule J - Wholesale Exposure OTC Dervatves - No Cross Product Nettng. In column H, the total dollar volume of expected credt loss s derved from cell F-3 of Schedule J - Wholesale Exposure OTC Dervatves - No Cross Product Nettng. OTC Dervatves No Cross-Product Nettng Collateral Reflected n LGD Retal Exposures In column A, the weghted average probablty of default s derved from cell G-3 of Schedule J - Wholesale Exposure OTC Dervatves - No Cross Product Nettng. In column D, the total dollar volume of exposure at default s derved from cell I-3 of Schedule J - Wholesale Exposure OTC Dervatves - No Cross Product Nettng. In column E, the weghted average effectve maturty n years s derved from cell H-3 of Schedule J - Wholesale Exposure OTC Dervatves - No Cross Product Nettng. In column F, the weghted average loss gven default s derved from cell J-3 of Schedule J - Wholesale Exposures OTC Dervatves - No Cross Product Nettng. In column G, the total amount of rsk weghted assets s derved from cell K-3 of Schedule J - Wholesale Exposure OTC Dervatves - No Cross Product Nettng. In column H, the total dollar volume of expected credt loss s derved from cell L-3 of Schedule J - Wholesale Exposure OTC Dervatves - No Cross Product Nettng. 2 Resdental Mortgage Closed-end Frst Len Exposures In column A, the weghted average probablty of default s derved from cell A-6 of Schedule K - Retal Exposure Resdental Mortgage Closed-end Frst Len Exposures. In column B, the total balance sheet amount s derved from cell C-6 of Schedule K - Retal Exposure Resdental Mortgage Closed-end Frst Len Exposures. FFIEC 0 B-6 SCHEDULE B (9-0)

30 FFIEC 0 SCHEDULE B In column C, the total dollar volume of undrawn exposures s derved from cell D-6 of Schedule K - Retal Exposure Resdental Mortgage Closed-end Frst Len Exposures. In column D, the total dollar volume of exposure at default s derved from cell E-6 of Schedule K - Retal Exposure Resdental Mortgage Closed-end Frst Len Exposures. In column F, the weghted average loss gven default s derved from cell G-6 of Schedule K - Retal Exposure Resdental Mortgage Closed-end Frst Len Exposures. In column G, the total amount of rsk weghted assets s derved from cell H-6 of Schedule K - Retal Exposure Resdental Mortgage Closed-end Frst Len Exposures. In column H, the total dollar volume of expected credt loss s derved from cell I-6 of Schedule K - Retal Exposure Resdental Mortgage Closed-end Frst Len Exposures. 3 Resdental Mortgage Closed-end Junor Len Exposures In column A, the weghted average probablty of default s derved from cell A-6 of Schedule L - Retal Exposure Resdental Mortgage Closed-end Junor Len Exposures. In column B, the total balance sheet amount s derved from cell C-6 of Schedule L - Retal Exposure Resdental Mortgage Closed-end Junor Len Exposures. In column C, the total dollar volume of undrawn exposures s derved from cell D-6 of Schedule L - Retal Exposure Resdental Mortgage Closed-end Junor Len Exposures. In column D, the total dollar volume of exposure at default s derved from cell E-6 of Schedule L - Retal Exposure Resdental Mortgage Closed-end Junor Len Exposures. In column F, the weghted average loss gven default s derved from cell G-6 of Schedule L - Retal Exposure Resdental Mortgage Closed-end Junor Len Exposures. In column G, the total amount of rsk weghted assets s derved from cell H-6 of Schedule L - Retal Exposure Resdental Mortgage Closed-end Junor Len Exposures. In column H, the total dollar volume of expected credt loss s derved from cell I-6 of Schedule L - Retal Exposure Resdental Mortgage Closed-end Junor Len Exposures. 4 Resdental Mortgage Revolvng Exposures In column A, the weghted average probablty of default s derved from cell A-6 of Schedule M - Retal Exposure Resdental Mortgage Revolvng Exposures. FFIEC 0 B-7 SCHEDULE B (9-0)

31 FFIEC 0 SCHEDULE B In column B, the total balance sheet amount s derved from cell C-6 of Schedule M - Retal Exposure Resdental Mortgage Revolvng Exposures. In column C, the total dollar volume of undrawn exposures s derved from cell D-6 of Schedule M - Retal Exposure Resdental Mortgage Revolvng Exposures. In column D, the total dollar volume of exposure at default s derved from cell E-6 of Schedule M - Retal Exposure Resdental Mortgage Revolvng Exposures. In column F, the weghted average loss gven default s derved from cell G-6 of Schedule M - Retal Exposure Resdental Mortgage Revolvng Exposures. In column G, the total amount of rsk weghted assets s derved from cell H-6 of Schedule M - Retal Exposure Resdental Mortgage Revolvng Exposures. In column H, the total dollar volume of expected credt loss s derved from cell I-6 of Schedule M - Retal Exposure Resdental Mortgage Revolvng Exposures. 5 Qualfyng Revolvng Exposures In column A, the weghted average probablty of default s derved from cell A-6 of Schedule N - Retal Exposure Qualfyng Revolvng Exposures. In column B, the total balance sheet amount s derved from cell C-6 of Schedule N - Retal Exposure Qualfyng Revolvng Exposures. In column C, the total dollar volume of undrawn exposures s derved from cell D-6 of Schedule N - Retal Exposure Qualfyng Revolvng Exposures. In column D, the total dollar volume of exposure at default s derved from cell E-6 of Schedule N - Retal Exposure Qualfyng Revolvng Exposures. In column F, the weghted average loss gven default s derved from cell G-6 of Schedule N -Retal Exposure Qualfyng Revolvng Exposures. In column G, the total amount of rsk weghted assets s derved from cell H-6 of Schedule N - Retal Exposure Qualfyng Revolvng Exposures. In column H, the total dollar volume of expected credt loss s derved from cell I-6 of Schedule N - Retal Exposure Qualfyng Revolvng Exposures. 6 Other Retal Exposures In column A, the weghted average probablty of default s derved from cell A-6 of Schedule O - Retal Exposure Other Retal Exposures. In column B, the total balance sheet amount s derved from cell C-6 of Schedule O - Retal Exposure Other Retal Exposures. FFIEC 0 B-8 SCHEDULE B (9-0)

32 FFIEC 0 SCHEDULE B Securtzaton Exposures In column C, the total dollar volume of undrawn exposures s derved from cell D-6 of Schedule O - Retal Exposure Other Retal Exposures. In column D, the total dollar volume of exposure at default s derved from cell E-6 of Schedule O - Retal Exposure Other Retal Exposures. In column F, the weghted average loss gven default s derved from cell G-6 of Schedule O - Retal Exposure Other Retal Exposures. In column G, the total amount of rsk weghted assets s derved from cell H-6 of Schedule O - Retal Exposure Other Retal Exposures. In column H, the total dollar volume of expected credt loss s derved from cell I-6 of Schedule O - Retal Exposure Other Retal Exposures. 7 Subject to Ratngs-based Approach In column B, the total amount of securtzaton exposures subject to the Ratngs-based Approach s derved from cell A-5 of Schedule P Securtzaton Exposures Subject to the Ratngs-based or Internal Assessment Approaches. In column G, report the total amount of rsk weghted assets of securtzaton exposures subject to the Ratngs-based Approach. 8 Subject to Internal Assessment Approach In column B, the total amount of securtzaton exposures subject to the Internal Assessment Approach s derved from cell B-5 of Schedule P Securtzaton Exposures Subject to the Ratngs-based or Internal Assessment Approaches. In column G, report the total amount of rsk weghted assets of securtzaton exposures subject to the Internal Assessment Approach. Note that the sum of G-7 and G-8 of ths schedule should equal the amount reported n cell C-5 of Schedule P Securtzaton Exposures Subject to the Ratngs-based or Internal Assessment Approaches. 9 Subject to the Supervsory Formula Approach In column B, the total amount of securtzaton exposures subject to the Supervsory Formula Approach s derved from cell A-3 of Schedule Q Securtzaton Detal Schedule. In column G, the total amount of rsk weghted assets of securtzaton exposures outstandng subject to the Supervsory Formula Approach s derved from cell B-3 of Schedule Q Securtzaton Detal Schedule. 20 Investors Interest n Securtzatons FFIEC 0 B-9 SCHEDULE B (9-0)

33 FFIEC 0 SCHEDULE B Equty Exposures In column G, the total amount of rsk weghted assets for nvestors nterest n securtzatons s derved. Ths amount should equal the sum of cells B-5 and B-6 of Schedule Q Securtzaton Detal Schedule. 2 Smple Rsk Weght Method (SRWA): In column G, the total amount of rsk weghted assets for equty exposures subject to the SRWA plus nvestment funds s derved from cell B-6 of Schedule R Equty Exposures. Complete only f the SRWA s used. 22 Full Internal Models Approach (IMA): In column G, the total amount of rsk weghted assets for equty exposures s derved from cell B-22 of Schedule R Equty Exposures. Complete only f the bank uses nternal models to estmate potental losses for both publcly traded and non-publcly traded equty exposures. 23 Partal IMA, Partal SRWA: In column G, the total amount of rsk weghted assets for equty exposures s derved from cell B-26 of Schedule R Equty Exposures. Complete only f the bank uses nternal models to estmate potental losses only for publcly traded equty exposures. 24 Unsettled Transactons In column B, report the balance sheet amount of unsettled transactons. In column G, report the total amount of rsk weghted assets of unsettled transactons, as determned by secton 35 of the advanced approaches rules. 25 Assets Not Included n a Defned Exposure Category In column B, report the balance sheet amount of assets not defned n an exposure category, as descrbed n paragraph (e)(3) of secton 3 of the advanced approaches rules. In column G, report the total amount of rsk weghted assets for assets not defned n an exposure category, as determned by paragraph (e)(3) of secton 3 of the advanced approaches rules. 26 Non-materal Portfolos of Exposures In column B, report the balance sheet amount of assets n non-materal portfolos of exposures as descrbed n paragraph (e)(4) of secton 3 of the advanced approaches rules. In column G, report the total amount of rsk weghted assets for non-materal portfolos of exposures as determned by paragraph (e)(4) of secton 3 of the advanced approaches rules, of non-materal exposures. 27 Sum of Column G: In column G, report the sum of G- through G Total Credt Rsk Weghted Assets: In column G, report the product of G-27 and.06. FFIEC 0 B-0 SCHEDULE B (9-0)

34 FFIEC 0 SCHEDULE B 29 Assets Subject to the General Rsk-Based Captal Requrements: In column G, report rsk-weghted assets subject to the merger and acquston transtonal arrangements as descrbed n secton 24 of the advanced approaches rules. 30 Excess Elgble Credt Reserves Not Included n Ter 2 Captal: In column G, report excess elgble credt reserves not ncluded n ter 2 captal, consstent wth paragraph (a)(2) of secton 3 of the advanced approaches rules. 3 Market Rsk Equvalent Assets: In column G, report total Market Rsk Equvalent Assets. 32 Operatonal Rsk: In column G, the amount of rsk-weghted assets for operatonal rsk s derved from the product of lne of Schedule S - Operatonal Rsk and Total: In column G, report the sum of cells G-28, G-29, G-3, and G-32 mnus cell G-30 above. FFIEC 0 B- SCHEDULE B (9-0)

35 FFIEC 0 SCHEDULES C-G Schedules C through G Wholesale Exposures General Instructons Defntons. Apply the defntons provded n the advanced approaches rules for the followng terms: () probablty of default (PD); (2) loss gven default (LGD); (3) exposure at default (EAD); (4) effectve maturty (M); (5) expected credt loss (ECL); (6) guarantee; (7) credt dervatves; (8) oblgor; (9) credt rsk mtgant; (0) elgble margn loan; () elgble purchased wholesale exposure; (2) hgh volatlty commercal real estate (HVCRE); (3) multlateral development bank; (4) oblgor; (5) repo-style transacton; (6) soveregn exposure; and (7) wholesale exposure. The PD substtuton approach and the LGD adjustment approach are descrbed n secton 33 of the advanced approaches rules. The double default treatment s descrbed n secton 34 of the advanced approaches rules. Weghted Averages. Weghted average oblgor PD as used n ths secton s calculated by: () determnng the oblgors and ther exposures that fall wthn each of the PD ranges ndcated, (2) multplyng each oblgor s PD by ts total EAD, (3) summng the products from step (2) for all exposures wthn each PD range, and (4) dvdng the summed products from step (3) by the sum of the EADs of all exposures n the same PD range. Weghted Average LGD wthout effects of guarantees and credt dervatves, but wth effect of collateral as used n ths secton s calculated by: () determnng the oblgors and ther exposures that fall wthn each of the PD ranges ndcated, (2) multplyng each exposure s LGD before consderng effects of guarantees and credt dervatves, but after consderng collateral by ts EAD, (3) summng the products from step (2) for all exposures wthn each PD range, and (4) dvdng the summed products from step (3) by the sum of the EADs of all exposures n the same PD range. Weghted average LGD wth effects of guarantees, credt dervatves and collateral as used n ths secton s calculated by: () determnng the oblgors and ther exposures that fall wthn each of the PD ranges ndcated, (2) multplyng each exposure s LGD wth effects of credt rsk mtgants (guarantees, credt dervatves and collateral) by ts EAD, (3) summng the products from step (2) for all exposures wthn each PD range, and (4) dvdng the summed products from step (3) by the sum of the EADs of all exposures n the same PD range. Weghted average M as used n ths secton s calculated by: () determnng the oblgors and ther exposures that fall wthn each of the PD ranges ndcated, (2) multplyng each exposure s estmated M by ts EAD, (3) summng the products from step (2) for all exposures wthn each PD range, and (4) dvdng the summed products from step (3) by the sum of the EADs of all exposures n the same PD range. Exposure Categorzaton. The underlyng oblgor should be used as the bass for determnng on whch wholesale schedule to report an exposure. If the bank does not assgn an oblgor PD, then the bank should use the guarantor as the bass for determnng on whch schedule to report an exposure. The bank should also use the guarantor PD as the bass for assgnng the exposure to the approprate supervsory PD band. Treatment of Elgble Purchased Wholesale Exposures. Consstent wth paragraph (d)(4) of secton 3 of the advanced approaches rules, reportng of elgble purchased wholesale exposures should be based on segment-level rsk estmates for PD, LGD, EAD, M, and ECL. FFIEC 0 C-G - SCHEDULES C-G (9-0)

36 FFIEC 0 SCHEDULES C-G Schedule C Wholesale Exposures - Corporate Report all Wholesale Exposures Corporate, whch nclude all wholesale exposures as defned n the advanced approaches rules, except those whch are to be specfcally ncluded n the Wholesale Exposures Bank (Schedule D), Wholesale Exposures Soveregn (Schedule E), Wholesale Exposures Income Producng Real Estate (Schedule F), Wholesale Exposures Hgh Volatlty Commercal Real Estate (Schedule G), or Wholesale Exposures Elgble Margn Loans, Repo-Style Transactons, or OTC Dervatves schedules (Schedules H through I). Include n ths schedule government-related enttes whose exposures do not have the full fath and credt support of a soveregn such as the Federal Home Loan Bank or the Federal Agrcultural Mortgage Corporaton. Item No. Instructons -2 In column A, report the weghted average oblgor PD of exposures categorzed as wholesale corporate where the oblgor PD falls wthn the ndcated PD range. Cell A-2 equals 00. In column B, report the total number of oblgors ncluded n ths row for column A. In column C, report the total balance sheet amount of exposures ncluded n ths row for column A. Do not report any undrawn amounts n ths column. In column D, report the total dollar value of avalable but undrawn balance of exposures (for example, from loan commtments, lnes of credt, trade-related letters of credt, or transacton-related contngences) ncluded n ths row for column A. In column E, report the total EAD of exposures ncluded n ths row for column A. In column F, report the weghted average M n years of exposures ncluded n ths row for column A. In column G, report the weghted average LGD of exposures ncluded n ths row for column A. In estmatng LGD, nclude the effects of collateral but not the effects of guarantees or credt dervatves. In column H, report the weghted average LGD of exposures ncluded n ths row for column A. In estmatng LGD, nclude the effects of credt rsk mtgants (guarantees, credt dervatves and collateral). In column I, report the estmated beneft arsng from the applcaton of the PD substtuton approach or the LGD adjustment approach to exposures ncluded n ths row, expressed n terms of a reducton n rsk-weghted assets n dollars but only n cases where rsk s mtgated through the use of elgble credt dervatves. The estmate can be derved by deductng the aggregated rsk-weghted assets that would have resulted from the applcaton of the IRB Wholesale rsk-weght formula to all underlyng oblgatons contaned n ths row f the PD Substtuton approach and LGD Adjustment approach had not been appled from the amount n column K of ths row (ths resultng amount would normally be negatve). No estmate s requred n cases where rsk s mtgated through the use of elgble guarantees. FFIEC 0 C-G - 2 SCHEDULES C-G (9-0)

37 FFIEC 0 SCHEDULES C-G In column J, report the estmated beneft arsng from the applcaton of the double default treatment to exposures ncluded n ths row, expressed n terms of a reducton n rsk-weghted assets n dollars. The estmate can be derved by deductng the aggregated rsk-weghted assets that would have resulted from the applcaton of the IRB Wholesale rsk-weght formula to all underlyng oblgatons contaned n ths row as f double default treatment had not been appled from the amount n column K of ths row (ths resultng amount would normally be negatve). The estmate should reflect only credt rsk mtgaton benefts derved from the applcaton of the double default treatment. In column K, report the total rsk weghted assets assocated wth all exposures ncluded n ths row for column A - after any credt rsk mtgaton adjustments ncludng applcaton of double default treatment. In column L, report the dollar amount of ECL for exposures ncluded n ths row for column A. 3 In column A, the EAD-weghted average PD (WAPD) n percentage terms s calculated as follows: WAPD (%) 2 2 A E E where A and E are the weghted average PD (%) and EAD ($) reported n columns A and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. Note that A 2 equals 00. In column F, the EAD-weghted average effectve maturty (WAEM) n years s calculated as follows: WAEM ( Years) 2 2 F E E where F and E are the weghted average effectve maturty (years) and EAD ($) reported n columns F and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In column G, the EAD-weghted average LGD before consderaton of elgble guarantees and credt dervatves (WALGD_Pre) n percentage terms s calculated as follows: WALGD _ Pr e(%) 2 2 G E E FFIEC 0 C-G - 3 SCHEDULES C-G (9-0)

38 FFIEC 0 SCHEDULES C-G where G and E are the weghted average LGD before consderaton of elgble guarantees and credt dervatves (%) and EAD ($) reported n columns G and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In column H, the EAD-weghted average LGD after consderaton of consderaton of credt rsk mtgants (WALGD_Post) n percentage terms s calculated as follows: WALGD _ Post(%) 2 2 H E E where H and E are the LGD after consderaton of credt rsk mtgants (%) and EAD ($) reported n columns H and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In columns B, C, D, E, I, J, K, and L, the sums are calculated as the total of amounts reported n tem numbers through 2 of ths schedule for each of these respectve columns. 4 Report the rsk weghted assets of non-materal portfolos reportable n ths schedule, but not ncluded n the cells above. Schedule D Wholesale Exposures - Bank Report all Wholesale Exposures - Bank. For ths schedule, Bank ncludes the followng enttes: () banks and depostory nsttutons as defned n the Glossary of the Reports of Condton and Income under the followng headngs: Banks, U.S. and Foregn; and Depostory Insttutons n the U.S.; (2) securtes frms; and (3) mult-lateral development banks that do not have full fath and credt backng of soveregn enttes. Item No. Instructons -2 In column A, report the weghted average oblgor PD of exposures categorzed as wholesale bank where the oblgor PD falls wthn the ndcated PD range. Cell A-2 equals 00. In column B, report the total number of oblgors ncluded n ths row for column A. In column C, report the total balance sheet amount of exposures ncluded n ths row for column A. Do not report any undrawn amounts n ths column. In column D, report the total dollar value of avalable but undrawn balance of exposures (for example, from loan commtments, lnes of credt, trade-related letters of credt, or transacton-related contngences) ncluded n ths row for column A. In column E, report the total EAD of exposures ncluded n ths row for column A. FFIEC 0 C-G - 4 SCHEDULES C-G (9-0)

39 FFIEC 0 SCHEDULES C-G In column F, report the weghted average M n years of exposures ncluded n ths row for column A. In column G, report the weghted average LGD of exposures ncluded n ths row for column A. In estmatng LGD, nclude the effects of collateral but not the effects of guarantees or credt dervatves. In column H, report the weghted average LGD of exposures ncluded n ths row for column A. In estmatng LGD, nclude the effects of credt rsk mtgants (guarantees, credt dervatves, and collateral). In column I, report the estmated beneft arsng from the applcaton of the PD substtuton approach or the LGD adjustment approach to exposures ncluded n ths row, expressed n terms of a reducton n rsk-weghted assets n dollars but only n cases where rsk s mtgated through the use of elgble credt dervatves. The estmate can be derved by deductng the aggregated rsk-weghted assets that would have resulted from the applcaton of the IRB Wholesale rsk-weght formula to all underlyng oblgatons contaned n ths row f the PD Substtuton approach and LGD Adjustment approach had not been appled from the amount n column J of ths row (ths resultng amount would normally be negatve). No estmate s requred n cases where rsk s mtgated through the use of elgble guarantees. In column J, report the total rsk weghted assets assocated wth all exposures ncluded n ths row for column A - after any credt rsk mtgaton adjustments. In column K, report the dollar amount of ECL for exposures ncluded n ths row for column A. 3 In column A, the EAD-weghted average PD (WAPD) n percentage terms s calculated as follows: WAPD (%) 2 2 A E E where A and E are the weghted average PD (%) and EAD ($) reported n columns A and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. Note that A 2 equals 00. In column F, the EAD-weghted average effectve maturty (WAEM) n years s calculated as follows: WAEM ( Years) 2 2 F E E FFIEC 0 C-G - 5 SCHEDULES C-G (9-0)

40 FFIEC 0 SCHEDULES C-G where F and E are the weghted average effectve maturty (years) and EAD ($) reported n columns F and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In column G, the EAD-weghted average LGD before consderaton of elgble guarantees and credt dervatves (WALGD_Pre) n percentage terms s calculated as follows: WALGD _ Pr e(%) 2 2 G E E where G and E are the weghted average LGD before consderaton of elgble guarantees and credt dervatves (%) and EAD ($) reported n columns G and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In column H, the EAD-weghted average LGD after consderaton of consderaton of credt rsk mtgants (WALGD_Post) n percentage terms s calculated as follows: WALGD _ Post(%) 2 H 2 E E where H and E are the LGD after consderaton of credt rsk mtgants (%) and EAD ($) reported n columns H and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In columns B, C, D, E, I, J, and K, the sums are calculated as the total of amounts reported n tem numbers through 2 of ths schedule for each of these respectve columns. 4 Report the rsk weghted assets of non-materal portfolos reportable n ths schedule, but not ncluded n the cells above. Schedule E Wholesale Exposures - Soveregn Report all Wholesale Exposures Soveregn (Soveregn exposures) Item No. Instructons -2 In column A, report the weghted average oblgor PD of exposures categorzed as wholesale soveregn where the oblgor PD falls wthn the ndcated PD range. Cell A-2 equals 00. In column B, report the total number of oblgors ncluded n ths row for column A. FFIEC 0 C-G - 6 SCHEDULES C-G (9-0)

41 FFIEC 0 SCHEDULES C-G In column C, report the total balance sheet amount of exposures ncluded n ths row for column A. Do not report any undrawn amounts n ths column. In column D, report the total dollar value of avalable but undrawn balance of exposures (for example, from loan commtments, lnes of credt, trade-related letters of credt, or transacton-related contngences) ncluded n ths row for column A. In column E, report the total EAD of exposures ncluded n ths row for column A. In column F, report the weghted average M n years of exposures ncluded n ths row for column A. In column G, report the weghted average LGD of exposures ncluded n ths row for column A. In estmatng LGD, nclude the effects of collateral but not the effects of guarantees or credt dervatves. In column H, report the weghted average LGD of exposures ncluded n ths row for column A. In estmatng LGD, nclude the effects of credt rsk mtgants (guarantees, credt dervatves, and collateral). In column I, report the estmated beneft arsng from the applcaton of the PD substtuton approach or the LGD adjustment approach to exposures ncluded n ths row, expressed n terms of a reducton n rsk-weghted assets n dollars but only n cases where rsk s mtgated through the use of elgble credt dervatves. The estmate can be derved by deductng the aggregated rsk-weghted assets that would have resulted from the applcaton of the IRB Wholesale rsk-weght formula to all underlyng oblgatons contaned n ths row f the PD Substtuton approach and LGD Adjustment approach had not been appled from the amount n column J of ths row (ths resultng amount would normally be negatve). No estmate s requred n cases where rsk s mtgated through the use of elgble guarantees. In column J, report the total rsk weghted assets assocated wth all exposures ncluded n ths row for column A - after any credt rsk mtgaton adjustments. In column K, report the dollar amount of ECL for exposures ncluded n ths row for column A. 3 In column A, the EAD-weghted average PD (WAPD) n percentage terms s calculated as follows: WAPD (%) 2 2 A E E where A and E are the weghted average PD (%) and EAD ($) reported n columns A and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. Note that A 2 equals 00. FFIEC 0 C-G - 7 SCHEDULES C-G (9-0)

42 FFIEC 0 SCHEDULES C-G In column F, the EAD-weghted average effectve maturty (WAEM) n years s calculated as follows: WAEM ( Years) 2 2 F E E where F and E are the weghted average effectve maturty (years) and EAD ($) reported n columns F and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In column G, the EAD-weghted average LGD before consderaton of elgble guarantees and credt dervatves (WALGD_Pre) n percentage terms s calculated as follows: WALGD _ Pr e(%) 2 2 G E E where G and E are the weghted average LGD before consderaton of elgble guarantees and credt dervatves (%) and EAD ($) reported n columns G and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In column H, the EAD-weghted average LGD after consderaton of consderaton of credt rsk mtgants (WALGD_Post) n percentage terms s calculated as follows: WALGD _ Post(%) 2 H 2 E E where H and E are the LGD after consderaton of credt rsk mtgants (%) and EAD ($) reported n columns H and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In columns B, C, D, E, I, J, and K, the sums are calculated as the total of amounts reported n tem numbers through 2 of ths schedule for each of these respectve columns. 4 Report the rsk weghted assets of non-materal portfolos reportable n ths schedule, but not ncluded n the cells above. Schedule F Wholesale Exposures Income-Producng Real Estate (IPRE) IPRE ncludes exposures that fnance the acquston, development, or constructon (ADC) of one-to-four famly resdental propertes, or commercal real estate projects that are not defned as HVCRE as well as permanent fnancng of commercal real estate and apartment buldngs. FFIEC 0 C-G - 8 SCHEDULES C-G (9-0)

43 FFIEC 0 SCHEDULES C-G Item No. Instructons -2 In column A, report the weghted average oblgor PD of exposures categorzed as wholesale IPRE where the oblgor PD falls wthn the ndcated PD range. Cell A-2 equals 00. In column B, report the total number of oblgors ncluded n ths row for column A. In column C, report the total balance sheet amount of exposures ncluded n ths row for column A. Do not report any undrawn amounts n ths column. In column D, report the total dollar value of avalable but undrawn balance of exposures (for example, from loan commtments, lnes of credt, trade-related letters of credt, or transacton-related contngences) ncluded n ths row for column A. In column E, report the total EAD of exposures ncluded n ths row for column A. In column F, report the weghted average M n years of exposures ncluded n ths row for column A. In column G, report the weghted average LGD of exposures ncluded n ths row for column A. In estmatng LGD, nclude the effects of collateral but not the effects of guarantees or credt dervatves. In column H, report the weghted average LGD of exposures ncluded n ths row for column A. In estmatng LGD, nclude the effects of credt rsk mtgants (guarantees, credt dervatves and collateral). In column I, report the estmated beneft arsng from the applcaton of the PD substtuton approach or the LGD adjustment approach to exposures ncluded n ths row, expressed n terms of a reducton n rsk-weghted assets n dollars but only n cases where rsk s mtgated through the use of elgble credt dervatves. The estmate can be derved by deductng the aggregated rsk-weghted assets that would have resulted from the applcaton of the IRB Wholesale rsk-weght formula to all underlyng oblgatons contaned n ths row f the PD Substtuton approach and LGD Adjustment approach had not been appled from the amount n column K of ths row (ths resultng amount would normally be negatve). No estmate s requred n cases where rsk s mtgated through the use of elgble guarantees. In column J, report the estmated beneft arsng from the applcaton of the double default treatment to exposures ncluded n ths row, expressed n terms of a reducton n rsk-weghted assets n dollars. The estmate can be derved by deductng the aggregated rsk-weghted assets that would have resulted from the applcaton of the IRB Wholesale rsk-weght formula to all underlyng oblgatons contaned n ths row as f double default treatment had not been appled from the amount n column K of ths row (ths resultng amount would normally be negatve). The estmate should reflect only credt rsk mtgaton benefts derved from the applcaton of the double default treatment. FFIEC 0 C-G - 9 SCHEDULES C-G (9-0)

44 FFIEC 0 SCHEDULES C-G In column K, report the total rsk weghted assets assocated wth all exposures ncluded n ths row for column A - after any credt rsk mtgaton adjustments ncludng applcaton of double default treatment. In column L, report the dollar amount of ECL for exposures ncluded n ths row for column A. 3 In column A, the EAD-weghted average PD (WAPD) n percentage terms s calculated as follows: WAPD (%) 2 2 A E E where A and E are the weghted average PD (%) and EAD ($) reported n columns A and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. Note that A 2 equals 00. In column F, the EAD-weghted average effectve maturty (WAEM) n years s calculated as follows: WAEM ( Years) 2 2 F E E where F and E are the weghted average effectve maturty (years) and EAD ($) reported n columns F and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In column G, the EAD-weghted average LGD before consderaton of elgble guarantees and credt dervatves (WALGD_Pre) n percentage terms calculated as follows: WALGD _ Pr e(%) 2 2 G E E where G and E are the weghted average LGD before consderaton of elgble guarantees and credt dervatves (%) and EAD ($) reported n columns G and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In column H, the EAD-weghted average LGD after consderaton of consderaton of credt rsk mtgants (WALGD_Post) n percentage terms s calculated as follows: FFIEC 0 C-G - 0 SCHEDULES C-G (9-0)

45 FFIEC 0 SCHEDULES C-G WALGD _ Post(%) 2 H 2 E E where H and E are the LGD after consderaton of credt rsk mtgants (%) and EAD ($) reported n columns H and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In columns B, C, D, E, I, J, K, and L, the sums are calculated as the total of amounts reported n tem numbers through 2 of ths schedule for each of these respectve columns. 4 Report the rsk weghted assets of non-materal portfolos reportable n ths schedule, but not ncluded n the cells above. Schedule G Wholesale Exposures Hgh Volatlty Commercal Real Estate (HVCRE) Report all Wholesale Exposures Hgh Volatlty Commercal Real Estate (HVCRE) Item No. Instructons -2 In column A, report the weghted average oblgor PD of exposures categorzed as wholesale HVCRE where the oblgor PD falls wthn the ndcated PD range. Cell A-2 equals 00. In column B, report the total number of oblgors ncluded n ths row for column A. In column C, report the total balance sheet amount of exposures ncluded n ths row for column A. Do not report any undrawn amounts n ths column. In column D, report the total dollar value of avalable but undrawn balance of exposures (for example, from loan commtments, lnes of credt, trade-related letters of credt, or transacton-related contngences) ncluded n ths row for column A. In column E, report the total EAD of exposures ncluded n ths row for column A. In column F, report the weghted average M n years of exposures ncluded n ths row for column A. In column G, report the weghted average LGD of exposures ncluded n ths row for column A. In estmatng LGD, nclude the effects of collateral but not the effects of guarantees or credt dervatves. In column H, report the weghted average LGD of exposures ncluded n ths row for column A. In estmatng LGD, nclude the effects of credt rsk mtgants (guarantees, credt dervatves and collateral). FFIEC 0 C-G - SCHEDULES C-G (9-0)

46 FFIEC 0 SCHEDULES C-G In column I, report the estmated beneft arsng from the applcaton of the PD substtuton approach or the LGD adjustment approach to exposures ncluded n ths row, expressed n terms of a reducton n rsk-weghted assets n dollars but only n cases where rsk s mtgated through the use of elgble credt dervatves. The estmate can be derved by deductng the aggregated rsk-weghted assets that would have resulted from the applcaton of the IRB Wholesale rsk-weght formula to all underlyng oblgatons contaned n ths row f the PD Substtuton approach and LGD Adjustment approach had not been appled from the amount n column K of ths row (ths resultng amount would normally be negatve). No estmate s requred n cases where rsk s mtgated through the use of elgble guarantees. In column J, report the estmated beneft arsng from the applcaton of the double default treatment to exposures ncluded n ths row, expressed n terms of a reducton n rsk-weghted assets n dollars. The estmate can be derved by deductng the aggregated rsk-weghted assets that would have resulted from the applcaton of the IRB Wholesale rsk-weght formula to all underlyng oblgatons contaned n ths row as f double default treatment had not been appled from the amount n column K of ths row (ths resultng amount would normally be negatve). The estmate should reflect only credt rsk mtgaton benefts derved from the applcaton of the double default treatment. In column K, report the total rsk weghted assets assocated wth all exposures ncluded n ths row for column A - after any credt rsk mtgaton adjustments ncludng applcaton of double default treatment. In column L, report the dollar amount of ECL for exposures ncluded n ths row for column A. 3 In column A, the EAD-weghted average PD (WAPD) n percentage terms s calculated as follows: WAPD (%) 2 2 A E E where A and E are the weghted average PD (%) and EAD ($) reported n columns A and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. Note that A 2 equals 00. In column F, the EAD-weghted average effectve maturty (WAEM) n years s calculated as follows: WAEM ( Years) 2 2 F E E where F and E are the weghted average effectve maturty (years) and EAD ($) reported n columns F and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. FFIEC 0 C-G - 2 SCHEDULES C-G (9-0)

47 FFIEC 0 SCHEDULES C-G In column G, the EAD-weghted average LGD before consderaton of elgble guarantees and credt dervatves (WALGD_Pre) n percentage terms s calculated as follows: WALGD _ Pr e(%) 2 2 G E E where G and E are the weghted average LGD before consderaton of elgble guarantees and credt dervatves (%) and EAD ($) reported n columns G and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In column H, the EAD-weghted average LGD after consderaton of consderaton of credt rsk mtgants (WALGD_Post) n percentage terms s calculated as follows: WALGD _ Post(%) 2 2 H E E where H and E are the LGD after consderaton of credt rsk mtgants (%) and EAD ($) reported n columns H and E, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In columns B, C, D, E, I, J, K, and L, the sums are calculated as the total of amounts reported n tem numbers through 2 of ths schedule for each of these respectve columns. 4 Report the rsk weghted assets of non-materal portfolos reportable n ths schedule, but not ncluded n the cells above. FFIEC 0 C-G - 3 SCHEDULES C-G (9-0)

48 FFIEC 0 SCHEDULES H-J Schedules H through J Wholesale Exposures - Elgble Margn Loans, Repo- Style Transactons, OTC Dervatves, and Combnatons of these Instruments Subject to Qualfyng Master Nettng Agreements General Instructons Defntons. Apply the defntons provded n the advanced approaches rules for the followng terms: () probablty of default (PD); (2) loss gven default (LGD); (3) exposure at default (EAD); (4) effectve maturty (M); (5) expected credt loss (ECL); (6) qualfyng cross-product master nettng agreement; (7) elgble margn loan; (8) oblgor; (9) OTC dervatve contract; (0) qualfyng master nettng agreement; () repo-style transacton; (2) Value-at-Rsk (VaR); (3) wholesale exposure; and (4) default. The EAD adjustment approaches are descrbed n secton 32(b)(2), secton 32(b)(3), and secton 32(d) of the advanced approaches rules. For these schedules, report all repo-style transactons, elgble margn loans, and OTC dervatves, ncludng those that are covered postons under the market rsk rule, except for credt dervatves and equty dervatve contracts for whch the bank does not compute a separate counterparty credt rsk captal requrement n accordance wth sectons 32(c)(3) and (4) of the advanced approaches rules. Weghted Averages. Weghted average oblgor PD as used n ths secton s generally calculated by: () determnng the oblgors and ther exposures that fall wthn each of the PD ranges ndcated, (2) multplyng each oblgor s PD by ts total EAD, (3) summng the products from step (2) for all exposures wthn each PD range, and (4) dvdng the summed products from step (3) by the sum of the EADs of all exposures n the same PD range. If the EAD for exposures wthn a gven PD range sums to zero, a smple average (.e., the sum of PDs wthn a PD range dvded by the number of exposures) should be reported. Weghted average LGD as used n ths secton s generally calculated by: () determnng the oblgors and ther exposures that have estmated PDs that fall wthn each of the PD ranges ndcated, (2) multplyng each exposure s LGD by ts EAD, (3) summng the products from step (2) for all exposures wthn each PD range, and (4) dvdng the summed products from step (3) by the sum of the EADs of all exposures n the same PD range. If the EAD for exposures wthn a gven PD range sums to zero, a smple average (.e., the sum of LGDs wthn a PD range dvded by the number of exposures) should be reported. Weghted average M as used n ths secton s generally calculated by: () determnng the oblgors and ther exposures that have estmated PDs pror to consderng the effects of credt rsk mtgaton that fall wthn each of the PD ranges ndcated, (2) multplyng each exposure s estmated M by ts EAD, (3) summng the products from step (2) for all exposures wthn each PD range, and (4) dvdng the summed products from step (3) by the sum of the EADs of all exposures n the same PD range. If the EAD for exposures wthn a gven PD range sums to zero, a smple average (.e., the sum of Ms wthn a PD range dvded by the number of exposures) should be reported. Schedule H Wholesale Exposures Elgble Margn Loans, Repo-style Transactons, and OTC Dervatves wth Cross-Product Nettng Report all elgble margn loans, repo-style transactons and OTC dervatves postons that are subject to a qualfyng cross-product master nettng agreement. Exposures that are not covered by qualfyng crossproduct master nettng agreements are reported separately n Schedules I and J. FFIEC 0 H-J - SCHEDULES H-J (9-0)

49 FFIEC 0 SCHEDULES H-J Exposures Where the EAD Adjustment Method s Used Item No. Instructons -2 In column A, report the weghted average oblgor PD of all elgble margn loans, repostyle transactons, and OTC dervatves covered by qualfed cross-product master nettng agreements where the oblgor PD falls wthn each PD range ndcated. Cell A-2 equals 00. In column B, report the weghted average M n years of exposures ncluded n ths row for column A. In column C, report the total EAD of exposures ncluded n ths row for column A. In column D, report the weghted average LGD of exposures ncluded n ths row for column A. In column E, report the total rsk weghted assets assocated wth all exposures ncluded n ths row for column A. In column F, report the ECL assocated wth the exposures aggregated n ths row for column A. 3 In column C, report the EAD of elgble margn loans where a 300 percent rsk weght has been assgned. In column E, report the rsk weghted assets of elgble margn loans where a 300 percent rsk weght has been assgned. 4 In column A, the EAD-weghted average PD (WAPD) n percentage terms s calculated as follows: WAPD (%) 2 2 A C C where A and C are the weghted average PD (%) and EAD ($) reported n columns A and C, respectvely, for the th PD range n tem numbers through 2 of ths schedule. Note that A 2 equals 00. In column B, the EAD-weghted average effectve maturty (WAEM) n years s calculated as follows: WAEM ( Years) 2 2 B C C FFIEC 0 H-J - 2 SCHEDULES H-J (9-0)

50 FFIEC 0 SCHEDULES H-J where B and C are the weghted average effectve maturty (years) and EAD ($) reported n columns B and C, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In column D, the percent EAD-weghted average LGD (WALGD) n percentage terms s calculated as follows: WALGD (%) 2 2 D C C where D and C are the weghted average LGD (%) and EAD ($) reported n columns D and C, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In columns C and E, the sums are calculated as the total of amounts reported n tem numbers through 3 of ths schedule for each of these respectve columns. In column F, the sum s calculated as the total of amounts reported n tem numbers through 2 of ths schedule for column F. Exposures Where Collateral s Reflected n LGD -2 In column G, report the weghted average oblgor PD of all elgble margn loans, repostyle transactons, and OTC dervatves covered by qualfed cross-product master nettng agreements where the oblgor PD falls wthn each PD range ndcated. Cell G-2 equals 00. In column H, report the weghted average M n years of exposures ncluded n ths row for column G. In column I, report the total EAD of exposures ncluded n ths row for column G. In column J, report the weghted average LGD of exposures ncluded n ths row for column G. In column K, report the total rsk weghted assets assocated wth all exposures ncluded n ths row for column G. In column L, report the ECL assocated wth the exposures aggregated n ths row for column G. 4 In column G, the EAD-weghted average PD (WAPD) n percentage terms s calculated as follows: WAPD (%) 2 2 G I I FFIEC 0 H-J - 3 SCHEDULES H-J (9-0)

51 FFIEC 0 SCHEDULES H-J where G and I are the weghted average PD (%) and EAD ($) reported n columns G and I, respectvely, for the th PD range n tem numbers through 2 of ths schedule. Note that G 2 equals 00. In column H, the EAD-weghted average effectve maturty (WAEM) n years s calculated as follows: WAEM ( Years) 2 H 2 I I where H and I are the weghted average effectve maturty (years) and EAD ($) reported n columns H and I, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In column J, the EAD-weghted average LGD (WALGD) n percentage terms s calculated as follows: WALGD (%) 2 2 J I I where J and I are the weghted average LGD (%) and EAD ($) reported n columns J and I, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In columns I, K, and L, the sums are calculated as the total of amounts reported n tem numbers through 2 of ths schedule for each of these respectve columns. Schedule I Wholesale Exposures Elgble Margn Loans and Repo-style Transactons wth No Cross-Product Nettng Report all elgble margn loans and repo-style transactons that are NOT subject to a qualfyng crossproduct master nettng agreement. Exposures Where the EAD Adjustment Method s Used Item No. Instructons -2 In column A, report the weghted average oblgor PD of all elgble margn loans and repo-style transactons not covered by qualfed cross-product master nettng agreements where the oblgor PD falls wthn each PD range ndcated. Cell A-2 equals 00. In column B, report the weghted average M n years of exposures ncluded n ths row for column A. In column C, report the total EAD of exposures ncluded n ths row for column A. FFIEC 0 H-J - 4 SCHEDULES H-J (9-0)

52 FFIEC 0 SCHEDULES H-J In column D, report the weghted average LGD of exposures ncluded n ths row for column A. In column E, report the total rsk weghted assets assocated wth all exposures ncluded n ths row for column A. In column F, report the ECL assocated wth the exposures aggregated n ths row for column A. 3 In column C, report the EAD of elgble margn loans where a 300 percent rsk weght has been assgned. In column E, report the rsk weghted assets of elgble margn loans where a 300 percent rsk weght has been assgned. 4 In column A, the EAD-weghted average PD (WAPD) n percentage terms s calculated as follows: WAPD (%) 2 2 A C C where A and C are the weghted average PD (%) and EAD ($) reported n columns A and C, respectvely, for the th PD range n tem numbers through 2 of ths schedule. Note that A 2 equals 00. In column B, the EAD-weghted average effectve maturty (WAEM) n years s calculated as follows: WAEM ( Years) 2 2 B C C where B and C are the weghted average effectve maturty (years) and EAD ($) reported n columns B and C, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In column D, the EAD-weghted average LGD (WALGD) n percentage terms s calculated as follows: WALGD (%) 2 2 D C C where D and C are the weghted average LGD (%) and EAD ($) reported n columns D and C, respectvely, for the th PD range n tem numbers through 2 of ths schedule. FFIEC 0 H-J - 5 SCHEDULES H-J (9-0)

53 FFIEC 0 SCHEDULES H-J In columns C and E, the sums are calculated as the total of amounts reported n tem numbers through 3 of ths schedule for each of these respectve columns. In column F, the sum s calculated as the total of amounts reported n tem numbers through 2 of ths schedule for column F. Exposures Where Collateral s Reflected n LGD -2 In column G, report the weghted average oblgor PD of all elgble margn loans and repo-style transactons not covered by qualfed cross-product master nettng agreements where the oblgor PD falls wthn each PD range ndcated. Cell G-2 equals 00. In column H, report the weghted average M n years of exposures ncluded n ths row for column G. In column I, report the total EAD of exposures ncluded n ths row for column G. In column J, report the weghted average LGD of exposures ncluded n ths row for column G. In column K, report the total rsk weghted assets assocated wth all exposures ncluded n ths row for column G. In column L, report the ECL assocated wth the exposures aggregated n ths row for column G. 4 In column G, the EAD-weghted average PD (WAPD) n percentage terms s calculated as follows: WAPD (%) 2 2 G I I where G and I are the weghted average PD (%) and EAD ($) reported n columns G and I, respectvely, for the th PD range n tem numbers through 2 of ths schedule. Note that G 2 equals 00. In column H, the EAD-weghted average effectve maturty (WAEM) n years s calculated as follows: WAEM ( Years) 2 H 2 I I where H and I are the weghted average effectve maturty (years) and EAD ($) reported n columns H and I, respectvely, for the th PD range n tem numbers through 2 of ths schedule. FFIEC 0 H-J - 6 SCHEDULES H-J (9-0)

54 FFIEC 0 SCHEDULES H-J Memoranda Items In column J, the EAD-weghted average LGD (WALGD) n percentage terms s calculated as follows: WALGD (%) 2 2 J I I where J and I are the weghted average LGD (%) and EAD ($) reported n columns J and I, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In columns I, K, and L, the sums are calculated as the total of amounts reported n tem numbers through 2 of ths schedule for each of these respectve columns. M Report the percentage, to one decmal place, of total EAD for ths schedule (tem 4, column C) calculated usng collateral harcuts. M2 Report the percentage, to one decmal place, of total EAD for ths schedule (tem 4, column C) calculated usng smple VaR. M3 Report the percentage, to one decmal place, of total EAD for ths schedule (tem 4, column C) calculated usng nternal models. Schedule J Wholesale Exposures OTC Dervatves wth No Cross-Product Nettng Report all OTC dervatve postons whch are NOT subject to a qualfyng cross-product master nettng agreement. Exposures Where the EAD Adjustment Method s Used Item No. Instructons -2 In column A, report the weghted average oblgor PD of all OTC dervatves transactons not covered by qualfed cross-product master nettng agreements where the oblgor PD falls wthn each PD range ndcated. Cell A-2 equals 00. In column B, report the weghted average M n years of exposures ncluded n ths row for column A. In column C, report the total EAD of exposures ncluded n ths row for column A. In column D, report the weghted average LGD of exposures ncluded n ths row for column A. In column E, report the total rsk weghted assets assocated wth all exposures ncluded n ths row for column A. FFIEC 0 H-J - 7 SCHEDULES H-J (9-0)

55 FFIEC 0 SCHEDULES H-J In column F, report the ECL assocated wth the exposures aggregated n ths row for column A. 3 In column A, the EAD-weghted average PD (WAPD) n percentage terms s calculated as follows: WAPD (%) 2 2 A C C where A and C are the weghted average PD (%) and EAD ($) reported n columns A and C, respectvely, for the th PD range n tem numbers through 2 of ths schedule. Note that A 2 equals 00. In column B, the EAD-weghted average effectve maturty (WAEM) n years s calculated as follows: WAEM ( Years) 2 2 B C C where B and C are the weghted average effectve maturty (years) and EAD ($) reported n columns B and C, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In column D, the EAD-weghted average LGD (WALGD) n percentage terms s calculated as follows: WALGD (%) 2 2 D C C where D and C are the weghted average LGD (%) and EAD ($) reported n columns D and C, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In columns C, E, and F, the sums are calculated as the total of amounts reported n tem numbers through 2 of ths schedule for each of these respectve columns. Exposures For Whch the Bank Uses the Current Exposure Methodology to Determne EAD and Reflects Collateral, f any, n LGD. -2 In column G, report the weghted average oblgor PD of all OTC dervatves transactons not covered by qualfed cross-product master nettng agreements where the oblgor PD falls wthn each PD range ndcated. Cell G-2 equals 00. FFIEC 0 H-J - 8 SCHEDULES H-J (9-0)

56 FFIEC 0 SCHEDULES H-J In column H, report the weghted average M n years of exposures ncluded n ths row for column G. In column I, report the total EAD of exposures ncluded n ths row for column G. In column J, report the weghted average LGD of exposures ncluded n ths row for column G. In column K, report the total rsk weghted assets assocated wth all exposures ncluded n ths row for column G. In column L, report the ECL assocated wth the exposures aggregated n ths row for column G. 4 In column G, the EAD-weghted average PD (WAPD) n percentage terms s calculated as follows: WAPD (%) 2 2 G I I where G and I are the weghted average PD (%) and EAD ($) reported n columns G and I, respectvely, for the th PD range n tem numbers through 2 of ths schedule. Note that G 2 equals 00. In column H, the EAD-weghted average effectve maturty (WAEM) n years s calculated as follows: WAEM ( Years) 2 H 2 I I where H and I are the weghted average effectve maturty (years) and EAD ($) reported n columns H and I, respectvely, for the th PD range n tem numbers through 2 of ths schedule. In column J, the EAD-weghted average LGD (WALGD) n percentage terms s calculated as follows: WALGD (%) 2 2 J I I where J and I are the weghted average LGD (%) and EAD ($) reported n columns J and I, respectvely, for the th PD range n tem numbers through 2 of ths schedule. FFIEC 0 H-J - 9 SCHEDULES H-J (9-0)

57 FFIEC 0 SCHEDULES H-J Memoranda Items In columns I, K, and L, the sums are calculated as the total of amounts reported n tem numbers through 2 of ths schedule for each of these respectve columns. M Report the percentage, to one decmal place, of total EAD for ths schedule (tem 3, column C) calculated usng collateral harcuts. M2 Report the percentage, to one decmal place, of total EAD for ths schedule (tem 3, column C) calculated usng nternal models. FFIEC 0 H-J - 0 SCHEDULES H-J (9-0)

58 FFIEC 0 SCHEDULES K-O Schedules K through O Retal Exposures General Instructons These schedules should reflect summary or aggregate nformaton based on the bank s own segmentaton system for rsk-based captal purposes. For each retal category, banks should use the PDs calculated n ts segmentaton process as the bass for assgnng exposures to rows that correspond to a specfed supervsory PD band n each schedule. Defntons. Apply the defntons provded n the advanced approaches rules for the followng terms: () probablty of default (PD); (2) loss gven default (LGD); (3) exposure at default (EAD); (4) expected credt loss (ECL);.(5) other retal exposure; (6) resdental mortgage exposure; (7) default; (8) retal exposure; (9) credt rsk mtgant; and (0) qualfyng revolvng exposure (QRE). Account age s descrbed below. Loan-to-Value. Loan-to Value (LTV): Where LTV nformaton s requested, reportng of these cells s requred only f LTVs are avalable. If LTVs are used n the segmentaton process, report the LTV that s used n the segmentaton process. If LTVs are not used n the segmentaton process, report the most recent well-supported LTV for the exposures (orgnal or well supported updated LTV). For closed-end frst len exposures, LTV ratos should be calculated wth respect to only the bank s frst len exposure amount. For closed-end junor lens and revolvng mortgage exposures, LTV ratos should be calculated wth respect to the bank s junor len exposures combned wth any pror lens. Credt Rsk Score. Credt Rsk Score: Reportng of these cells s requred only f the scores are avalable. Report scores only from credt scorng systems wth a common mappng from scores to default probabltes and/or expected losses. Where two or more credt scorng systems wth dfferent mappngs are used n the same portfolo, report scores only from the system used for the largest number of exposures n that portfolo. Weghted Averages. Weghted average PD as used n ths secton s calculated by: () determnng the exposures that are n segments whose PDs fall wthn each of the PD ranges ndcated, (2) multplyng each segment s PD by ts EAD, (3) summng the products from step (2) for all segments wthn each PD range, and (4) dvdng the summed products from step (3) by the sum of the EADs of all segments n the same PD range. Weghted average LGD as used n ths secton s calculated by: () determnng the segments that have PDs that fall wthn each of the PD ranges ndcated, (2) multplyng each segment s LGD by ts EAD, (3) summng the products from step (2) for all segments wthn each PD range, and (4) dvdng the summed products from step (3) by the sum of the EADs of all segments n the same PD range. Weghted average age as used n ths secton s calculated by: () determnng the segments that have PDs that fall wthn each of the PD ranges ndcated, (2) determnng an average (or weghted average) age for each segment usng the account age defntons descrbed below, (3) multplyng each segment s average age by ts EAD, (4) summng the products from step (3) for all segments wthn each PD range, and (5) dvdng the summed products from step (4) by the sum of EADs of all segments n the same PD range. Weghted average credt scores are calculated n a smlar manner as weghted average age. The dfference s that the sum n the denomnator only ncludes EADs of exposures n the exposure category FFIEC 0 K-O - SCHEDULES K-O (9-0)

59 FFIEC 0 SCHEDULES K-O that have a credt rsk score avalable. Report weghted average credt scores for each of the PD ranges ndcated to one decmal place. Account Age. The followng defntons should be used to determne the age of accounts: () for mortgage exposures and other types of closed-end loans, account age s defned as the number of months snce orgnaton; () for qualfyng revolvng exposures, account age s defned as the number of months on the bank s books; and () for other retal exposures, account age should be determned usng the number of months snce whatever reference pont the bank uses wthn ts systems to dentfy the age of an account. Schedule K Retal Exposures Resdental Mortgage Closed-end Frst Len Exposures Report all resdental mortgage exposures that () are secured by frst lens, and (2) are not revolvng. Item No. Instructons -5 In column A, report the weghted average PD of all segments of exposures applcable to ths secton as noted above, whose PD falls wthn each range ndcated. Cell A-5 equals 00. In column B, report the total number of exposures n all segments ncluded n ths row for column A. In column C, report the total balance sheet amount of exposures wthn the segments ncluded n ths row for column A. In column D, report the dollar volume of avalable but undrawn balances of exposures wthn the segments ncluded n ths row for column A. Include undrawn commtments to lend, ncludng avalable negatve amortzaton and unfunded mortgage commtments. In column E, report the total EAD of segments of exposures ncluded n ths row for column A. In column F, report the weghted average age n months of exposures n the segments ncluded n ths row for column A. In column G, report the weghted average LGD of exposures n the segments ncluded n ths row for column A. In column H, report total rsk-weghted assets assocated wth all segments of exposures ncluded n ths row for column A. In column I, report the dollar volume of ECL, after consderaton of credt rsk mtgaton, for segments of exposures ncluded n ths row for column A. In column J, report the EAD of exposures ncluded n ths row for column A that have less than a 70% LTV. In column K, report the EAD of exposures ncluded n ths row for column A that have at least a 70% but less than 80% LTV. FFIEC 0 K-O - 2 SCHEDULES K-O (9-0)

60 FFIEC 0 SCHEDULES K-O In column L, report the EAD of exposures ncluded n ths row for column A that have at least an 80% but less than 90% LTV. In column M, report the EAD of exposures ncluded n ths row for column A that have at least a 90% but less than 00% LTV. In column N, report the EAD of exposures ncluded n ths row for column A that have an LTV greater than or equal to 00%. In column O, report the weghted average credt rsk score of exposures n the segments ncluded n ths row for column A. In column P, report the EAD of accounts that are ncluded n the segments reported n ths row where the LTV has been updated snce the last report date, that s, the updated LTV s based upon a refreshed assessment of the collateral value. If LTVs were not updated for any accounts n the segments reported n the row snce the last report date, report 0. 6 In column A, the EAD-weghted average PD (WAPD) n percentage terms s calculated as follows: WAPD (%) 5 5 A E E where A and E are the weghted average PD (%) and EAD ($) reported n columns A and E, respectvely, for the th PD range n tem numbers through 5 of ths schedule. Note that A 5 equals 00. In column F, the EAD-weghted average age (WAA) n months s calculated as follows: WAA ( Months) 5 5 F E E where F and E are the weghted average age (months) and EAD ($) reported n columns F and E, respectvely, for the th PD range n tem numbers through 5 of ths schedule. In column G, the EAD-weghted average LGD (WALGD) n percentage terms s calculated as follows: WALGD (%) 5 5 G E E FFIEC 0 K-O - 3 SCHEDULES K-O (9-0)

61 FFIEC 0 SCHEDULES K-O where G and E are the weghted average LGD (%) and EAD ($) reported n columns G and E, respectvely, for the th PD range n tem numbers through 5 of ths schedule. In column O, report the EAD-weghted average bureau score (WABS), rounded to the nearest whole number, usng the followng calculaton: WABS 5 5 O E E ' ' ' where O s the weghted average bureau score reported n column O and E s the EAD ($) of exposures wth a bureau score avalable, for the th PD range n tem numbers through 5 of ths schedule. The EAD reported n column E wll be greater or equal to the EAD of exposures wth a bureau score avalable, E. In columns B, C, D, E, H, I, J, K, L, M, N, and P, the sums are calculated as the total of amounts reported n tem numbers through 5 of ths schedule for each of these respectve columns. 7 Report the rsk-weghted assets of non-materal portfolos reportable n ths schedule but not ncluded n the above cells. 8 Report the name of the credt bureau or credt scorng system used to produce the values n column O. Leave blank f not applcable. Schedule L Retal Exposures Resdental Mortgage Closed-end Junor Len Exposures Report all resdental mortgage exposures that () are secured by lens subordnate to any other len, and (2) are not revolvng. ' Item No. Instructons -5 In column A, report the weghted average PD of all segments of exposures applcable to ths secton as noted above, whose PD falls wthn each range ndcated. Cell A-5 equals 00. In column B, report the total number of exposures n all segments ncluded n ths row for column A. In column C, report the total balance sheet amount of exposures wthn the segments ncluded n ths row for column A. In column D, report the dollar volume of avalable but undrawn balances of exposures wthn the segments ncluded n ths row for column A. Include undrawn commtments to lend, ncludng avalable negatve amortzaton and unfunded mortgage commtments. FFIEC 0 K-O - 4 SCHEDULES K-O (9-0)

62 FFIEC 0 SCHEDULES K-O In column E, report the total EAD of segments of exposures ncluded n ths row for column A. In column F, report the weghted average age n months of exposures n the segments ncluded n ths row for column A. In column G, report the weghted average LGD of exposures n the segments ncluded n ths row for column A. In column H, report total rsk-weghted assets assocated wth all segments of exposures ncluded n ths row for column A. In column I, report the dollar volume of ECL, after consderaton of credt rsk mtgaton, for segments of exposures ncluded n ths row for column A. In column J, report the EAD of exposures ncluded n ths row for column A that have less than a 70% LTV. In column K, report the EAD of exposures ncluded n ths row for column A that have at least a 70% but less than 80% LTV. In column L, report the EAD of exposures ncluded n ths row for column A that have at least an 80% but less than 90% LTV. In column M, report the EAD of exposures ncluded n ths row for column A that have at least a 90% but less than 00% LTV. In column N, report the EAD of exposures ncluded n ths row for column A that have an LTV greater than or equal to 00%. In column O, report the weghted average credt rsk score of exposures n the segments ncluded n ths row for column A. In column P, report the EAD of accounts that are ncluded n the segments reported n ths row where the LTV has been updated snce the last report date, that s, the updated LTV s based upon a refreshed assessment of the collateral value. If LTVs were not updated for any accounts n the segments reported n the row snce the last report date, report 0. 6 In column A, the EAD-weghted average PD (WAPD) n percentage terms s calculated as follows: WAPD (%) 5 5 A E E where A and E are the weghted average PD (%) and EAD ($) reported n columns A and E, respectvely, for the th PD range n tem numbers through 5 of ths schedule. Note that A 5 equals 00. FFIEC 0 K-O - 5 SCHEDULES K-O (9-0)

63 FFIEC 0 SCHEDULES K-O In column F, the EAD-weghted average age (WAA) n months s calculated as follows: WAA ( Months) 5 5 F E E where F and E are the weghted average age (months) and EAD ($) reported n columns F and E, respectvely, for the th PD range n tem numbers through 5 of ths schedule. In column G, the EAD-weghted average LGD (WALGD) n percentage terms s calculated as follows: WALGD (%) 5 5 G E E where G and E are the weghted average LGD (%) and EAD ($) reported n columns G and E, respectvely, for the th PD range n tem numbers through 5 of ths schedule. In column O, report the EAD-weghted average bureau score (WABS), rounded to the nearest whole number, usng the followng calculaton: WABS 5 5 O E E ' ' ' where O s the weghted average bureau score reported n column O and E s the EAD ($) of exposures wth a bureau score avalable, for the th PD range n tem numbers through 5 of ths schedule. The EAD reported n column E wll be greater or equal to the EAD of exposures wth a bureau score avalable, E. In columns B, C, D, E, H, I, J, K, L, M, N, and P, the sums are calculated as the total of amounts reported n tem numbers through 5 of ths schedule for each of these respectve columns. 7 Report the rsk-weghted assets of non-materal portfolos reportable n ths schedule but not ncluded n the above cells. 8 Report the name of the credt bureau or credt scorng system used to produce the values n column O. Leave blank f not applcable. Schedule M Retal Exposures Resdental Mortgage Revolvng Exposures Report all resdental mortgage exposures that are revolvng. ' FFIEC 0 K-O - 6 SCHEDULES K-O (9-0)

64 FFIEC 0 SCHEDULES K-O Item No. Instructons -5 In column A, report the weghted average PD of all segments of exposures applcable to ths secton as noted above, whose PD falls wthn each range ndcated. Cell A-5 equals 00. In column B, report the total number of exposures n all segments ncluded n ths row for column A. In column C, report the total balance sheet amount of exposures wthn the segments ncluded n ths row for column A. In column D, report the dollar volume of avalable but undrawn balances of exposures wthn the segments ncluded n ths row for column A. Include undrawn commtments to lend, ncludng avalable negatve amortzaton and unfunded mortgage commtments. In column E, report the total EAD of segments of exposures ncluded n ths row for column A. In column F, report the weghted average age n months of exposures n the segments ncluded n ths row for column A. In column G, report the weghted average LGD of exposures n the segments ncluded n ths row for column A. In column H, report total rsk-weghted assets assocated wth all segments of exposures ncluded n ths row for column A. In column I, report the dollar volume of ECL, after consderaton of credt rsk mtgaton, for segments of exposures ncluded n ths row for column A. In column J, report the EAD of exposures ncluded n ths row for column A that have less than a 70% LTV. In column K, report the EAD of exposures ncluded n ths row for column A that have at least a 70% but less than 80% LTV. In column L, report the EAD of exposures ncluded n ths row for column A that have at least an 80% but less than 90% LTV. In column M, report the EAD of exposures ncluded n ths row for column A that have at least a 90% but less than 00% LTV. In column N, report the EAD of exposures ncluded n ths row for column A that have an LTV greater than or equal to 00%. In column O, report the weghted average credt rsk score of exposures n the segments ncluded n ths row for column A. FFIEC 0 K-O - 7 SCHEDULES K-O (9-0)

65 FFIEC 0 SCHEDULES K-O In column P, report the EAD of accounts that are ncluded n the segments reported n ths row where the LTV has been updated snce the last report date, that s, the updated LTV s based upon a refreshed assessment of the collateral value. If LTVs were not updated for any accounts n the segments reported n the row snce the last report date, report 0. 6 In column A, the EAD-weghted average PD (WAPD) n percentage terms s calculated as follows: WAPD (%) 5 5 A E E where A and E are the weghted average PD (%) and EAD ($) reported n columns A and E, respectvely, for the th PD range n tem numbers through 5 of ths schedule. Note that A 5 equals 00. In column F, the EAD-weghted average age (WAA) n months s calculated as follows: WAA ( Months) 5 5 F E E where F and E are the weghted average age (months) and EAD ($) reported n columns F and E, respectvely, for the th PD range n tem numbers through 5 of ths schedule. In column G, the EAD-weghted average LGD (WALGD) n percentage terms s calculated as follows: WALGD (%) 5 5 G E E where G and E are the weghted average LGD (%) and EAD ($) reported n columns G and E, respectvely, for the th PD range n tem numbers through 5 of ths schedule. In column O, report the EAD-weghted average bureau score (WABS), rounded to the nearest whole number, usng the followng calculaton: WABS 5 5 O E E ' ' ' where O s the weghted average bureau score reported n column O and E s the EAD ($) of exposures wth a bureau score avalable, for the th PD range n tem numbers FFIEC 0 K-O - 8 SCHEDULES K-O (9-0)

66 FFIEC 0 SCHEDULES K-O through 5 of ths schedule. The EAD reported n column E wll be greater or equal to the EAD of exposures wth a bureau score avalable, E. In columns B, C, D, E, H, I, J, K, L, M, N, and P, the sums are calculated as the total of amounts reported n tem numbers through 5 of ths schedule for each of these respectve columns. 7 Report the rsk-weghted assets of non-materal portfolos reportable n ths schedule but not ncluded n the above cells. 8 Report the name of the credt bureau or credt scorng system used to produce the values n column O. Leave blank f not applcable. Schedule N Retal Exposures Qualfyng Revolvng Exposures Report all qualfyng revolvng exposures. ' Item No. Instructons -5 In column A, report the weghted average PD of the segments whose PDs fall wthn each of the PD ranges ndcated. Cell A-5 equals 00. In column B, report the total number of exposures n all segments ncluded n ths row for column A. In column C, report the total balance sheet amount of exposures wthn the segments ncluded n ths row for column A. In column D, report the dollar amount of avalable but undrawn balances of exposures wthn the segments ncluded n ths row for column A. In column E, report the total EAD of segments of exposures ncluded n ths row for column A. In column F, report the total EAD for the exposures n the segments ncluded n ths row for column A that are less than 2 years old. Report zero f all exposures n ths row are more than 2 years old. In column G, report the weghted average LGD of exposures n the segments ncluded n ths row for column A. In column H, report total rsk-weghted assets assocated wth all segments of exposures ncluded n ths row for column A. In column I, report the dollar amount of ECL, after consderaton of credt rsk mtgaton, for segments of exposures ncluded n ths row for column A. In column J, report the weghted average credt rsk score of exposures n the segments ncluded n ths row for column A. FFIEC 0 K-O - 9 SCHEDULES K-O (9-0)

67 FFIEC 0 SCHEDULES K-O 6 In column A, the EAD-weghted average PD (WAPD) n percentage terms s calculated as follows: WAPD (%) 5 5 A E E where A and E are the weghted average PD (%) and EAD ($) reported n columns A and E, respectvely, for the th PD range n tem numbers through 5 of ths schedule. Note that A 5 equals 00. In column G, the EAD-weghted average LGD (WALGD) n percentage terms s calculated as follows: WALGD (%) 5 5 G E E where G and E are the weghted average LGD (%) and EAD ($) reported n columns G and E, respectvely, for the th PD range n tem numbers through 5 of ths schedule. In column J, report the EAD-weghted average bureau score (WABS), rounded to the nearest whole number, usng the followng calculaton: WABS 5 J 5 E E ' ' ' where J s the weghted average bureau score reported n column J and E s the EAD ($) of exposures wth a bureau score avalable, for the th PD range n tem numbers through 5 of ths schedule. The EAD reported n column E wll be greater or equal to the EAD of exposures wth a bureau score avalable, E. In columns B, C, D, E, F, H, and I, the sums are calculated as the total of amounts reported n tem numbers through 5 of ths schedule for each of these respectve columns. 7 Report the rsk-weghted assets of non-materal portfolos reportable n ths schedule but not ncluded n the above cells. 8 Report the name of the credt bureau or credt scorng system used to produce the values n column J. Leave blank f not applcable. Schedule O Retal Exposures Other Retal Exposures ' FFIEC 0 K-O - 0 SCHEDULES K-O (9-0)

68 FFIEC 0 SCHEDULES K-O Report other retal exposures. Item No. Instructons -5 In column A, report the weghted average PD of the segments whose PDs fall wthn each of the PD ranges ndcated. Cell A-5 equals 00. In column B, report the total number of exposures n all segments ncluded n ths row for column A. In column C, report the total balance sheet amount of exposures wthn the segments ncluded n ths row for column A. In column D, report the dollar amount of avalable but undrawn balances of exposures wthn the segments ncluded n ths row for column A. In column E, report the total EAD of segments of exposures ncluded n ths row for column A. In column F, report the total EAD for the exposures n the segments ncluded n ths row for column A that are less than 2 years old. Report zero f all exposures n ths row are more than 2 years old. In column G, report the weghted average LGD of exposures n the segments ncluded n ths row for column A. In column H, report total rsk-weghted assets assocated wth all segments of exposures ncluded n ths row for column A. In column I, report the dollar amount of ECL, after consderaton of credt rsk mtgaton, for segments of exposures ncluded n ths row for column A. In column J, report the weghted average credt rsk score of exposures n the segments ncluded n ths row for column A. 6 In column A, the EAD-weghted average PD (WAPD) n percentage terms s calculated as follows: WAPD (%) 5 5 A E E where A and E are the weghted average PD (%) and EAD ($) reported n columns A and E, respectvely, for the th PD range n tem numbers through 5 of ths schedule. Note that A 5 equals 00. In column G, the EAD-weghted average LGD (WALGD) n percentage terms s calculated as follows: FFIEC 0 K-O - SCHEDULES K-O (9-0)

69 FFIEC 0 SCHEDULES K-O WALGD (%) 5 5 G E E where G and E are the weghted average LGD (%) and EAD ($) reported n columns G and E, respectvely, for the th PD range n tem numbers through 5 of ths schedule. In column J, report the EAD-weghted average bureau score (WABS), rounded to the nearest whole number, usng the followng calculaton: WABS 5 J 5 E E ' ' ' where J s the weghted average bureau score reported n column J and E s the EAD ($) of exposures wth a bureau score avalable, for the th PD range n tem numbers through 5 of ths schedule. The EAD reported n column E wll be greater or equal to the EAD of exposures wth a bureau score avalable, E. In columns B, C, D, E, F, H, and I, the sums are calculated as the total of amounts reported n tem numbers through 5 of ths schedule for each of these respectve columns. 7 Report the rsk-weghted assets of non-materal portfolos reportable n ths schedule but not ncluded n the above cells. 8 Report the name of the credt bureau or credt scorng system used to produce the values n column J. Leave blank f not applcable. ' FFIEC 0 K-O - 2 SCHEDULES K-O (9-0)

70 FFIEC 0 SCHEDULES P-Q Schedules P and Q Securtzaton Exposures General Instructons Defntons. Apply the defntons from the advanced approaches rules to the followng terms: () securtzaton exposure; (2) securtzaton; (3) early amortzaton provson; (4) exposure at default (EAD); (5) nvestors nterest EAD; and (6) synthetc securtzaton. The Ratngs-based Approach (RBA), Internal Assessment Approach (IAA), and Supervsory Formula Approach (SFA) are descrbed n sectons 43, 44, and 45, respectvely, of the advanced approaches rules. Reportng under specfc cases defned n the advanced approaches rules. Proraton of adjustments to captal requrements across multple exposure categores wthn a sngle securtzaton transacton. If, accordng to the provsons of secton 42(d) of the advanced approaches rules, an adjustment s made to the captal requrements of a securtzaton that nvolves multple exposure categores (e.g., part of the securtzaton s subject to one of the herarchy of approaches and part represents nvestors nterest), the adjustment to rsk-weghted assets should be allocated across these exposures n proporton to assocated exposure amounts such that the total rsk-based captal requrements equal the maxmum rsk-based captal requrements for the securtzaton transacton. Securtzaton exposures that fal one or more operatonal crtera for recognzng the transfer of rsk. If a securtzaton exposure fals one or more of the condtons specfed n secton 4(a) or 4(b), the bank would not report that exposure n Schedules P or Q. Instead, such securtzaton exposures should be reported n the schedule approprate for the underlyng exposures accordng to the nstructons for that schedule. Any assocated after-tax gan-on-sale assocated wth such securtzatons should be reported n lne tem 2 of Schedule Q and n lne tem 9d of Schedule A, Part for banks and bank holdng companes (lne tem 6 n Schedule A, Part 2 for savngs assocatons). Implct support. Accordng to secton 42(h) of the advanced approaches rules, banks that provde mplct support to a securtzaton are requred to hold regulatory captal aganst the underlyng exposures as f the exposures had not been securtzed. Banks should not report such exposures n Schedules P or Q. Instead, banks should report the underlyng exposures n the schedule approprate for those exposures accordng to the nstructons for that schedule. Any assocated after-tax gan-on-sale assocated wth such securtzatons should be reported n lne tem 2 of Schedule Q and n lne tem 9d of Schedule A, part I for banks and bank holdng companes (lne tem 6 n Schedule A, part II for savngs assocatons). Schedule P - Exposures Subject to Ratngs-Based or Internal Assessment Approaches Item No. Instructons -4 Report the aggregate amount of securtzaton exposures (consstent wth secton 42(c) of the advanced approaches rules) n each lne tem that correspond to a partcular ratng category, separatng those subject to the Ratngs-based Approach (RBA) from those subject to the Internal Assessment Approach (IAA). Report rsk weghted assets for each lne tem n the last column. Do not nclude exposures that requre deducton. 5 In columns A, B, and C, the sums are calculated as the total of amounts reported n tem numbers through 4 of ths schedule for each of these respectve columns. [Note: these totals do not nclude amounts related to long-term exposures rated more than one FFIEC 0 P-Q - SCHEDULES P-Q (9-0)

71 FFIEC 0 SCHEDULES P-Q category below nvestment grade, and short-term exposures rated below the thrd hghest grade.] Schedule Q Securtzaton Exposures Addtonal Detal Item No. Instructons In column C, report the aggregate amount that must be deducted for exposures under the RBA and IAA approaches. Do not use columns A or B. 2 In column C, report the aggregate amount that must be deducted for all other securtzaton exposures (except those exposures deducted under the SFA and reported n tem 3 below). Do not use columns A or B. 3 In column A, report the amount of exposures under the SFA. In column B, report the rsk weght assets assocated wth the exposures n column A. In column C, report the amount that must be deducted due to a 250 percent or greater rsk weght under the SFA. 4 In column A, report the total exposure to synthetc securtzatons. In column B, report the amount of rsk weghted assets assocated wth synthetc securtzatons. In column C, report deductons assocated wth synthetc securtzatons. 5 In column A, report the EAD assocated wth the nvestors nterest n revolvng retal credt lne (e.g., ndvdual credt lne) securtzatons. In column B, report the rsk weghted assets assocated wth the nvestors nterest n revolvng retal credt lne (e.g., ndvdual credt lne) securtzatons. 6 In column A, report the EAD assocated wth the nvestors nterest n revolvng nonretal credt lne securtzatons. In column B, report the rsk weghted assets assocated wth the nvestors nterest n revolvng non-retal credt lne securtzatons. FFIEC 0 P-Q - 2 SCHEDULES P-Q (9-0)

72 FFIEC 0 SCHEDULE R Schedule R Equty Exposures General Instructons Defntons. Apply the defntons provded n the advanced approaches rules for the followng terms: () publcly traded; (2) nvestment fund; and (3) equty exposure. The followng terms are descrbed n secton 52 of the advanced approaches rules: () communty development equty exposures; (2) hedge pars and measures of an effectve hedge; and (3) nonsgnfcant equty exposures. The term adjusted carryng value s descrbed n secton 5 of the advanced approaches rules. The Smple Rsk Weght Approach (SRWA) and the Internal Models Approach (IMA) are descrbed n sectons 52 and 53, respectvely, of the advanced approaches rules. The effectve and neffectve porton of a hedge par are descrbed n secton 52(c) of the advanced approaches rules. Item No. Instructons Items through 4 should be completed by all banks wth equty exposures. Total Equty Exposures. In column A, report the aggregate adjusted carryng value of equty exposures that are subject to Part VI of the advanced approaches rules. Do not nclude equty exposures subject to the market rsk captal framework. 2 0% Rsk Weght. In column A, report the adjusted carryng value of equty exposures that are soveregn exposures or exposures to the Bank for Internatonal Settlements, the Internatonal Monetary Fund, the European Commsson, the European central bank or a multlateral development bank, to whch the bank assgns a ratng grade assocated wth a PD of less than 0.03 percent. In column B, report % Rsk Weght. In column A, report the adjusted carryng value of equty exposures to a Federal Home Loan Bank and Farmer Mac. In column B, report 20 percent of the amount n column A for ths tem. 4 Communty Development Equty Exposures. In column A, report the adjusted carryng value of communty development equty exposures. In column B, report 00 percent of the amount n column A for ths tem. Smple Rsk Weght Approach (SRWA) Items 5 through 0 should be completed by banks that use the smple rsk weght approach (SRWA). Items 8 and 9 should be completed by banks that use the IMA for only publcly traded equty exposures. 5 Effectve Porton of Hedge Pars. In column A, report the effectve porton of each hedge par. FFIEC 0 R - SCHEDULE R (9-0)

73 FFIEC 0 SCHEDULE R In column B, report 00 percent of the amount n column A for ths tem. 6 Non-Sgnfcant Equty Exposures. In column A, report the adjusted carryng value of non-sgnfcant equty exposures (excludng amounts reported n column A, tems 2 through 5) up to 0 percent of ter plus ter 2 captal. In column B, report 00 percent of the amount n column A for ths tem. 7 Publcly Traded Equty Exposures Under the SRWA. In column A, report the adjusted carryng value of the bank s publcly traded equty exposures not ncluded n column A, tems 2 through 6, and not subject to a 600 percent rsk weght per the advanced approaches rules, ncludng the neffectve porton of each hedge par. In column B, report 300 percent of the amount n column A for ths tem. 8 Non-Publcly Traded Equty Exposures Under the SRWA. In column A, report the adjusted carryng value of the bank s non-publcly traded equty exposures not ncluded n tems 2 through 6, and not subject to a 600 percent rsk weght per the advanced approaches rules. In column B, report 400 percent of the amount n column A for ths tem % Rsk Weght Equty Exposures Under the SRWA. In column A, report the adjusted carryng value of the bank s equty exposures subject to a 600 percent rsk weght under paragraph (b)(6) of secton 52 of the advanced approaches rules. In column B, report 600 percent of the amount n column A for ths tem. 0 Total Rsk Weghted Assets (RWA) Under the SRWA. In column B, report the sum of amounts n column B, tems 2 through 9. Equty Exposures to Investment Funds Items through 5 should be completed by all banks wth equty exposures to nvestment funds. Full Look-through Approach. In column A, report the adjusted carryng value of all equty exposures to nvestment funds to whch the bank apples the full look-through approach as descrbed n paragraph (b) of secton 54 of the advanced approaches rules. In column B, report the rsk weghted assets of the amount n column A for ths tem. 2 Smple Modfed Look-through Approach. In column A, report the adjusted carryng value of all equty exposures to nvestment funds to whch the bank apples the smple modfed look-through approach as descrbed n paragraph (c) of secton 54 of the advanced approaches rules. In column B, report the rsk weghted assets for the amount n column A for ths tem. 3 Alternatve Modfed Look-through Approach. In column A, report the adjusted carryng value of all equty exposures to nvestment funds for whch the bank apples the FFIEC 0 R - 2 SCHEDULE R (9-0)

74 FFIEC 0 SCHEDULE R alternatve modfed look-through approach as descrbed n paragraph (d) of secton 54 of the advanced approaches rules. In column B, report the rsk weghted assets for the amount n column A for ths tem. 4 Money Market Fund Approach. In column A, report the adjusted carryng value of all equty exposures to nvestment funds that qualfy for the Money Market Fund Approach descrbed n paragraph (e) of secton 54 of the advanced approaches rules. In column B, report 7 percent of the amount n column A for ths tem. 5 Total Rsk Weghted Assets for Investment Funds. In column B, report the sum of amounts n column B, tems through 4. 6 Total: SRWA. Complete ths tem f the SRWA s used. In column B, report the sum of column B, tems 0 and 5. Full Internal Models Approach (Full IMA) Items 7 through 22 apply to banks that use the nternal models approach for both publcly traded and non-publcly traded equty exposures. 7 Estmate of Potental Losses on Equty Exposures. In column A, report the estmated potental losses on the bank s equty exposures, excludng those exposures reported n column A, tems 2 through 4 of ths schedule and equty exposures to nvestment funds. Floors for Full IMA In column B, report 2.5 tmes the amount n column A for ths tem. 8 Publcly Traded. In column A, report the sum of () the aggregated adjusted carryng value of the bank s publcly traded equty exposures that do not belong to a hedge par, are not reported n column A, tems 2 through 4 of ths schedule, and are not equty exposures to an nvestment fund, and () the aggregate neffectve porton of all hedge pars. In column B, report 200 percent of the amount n column A for ths tem. 9 Non-publcly Traded. In column A, report the aggregated adjusted carryng value of the bank s equty exposures that are not publcly traded, are not reported n column A, tems 2 through 4 of ths schedule, and are not equty exposures to an nvestment fund. In column B, report 300 percent of the amount n column A for ths tem. 20 Rsk Weghted Asset Floors. In column B, report the sum of column B, tems 8 and 9. 2 Total Rsk Weghted Assets Full IMA. In column B, report the larger of column B, tem 7 or column B, tem Total: Full IMA. In column B, report the sum of column B, tems 3, 4, 5, and 2 FFIEC 0 R - 3 SCHEDULE R (9-0)

75 FFIEC 0 SCHEDULE R Publcly Traded Internal Models Approach (Partal IMA) Items 23 through 26 apply to banks that use the IMA for only publcly traded equty exposures. These banks should also compute tems 8 and 9 of ths schedule. 23 Estmate of Potental Losses on Publcly Traded Equty Exposures. In column A, report the estmated potental losses on the bank s publcly traded equty exposures, excludng those reported n column A, tems 2, 3, 4, 8, and 9 of ths schedule, and equty exposures to nvestment funds. Floor for Partal IMA In column B, report 2.5 tmes the amount n column A for ths tem. 24 Publcly Traded. In column A, report sum of () the aggregated adjusted carryng value of the bank s publcly traded equty exposures that do not belong to a hedge par, are not reported n column A, tems 2 through 4 of ths schedule, and are not equty exposures to an nvestment fund, and () the neffectve porton of all hedge pars. In column B, report 200 percent of the amount n column A for ths tem. 25 Total Rsk Weghted Assets Partal IMA. In column B, report the larger of column B, tem 23 or column B, tem Total: Partal IMA, Partal SRWA. In column B, report the sum of column B, tems 3, 4, 8, 9, 5 and 25. FFIEC 0 R - 4 SCHEDULE R (9-0)

76 FFIEC 0 SCHEDULE S Schedule S Operatonal Rsk Operatonal Rsk Captal Defntons. Apply the defntons provded n the advanced approaches rules for the followng terms: () busness envronment and nternal control factors; (2) dependence; (3) elgble operatonal rsk offsets; (4) expected operatonal loss; (5) operatonal loss event; (6) operatonal rsk; (7) operatonal rsk exposure; (8) GAAP; (9) scenaro analyss; (0) unexpected operatonal loss; and () unt of measure. Frequency Dstrbuton means the statstcal dstrbuton used to calculate the frequency of losses. Severty Dstrbuton means the statstcal dstrbuton used to calculate the severty of losses. All lne tems descrbed n ths schedule should be completed based on avalable data. The agences recognze that certan crcumstances may pose reportng challenges for banks. For example, the nherent flexblty of the Advanced Measurement Approach (AMA) or a bank s use, wth pror wrtten supervsory approval, of an alternatve operatonal rsk quantfcaton system may result n a bank havng lmted data to report for certan lne tems. In determnng ts response to each lne tem, a bank should carefully revew the nstructons and report the nformaton t has avalable. In nstances where a bank does not have nformaton to report for a partcular lne tem, t should leave the reported tem blank. Item No. Capton and Instructons Publc Items Rsk-based Captal Requrement for Operatonal Rsk. Report the dollar amount of the rsk-based captal requrement for operatonal rsk pursuant to the requrements of the advanced approaches rules. 2 Is tem generated from an "alternatve operatonal rsk quantfcaton system?" Report whether the rsk-based captal fgure reported n tem results from an alternatve operatonal rsk quantfcaton system (as dscussed n secton 22(h)(3)() of the advanced approaches rules) by ndcatng for (yes) or 0 for (no) for ths tem. Confdental Items Expected Operatonal Loss (EOL) and Elgble Operatonal Rsk Offsets 3 Expected Operatonal Loss (EOL). Report the dollar amount of the expected value of the dstrbuton of potental aggregate operatonal losses, as generated by the bank s operatonal rsk quantfcaton system usng a one-year horzon. 4 Total Elgble Operatonal Rsk Offsets. 4a 4b Elgble GAAP reserves. Report the dollar amount of reserves calculated n a manner consstent wth GAAP. Other elgble offsets. Report the dollar amount of offsets approved by the nsttuton s supervsor outsde of GAAP reserves reported n tem 4a above. Total Rsk-based Captal Requrement for Operatonal Rsk wthout: FFIEC 0 S - SCHEDULE S (9-0)

77 FFIEC 0 SCHEDULE S The effects of each of the followng three adjustments on rsk-based captal for operatonal rsk should be calculated ndependently (e.g. tem 7 should only exclude Rsk Mtgants from the calculaton, and should contnue to nclude adjustments for dependence assumptons and those related to busness envronment and nternal control factors). 5 Dependence Assumptons. Report the rsk-based captal requrement for operatonal rsk wthout any dversfcaton benefts. 6 Adjustments Reflectng Busness Envronment and Internal Control Factors. Report the rsk-based captal requrement for operatonal rsk excludng the effects of qualtatve adjustments that account for busness envronment and nternal control factors. 7 Rsk Mtgants (e.g., nsurance). Report the rsk-based captal requrement for operatonal rsk excludng the effects of qualfyng operatonal rsk mtgants, as dscussed n secton 6 of the advanced approaches rules. Internal Operatonal Loss Event Data Characterstcs 8 Date ranges of nternal operatonal loss event data used n modelng operatonal rsk captal. For tems 8a through 8d, all dates should be expressed n the MM/YYYY format on the schedule. If the dstrbutons dentfed n 8a through 8d are not used, then leave these tems blank. 8a 8b 8c 8d Startng date for frequency dstrbuton (f applcable). Report the earlest date relevant to the nternal operatonal loss event data used n modelng the frequency dstrbuton for operatonal rsk captal. Endng date for frequency dstrbuton (f applcable). Report the latest date relevant to the nternal operatonal loss event data used n modelng the frequency dstrbuton for operatonal rsk captal. Startng date for severty dstrbuton (f applcable). Report the earlest date relevant to the nternal operatonal loss event data used n modelng the severty dstrbuton for operatonal rsk captal. Endng date for severty dstrbuton (f applcable). Report the latest date relevant to the nternal operatonal loss event data used n modelng the severty dstrbuton for operatonal rsk captal. 9 Hghest dollar threshold appled n modelng nternal operatonal loss event data. Report the dollar threshold that s used to exclude smaller nternal operatonal loss event data from operatonal rsk captal modelng. If more than one threshold s appled n the modelng process, report the hghest threshold used. If no thresholds are used, report 0 for ths tem. 0 Does the dollar threshold change across unts of measure? Report whether the thresholds for the nternal loss data used n modelng operatonal rsk captal dffer across unts of measure by ndcatng for (yes) or 0 for (no) for ths tem. As defned n the advanced approaches rules, unt of measure s the level (for example, organzatonal unt or operatonal loss event type) at whch the bank s operatonal rsk quantfcaton system generates a separate dstrbuton of potental operatonal losses. FFIEC 0 S - 2 SCHEDULE S (9-0)

78 FFIEC 0 SCHEDULE S Total number of loss events. Report the total number of nternal loss events used n the model to determne the rsk-based captal requrement for operatonal rsk. A loss event may encompass one loss transacton or may comprse multple loss transactons all related to the same event. For example, ndvdual losses of $2,000, $6,000, and $2,000 that all relate to a sngle loss event should be consdered one loss (amountng to $20,000) for purposes of calculatng ths tem. Conversely, losses that do not relate to the same event should be consdered separate loss events. For example, a bank may group losses together for certan purposes (e.g., because of smlarty n causal factors), but these losses should be counted separately for reportng purposes f they do not relate to the same event. 2 Total dollar amount of loss events. Report the total dollar amount of nternal loss events used n the model to determne the rsk-based captal requrement for operatonal rsk. 3 Dollar amount of largest loss event. Report the dollar value of the largest sngle nternal loss event used n the model to determne the rsk-based captal requrement for operatonal rsk. The largest nternal loss event should nclude all the loss transactons related to the sngle event. 4 Number of loss events n the followng ranges (e.g., $0,000 and < $00,000). 4a. Less than $0,000 4b. $0,000 to $00,000 4c. $00,000 to $ Mllon 4d. $ Mllon to $0 Mllon 4e. $0 Mllon to $00 Mllon 4f. $00 Mllon to $ Bllon 4g. $ Bllon or Greater For each range, report the total number of nternal losses used n the model to determne the rsk-based captal requrement for operatonal rsk. If the bank has set a threshold for ts nternal loss event data capture and events below that threshold are not captured, that should be reflected by markng 0 n the ranges that are below the threshold. In addton, f no losses have been experenced n a partcular range, report 0 for that tem. The number of losses should be calculated on an event bass to ensure that related losses are counted as a sngle loss. 5 Total dollar amount of losses n the followng ranges (e.g., $0,000 and < $00,000). 5a. Less than $0,000 5b. $0,000 to $00,000 5c. $00,000 to $ Mllon 5d. $ Mllon to $0 Mllon 5e. $0 Mllon to $00 Mllon 5f. $00 Mllon to $ Bllon 5g. $ Bllon or Greater FFIEC 0 S - 3 SCHEDULE S (9-0)

79 FFIEC 0 SCHEDULE S Scenaro Analyss For each range, report the total dollar amount of nternal losses used n the model to determne the rsk-based captal requrement for operatonal rsk. If the bank has set a threshold for ts nternal loss event data capture and events below that threshold are not captured, that should be reflected by markng 0 n the ranges that are below the threshold. In addton, f no losses have been experenced n a partcular range, report 0 for that tem. The dollar amount of losses should be calculated on an event bass to ensure that related losses are summed for purposes of calculatng the total dollar amount for each range. 6 How many ndvdual scenaros were used n calculatng the rsk-based captal requrement for operatonal rsk? Report the total number of scenaros that were used as drect nputs n the model to determne the rsk-based captal requrement for operatonal rsk. 7 What s the dollar value of the largest ndvdual scenaro? Report the dollar value of the largest scenaro used as a drect nput n the model to determne the rsk-based captal requrement for operatonal rsk. 8 Number of scenaros n the followng ranges (e.g., $ Mllon and < $0 Mllon). Dstrbutonal Assumptons Based on the response to tem 6, for each range, report the total number of scenaros used as drect nputs nto the model to determne the rsk-based captal requrement. Report 0 for any ranges where there were no scenaros or they do not apply. 8a. Less than $ mllon 8b. $ Mllon to $0 Mllon 8c. $0 Mllon to $00 Mllon 8d. $00 Mllon to $500 Mllon 8e. $500 Mllon to $ Bllon 8f. $ Bllon or Greater 9 How many unts of measure were used n calculatng the rsk-based captal requrement for operatonal rsk? Report the number of unts of measure for whch a separate dstrbuton of potental operatonal losses s generated by the nsttuton s operatonal rsk quantfcaton system. 20 Frequency Dstrbuton: Across how many ndvdual unts of measure dd the choce of frequency dstrbuton change snce the last reportng perod? Report the total number of unts of measure for whch the statstcal dstrbuton(s) used ths reportng perod to estmate loss frequency dffers from those used n the pror reportng perod. Ths refers to changes n the dstrbuton type. If frequency dstrbutons are not used, leave the tem blank. 2 Severty Dstrbuton: Across how many ndvdual unts of measure dd the choce of severty dstrbuton change snce the last reportng perod? Report the total number of unts of measure for whch the statstcal dstrbuton(s) used ths reportng FFIEC 0 S - 4 SCHEDULE S (9-0)

80 FFIEC 0 SCHEDULE S perod to estmate loss severty dffers from those used n the pror reportng perod. Ths refers to changes n the dstrbuton type. If frequency dstrbutons are not used, leave the tem blank. Loss Caps Items 22 through 24 solct nformaton on the extent to whch such loss caps are used and the levels at whch those caps are set. 22 How many loss caps are used n calculatng the rsk-based captal requrement for operatonal rsk? Report the number of loss caps used to lmt loss sze n the quantfcaton process for determnng the rsk-based captal requrement for operatonal rsk. If loss caps are not used, report 0 for ths tem. 23 What s the dollar amount of the smallest cap used (f applcable)? Report the dollar amount of the smallest cap used to lmt loss sze n the quantfcaton process for determnng the rsk-based captal requrement for operatonal rsk. If 0 s reported n tem 22, leave ths tem blank. 24 What s the dollar amount of the largest cap used (f applcable)? Report the dollar amount of the largest cap used to lmt loss sze n the quantfcaton process for determnng the rsk-based captal requrement for operatonal rsk. If 0 s reported n tem 22, leave ths tem blank. FFIEC 0 S - 5 SCHEDULE S (9-0)