1

DEPARTMENT OF THE TREASURY 

Office of the Comptroller of the Currency 

FEDERAL RESERVE SYSTEM 

FEDERAL DEPOSIT INSURANCE CORPORATION 

DEPARTMENT OF THE TREASURY 

Office of Thrift Supervision 

Proposed Agency Information Collection Activities; Comment Request 

AGENCIES: Office of the Comptroller of the Currency (OCC), Treasury; Board of Governors 

of the Federal Reserve System (Board); Federal Deposit Insurance Corporation (FDIC); and 

Office of Thrift Supervision (OTS), Treasury. 

ACTION: Joint notice and request for comment. 

SUMMARY: In accordance with the requirements of the Paperwork Reduction Act of 1995 (44 

U.S.C. chapter 35), the OCC, the Board, the FDIC, and the OTS (collectively, the agencies) may 

not conduct or sponsor, and the respondent is not required to respond to, an information 

collection unless it displays a currently valid Office of Management and Budget (OMB) control 

number. The Federal Financial Institutions Examination Council (FFIEC), of which the agencies 

are members, has approved the agencies’ publication for public comment of proposed new 

regulatory reporting requirements for banks1

 that qualify for and adopt the Advanced Capital 

Adequacy Framework to calculate their risk-based capital requirement or are in the parallel run 

stage of qualifying to adopt this framework. The proposal describes the scope of reporting and 

the proposed reporting requirements. At the end of the comment period, the comments and 

 

1

 For simplicity, and unless otherwise indicated, this notice uses the term “bank” to include banks, savings 

associations, and bank holding companies (BHCs). The terms “bank holding company” and “BHC” refer only to 

bank holding companies regulated by the Board and do not include savings and loan holding companies regulated by 

the OTS. For a detailed description of the institutions covered by this notice, refer to Part I, Section 1, of the 

proposed regulatory text in the notice of proposed rulemaking entitled Risk-Based Capital Standards: Advanced 

Capital Adequacy Framework. 
2

recommendations received will be analyzed to determine the extent to which the FFIEC should 

modify the proposed reporting requirements prior to giving its final approval. The agencies will 

then submit the proposed reporting requirements to OMB for review and approval and, upon 

approval, OMB will assign control numbers. 

DATES: Comments must be received on or before [INSERT DATE 120 DAYS FROM DATE 

OF PUBLICATION IN THE FEDERAL REGISTER]. 

ADDRESSES: Interested parties are invited to submit written comments to any or all of the 

agencies. All comments will be shared among the agencies. 

 OCC: You may submit comments, identified by “OMB Control No. 1557-NEW,” by any 

of the following methods: 

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

subject line of the message. 

• Fax: (202) 874-4448. 

• Mail: Public Information Room, Office of the Comptroller of the Currency, 250 E Street, 

SW., Mailstop 1-5, Washington, DC 20219; Attention: OMB Control No. 1557-NEW. 

Public Inspection: You may inspect and photocopy comments at the Public Information Room. 

You can make an appointment to inspect the comments by calling (202) 874-5043. 

Board: You may submit comments, which should refer to “Advanced Capital Adequacy 

Framework Regulatory Reporting Requirements,” by any of the following methods: 

• Agency Web Site: http://www.federalreserve.gov. Follow the instructions for submitting 

comments on the http://www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm. 

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

submitting comments. 
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• E-mail: regs.comments@federalreserve.gov. Include “Advanced Capital Adequacy 

Framework Regulatory Reporting Requirements” in the subject line of the message. 

• FAX: 202-452-3819 or 202-452-3102. 

• Mail: Jennifer J. Johnson, Secretary, Board of Governors of the Federal Reserve System, 

20th Street and Constitution Avenue, NW., Washington, DC 20551. 

All public comments are available from the Board’s web site at 

www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm as submitted, unless modified for 

technical reasons. Accordingly, your comments will not be edited to remove any identifying or 

contact information. Public comments may also be viewed electronically or in paper in Room 

MP-500 of the Board’s Martin Building (20th and C Streets, NW.) between 9:00 a.m. and 5:00 

p.m. on weekdays. 

 FDIC: You may submit comments, which should refer to “Advanced Capital Adequacy 

Framework Regulatory Reporting Requirements,” by any of the following methods: 

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

• E-mail: comments@FDIC.gov. Include “Advanced Capital Adequacy Framework 

Regulatory Reporting Requirements” in the subject line of the message. 

• Mail: Steven F. Hanft, Clearance Officer (202-898-3907), Legal Division, Federal Deposit 

Insurance Corporation, 550 17th Street, NW., Washington, DC 20429. 

• Hand Delivery: Comments may be hand delivered to the guard station at the rear of the 550 

17th Street Building (located on F Street) on business days between 7 a.m. and 5 p.m. 

Public Inspection: All comments received will be posted without change to 

http://www.fdic.gov/regulations/laws/federal/propose.html including any personal information 
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provided. Comments may be inspected at the FDIC Public Information Center, Room E-1002, 

3502 North Fairfax Drive, Arlington, VA 22226, between 9 a.m. and 5 p.m. on business days. 

OTS: You may submit comments, identified by “Advanced Capital Adequacy 

Framework Regulatory Reporting Requirements (1550-NEW),” by any of the following 

methods: 

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

submitting comments. 

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

Capital Adequacy Framework Regulatory Reporting Requirements (1550-NEW)” in the subject 

line of the message and include your name and telephone number in the message. 

• Fax: (202) 906-6518. 

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

Supervision, 1700 G Street, NW., Washington, DC 20552, Attention: “Advanced Capital 

Adequacy Framework Regulatory Reporting Requirements (1550-NEW).” 

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

9:00 a.m. to 4:00 p.m. on business days, Attention: Information Collection Comments, Chief 

Counsel’s Office, Attention: “Advanced Capital Adequacy Framework Regulatory Reporting 

Requirements (1550-NEW).” 

Instructions: All submissions received must include the agency name and “Advanced 

Capital Adequacy Framework Regulatory Reporting Requirements (1550-NEW).” All 

comments received will be posted without change to the OTS Internet Site at 

http://www.ots.treas.gov/pagehtml.cfm?catNumber=67&an=1, including any personal 

information provided. 
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Docket: For access to the docket to read background documents or comments received, 

go to http://www.ots.treas.gov/pagehtml.cfm?catNumber=67&an=1. 

In addition, you may inspect comments at the Public Reading Room, 1700 G Street, NW., by 

appointment. To make an appointment for access, call (202) 906-5922, send an e-mail to 

public.info@ots.treas.gov, or send a facsimile transmission to (202) 906-7755. (Prior notice 

identifying the materials you will be requesting will assist us in serving you.) We schedule 

appointments on business days between 10:00 a.m. and 4:00 p.m. In most cases, appointments 

will be available the next business day following the date we receive a request. 

A copy of the comments may also be submitted to the OMB desk officer for the agencies 

by mail to the Office of Information and Regulatory Affairs, U.S. Office of Management and 

Budget, New Executive Office Building, Room 10235, 725 17th Street, NW., Washington, DC 

20503, or by fax to (202) 395-6974. 

FOR FURTHER INFORMATION CONTACT: 

For further information about the proposed regulatory reporting requirements discussed 

in this notice, please contact any of the agency clearance officers whose names appear below. In 

addition, copies of reporting schedules and instructions can be obtained at each agency’s web 

site as well as the FFIEC’s web site.2

OCC: Please direct substantive questions to Lorey Hoffman, Large Bank Director, 

Large Bank Supervision, (202) 874-4595, and requests for copies of the collection to Mary 

Gottlieb, OCC Clearance Officer, or Camille Dickerson, (202-874-5090), Legislative and 

 

2

 For the OCC: http://www.occ.treas.gov; for the FDIC: http://www.fdic.gov; for the OTS: 

http://www.ots.treas.gov; for the Board: http://www.federalreserve.gov/boarddocs/reportforms/review.cfm; and for 

the FFIEC: http://www.ffiec.gov/ffiec_report_forms.htm. 
6

Regulatory Activities Division, Office of the Comptroller of the Currency, 250 E Street, SW., 

Washington, DC 20219.

Board: Michelle Long, Federal Reserve Board Clearance Officer, Division of Research 

and Statistics, Board of Governors of the Federal Reserve System, Washington, DC 20551 (202-

452-3829). 

FDIC: Steven F. Hanft, Clearance Officer, at shanft@fdic.gov, (202-898-3907), Legal 

Division, Federal Deposit Insurance Corporation, 550 17th Street, NW., Washington, DC 

20429. 

OTS: Marilyn K. Burton, OTS Clearance Officer, at marilyn.burton@ots.treas.gov, (202) 

906-6467, or facsimile number (202) 906-6518, Litigation Division, Chief Counsel’s Office, 

Office of Thrift Supervision, 1700 G Street, NW., Washington, DC 20552. 

SUPPLEMENTARY INFORMATION: The agencies are proposing to implement the 

following new information collections. 

Report Title: Advanced Capital Adequacy Framework Regulatory Reporting 

 Requirements. 

Form Numbers: FFIEC 101. 

Frequency of Response: Quarterly. 

Affected Public: Business or other for-profit. 

OCC: 

OMB Number: 1557-NEW. 

Estimated Number of Respondents: 52 national banks. 

Estimated Time per Response: 280 hours. 
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Estimated Total Annual Burden: 58,240 hours. 

Board: 

OMB Number: 7100-NEW. 

Estimated Number of Respondents: 6 state member banks. 

Estimated Time per Response: 280 hours. 

Estimated Total Annual Burden: 6,720 hours. 

 OMB Number: 7100-NEW. 

Estimated Number of Respondents: 15 BHCs. 

Estimated Time per Response: 280 hours. 

Estimated Total Annual Burden: 16,800 hours. 

FDIC: 

OMB Number: 3064-NEW. 

Estimated Number of Respondents: 19 state nonmember banks. 

Estimated Time per Response: 280 hours. 

Estimated Total Annual Burden: 21,280 hours. 

OTS: 

 OMB Number: 1550-NEW. 

Estimated Number of Respondents: 5 savings associations. 

Estimated Time per Response: 280 hours. 

Estimated Total Annual Burden: 5,600 hours. 
8

General Description of Reports 

 These information collections would be mandatory for banks using the Advanced Capital 

Adequacy Framework: 12 U.S.C. 161 (for national banks), 12 U.S.C. 324 and 12 U.S.C. 1844(c) 

(for state member banks and BHCs, respectively), 12 U.S.C. 1817 (for insured state nonmember 

commercial and savings banks), and 12 U.S.C. 1464 (for savings associations). These 

information collections would be given confidential treatment (5 U.S.C. 552(b)(4)) except for 

selected data items to be released for data collected from a reporting entity during periods 

subsequent to its parallel run period (Schedules A and B, and data items 1-7 of Schedule V). 

Abstract

 Each bank that qualifies for and applies the advanced internal ratings-based approach for 

credit risk and the advanced measurement approach for operational risk would file quarterly 

regulatory data for the agencies’ use in assessing and monitoring the levels and components of 

each reporting entity’s risk-based capital requirements and the adequacy of the entity’s capital 

under the Advanced Capital Adequacy Framework. These data also would support the agencies’ 

efforts to evaluate the quantitative impact and competitive implications of the advanced capital 

adequacy framework on individual reporting entities and on an industry-wide basis. The 

reporting schedules would also assist banks in understanding expectations surrounding the 

system development necessary for implementation and validation of the Advanced Capital 

Adequacy Framework. The submitted data that is released publicly would also provide other 

interested parties with information about banks’ risk-based capital. In addition, the submitted 

data would supplement on-site examination processes. 
9

Current Actions 

Risk-Based Capital Standards: Advanced Capital Adequacy Framework: Regulatory 

Reporting Requirements

I. Background 

The agencies have today published a joint notice of proposed rulemaking entitled RiskBased Capital Standards: Advanced Capital Adequacy Framework (the NPR).3

 The NPR 

describes a new regulatory capital framework for U.S. banks that qualify for and adopt the 

advanced internal ratings-based (AIRB) approach for credit risk and the advanced measurement 

approach (AMA) for operational risk (together, the advanced approaches). Included within the 

NPR are requirements for public disclosure of certain information at the consolidated banking 

organization level as well as a reference to certain additional regulatory reporting requirements 

for depository institutions (DIs) and BHCs. The additional regulatory reporting requirements 

referenced within the NPR, and described more fully herein, comprise the agencies’ proposed 

regulatory reporting requirements. 

 The agencies, all of which would have access to both the public and confidential data 

submitted in these schedules by each bank, would use the data collected through this proposal to: 

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

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

requirements; 

• Monitor the levels and components of the risk-based capital requirements for banks 

through peer, outlier, and risk trend analyses; 

 

3

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

the NPR. 
10

• Evaluate the quantitative impact and competitive implications of the implementation of 

the Advanced Capital Adequacy Framework on risk-based capital levels within reporting 

banks and on an overall industry basis; 

• Provide market participants, depositors, the public, supervisors, and other interested 

parties with information about banks’ risk-based capital; and 

• Supplement on-site examination processes and decisions pertaining to the allocation of 

supervisory resources. 

 In addition, this proposal would assist supervised institutions in understanding 

expectations surrounding the system development necessary for implementation and validation 

of the Advanced Capital Adequacy Framework. 

 The agencies require the ability to monitor and assess individual banks’ conformance 

with capital adequacy standards and understand the capital resulting from the implementation of 

the Advanced Capital Adequacy Framework. The current regulatory capital data submitted by 

banks would not provide relevant information regarding risk-based capital under the Advanced 

Capital Adequacy Framework. As a result, the agencies outline in this notice their proposed 

changes in regulatory capital reporting for banks using the Advanced Capital Adequacy 

Framework within the United States. Because the NPR includes transitional arrangements that 

involve capital floors linked to the general risk-based capital rules (as defined in the NPR), the 

agencies believe it is necessary to require data submissions under both the general risk-based 

capital rules and advanced risk-based capital frameworks for as long as a bank is subject to riskbased capital floors. 

 As noted in the NPR, the agencies intend to conduct analyses to gauge the impact of the 

Advanced Capital Adequacy Framework, and the preparedness of banks to compute risk-based 
11

capital consistent with those requirements, during the parallel run and transitional floor periods. 

Data submitted through this proposal, combined with dual reporting requirements for the general 

risk-based capital data,4 would provide quantitative support for these impact analyses. Such 

analyses would also help the agencies evaluate the competitive and cyclical implications of the 

Advanced Capital Adequacy Framework relative to capital requirements for banks subject to the 

general risk-based capital rules and the adequacy of capital generated under the Advanced 

Capital Adequacy Framework. 

 A bank that applies the proposed advanced approaches would generally use its internal 

risk measurement systems to estimate risk parameters for credit risk exposures and to estimate 

operational risk exposure. The bank would use specific risk-based capital formulas to transform 

the risk parameters into risk-weighted asset amounts for each wholesale credit exposure and 

segment of retail credit exposures. For each wholesale credit exposure and segment of retail 

credit exposures, a bank would assign three quantitative risk parameter estimates: probability of 

default (PD), which measures the likelihood that an obligor will default over a one-year horizon; 

loss given default (LGD), which is an estimate of the economic loss if a default occurs during 

downturn economic conditions; and exposure at default (EAD), which is measured in dollars and 

is an estimate of the amount that would be owed to the bank at the time of default. For each 

wholesale credit exposure, the bank would also determine effective maturity (M), which is 

measured in years and reflects the effective remaining maturity of the exposure. These risk 

parameters are the drivers of the bank’s regulatory capital requirement for wholesale and retail 

credit exposures and the focus of much of the proposed regulatory reporting. 

 

4

 General risk-based capital data under the existing risk-based capital standards are currently captured in the 

Consolidated Reports of Condition and Income (Call Report) for banks (Form FFIEC 031 or FFIEC 041; OMB No. 

1557-0081 for the OCC, 7100-0036 for the Board, and 3064-0052 for the FDIC), the Thrift Financial Report (TFR) 

for savings associations (OTS Form 1313; OMB No. 1550-0023), and the Consolidated Financial Statements for 

Bank Holding Companies (Board Form FR Y-9C; OMB No. 7100-0128). 
12

 Under the advanced approaches, a bank would employ simple risk weights to determine 

regulatory capital requirements for certain equity and securitization exposures, and may use 

internal models to determine regulatory capital requirements for other equity and securitization 

exposures, as well as for operational risk. The associated proposed regulatory reporting 

schedules primarily relate to data on inputs to and outputs from these internal models and riskweight functions. 

 Under the advanced approaches, a bank would use its internal systems and processes to 

assess its exposure to operational risk. The proposed operational risk reporting schedule would 

capture some of the critical inputs used by the bank to estimate its operational risk exposure. 

 The agencies believe it is necessary to develop surveillance tools to assist in monitoring 

banks’ risk-based capital measures. Such surveillance tools include the ability to perform bankto-bank comparisons of the risk-based capital drivers underlying banks’ capital measures, the 

ability to identify potential outliers through bank-to-peer comparisons, and the ability to monitor 

banks’ capital measures over time relative to trends in other risk indicators. 

 The agencies believe that certain information about banks’ risk-based capital calculations 

that would be submitted under this proposal should be publicly available to market participants 

and that such disclosures at the bank level are consistent with the agencies’ objectives of 

promoting market discipline as described in part VII of the preamble of the NPR. The agencies 

intend that the public data items contained within this proposal would provide market 

participants with basic, summary-level standardized information about the main components of 

banks’ risk-based capital requirements. The standardized regulatory reporting information that 

would be available to the public should augment the disclosures required for other public 

financial reporting purposes. 
13

 As is true for any off-site surveillance system, the collection of advanced risk-based 

capital data is unlikely to capture the full range and complexity of bank activities. As a result, 

the agencies recognize that it will often not be possible to draw definitive conclusions from an 

analysis of data submissions without further follow-up through on-site supervisory activities. 

Nevertheless, the agencies believe that off-site analyses of the data described in this proposal 

would be helpful in focusing the activities of on-site examiners and deploying supervisory 

resources most effectively. 

In developing this proposal, the agencies weighed several considerations. The factors the 

agencies considered included several trade-offs between reporting burden and the information 

needs of bank supervisors and market participants (for example, the level of reporting granularity 

necessary to produce meaningful comparisons of portfolio-level risks while minimizing reporting 

compliance costs and the potential for collected information to promote more informed decisions 

by market participants against the sensitive and confidential nature of risk estimates embedded 

within the advanced approaches). The agencies have also tried to anticipate and include data that 

meet their long-term data needs because comprehensive requests for data at the inception of a 

new reporting regime typically would be less costly to reporting institutions than the addition of 

items at a later date. The agencies believe this proposal appropriately balances these, and other, 

competing considerations. 

The agencies are publishing the NPR and the regulatory reporting proposal described 

herein at the same time as their notice of proposed rulemaking for the Market Risk Framework 

and its associated regulatory reporting proposal so that the industry, and other interested parties, 

may assess the full impact of the proposed rules. Part of this assessment includes an 

understanding of the requirements of compliant data systems, including the ability to produce 
14

certain high-level capital information for the public and more detailed, but still aggregated, 

summary information about each bank’s capital risk estimates to augment supervisory processes. 

II. Scope and Frequency of Reporting 

 The proposed regulatory reporting requirements associated with the NPR described 

herein would apply, on a consolidated basis, to each BHC and each DI that qualifies for and 

applies the advanced approaches (see Part I, Section 1, of the proposed regulatory text in the 

NPR for a detailed description of the institutions covered by this notice) as well as to those banks 

in the parallel run stage of qualifying to use the advanced approaches (see Part III, Section 21(c) 

of the proposed regulatory text in the NPR). Reporting BHCs and DIs would submit data 

quarterly because efforts to monitor banks’ progress toward, and actions under, the Advanced 

Capital Adequacy Framework require regular and consistent reports from all of the institutions 

adopting this framework. 

 The agencies expect that the report due dates for the proposal described herein would be 

the same as the report due dates currently required of banks, savings associations, and BHCs 

when filing their respective Call Report, TFR, or BHC FR Y-9C report. In addition, the agencies 

expect all banks to meet the existing reporting standards for accuracy and other requirements as 

currently mandated by their primary Federal supervisor. 

 The first reporting period for Schedules A through V for each reporting entity seeking to 

qualify for the advanced approaches would correspond to the first quarter of its parallel run 

period. All data collected from each reporting entity on Schedules A through V, including those 

data items identified as public data items below, would remain confidential during the entity’s 

parallel run period. The data items identified below as public data elements would be available 
15

to the public for each reporting entity for data collected during reporting periods subsequent to 

the entity’s parallel run period. 

 Reporting banks would be required to submit capital information under both this 

reporting proposal and under the existing risk-based capital reporting requirements during both 

the relevant parallel run period and subsequent transitional floor periods.5

 The purpose of this 

dual reporting requirement is threefold: (1) it would facilitate dialogue between supervisors and 

banks as banks bring their systems and data into compliance with supervisory expectations; (2) it 

would allow the agencies to monitor and ensure compliance with existing risk-based capital rules 

during the parallel run period and with those rules that would be in effect during subsequent 

transitional floor periods; and (3) it would aid in supervisors’ development of comparisons of 

risk-based capital results between the Advanced Capital Adequacy Framework and the existing 

risk-based capital frameworks for individual institutions and for the banking industry in the 

aggregate. 

III. Overview of the Data Collection Proposal 

 The agencies believe that banks would produce the data necessary to support supervisory 

analyses as part of their calculation of regulatory capital requirements. Accordingly, the 

regulatory reporting proposal requires certain data that would be publicly available and other 

data that would not be publicly available. Although this reporting proposal has not been 

designed to satisfy the NPR’s Pillar 3 public disclosure requirements, banks may be able to use 

certain data items submitted through this proposal to help satisfy certain public disclosure 

requirements established in the Advanced Capital Adequacy Framework.

 

5

 See footnote 4. 
16

A. Publicly Available Risk-Based Capital Data for the Advanced Approaches 

 Regulatory reporting disclosures that would be publicly available for data collected from 

a reporting bank during periods subsequent to its parallel run period comprise various aggregated 

portfolio drivers of reporting banks’ risk-based capital levels. The intent of these disclosures is 

to provide market participants, depositors, supervisors, the public, and other interested parties 

with a sufficient level of detail (comparable, in principle, to risk-based capital information 

collected currently) about banks’ major capital and risk-weighted asset components as well as 

summary information about the composition of regulatory capital and the risk parameters that 

underlie risk-weighted asset calculations. 

 Proposed Schedules A and B (and data items 1-7 of proposed Schedule V, Operational 

Risk) show the data items that would be publicly available for each reporting entity for reporting 

periods subsequent to its parallel run period. Schedule A contains information about the 

components of Tier 1 capital, Tier 2 capital, and adjustments to regulatory capital as defined 

within the NPR.6

 Schedule B contains summary information about risk-weighted assets by risk 

type, and, in the case of credit risk exposures, outstanding balances and aggregated information 

about the drivers and estimates that underlie the calculation of risk-weighted assets. The general 

exposure breakdowns in Schedule B are as follows: Wholesale Exposures (including separate 

reporting for the following types of exposures: Corporate; Bank; Sovereign; Construction 

Income Producing Real Estate; High Volatility Commercial Real Estate; Income Producing Real 

 

6

 One version of Schedule A would apply to banks and BHCs and another version of Schedule A would apply to 

savings associations. The version for banks and BHCs is modeled after the portion of the Call Report and BHC 

FR Y-9C report used to capture information on the components of and adjustments to Tier 1 and Tier 2 capital under 

the existing risk-based capital standards. Similarly, the version of Schedule A for savings associations is modeled 

after the portion of the TFR used to capture such information under the existing standards. In addition, to the extent 

the information collected in the Call Report, BHC FR Y-9C report, and TFR on the components of and adjustments 

to Tier 1 and Tier 2 capital under the existing standards is revised, e.g., for changes in the fair value of liabilities to 

which a fair value option is applied that are attributable to changes in a reporting entity’s own creditworthiness, 

corresponding revisions would be made to Schedule A. 
17

Estate; Eligible Margin Loans, Repo-Style Transactions, and OTC Derivatives with Cross 

Product Netting; Eligible Margin Loans, Repo-Style Transactions, and OTC Derivatives without 

Cross Product Netting); Retail Exposures (including separate reporting for the following types of 

exposures: Residential Mortgage Closed-end First Liens, Residential Mortgage Closed-end 

Junior Liens, Residential Mortgage Revolving Exposures, Qualifying Revolving Exposures 

Credit Cards, Qualifying Revolving Exposures All Other, Other Retail Small Business, and 

Other Retail All Other); Securitization Exposures; Equity Exposures; and Operational Risk. The 

aggregate data items submitted in Schedule B are derived from information contained in the 

more detailed confidential supporting schedules described below. The exposures and risk 

parameters used to calculate these aggregations would apply the definitions contained in the 

NPR. The data contained in Schedule B describe the main summary-level components of banks’ 

risk-weighted assets, but would not allow users to exactly replicate banks’ risk-weighted asset 

calculations since the data are averaged, weighted, and rounded. 

B. Non-publicly Available Risk-Based Capital Data for the Advanced Approaches 

 The confidential data submitted in these schedules by each bank would be shared among 

the four agencies but would not be released to the public. Data items that would not be publicly 

available comprise additional, but still aggregated, detail about the main data items and drivers of 

reporting banks’ risk-based capital levels. With respect to credit portfolios, the focus of these 

more detailed reports is to collect information at the level of supervisory PD bands that broadly 

reflect risk segments within each portfolio. The proposed reports would enable supervisors to 

conduct off-site assessments of banks’ regulatory capital calculations, perform trend analyses of 

capital changes, conduct peer analyses of capital and risk parameters, and focus on-site 

examination efforts. 
18

 The data items contained in Schedules C through V describe the main components of 

banks’ risk-weighted assets and are essentially expanded detail of the more summary information 

contained in the public data items shown in Schedule B. The data submitted in these schedules 

would not be made available to the public (except for data items 1-7 of Schedule V, Operational 

Risk, which are proposed to become public information for each reporting entity for data 

collected during periods subsequent to its parallel run reporting period). Supervisors are 

requesting these data to support comparisons of certain critical capital drivers across banks and 

across time. For the reasons cited previously, however, the information contained in the columns 

of the tables would not allow users to exactly replicate banks’ risk-weighted asset calculations. 

 A brief description of the content of Schedules C through V follows. As with the 

publicly available information described above, the exposures and risk parameters used to 

calculate these aggregations would apply the definitions contained in the NPR. 

Wholesale Exposures

Schedules C through K show data items within the wholesale exposure category that 

would be submitted under this proposal. Each schedule represents a sub-portfolio of the 

wholesale exposure category as listed on the public Schedule B. For each reported sub-portfolio, 

the schedule groups exposures into sub-portfolio segments using supervisor-defined PD ranges. 

The reported cells within these schedules then describe the main risk parameters and 

characteristics of each sub-portfolio segment. 

Retail Exposures

Schedules L through R show data items within the retail exposure category that would be 

submitted under this proposal. Again, each schedule represents a sub-portfolio of the retail 

exposure category as listed on the public Schedule B. PD ranges are used to sub-divide each 
19

sub-portfolio into segments.7

 The reported cells within these schedules then describe the main 

risk parameters and characteristics of each sub-portfolio segment. The retail schedules also 

incorporate risk characteristics that are believed to be commonly used drivers within banks’ risk 

management and measurement processes, including the distribution of each sub-portfolio 

segment by loan-to-value ranges (applies only to real estate exposures), weighted average credit 

bureau score, and weighted average account age.8

Securitization Exposures

Schedules S and T show data items within the securitization exposure class that would be 

submitted under this proposal. Schedule S provides information by rating categories about 

exposures subject to either the Ratings-Based Approach (RBA) or the Internal Assessment 

Approach (IAA). Schedule T provides certain memoranda information about unrated 

securitization exposures, exposures treated under the Supervisory Formula Approach, synthetic 

securitizations, and risk-weighted assets relating to early amortization features of securitizations 

as prescribed in the NPR.9

Equities 

Schedule U provides information about a bank’s equity exposures by type of exposure and by 

approach to measuring required capital. Schedule U also provides information on equity 

exposures subject to specific risk weights and equity exposures to investment funds. A bank 

would also complete the appropriate section of the schedule based on whether it uses a simple 

risk-weight approach, a full internal models approach, or a partially modeled approach to 

measuring required capital for equity exposures. 

 

7

 Unlike the wholesale credit exposure reporting schedules, the PD ranges for retail exposures differ from subportfolio to sub-portfolio. 

8

 For qualifying and other non-mortgage retail exposures, the EAD of accounts under two years old is reported 

instead of weighted average age for each sub-portfolio exposure segment. 

9

 Amounts are further broken down by retail and non-retail. 
20

Operational Risk

Schedule V shows the data items within the operational risk exposure class that banks 

would submit under this proposal. Data items submitted in this schedule include various details 

about historical operational losses, on a stand-alone and group-wide basis, for the current 

reporting period and those historical operational losses used to model operational risk capital. 

The schedule also contains data items related to scenarios, distribution assumptions, and loss 

caps used to model operational risk capital. 

IV. Request for Comment 

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

encourage banks and other interested parties to comment on such matters as data availability, 

data alternatives, and reporting thresholds for each proposal for new data. The agencies are 

particularly interested in responses to the questions that follow relating to certain key aspects of 

the proposal and potential data collection alternatives. 

 

 (1) The agencies seek comment from the industry concerning the feasibility of collecting 

certain additional information beyond that described in this proposal. The purpose of this 

additional information is to help identify the causes of changes in credit risk regulatory capital 

requirements (for example, due to changes in exposure mix or changes in the bank’s assessment 

of risk). 

 To facilitate such analyses, reporting banks would be required to submit additional data 

items that summarize current and previous risk parameters for exposures that were in wholesale 

and retail credit portfolios as of the previous reporting period (for example, prior quarter, prior 

year) -- the “lookback” portfolio. The intent of this lookback-portfolio approach would be to 
21

allow the agencies to better identify reasons for observed changes in regulatory credit risk capital 

requirements and allow for peer comparisons of changes from period to period. 

 A lookback-portfolio approach would require additional data collection and processing. 

For example, banks would need to retain data on the internal risk rating category to which each 

exposure was previously assigned, and the previous EAD of each exposure. The agencies 

believe that this data maintenance requirement is consistent with supervisory expectations 

described in the NPR and proposed AIRB guidance in that banks subject to the Advanced 

Capital Adequacy Framework are expected to be able to evaluate and explain changes in risk 

parameters in order to assess their risk parameter estimation procedures. 

The agencies specifically seek industry comment on the following questions: 

• What aggregate summary information might banks submit that best describes or 

characterizes period-to-period migration across internal rating grades or retail 

segments? 

• If such information were required, are there particular formats or other considerations 

that would reduce the reporting burden for banks? 

 (2) The agencies are considering another alternative reporting treatment with respect to 

the wholesale and retail portions of the above proposal (Schedules C-R). This alternative 

treatment would complement the lookback-portfolio approach just described but could be 

implemented whether or not the lookback-portfolio approach was implemented. Under this 

approach, banks would submit data according to each of their internal obligor rating grades or 

segments, rather than in the fixed bands defined in the current regulatory reporting proposal. In 

this case, each reporting bank could submit a different number of rows corresponding to the 
22

number of internal risk rating/segmentation categories employed by that bank for the given 

portfolio. 

The agencies specifically seek industry comment on the following question: 

• Would reporting burden be lessened if banks submitted data using internally-defined 

obligor grades or segments, rather than aggregating the grades or segments in 

supervisory reporting bands? 

 (3) The agencies request comment on the appropriateness of making the data items on 

Schedules A and B and data items 1 through 7 of the operational risk reporting schedule 

(Schedule V) available to the public for each reporting entity for data collected during periods 

subsequent to its parallel run reporting periods as currently proposed. Comments are requested 

on the extent to which banks are already providing these data to the public or are planning to 

make such data public as well as the timing of these disclosures. In addition, comments are 

requested on the perceived risks associated with public reporting of these data items. 

 (4) What changes in the proposed regulatory reporting requirements for the Advanced 

Capital Adequacy Framework, including additional data or definitions, would better assist the 

agencies in reaching their stated goals? In this regard, the agencies also seek input on possible 

alternative ways to capture the requested information and the appropriateness of the requested 

data given the stated purposes of the information collections and the associated reporting burden. 

Paperwork Reduction Act

 The agencies seek comment on:
23

(a) Whether the proposed collections of information are necessary for the proper performance of 

the agencies’ functions, including whether the information has practical utility; 

(b) The accuracy of the agencies’ estimates of the burden of the proposed information 

collections, including the validity of the methodology and assumptions used; 

(c) Ways to enhance the quality, utility, and clarity of the information to be collected; 

(d) Ways to minimize the burden of the information collections on respondents, including 

through the use of automated collection techniques or other forms of information technology; 

and 

(e) Estimates of capital or start up costs and costs of operation, maintenance, and purchase of 

services to provide information. 

Comments submitted in response to this joint notice will be shared among the agencies 

and will be summarized or included in the agencies’ requests for OMB approval. All comments 

will become a matter of public record. 
24

[THIS SIGNATURE PAGE PERTAINS TO THE JOINT NOTICE AND REQUEST FOR 

COMMENT, “AGENCY INFORMATION COLLECTION ACTIVITIES; COMMENT 

REQUEST”] 

Dated: 

Stuart E. Feldstein,

Assistant Director, Legislative and Regulatory Activities Division, 

Office of the Comptroller of the Currency.
25

[THIS SIGNATURE PAGE PERTAINS TO THE JOINT NOTICE AND REQUEST FOR 

COMMENT, “AGENCY INFORMATION COLLECTION ACTIVITIES; COMMENT 

REQUEST”] 

Board of Governors of the Federal Reserve System, , 2006. 

 

Jennifer J. Johnson 

Secretary of the Board. 
26

[THIS SIGNATURE PAGE PERTAINS TO THE JOINT NOTICE AND REQUEST FOR 

COMMENT, “AGENCY INFORMATION COLLECTION ACTIVITIES; COMMENT 

REQUEST”] 

Dated at Washington, D.C., this day of , 2006. 

FEDERAL DEPOSIT INSURANCE CORPORATION 

 

Robert E. Feldman 

Executive Secretary 
27

[THIS SIGNATURE PAGE PERTAINS TO THE JOINT NOTICE AND REQUEST FOR 

COMMENT, “AGENCY INFORMATION COLLECTION ACTIVITIES; COMMENT 

REQUEST”] 

Dated: 

_________________________________ 

Deborah Dakin,

Senior Deputy Chief Counsel, 

Regulations and Legislation Division, 

Office of Thrift Supervision.

Billing Codes

OCC: 4810-33-P 1/4 

Board: 6210-01-P 1/4 

FDIC: 6714-01-P 1/4 

OTS: 6720-01-P 1/4 
Draft 8/29/06 

FFIEC 101 

1

Reporting Under the Advanced Internal Ratings-Based and 

Advanced Measurement Approaches 

Schedules A through V 
Draft 8/29/06 

FFIEC 101 

2

Schedule A - ADVANCED RISK-BASED CAPITAL (Calculation of 

Numerator and Ratios for banks and bank holding companies) 

Tier 1 capital 

1. Total equity capital ................................................................................................................... 

2. LESS: Net unrealized gains (losses) on available-for-sale securities1 (if a gain, report as a 

positive value; if a loss, report as a negative value) ......................................................................... 

3. LESS: Net unrealized loss on available-for-sale EQUITY securities1 (report loss as a positive 

value) ............................................................................................................................................... 

4. LESS: Accumulated net gains (losses) on cash flow hedges1 (if a gain, report as a positive 

value; if a loss, report as a negative value) ....................................................................................... 

5. LESS: Nonqualifying perpetual preferred stock ................................................................................ 

6. Qualifying minority interests in consolidated subsidiaries .................................................................

7. LESS: Disallowed goodwill and other disallowed intangible assets .................................................. 

8. Subtotal (sum of items 1 and 6, less items 2, 3, 4, 5, and 7) ............................................................ 

9. a. LESS: Disallowed servicing assets and purchased credit card relationships ..................... 

b. LESS: Disallowed deferred tax assets .................................................................. 

c. LESS: Shortfall of eligible credit reserves below total expected credit losses (50% of shortfall 

 plus tier 2 carryover)* .............................................................................. 

d. LESS: Gain-on-sale associated with securitization exposures.................................... 

e. LESS: Certain failed capital markets transactions (50% of deductions plus tier 2 carryover)* 

f. LESS: Other securitization deductions (50% of deductions plus tier 2 carryover)* ....... 

 ................................................... 

10. Other additions to (deductions from) Tier 1 capital .......................................................................... 

11. Tier 1 capital (sum of items 8 and 10, less items 9.a through 9.f) ........................................................ 

Tier 2 capital 

12. Qualifying subordinated debt and redeemable preferred stock ........................................................ 

13. Qualifying cumulative perpetual preferred stock includible in Tier 2 capital ...................................... 

14. Excess of eligible credit reserves over total expected credit losses (up to .60% of credit risk-weighted 

 assets)** ............................................................................................................................................. 

15. Unrealized gains on available-for-sale equity securities includible in Tier 2 capital .......................... 

16. Other additions to (deductions from) Tier 2 capital ....................................................................... 

17. Adjustments to Tier 2 capital 

 a. LESS: Shortfall of eligible credit reserves below total expected credit losses (up to lower of 

 50% of the shortfall or amount of tier 2 capital).......................................... 

 b. LESS: Certain failed capital markets transactions (up to the lower of 50% of shortfall or amount 

 of tier 2 capital)................................................... 

 c. LESS: Other securitization deductions (up to lower of 50% of shortfall or amount of tier 2 

 capital) .............................................................................................. 

18. Tier 2 capital (sum of items 12 through 16, less item 17.a through 17.c).................................. 

19. Allowable Tier 2 capital (lesser of item 11 or 18) ............................................................................... 

20. Tier 3 capital allocated for market risk................................................................................................ 

21. LESS: Deductions from total risk-based capital................................................................... 

22. Total risk-based capital (sum of items 11, 19, 20, less item 21) ................................................. 

Total assets for leverage ratio 

23. Average total assets ....................................................................................................................... 

24. LESS: Disallowed goodwill and other disallowed intangible assets (from item 7 above) ................. 

25. LESS: Disallowed servicing assets and purchased credit card relationships (from item 9.a above) 

26. LESS: Disallowed deferred tax assets (from item 9.b above) ........................................................... 

27. LESS: Other deductions from assets for leverage capital purposes ................................................. 

28. Average total assets for leverage capital purposes (item 23 less items 24 through 27) ................... 

Adjustments for financial subsidiaries 

29. a. Adjustment to Tier 1 capital reported in item 11 .................................................................... 

b. Adjustment to total risk-based capital reported in item 22.................................................... 

30. Adjustment to risk-weighted assets ................................................................................................. 

31. Adjustment to average total assets reported in item 28 ....................................................................
Draft 8/29/06 

FFIEC 101 

3

Capital ratios 

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

32. Tier 1 leverage ratio2 .................................................... 

33. Tier 1 risk-based capital ratio3 ................................................... 

34. Total risk-based capital ratio4 ....................................................

35. Eligible credit reserves............................................... 

36. Total expected credit losses............................................... 

*Tier 2 carryover is the amount by which 50% of the deductions (i) for the shortfall of eligible credit reserves below total 

expected credit losses or (ii) certain failed capital markets transactions, or (iii) other securitization deductions exceed 

actual tier 2 capital. 

** The term credit risk weighted assets for purposes of computing the amount of excess eligible credit reserves 

includable in tier 2 capital refers to the sum of: (i) total wholesale and retail risk-weighted assets; (ii) risk-weighted 

assets for securitization exposures; and (iii) risk-weighted assets for equity exposures. 

1 Report amount included in Schedule RC of the Call Report, item 26.b, “Accumulated other comprehensive income.” 

2 The ratio for column B is item 11 divided by item 28. The ratio for column A is item 11 minus item 29.a divided by (item 28 minus 

item 31). 

3 The ratio for column B is item 11 divided by total risk-weighted assets (Schedule B, item 31). The ratio for column A is item 11 

minus item 29.a divided by (Schedule B, item 31, minus item 30). 

4 The ratio for column B is item 22 divided by total risk-weighted assets (Schedule B, item 31). The ratio for column A is item 22 

minus item 29.b divided by (Schedule B, item 31, minus item 30).

(Column A) (Column B) 

Percentage Percentage 

 

 

 
Draft 8/29/06 

FFIEC 101 

4

A

Weighted 

Average 

Probability 

of Default* 

(%) 

B

Balance 

Sheet 

Amount **

($)

C

Total Undrawn 

Amount

($)

D

Exposure at 

Default

($)

E

Weighted 

Average 

Maturity 

(Years)

F

Wtd Avg LDG af

consideration 

eligible guarante

and credit 

derivatives 

(%)

Wholesale Exposures

1 Corporate2 Bank3 Sovereign4 Construction IPRE5 HVCRE6 IPRE7

 Eligible margin loans, repo-style transactions and OTC Derivatives with Cross Product Netting - EAD Adjusted

8

 Eligible margin loans, repo-style transactions and OTC Derivatives with  Cross Product Netting - LGD Adjusted

9

Eligible margin loans, repo-style transactions - No Cross Product Netting -

 EAD Adjusted

10

 Eligible margin loans, repo-style transactions - No Cross Product Netting - LGD Adjusted

11 OTC Derivatives - No Cross Product Netting - EAD Adjusted12 OTC Derivatives - No Cross Product Netting - LGD Adjusted

Retail ExposuresResidential Mortgage Exposures

13 Closed-end First Lien Exposures14 Closed-end Junior Lien Exposures15 Revolving Exposures

Qualifying Revolving Exposures

16 Credit Cards17 All Other

Other Retail Exposures

18 Small Business19 All Other 

Securitization Exposures

20 Subject to Ratings-based Approach21 Subject to Internal Assessment Approach22 Subject to the Supervisory Formula23 Investors' Interest Subject to Early Amortization Charge

Equity Exposures

24 Excluded from Simple Risk Weight Method or Internal Models Approach25 Simple Risk Weight Method26 Internal Models Approach27 Market Risk Equivalent Assets28 Operational Risk

Other Assets

29 Assets Not Subject to the Internal Ratings-Based Approach30 Immaterial Exposures31 TOTAL

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

Schedule B

Summary Risk-weighted Asset Information for Banks Approved to Use Advanced Int

Based and Advanced Measurement Approaches for Regulatory Capital Purp

Exposure Category

Non-Defaulted and Defaulted Exposures
Draft 8/29/06 

FFIEC 101 

5

1 <0.152 0.15 to < 0.253 0.25 to < 0.354 0.35 to < 0.505 0.50 to< 0.756 0.75 to < 1.357 1.35 to < 2.58 2.5 to < 5.59 5.5 to < 10

10 10 to < 2011 20 to < 10012 100 (default) 10013 TOTAL ** wtd avg sum sum sum sum wtd avg wtd avg wtd avg sum sum 1415

* In estimating obligor PD, do not include effects of credit risk mitigation (guarantees, credit derivatives and collateral).

** Cells in line 13 are calculated.*** Not calculated from previous column entries.  Report weighted average ELGD only if using own internal estimates of LGD. Otherwise, do not report. Risk Weighted Assets associated with immaterial exposures not included above

F

Weighted 

Average 

Maturity 

(Years)

H1

 Effect of PD 

substitution and 

LGD adjustment 

approaches on 

RWA 

($)

Subcategory weighted average Expected LGD** **

H2

Effect of 

Double Defau

Treatment on 

RWA ($)

G1

Weighted Average 

LGD before 

consideration of 

eligible 

guarantees and 

credit derivatives 

(%)

Wholesale Exposure - Schedule C - Corporate 

A

Weighted 

Average 

Obligor PD*

(%)

C

Balance Sheet 

Amount

 ($)

D

Total Undrawn 

Amount 

($)

E

EAD 

($)

B

Number of 

Obligors PD Range 

(%)

G2 

Weighted Average 

LGD after 

consideration of 

eligible 

guarantees and 

credit derivatives 

(%)
Draft 8/29/06 

FFIEC 101 

6

G1

Weighted 

Average LGD 

before 

consideration of 

eligible 

guarantees and 

credit derivatives 

(%)

1 <0.152 0.15 to < 0.253 0.25 to < 0.354 0.35 to < 0.505 0.50 to< 0.756 0.75 to < 1.357 1.35 to < 2.58 2.5 to < 5.59 5.5 to < 10

10 10 to < 2011 20 to < 10012 100 (default) 10013 TOTAL** wtd avg sum sum sum sum wtd avg wtd avg wtd avg sum 1415

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

Wholesale Exposure - Schedule D - Bank

F

Weighted 

Average 

Maturity 

(Years)

E

EAD 

($)

PD Range 

(%)

H

 Effect of PD 

substitution and 

LGD adjustment 

approaches on 

RWA 

($)

A

Weighted 

Average 

Obligor PD*

(%)

B

Number of 

Obligors 

C

Balance Sheet 

Amount

 ($)

D

Total Undrawn 

Amount 

($)

Risk Weighted Assets associated with immaterial exposures not included aboveSubcategory weighted average Expected LGD****

G2 

Weighted Average 

LGD after 

consideration of 

eligible guarantees 

and credit 

derivatives (%)
Draft 8/29/06 

FFIEC 101 

7

G1

Weighted 

Average LGD 

before 

consideration of 

eligible 

guarantees and 

credit derivatives 

(%)

1 <0.152 0.15 to < 0.253 0.25 to < 0.354 0.35 to < 0.505 0.50 to< 0.756 0.75 to < 1.357 1.35 to < 2.58 2.5 to < 5.59 5.5 to < 10

10 10 to < 2011 20 to < 10012 100 (default) 10013 TOTAL** wtd avg sum sum sum sum wtd avg wtd avg wtd avg sum 1415

* In estimating obligor PD, do not include effects of credit risk mitigation (guarantees, credit derivatives and collateral).

** Cells in line 13 are calculated.*** Not calculated from previous column entries.  Report weighted average ELGD only if using own internal estimates of LGD. Otherwise, do not report. 

Wholesale Exposure - Schedule E - Sovereign

G2 

Weighted Average 

LGD after 

consideration of 

eligible guarantees 

and credit 

derivatives (%)

Subcategory weighted average Expected LGD** **

PD Range 

(%)

A

Weighted 

Average 

Obligor PD*

(%)

B

Number of 

Obligors 

C

Balance Sheet 

Amount

 ($)

Risk Weighted Assets associated with immaterial exposures not included above

E

EAD 

($)

F

Weighted 

Average 

Maturity 

(Years)

H

 Effect of PD 

substitution and 

LGD adjustmen

approaches on 

RWA 

($)

D

Total Undrawn 

Amount 

($)
Draft 8/29/06 

FFIEC 101 

8

1 <0.152 0.15 to < 0.253 0.25 to < 0.354 0.35 to < 0.505 0.50 to< 0.756 0.75 to < 1.357 1.35 to < 2.58 2.5 to < 5.59 5.5 to < 10

10 10 to < 2011 20 to < 10012 100 (default) 10013 TOTAL** wtd avg sum sum sum sum wtd avg wtd avg wtd avg sum sum 1415

* In estimating obligor PD, do not include effects of credit risk mitigation (guarantees, credit derivatives and collateral).

** Cells in line 13 are calculated.*** Not calculated from previous column entries.**** Report weighted average ELGD only if using own internal estimates of LGD. Otherwise, do not report. 

H2

Effect o

Double De

Treatment 

RWA ($

Wholesale Exposure - Schedule F - Construction IPRE

A

Weighted 

Average 

Obligor PD*

(%)

B

Number of 

Obligors 

C

Balance Sheet 

Amount

 ($)

D

Total Undrawn 

Amount 

($) PD Range (%)

G1

Weighted Average 

LGD before 

consideration of 

eligible 

guarantees and 

credit derivatives 

(%)

Subcategory weighted average Expected LGD****

G2 

Weighted Average 

LGD after 

consideration of 

eligible 

guarantees and 

credit derivatives 

(%)

F

Weighted 

Average 

Maturity 

(Years)

H1

 Effect of PD 

substitution and 

LGD adjustment 

approaches on 

RWA 

($)

E

EAD 

($)

Risk Weighted Assets associated with immaterial exposures not included above
Draft 8/29/06 

FFIEC 101 

9

1 <0.152 0.15 to < 0.253 0.25 to < 0.354 0.35 to < 0.505 0.50 to< 0.756 0.75 to < 1.357 1.35 to < 2.58 2.5 to < 5.59 5.5 to < 10

10 10 to < 2011 20 to < 10012 100 (default) 10013 TOTAL** wtd avg sum sum sum sum wtd avg wtd avg wtd avg sum 1415

* In estimating obligor PD, do not include effects of credit risk mitigation (guarantees, credit derivatives and collateral).

** Cells in line 13 are calculated.*** Not calculated from previous column entries.**** Report weighted average ELGD only if using own internal estimates of LGD. Otherwise, do not report. 

A

Weighted 

Average 

Obligor PD*

(%)

B

Number of 

Obligors 

C

Balance Sheet 

Amount

 ($)

D

Total Undrawn 

Amount 

($)

E

EAD 

($)

F

Weighted 

Average 

Maturity 

(Years)

G2 

Weighted Average 

LGD after 

consideration of 

eligible guarantees 

and credit 

derivatives (%)

G1

Weighted 

Average LGD 

before 

consideration of 

eligible 

guarantees and 

credit derivatives 

(%)

Wholesale Exposure - Schedule G - HVCRE

Risk Weighted Assets associated with immaterial exposures not included aboveSubcategory weighted average Expected LGD****

PD Range 

(%)

E

T

o

H1

 Effect of PD 

substitution and 

LGD adjustment 

approaches on 

RWA 

($)
Draft 8/29/06 

FFIEC 101 

10

1 <0.152 0.15 to < 0.253 0.25 to < 0.354 0.35 to < 0.505 0.50 to< 0.756 0.75 to < 1.357 1.35 to < 2.58 2.5 to < 5.59 5.5 to < 10

10 10 to < 2011 20 to < 10012 100 (default) 10013 TOTAL** wtd avg sum sum sum sum wtd avg wtd avg wtd avg sum 1415

* In estimating obligor PD, do not include effects of credit risk mitigation (guarantees, credit derivatives and collateral).

** Cells in line 13 are calculated.*** Not calculated from previous column entries.**** Report weighted average ELGD only if using own internal estimates of LGD. Otherwise, do not report. 

Wholesale Exposure - Schedule H - IPRE

G2 

Weighted Average 

LGD after 

consideration of 

eligible guarantees 

and credit 

derivatives (%)

F

Weighted 

Average 

Maturity 

(Years)

E

EAD 

($)

E

Tr

o

PD Range 

(%)

A

Weighted 

Average 

Obligor PD*

(%)

B

Number of 

Obligors 

C

Balance Sheet 

Amount

 ($)

Risk Weighted Assets associated with immaterial exposures not included aboveSubcategory weighted average Expected LGD****

H1

 Effect of PD 

substitution and 

LGD adjustment 

approaches on 

RWA 

($)

D

Total Undrawn 

Amount 

($)

G1

Weighted 

Average LGD 

before 

consideration of 

eligible 

guarantees and 

credit derivatives 

(%)
Draft 8/29/06 

FFIEC 101 

11

1 0.00 to < 0.032 0.03 to < 0.053 0.05 to < 0.104 0.10 to < 0.255 0.25 to < 0.506 0.50 to < .757 0.75 to < 1.358 1.35 to < 2.509 2.50 to < 5.50

10 5.50 to < 10.0011 10.00 to < 100.0012 100 (default) 10013 TOTAL wtd ave sum wtd ave sum sum sum sum wtd ave sum wtd ave sum s

Report all Eligible Margin Loans and OTC derivatives wherever booked provided that a cross product netting agreement is in place. Do not include credit default swaps or total rate of return swaps used to h

* Not calculated from previous column entries.

Wholesale Exposure Schedule I - Eligible Margin Loans, Repo-Style Transactions and OTC Derivatives WITH CROSS-PRODUCT 

Exposures with EAD Adjustment Exposures with LGD Adjustme

G

Expected 

Credit Losses

($)

D

EAD 

($)

E

Weighted 

Average LGD 

(%)

F

Risk Weighted 

Assets PostCRM*

($)

H

Weighted 

Average PD 

(%)

We

Avera

B

Number of 

Counterparties

K

EAD 

($) PD Range 

(%)

A

Weighted 

Average PD 

(%)

C

Weighted 

Average 

Maturity 

(Years)

I

Number of 

Counterparties

J

Weighted 

Average 

Maturity 

(Years)
Draft 8/29/06 

FFIEC 101 

12

1 0.00 to < 0.032 0.03 to < 0.053 0.05 to < 0.104 0.10 to < 0.255 0.25 to < 0.506 0.50 to < .757 0.75 to < 1.358 1.35 to < 2.509 2.50 to < 5.50

10 5.50 to < 10.0011 10.00 to < 100.0012 100 (default) 10013 TOTAL wtd ave sum wtd ave sum sum sum sum wtd ave sum wtd ave sum s

M1 M2 M3

Collateral 

Haircut Simple VaR

Internal 

Models

14

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

Wholesale Exposure Schedule J - Eligible Margin Loans and Repo-Style Transactions

D

EAD 

($)

Exposures with EAD Adjustment Exposures with LGD Adjustme

K

EAD 

($)

A

Weighted 

Average PD 

(%)

G

Expected 

Credit Losses

($)

C

Weighted 

Average 

Maturity 

(Years)

PD Range 

(%)

O EAD 

Adjustment Method (%):

We

Avera

I

Number of 

Counterparties

F

Risk Weighted 

Assets PostCRM*

($)

H

Weighted 

Average PD 

(%)

E

Weighted 

Average LGD 

(%)

B

Number of 

Counterparties

J

Weighted 

Average 

Maturity 

(Years)
Draft 8/29/06 

FFIEC 101 

13

1 0.00 to < 0.032 0.03 to < 0.053 0.05 to < 0.104 0.10 to < 0.255 0.25 to < 0.506 0.50 to < .757 0.75 to < 1.358 1.35 to < 2.509 2.50 to < 5.50

10 5.50 to < 10.0011 10.00 to < 100.0012 100 (default) 10013 TOTAL wtd ave sum wtd ave sum sum sum sum wtd ave sum wtd ave sum s

M1 M2

Collateral 

Haircut

Internal 

Models

14

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

Wholesale Exposure Schedule K - OTC Derivatives

D

EAD 

($)

E

Weighted 

Average LGD 

(%)

F

Risk Weighted 

Assets PostCRM*

($)

PD Range 

(%)

A

Weighted 

Average PD 

(%)

C

Weighted 

Average 

Maturity 

(Years)

Exposures with EAD Adjustment Exposures with LGD Adjustme

H

Weighted 

Average PD 

(%)

J

Weighted 

Average 

Maturity 

(Years)

K

EAD 

($)

We

Avera

I

Number of 

Counterparties

O EAD 

Adjustment Method (%):

B

Number of 

Counterparties

G

Expected 

Credit Losses

($)
Draft 8/29/06 

FFIEC 101 

14

PD Range 

(%)

A

Weighted 

Average 

PD 

(%) 

B

Number of 

Accounts

C

Total 

Balance 

Sheet 

Amount 

($)

D

Total 

Undrawn 

Amount

($)

E

EAD

($)

F

Weighted 

Average 

Age

(Months)

G1

 Weighted 

Average LGD 

before 

consideration of 

eligible 

guarantees and 

credit derivatives 

(%)

G2

Weighted Average 

LGD after 

consideration of 

eligible guarantees 

and credit 

derivatives (%)

H

Risk 

Weighted 

Assets***

($)

I

Expected 

Credit Loss 

($)

J

Less 

Than 

70%

($)

K

At Least 70% but 

less than 

80%

($)

L

At Least 80% but 

less than 

90%

($)

M

At Le

90% bu

more t

100%

($)

1 0.00 to < 0.05 2 0.05 to < 0.103 0.10 to < 0.154 0.15 to < 0.205 0.20 to < 0.256 0.25 to < 0.357 0.35 to < 0.508 0.50 to < 0.759 0.75 to < 1.35

10 1.35 to < 2.5011 2.50 to < 5.5012 5.50 to < 10.0013 10.00 to < 20.0014 20.00 to < 10015 100 Default 10016 TOTAL ** wtd avg sum sum sum sum wtd avg wtd avg wtd avg sum sum sum sum sum sum 17 Risk Weighted Assets associated with immaterial exposures not included above18 Subcategory weighted average Expected LGD*****19 Credit scores shown in Column O are from which credit scoring system(s)?

* LTV cell values are cumulative EAD totals. LTV values are calculated by combining any junior lien amounts with the exposure amounts applicable to this report.** Cells in line 16 are calculated.*** Not calculated from previous column entries.  Report the EAD of accounts that are included in the segments reported in this row where the LTV has been updated since the last report date for portfolio management purposes, that i refreshed assessment of the collateral value. If LTVs were not updated for any accounts in the segments reported in the row since the last report date, report 0.** *** Report weighted average ELGD only if using own internal estimates of LGD. Otherwise, do not report. 

Retail Exposure - Schedule L - Residential Mortgage - Closed-end First Lien Expos

LTV*
Draft 8/29/06 

FFIEC 101 

15

PD Range 

(%)

A

Weighted 

Average 

PD 

(%) 

B

Number of 

Accounts

C

Total 

Balance 

Sheet 

Amount 

($)

D

Total 

Undrawn 

Amount

($)

E

EAD

($)

F

Weighted 

Average 

Age

(Months)

G1

 Weighted 

Average LGD 

before 

consideration of 

eligible 

guarantees and 

credit derivatives 

(%)

G2

Weighted Average 

LGD after 

consideration of 

eligible guarantees 

and credit 

derivatives (%)

H

Risk 

Weighted 

Assets***

($)

I

Expected 

Credit 

Loss 

($)

J

Less 

Than 

70%

($)

K

At Least 70% but 

less than 

80%

($)

L

At Least 80% but 

less than 

90%

($)

M

At Lea

90% bu

more t

100%

($)

1 0.00 to < 0.05 2 0.05 to < 0.103 0.10 to < 0.154 0.15 to < 0.205 0.20 to < 0.256 0.25 to < 0.357 0.35 to < 0.508 0.50 to < 0.759 0.75 to < 1.35

10 1.35 to < 2.5011 2.50 to < 5.5012 5.50 to < 10.0013 10.00 to < 20.0014 20.00 to < 10015 100 Default 10016 TOTAL ** wtd avg sum sum sum sum wtd avg wtd avg wtd avg sum sum sum sum sum sum 17 Risk Weighted Assets associated with immaterial exposures not included above18 Subcategory weighted average Expected LGD*****19 Credit scores shown in Column O are from which credit scoring system(s)?

* LTV cell values are cumulative EAD totals. LTV values are calculated by combining any junior lien amounts with the exposure amounts applicable to this report.** Cells in line 16 are calculated.*** Not calculated from previous column entries.  Report the EAD of accounts that are included in the segments reported in this row where the LTV has been updated since the last report date for portfolio management purposes, that i refreshed assessment of the collateral value. If LTVs were not updated for any accounts in the segments reported in the row since the last report date, report 0.** *** Report weighted average ELGD only if using own internal estimates of LGD. Otherwise, do not report. 

LTV*

Retail Exposure - Schedule M - Residential Mortgage - Closed-end Junior Lien Expo
Draft 8/29/06 

FFIEC 101 

16

PD Range 

(%)

A

Weighted 

Average 

PD 

(%) 

B

Number of 

Accounts

C

Total 

Balance 

Sheet 

Amount 

($)

D

Total 

Undrawn 

Amount

($)

E

EAD

($)

F

Weighted 

Average 

Age

(Months)

G1

 Weighted 

Average LGD 

before 

consideration of 

eligible 

guarantees and 

credit derivatives 

(%)

G2

Weighted Average 

LGD after 

consideration of 

eligible guarantees 

and credit 

derivatives (%)

H

Risk 

Weighted 

Assets***

($)

I

Expected 

Credit 

Loss 

($)

J

Less 

Than 

70%

($)

K

At Least 70% but 

less than 

80%

($)

L

At Least 80% but 

less than 

90%

($)

M

At Leas

90% but n

more tha

100%

($)

1 0.00 to < 0.05 2 0.05 to < 0.103 0.10 to < 0.154 0.15 to < 0.205 0.20 to < 0.256 0.25 to < 0.357 0.35 to < 0.508 0.50 to < 0.759 0.75 to < 1.35

10 1.35 to < 2.5011 2.50 to < 5.5012 5.50 to < 10.0013 10.00 to < 20.0014 20.00 to < 10015 100 Default 10016 TOTAL ** wtd avg sum sum sum sum wtd avg wtd avg wtd avg sum sum sum sum sum sum 17 Risk Weighted Assets associated with immaterial exposures not included above18 Subcategory weighted average Expected LGD*****19 Credit scores shown in Column O are from which credit scoring system(s)?

* LTV cell values are cumulative EAD totals. LTV values are calculated by combining any junior lien amounts with the exposure amounts applicable to this report.** Cells in line 16 are calculated.*** Not calculated from previous column entries.  Report the EAD of accounts that are included in the segments reported in this row where the LTV has been updated since the last report date for portfolio management purposes, that is,  refreshed assessment of the collateral value. If LTVs were not updated for any accounts in the segments reported in the row since the last report date, report 0.** *** Report weighted average ELGD only if using own internal estimates of LGD. Otherwise, do not report. 

LTV*

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

FFIEC 101 

17

PD Range 

(%)

A

Weighted 

Average PD

(%)

B

Number of 

Accounts

C

Total Balance 

Sheet 

Amount 

($)

D

Total 

Undrawn 

Amount 

($)

E

EAD 

($)

F

EAD of 

Accounts < 

Two Years 

Old

($)

G1

 Weighted 

Average LGD 

before 

consideration of 

eligible 

guarantees and 

credit derivatives 

(%)

G2

 Weighted 

Average LGD after 

consideration of 

eligible guarantees 

and credit 

derivatives (%)

H

Risk 

Weighted 

Assets**

($)

1 0.00 to < 0.502 0.50 to < 1.003 1.00 to < 1.504 1.50 to < 2.005 2.00 to < 2.506 2.50 to < 3.007 3.00 to < 3.508 3.50 to < 4.009 4.00 to < 5.00

10 5.00 to < 6.0011 6.00 to < 7.0012 7.00 to < 8.0013 8.00 to < 10.0014 10.00 to < 10015 100 Default 100

16 TOTAL * wtd avg sum sum sum sum sum wtd avg wtd avg sum 17 Risk Weighted Assets associated with immaterial exposures not included above18 Subcategory weighted average Expected LGD***19 Credit scores shown in Column J are from which credit scoring system(s)?

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

Retail Exposure - Schedule O - Qualifying Revolving Exposures - Credit C
Draft 8/29/06 

FFIEC 101 

18

PD Range 

(%)

A

Weighted 

Average PD

(%)

B

Number of 

Accounts

C

Total Balance 

Sheet 

Amount 

($)

D

Total 

Undrawn 

Amount 

($)

E

EAD 

($)

F

EAD of 

Accounts < 

Two Years 

Old

($)

G1

 Weighted 

Average LGD 

before 

consideration of 

eligible 

guarantees and 

credit derivatives 

(%)

G2

Weighted Average 

LGD after 

consideration of 

eligible guarantees 

and credit 

derivatives (%)

H

Risk 

Weighted 

Assets**

($)

1 0.00 to < 0.502 0.50 to < 1.003 1.00 to < 1.504 1.50 to < 2.005 2.00 to < 2.506 2.50 to < 3.007 3.00 to < 3.508 3.50 to < 4.009 4.00 to < 5.00

10 5.00 to < 6.0011 6.00 to < 7.0012 7.00 to < 8.0013 8.00 to < 10.0014 10.00 to < 10015 100 Default 100

16 TOTAL * wtd avg sum sum sum sum sum wtd avg wtd avg sum 17 Risk Weighted Assets associated with immaterial exposures not included above18 Subcategory weighted average Expected LGD***19 Credit scores shown in Column J are from which credit scoring system(s)?

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

Retail Exposure - Schedule P - Qualifying Revolving Exposures - All Ot
Draft 8/29/06 

FFIEC 101 

19

PD Range 

(%)

A

Weighted 

Average PD

(%)

B

Number of 

Accounts

C

Total Balance 

Sheet 

Amount 

($)

D

Total 

Undrawn 

Amount 

($)

E

EAD 

($)

F

EAD of 

Accounts < 

Two Years 

Old

($)

G1

 Weighted 

Average LGD 

before 

consideration of 

eligible 

guarantees and 

credit derivatives 

(%)

G2

 Weighted 

Average LGD after 

consideration of 

eligible guarantees 

and credit 

derivatives (%)

H

Risk 

Weighted 

Assets**

($)

1 0.00 to < 0.502 0.50 to < 1.003 1.00 to < 1.504 1.50 to < 2.005 2.00 to < 2.506 2.50 to < 3.007 3.00 to < 3.508 3.50 to < 4.009 4.00 to < 5.00

10 5.00 to < 6.0011 6.00 to < 7.0012 7.00 to < 8.0013 8.00 to < 10.0014 10.00 to < 10015 100 Default 100

16 TOTAL * wtd avg sum sum sum sum sum wtd avg wtd avg sum 17 Risk Weighted Assets associated with immaterial exposures not included above18 Subcategory weighted average Expected LGD***19 Credit scores shown in Column J are from which credit scoring system(s)?

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

Retail Exposure - Schedule Q - Other Retail Exposures - Small Busine
Draft 8/29/06 

FFIEC 101 

20

PD Range 

(%)

A

Weighted 

Average PD

(%)

B

Number of 

Accounts

C

Total Balance 

Sheet 

Amount 

($)

D

Total 

Undrawn 

Amount 

($)

E

EAD 

($)

F

EAD of 

Accounts < 

Two Years 

Old

($)

G1

 Weighted 

Average LGD 

before 

consideration of 

eligible 

guarantees and 

credit derivatives 

(%)

G2

 Weighted 

Average LGD after 

consideration of 

eligible 

guarantees and 

credit derivatives 

(%)

H

Risk 

Weighted 

Assets**

($)

1 0.00 to < 0.502 0.50 to < 1.003 1.00 to < 1.504 1.50 to < 2.005 2.00 to < 2.506 2.50 to < 3.007 3.00 to < 3.508 3.50 to < 4.009 4.00 to < 5.00

10 5.00 to < 6.0011 6.00 to < 7.0012 7.00 to < 8.0013 8.00 to < 10.0014 10.00 to < 10015 100 Default 100

16 TOTAL * wtd avg sum sum sum sum sum wtd avg wtd avg sum 17 Risk Weighted Assets associated with immaterial exposures not included above18 Subcategory weighted average Expected LGD***19 Credit scores shown in Column J are from which credit scoring system(s)?

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

Retail Exposure - Schedule R - Other Retail Exposures - All Ot
Draft 8/29/06 

FFIEC 101 

21

Rating Category

A

Exposures Subject to 

the RBA

B

Exposures Subject t

Internal Assessm

Approach

1

Exposures with Highest or Second-Highest Investment Grade Long-Term Credit Rating or Highest Investment Grade Short-Term Credit Rating

2

Exposures with Third-Highest Investment Grade Long Term Credit Rating or Second-Highest Investment Grade Short-Term Credit Rating

3

Exposures with Lowest Investment Grade Long-Term Credit Rating or Third-Highest Investment Grade ShortTerm Credit Rating

4 Exposures with Long-Term Credit Rating One Category Below Investment Grade5 Total RBA and IAA Securitization Exposures and RWA

Securitization - Schedule S - Exposures Subject to the Ratings-Based or Internal Assessme
Draft 8/29/06 

FFIEC 101 

22

Memorandum Items

A

Exposure Amount

B

RWA

1 Unrated exposures requiring deduction because no IRB treatment for the underlying 

exposures

2 Exposures requiring deduction under the SFA 3 Exposures not requiring deduction under the SFA4 Total exposures to synthetic securitizations5 eligible credit derivatives from eligible securitization guarantors6 Total RWA for securitization exposures if not capped under section 42(d) of NPR7 RWA for Early Amortization Provisions, Retail Credit Lines8 RWA for Early Amortization Provisions, Non-Retail Credit Lines

Securitization - Schedule T - Detail Schedule
Draft 8/29/06 

FFIEC 101 

23

A

Exposure ($)

Risk Weight 

or Multiplier

B

RWA ($)

1 Total Equity Exposures

Excluded Exposures:

2 0% Risk Weight Equity Exposures 0%

3 FHLB/Farmer Mac Exposures - 20% 20%

4 FHLB/Farmer Mac Exposures - 100% 100%

5 Community Development Equity Exposures 100%

6 Equity Exposures to Investment Funds

6a Full look-through approach

6b Simple modified look-through approach

6c Alternative modified look-through approach

Simple Risk Weight Approach (SRWA)

7 Excluded Equity Exposures to Investment Funds

8 Aggregate equity exposures in hedge pairs with smaller

 adjusted carrying value

9 Effective Portion of Hedge Pairs 100%

10 Non-significant equity exposures 100%

11 Publicly traded equity exposures 300%

12 Non-publicly traded equity exposures 400%

13 Total RWA - SWRA 

Full Internal Models Approach (Full IMA)

14 Estimate of Potential Losses on Equity Exposures 12.5

Floors (Full IMA):

15 Publicly Traded 200%

16 Non-Publicly Traded 300%

17 RWA - Floors

18 Total RWA - Full IMA

Publicly-Traded Internal Models Approach (Partial IMA)

19 Estimate of Potential Losses on Publicly-Traded Equity 12.5

Exposures

Floors (Partial IMA):

20 Publicly Traded 200%

21 Non-Publicly Traded Equity Exposures 400%

22 Total RWA -- Partial IMA

Equity Exposures - Schedule U
Draft 8/29/06 

FFIEC 101 

24

A Format

PUBLIC

Operational Risk Capital

1 Risk-based Capital Requirement for Operational Risk Num

2 Is item 1 generated from an "alternative operational risk quantification system?" y/n Text

Expected Operational Loss (EOL) and Eligible Operational Risk Offsets

3 Expected Operational Loss (EOL) Num

4 Total Eligible Operational Risk Offsets

4a Eligible GAAP reserves Num

4b Other eligible offsets Num

Total Risk-based Capital Requirement for Operational Risk without:

5 Dependence assumptions Num

6 Adjustments reflecting business environment and internal control factors Num

7 Risk mitigants (e.g., insurance) Num

CONFIDENTIAL

Internal Operational Loss Data Characteristics

8 Reporting dates

8a Starting date Num

8b Ending date Num

9 Highest dollar threshold on loss data Num

10 Does the dollar threshold change across units of measure? y/n Text

A

Used in 

Modeling Op 

Risk Capital

B

Total for 

Current 

Reporting 

Period

Format

11 Total number of losses Num

12 Total dollar amount of losses Num

13 Dollar amount of largest loss Num

14 Number of losses in the following ranges (e.g., ≥ $10,000 and < $100,000):

14a $10,000 - $100,000 Num

14b $100,000 - $1 Million Num

14c $1 Million - $10 Million Num

14d $10 Million - $100 Million Num

14e $100 Million - $1 Billion Num

14f $1 Billion+ Num

15 Total dollar amount of losses in the following ranges (e.g., ≥ $10,000 and < $100,000):

15a $10,000 - $100,000 Num

15b $100,000 - $1 Million Num

15c $1 Million - $10 Million Num

15d $10 Million - $100 Million Num

15e $100 Million - $1 Billion Num

15f $1 Billion+ Num

Scenario Analysis

16 How many individual scenarios were used in calculating the risk-based capital requirement 

for operational risk?

Num

17 What is the dollar value of the largest individual scenario? Num

18 Number of scenarios in the following ranges (e.g., ≥ $1 Million and < $10 Million):

18a $1 Million - $10 Million Num

18b $10 Million - $100 Million Num

18c $100 Million - $500 Million Num

18d $500 Million - $1 Billion Num

18e $1 Billion+ Num

Distributional Assumptions

19 How many units of measure were used in calculating the risk-based capital requirement for 

operational risk?

Num

20 Frequency Distribution: Across how many individual units of measure did the choice of 

frequency distribution change since the last reporting period?

Num

21 Severity Distribution: Across how many individual units of measure did the choice of 

severity distribution change since the last reporting period?

Num

Loss Caps

22 How many loss caps are used in calculating the risk-based capital requirement for 

operational risk?

Num

23 What is the dollar amount of the smallest cap used? Num

24 What is the dollar amount of the largest cap used? Num

Operational Risk - Schedule V
Draft 8/29/06 

FFIEC 101 

25

Reporting Instructions for Schedules A through V
Draft 8/29/06 

FFIEC 101 

26

Schedule A - ADVANCED RISK-BASED CAPITAL (Calculation of 

Numerator and Ratios for banks and bank holding companies) 

Item Instructions 

Item No. Caption and Instructions 

Tier 1 Capital 

1. Total equity capital. Report the amount of the bank’s total equity capital as reported in 

 Schedule RC, item 28, of the Call Report. 

2. LESS: Net unrealized gains (losses) on available-for-sale securities. Report the amount 

of net unrealized holding gains (losses) on available-for-sale securities that is included in Schedule RC of 

the Call Report, item 26.b, "Accumulated other comprehensive income." If the amount is a net unrealized 

holding gain, report it as a positive value in this item. If the amount is a net unrealized holding loss, report 

it as a negative value in this item. 

3. LESS: Net unrealized loss on available-for-sale equity securities. Report as a positive 

value the amount of any net unrealized holding loss on available-for-sale equity securities 

that is included in Schedule RC of the Call Report, item 26.b, "Accumulated other comprehensive income." 

4. LESS: Accumulated net gains (losses) on cash flow hedges. Report the amount of 

accumulated net gains (losses) on cash flow hedges that is included in 

Schedule RC of the Call Report, item 26.b, "Accumulated other comprehensive income." If the amount is 

an accumulated net gain, report it as a positive value in this item. If the amount is an accumulated net loss, 

report it as a negative value in this item. 

5. LESS: Nonqualifying perpetual preferred stock. Report the portion of perpetual preferred 

stock (and any related surplus) included in the Call Report, item 23, that does not qualify for 

inclusion in Tier 1 capital based on the capital guidelines of the bank’s primary Federal 

supervisor. Generally, banks should include in this item the book value of all 

perpetual preferred stock except for noncumulative perpetual preferred stock. However, 

noncumulative perpetual preferred stock in which the dividend rate is periodically reset based 

on the bank’s credit standing or financial condition e.g., Dutch auction, money market, and 

remarketable preferred stock, is not eligible for Tier 1 capital and should be included in this 

item. Although the amount reported in this item is not eligible for Tier 1 capital, it may be 

eligible for inclusion in Tier 2 capital in item 13. 

6. Qualifying minority interests in consolidated subsidiaries. Report the portion of minority 

interests in consolidated subsidiaries included in Schedule RC of the Call Report, item 22, that is eligible 

for inclusion in Tier 1 capital based on the capital guidelines of the bank’s primary Federal 

supervisor. Generally, banks may include minority interests in equity capital 

accounts (both common and noncumulative perpetual preferred stocks) of consolidated 

subsidiaries unless such accounts would not otherwise qualify for inclusion in Tier 1 capital. 

For example, a bank may not include minority interests representing cumulative preferred 

stock in consolidated subsidiaries since such preferred stock if issued directly by the bank 

would not be eligible for inclusion in Tier 1 capital. 

[Note: Placeholder for BHC instructions: Qualifying trust preferred securities. 
Draft 8/29/06 

FFIEC 101 

27

7. LESS: Disallowed goodwill and other disallowed intangible assets. Report the portion 

of goodwill included in Schedule RC of the Call Report, item 10.a, and the portion of other identifiable 

intangible assets included in Schedule RC-M of the Call Report, item 2.c, that does not qualify for 

inclusion in Tier 1 capital based on the capital guidelines of the bank's primary Federal supervisor. 

Generally, all goodwill reported in item 10.a, and all other identifiable intangible assets reported in 

Schedule RC-M of the Call Report, item 2.c, do not qualify for Tier 1 capital and should be included in this 

item. 

However, if the bank has a deferred tax liability that is specifically related to an intangible 

asset (other than servicing assets and purchased credit card relationships) acquired in a 

nontaxable purchase business combination that it chooses to net against the intangible asset 

for regulatory capital purposes, the amount of disallowed intangibles to be reported in this 

item should be reduced by the amount of this deferred tax liability. However, a deferred tax 

liability that the bank chooses to net against the related intangible asset for purposes of this 

item may not also be netted against deferred tax assets when the bank determines the 

amount of deferred tax assets that are dependent upon future taxable income and calculates 

the maximum allowable amount of such deferred tax assets for regulatory capital purposes. 

For state member banks, if the amount reported for other identifiable intangible assets in 

Schedule RC-M of the Call Report, item 2.c, includes intangible assets that were recorded on the reporting 

bank's balance sheet on or before February 19, 1992, the remaining book value as of the report date of these 

intangible assets may be excluded from this item. 

8. Subtotal. Report the sum of items 1 and 6, less items 2, 3, 4, 5, and 7. 

The amount reported in this item should be used to determine the limitations on servicing 

assets and purchased credit card relationships for item 9.a; deferred tax 

assets, item 9.b, below. 

9a. LESS: Disallowed servicing assets and purchased credit card relationships. Report 

the portion of servicing assets and purchased credit card relationships included in 

Schedule RC-M of the Call Report, items 2.a and 2.b, that does not qualify for inclusion in Tier 1 capital 

based on the capital guidelines of the bank's primary Federal supervisor. Generally, servicing assets and 

purchased credit card relationships (PCCRs) are limited to 100 percent of Tier 1 capital. In addition, 

nonmortgage servicing assets and PCCRs are subject to a 

separate sublimit of 25 percent of Tier 1 capital. Banks may use the following approach to 

determine the amount of disallowed servicing assets and PCCRs. 

Disallowed Mortgage Servicing Assets, Nonmortgage Servicing Assets, and 

PCCRs Calculation 

(a) Enter the amount from item 8 ________ 

(b) Enter 25% of the amount in (a) above ________ 

(c) Enter the amount of nonmortgage servicing assets 

and PCCRs reported in Schedule RC-M of the Call Report, item 2.b ________ 

(d) Enter 90% of the fair value of the nonmortgage servicing 

assets and PCCRs reported in (c) above ________ 

(e) Enter the lesser of (b), (c), or (d) ________ 

(f) Minimum amount of nonmortgage servicing assets and 

PCCRs to be deducted from Tier 1 capital: subtract 

(e) from (c); enter 0 if the result is a negative amount ________ 
Draft 8/29/06 

FFIEC 101 

28

(g) Enter the amount of mortgage servicing assets 

reported in Schedule RC-M of the Call Report, item 2.a ________ 

(h) Enter 90% of the estimated fair value of mortgage servicing 

assets reported in Schedule RC-M of the Call Report, item 2.a.(1) ________ 

(i) Enter the lesser of (a), (g), or (h) ________ 

(j) Minimum amount of mortgage servicing assets to be 

deducted from Tier 1 capital: subtract (i) from (g); 

enter 0 if the result is a negative amount ________ 

(k) Excess nonmortgage servicing assets, PCCRs, and 

mortgage servicing assets (i.e., the combined amount 

exceeding 100% of Tier 1 capital): sum of (e) and (i) 

minus (a); enter 0 if the result is a negative amount ________ 

(l) Disallowed nonmortgage servicing assets, PCCRs, and 

mortgage servicing assets: enter the sum of 

(f), (j), and (k) ________ 

9b. LESS: Disallowed deferred tax assets. Report the portion of net deferred tax assets 

included in Schedule RC-F of the Call Report, item 2, that does not qualify for inclusion in Tier 1 capital 

based on the capital guidelines of the reporting bank's primary Federal supervisor. Generally, deferred tax 

assets that are dependent upon future taxable income are limited to the lesser of: (i) the amount of such 

deferred tax assets that the bank expects to realize 

within one year of the calendar quarter-end date, based on its projected future taxable 

income for that year or (ii) 10% of the amount of the bank's Tier 1 capital. A bank may 

calculate one overall limit on deferred tax assets that covers all tax jurisdictions in which the 

bank operates. 

Deferred tax assets that are dependent upon future taxable income are (a) deferred tax 

assets arising from deductible temporary differences that exceed the amount of taxes 

previously paid that a bank could recover through loss carrybacks if the bank's temporary 

differences (both deductible and taxable) fully reverse at the report date and (b) deferred tax 

assets arising from operating loss and tax credit carryforwards. Therefore, for purposes of 

this item, all temporary differences should be assumed to fully reverse at the report date. 

A bank may use its future taxable income projection for its current fiscal year (adjusted for 

any significant changes that have occurred or are expected to occur) when determining the 

regulatory capital limit for its deferred tax assets at an interim calendar quarter-end date 

rather than preparing a new projection each quarter. Projected future taxable income should 

not include net operating loss carryforwards expected to be used within one year of the 

quarter-end report date or the amount of existing temporary differences expected to reverse 

within that year, but should include the estimated effect of tax planning strategies that are 

expected to be implemented to realize carryforwards that will otherwise expire during that 

year. 

When determining the amount to be reported in this item, each reporting bank's calculations 

should be made on a separate entity basis. Under the separate entity method, a bank 

(together with its consolidated subsidiaries) that is a subsidiary of a holding company is 

treated as a separate taxpayer rather than as part of the consolidated group of which it is a 

member. 

Deferred tax assets which can be realized from taxes paid in prior carryback years and from 

future reversals of existing taxable temporary differences should generally not be reported in 
Draft 8/29/06 

FFIEC 101 

29

this item. However, for a bank that is a subsidiary of a holding company, the parent holding 

company may not have the financial capability to reimburse the reporting bank for tax 

benefits derived from the bank's carryback of net operating losses or tax credits. In such a 

situation, when determining the amount of deferred tax assets that are dependent upon future 

taxable income, the amount of carryback potential the bank may consider as being available 

for the realization of its deferred tax assets shall be limited to the amount which the bank 

could reasonably expect to have refunded by its parent. 

Treatment of deferred tax assets relating to available-for-sale securities -- In accordance with 

FASB Statement No. 115, Accounting for Certain Investments in Debt and Equity Securities, 

available-for-sale securities are reported in the Reports of Condition and Income at fair value, 

with unrealized holding gains and losses on such securities, net of tax effects, included in a 

separate component of equity capital. These tax effects may increase or decrease the 

reported amount of a bank's deferred tax assets. The federal banking agencies exclude from 

regulatory capital the amount of net unrealized holding gains and losses on available-for-sale 

securities (except net unrealized holding losses on available-for-sale equity securities with 

readily determinable fair values). When determining the regulatory capital limit for deferred 

tax assets, a bank may, but is not required to, adjust the amount of its deferred tax assets for any deferred 

tax assets and liabilities arising from marking-to-market available-for-sale debt 

securities for purposes of these reports. A bank must follow a consistent approach with 

respect to such adjustments. 

Banks may use the following approach to determine the amount of disallowed deferred tax 

assets. 

Disallowed Deferred Tax Assets Calculation 

(a) Enter the amount from item 8 ________ 

(b) Enter 10% of the amount in (a) above ________ 

(c) Enter the amount of deferred tax assets reported in 

Schedule RC-F of the Call Report, item 2 ________ 

(d) Enter the amount of taxes previously paid that the bank 

could recover through loss carrybacks if the bank's 

temporary differences (both deductible and taxable) 

fully reverse at the report date ________ 

(e) Amount of deferred tax assets that is dependent upon 

future taxable income: subtract (d) from (c); enter 0 

if the result is a negative amount ________ 

(f) Enter the portion of (e) that the bank could realize within 

the next 12 months based on its projected future taxable 

income. Future taxable income should not include net 

operating loss carryforwards to be used during the next 

12 months or existing temporary differences that are 

expected to reverse over the next 12 months. ________ 

(g) Enter the lesser of (b) and (f) ________ 

(h) Disallowed net deferred tax assets - subtract (g) from (e); 

enter 0 if the result is a negative amount ________ 

9.c LESS: Shortfall of eligible credit reserves below total expected credit losses (50% of the shortfall 

plus tier 2 carryover) 
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FFIEC 101 

30

Eligible credit reserves are defined as all general allowances, including the ALLL, that have been 

established through a charge against earnings to absorb credit losses associated with on- or off-balance 

sheet wholesale and retail exposures. Eligible credit reserves would not include allocated transfer risk 

reserves established pursuant to 12 U.S.C. 3904 and other specific reserves created against recognized 

losses. 

A bank’s total expected credit losses (ECL) is defined as the sum of the ECL for all wholesale and retail 

exposures other than exposures to which the bank has applied double default treatment. The bank’s ECL 

for a wholesale exposure to a non-defaulted obligor or a non-defaulted retail segment is the product of PD, 

ELGD, and EAD for the exposure or segment. The bank’s ECL for a wholesale exposure to a defaulted 

obligor or a defaulted retail segment is equal to the bank’s impairment estimate for ALLL purposes for the 

exposure or segment. 

A shortfall is created when the total dollar amount of ECL exceeds the bank’s eligible credit reserves. If 

there is a shortfall of eligible credit reserves compared to ECL, the bank must deduct 50 percent of the 

shortfall from tier 1 capital and 50 percent from tier 2 capital. If the amount deductible from tier 2 capital 

exceeds the bank’s actual tier 2 capital, the bank would deduct the excess from tier 1 capital (this is known 

as the “tier 2 carryover”). 

9d. LESS: Gain-on-sale associated with securitization exposures. 

A bank must deduct from tier 1 capital any increase in the bank’s equity capital at the inception of a 

securitization transaction (gain-on-sale), other than an increase in equity capital that results from the bank’s 

receipt of cash in connection with the securitization. Under SFAS No. 140, an institution initially measures 

and records assets retained in connection with a sale or securitization, based on relative fair values. That is, 

the institution allocates the previous carrying amount between the sold assets and the retained interests 

based on their relative fair values. The reported gain is the difference between the net proceeds from the 

sale and the allocated carrying value of the assets sold. This methodology is often called “gain-on-sale” 

accounting. For example, a bank would deduct a gain attributable to a credit-enhancing interest-only strip 

(CEIO)that results from FAS 140 accounting treatment for the sale of underlying exposures to a 

securitization special purpose entity (SPE) Under the proposed rule, a bank must deduct such interests 

from tier 1 to the extent they represent gain-on-sale. For CEIOs, a bank must deduct CEIOs, from tier 1 

capital to the extent they represent gain-on-sale, and must deduct any remaining CEIOs 50 percent from tier 

1 capital and 50 percent from tier 2 capital. Any remaining Tier 1 deductions for CEIOs (that does not 

represent gain-on-sale) should be reported in item 9(f) below, and any remaining Tier 2 deductions should 

be reported in item 17(c) below. 

9e. LESS Certain failed capital markets transactions (50% of deductions plus tier 2 carryover). 

Deduct in this item 50% of its exposure on certain unsettled and failed transactions (50 percent from tier 1 

and 50 percent from tier 2). These transactions include non-delivery-versus-payment (non-DvP) and nonpayment-versus-payment (non-PvP) transactions (with a normal settlement period) where the bank has not 

received the deliverables by the fifth business day after counterparty delivery was due. In these instances, 

the bank must deduct the current market value of the deliverables owed to the bank 50 percent from tier 1 

and 50 percent from tier 2. 

If the amount deductible from tier 2 capital exceeds the bank’s actual tier 2 capital, the bank would deduct 

the excess from tier 1 capital. 

9f. LESS: Other securitization deductions (50% of deductions plus tier 2 carryover) 

Certain other securitization exposures also would be deducted from tier 1 and tier 2 capital. These 

exposures include, for example, securitization exposures that have an applicable external rating that is more 

than one category below investment grade (for example, below BB) and most subordinated unrated 
Draft 8/29/06 

FFIEC 101 

31

securitization exposures. When a bank must deduct a securitization exposure (other than gain-on-sale) 

from regulatory capital, the bank must take the deduction 50 percent from tier 1 capital and 50 percent from 

tier 2 capital. Report in this item any remaining Tier 1 deductions for CEIOs (that do not represent gain-onsale). 

If the amount deductible from tier 2 capital exceeds the bank’s actual tier 2 capital, the bank would deduct 

the excess from tier 1 capital.. 

A bank may calculate any deductions from regulatory capital with respect to a securitization exposure 

(including after-tax gain-on-sale) net of any deferred tax liabilities associated with the exposure. 

10. Other additions to (deductions from) Tier 1 capital. Report the amount of any additions to 

or deductions from Tier 1 capital based on the capital guidelines of the reporting bank's 

primary Federal supervisor that are not included in items 1 through 9.f, above. If the amount to be reported 

in this item is a net deduction, enclose the amount in parentheses. 

[NOTE: Placeholder for BHC instructions: The BHC must deduct from tier 1 capital an amount equal to 

the insurance underwriting subsidiary’s minimum regulatory capital requirement as determined by its 

functional (or equivalent) regulator. For U.S. regulated insurance subsidiaries, this amount would be 200 

percent of the subsidiary’s Authorized Control Level as established by the appropriate state insurance 

regulator.] 

Banks with financial subsidiaries should exclude from this item adjustments to Tier 1 capital 

for the deconsolidation of such subsidiaries. Adjustments to Tier 1 capital for financial subsidiaries should 

be reported in item 29.a, below. 

11. Tier 1 capital. Report the sum of items 8 and 10, less items 9.a through 9.f. If the bank has no financial 

subsidiaries, the amount reported in this item is the numerator of the bank's Tier 1 risk-based capital ratio 

and its Tier 1 leverage ratio. 

Tier 2 Capital 

12. Qualifying subordinated debt and redeemable preferred stock. Report the portion of the 

bank's qualifying limited-life capital instruments that is includible in Tier 2 capital based on the 

capital guidelines of the reporting bank's primary Federal supervisor. This amount 

is the sum of: 

(1) the portion of qualifying subordinated debt and intermediate-term preferred stock 

includible in Tier 2 capital, and 

(2) the portion of qualifying other limited-life capital instruments includible in Tier 2 capital. 

The portion of limited-life capital instruments that is includible in Tier 2 capital is the amount 

that remains after discounting those instruments, if any, with five years or less until maturity 

and then applying any applicable percentage of Tier 1 capital limit. For limited-life capital 

instruments with serial maturities or with sinking fund provisions, the amount associated with 

each maturity date is to be treated as a separate issue and discounted on an individual basis. 

If the holder of the reporting bank's subordinated debt or intermediate-term or long-term 

preferred stock has the right to require the bank to redeem, repay, or repurchase the 

instrument prior to the original stated maturity, then maturity would be defined as the earliest 

possible date on which the holder can put the instrument back to the issuing bank. 

Qualifying term subordinated debt and intermediate-term preferred stock (including any 

related surplus) must have an original weighted average maturity of at least five years. 

Intermediate-term preferred stock includes those issues of preferred stock with an original 

maturity of less than 20 years. Mandatory convertible debt, i.e., equity contract notes, is not 

considered a limited-life capital instrument for risk-based capital purposes and should be 

excluded from this item. 
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FFIEC 101 

32

The portion of qualifying term subordinated debt and intermediate-term preferred stock that 

remains after discounting and is includible in Tier 2 capital is limited to 50 percent of Tier 1 

capital. This portion is calculated as follows: 

(A1) Amount of subordinated debt and intermediate-term preferred stock with a remaining maturity of 

more than five years ______x 100% =______ 

(A2) Amount of subordinated debt and intermediate-term preferred stock with a remaining maturity of 

more than four years, but less than five years ______x 80% =______ 

(A3) Amount of subordinated debt and intermediate-term preferred stock with a remaining maturity of 

more than three years, but less than four years ______x 60% =______ 

(A4) Amount of subordinated debt and intermediate-term preferred stock with a remaining maturity of 

more than two years, but less than three years ______x 40% =______ 

(A5) Amount of subordinated debt and intermediate-term preferred stock with a remaining maturity of 

more than one year, but less than two years ______x 20% =_____ 

(A6) Amount of subordinated debt and intermediate-term (cont.) preferred stock with a remaining maturity 

of one year or less ______x 0% =______ 

(A7) Qualifying subordinated debt and intermediate-term preferred stock (sum of discounted amounts of 

lines (A1) through (A6)) ______ 

(A8) Tier 1 capital (from item 11) ______ 

(A9) Multiplied by 50 percent x 50% 

(A10) Limit for qualifying subordinated debt and intermediate-term preferred stock (line (A8) multiplied 

by 50 percent) ______ 

(A11) Portion of qualifying subordinated debt and intermediate-term preferred stock includible in Tier 2 

capital (lesser of lines (A7) and (A10)) ______ 

The entire amount of qualifying other limited-life capital instruments, such as long-term 

preferred stock with an original maturity of 20 years or more, that remains after discounting is 

includible in Tier 2 capital. This portion is calculated as follows: 

(B1) Amount of other limited-life capital instruments with a remaining maturity of more than five years 

______x 100% =______ 

(B2) Amount of other limited-life capital instruments with a remaining maturity of more than four years, 

but less than five years ______x 80% =______ 

(B3) Amount of other limited-life capital instruments with a remaining maturity of more than three years, 

but less than four years ______x 60% =______ 

(B4) Amount of other limited-life capital instruments with a remaining maturity of more than two year, but 

less than three years ______x 40% =______ 

(B5) Amount of other limited-life capital instruments with a remaining maturity of more than one year, but 

less than two years ______x 20% =______ 

(B6) Amount of other limited-life capital instruments with a remaining maturity of one year or less 

______x 0% =______ 
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FFIEC 101 

33

(B7) Portion of qualifying other limited-life capital instruments (sum of discounted amounts of lines (B1) 

through (B6)) ______ 

Report the sum of the amounts from lines (A11) and (B7) above in item 12. 

13. Qualifying cumulative perpetual preferred stock includible in Tier 2 capital. Report the amount of 

qualifying outstanding cumulative perpetual preferred stock, including any amounts received in excess of 

its par or stated value, that is included in Schedule RC of the Call Report, item 23. Also include perpetual 

preferred stock issues that were excluded from Tier 1 capital such as noncumulative perpetual preferred 

where the dividend is reset periodically based, in whole or in part, upon the bank's current credit standing 

(including, but not limited to, auction rate, money market, and remarketable preferred stock). 

14. Excess of eligible credit reserves over total expected credit losses (up to .60% of credit riskweighted assets). If eligible credit reserves exceed total ECL, the excess portion of eligible credit reserves 

may be included in tier 2 capital up to 0.6 percent of credit-risk-weighted assets. Credit-risk-weighted 

assets is defined as 1.06 multiplied by the sum of total wholesale and retail risk-weighted assets, riskweighted assets for securitization exposures, and risk-weighted assets for equity exposures.

15. Unrealized gains on available-for-sale equity securities includible in Tier 2 capital. 

Report the pretax net unrealized holding gain (i.e., the excess of fair value as reported in 

Schedule RC-B of the Call Report, item 7, column D, over historical cost as reported in Schedule RC-B of 

the Call Report, item 7, column C), if any, on available-for-sale equity securities that is includible in Tier 2 

capital subject to the limits specified by the capital guidelines of the reporting bank's primary Federal 

supervisor. The amount reported in this item cannot exceed 45 percent of the bank's pretax net unrealized 

holding gain on available-for-sale equity securities with readily determinable fair values. 

16. Other additions to (deductions from) Tier 2 capital. Report the amount of any items that qualify for 

inclusion in Tier 2 capital based on the capital guidelines of the reporting bank's primary Federal supervisor 

that are not included in items 12 through 15, above. Include mandatory convertible debt, i.e., equity 

contract notes, which is a form of subordinated debt that obligates the holder to take the common or 

perpetual preferred stock of the issuer in lieu of cash for repayment of principal. 

The bank should also report as a deduction in this item 50% of its exposure to certain unsettled and failed 

transactions (50% from tier 1 and 50% from tier 2). These transactions include non-delivery-versuspayment (non-DvP) and non-payment-versus-payment (non-PvP) transactions (with a normal settlement 

period) where the bank has not received the deliverables by the fifth business day after counterparty 

delivery was due. In these instances, the bank must deduct the current market value of the deliverables 

owed to the bank 50 percent from tier 1 and 50 percent from tier 2. 

17. Adjustments to Tier 2 capital. 

17a. LESS: Shortfall of eligible credit reserves below total expected credit losses (up to the lower of 

50% of the shortfall or amount of tier 2 capital). 

A bank’s total ECL is defined as the sum of the ECL for all wholesale and retail exposures other than 

exposures to which the bank has applied double default treatment. The bank’s ECL for a wholesale 

exposure to a non-defaulted obligor or a non-defaulted retail segment is the product of PD, ELGD, and 

EAD for the exposure or segment. The bank’s ECL for a wholesale exposure to a defaulted obligor or a 

defaulted retail segment is equal to the bank’s impairment estimate for ALLL purposes for the exposure or 

segment. 

A shortfall is created when the total dollar amount of ECL exceeds the bank’s eligible credit reserves. If 

there is a shortfall of eligible credit reserves compared to ECL, the bank must deduct 50 percent of the 
Draft 8/29/06 

FFIEC 101 

34

shortfall from tier 1 capital and 50 percent from tier 2 capital. If the amount deductible from tier 2 capital 

exceeds the bank’s actual tier 2 capital, the bank would deduct the excess from tier 1 capital.. 

17b. LESS: Certain failed capital markets transactions (up to the lower of 50% of the shortfall or 

amount of tier 2 capital). 

Deduct in this item 50% of its exposure on certain unsettled and failed transactions (50 percent from tier 1 

and 50 percent from tier 2). These transactions include non-delivery-versus-payment (non-DvP) and nonpayment-versus-payment (non-PvP) transactions (with a normal settlement period) where the bank has not 

received the deliverables by the fifth business day after counterparty delivery was due. In these instances, 

the bank must deduct the current market value of the deliverables owed to the bank 50 percent from tier 1 

and 50 percent from tier 2. 

If the amount deductible from tier 2 capital exceeds the bank’s actual tier 2 capital, the bank would deduct 

the excess from tier 1 capital. 

17c. LESS: Other securitization deductions (up to the lower of 50% of shortfall or amount of tier 2 

capital). 

Certain other securitization exposures also would be deducted from tier 1 and tier 2 capital. These 

exposures include, for example, securitization exposures that have an applicable external rating that is more 

than one category below investment grade (for example, below BB) and most subordinated unrated 

securitization exposures. When a bank must deduct a securitization exposure (other than gain-on-sale) 

from regulatory capital, the bank must take the deduction 50 percent from tier 1 capital and 50 percent from 

tier 2 capital. Report in this item any remaining Tier 2 deductions for CEIOs (that do not represent gainon-sale) If the amount deductible from tier 2 capital exceeds the bank’s actual tier 2 capital, the bank would 

deduct the excess from tier 1 capital. 

18. Tier 2 capital. Report the sum of items 12 through 16, less items 17.a through 17.c. 

19. Allowable Tier 2 capital. Report the amount of the bank's allowable Tier 2 capital. The 

maximum amount of Tier 2 capital that is allowable in a bank’s qualifying total capital is 

100 percent of Tier 1 capital. The amount reported in this item must be the lesser of 

item 11, “Tier 1 capital," and item 18, "Tier 2 capital," if item 11 is a positive 

number. If item 11, is a negative number, report a zero in this item. 

20. Tier 3 capital allocated for market risk. Report the amount of the bank's Tier 3 capital 

allocated for market risk. This item is only applicable to banks that are subject to the market 

risk capital guidelines. The amount reported in this item may only be used to satisfy the bank's market risk 

capital requirement and may not be used to support credit risk. The sum of the amount reported in this item 

and the amount reported in item 19, “Allowable Tier 2 capital,” must be less than or equal to the amount 

reported in item 11, “Tier 1 capital." In addition, Tier 3 capital allocated for market risk plus Tier 2 capital 

allocated for market risk are limited to 71.4 percent of a bank's measure for market risk. 

21. LESS: Deductions for total risk-based capital. Report the amount of the bank’s 

investments in banking and finance subsidiaries that are not consolidated for regulatory 

capital purposes, intentional reciprocal cross-holdings of banking organizations' capital 

instruments, and any other deductions for total risk-based capital as determined by the 

reporting bank's primary Federal supervisor. Banks with financial subsidiaries 

should exclude adjustments to total risk-based capital for the deconsolidation of such 

subsidiaries. Adjustments to total risk-based capital for financial subsidiaries should be 

reported in item 29.b, below. 

22. Total risk-based capital. Report the sum of items 11, 19, and 20, less 

item 21. The amount reported in this item is the numerator of the bank's total risk-based 

capital ratio. 
Draft 8/29/06 

FFIEC 101 

35

Total assets for leverage ratio 

23. Average total assets. Report the bank’s average total assets as reported in 

Schedule RC-K of the Call Report, item 9. 

24. LESS: Disallowed goodwill and other disallowed intangible assets. Report the amount 

of any disallowed goodwill and other disallowed intangible assets from item 7, above. 

25. LESS: Disallowed servicing assets and purchased credit card relationships. Report 

the amount of any disallowed servicing assets and purchased credit card relationships from 

item 9.a, above. 

26. LESS: Disallowed deferred tax assets. Report the amount of any disallowed deferred tax 

assets from item 9.b, above. 

27. LESS: Other deductions from assets for leverage capital purposes. Report the 

amount of any other assets that are deducted in determining Tier 1 capital in accordance 

with the capital standards issued by the reporting bank's primary federal supervisory 

authority. Also include the adjusted carrying value of any nonfinancial equity investments for which a Tier 

1 capital deduction is included on item 10, above. 

Banks with financial subsidiaries should exclude from this item adjustments to average total 

assets for the deconsolidation of such subsidiaries. Adjustments to average total assets for 

financial subsidiaries should be reported in item 31, below. 

28. Average total assets for leverage capital purposes. Report item 23, less 

items 24 through 27. 

Adjustments for financial subsidiaries 

NOTE: Items 29.a through 31, and column A of items 32 through 34 are only to be completed by banks 

with “financial subsidiaries” as defined by the Gramm-Leach-Bliley Act of 1999 (the Act). The Act 

effectively amends the federal banking agencies' capital guidelines to require all banks with financial 

subsidiaries to deconsolidate the assets and liabilities of all financial subsidiaries and to deduct the 

aggregate outstanding equity investment in the financial subsidiaries from capital and assets for purposes of 

calculating the bank’s regulatory capital ratios. 

29a. Adjustment to Tier 1 capital reported in item 11. Report one half of the bank's aggregate 

outstanding equity investment in financial subsidiaries as of the report date, which should be 

determined in the following manner. 

If a financial subsidiary is not consolidated into the bank for purposes of these reports, one 

half of the bank's aggregate outstanding equity investment in the subsidiary is one half of the 

amount of the bank's ownership interest accounted for under the equity method of 

accounting. The bank’s ownership interest will have been included in Schedule RC of the Call Report, item 

8, "Investments in unconsolidated subsidiaries and associated companies." However, the bank's ownership 

interest in a financial subsidiary should exclude any loans and advances to 

the subsidiary and any holdings of the subsidiary's bonds, notes, and debentures, which are 

included in Schedule RC of the Call Report, item 8. 

If one or more financial subsidiaries are consolidated into the bank for purposes of these 

reports, the bank may use the following approach to determine one half of the bank's 

aggregate outstanding equity investment in these consolidated financial subsidiaries. 
Draft 8/29/06 

FFIEC 101 

36

One Half of the Aggregate Outstanding Equity Investments in 

Consolidated Financial Subsidiaries 

(a) Enter the total assets of consolidated financial subsidiaries included in Schedule RC of the Call Report, 

item 12 ____________ 

(b) Enter the total liabilities of consolidated financial subsidiaries included in Schedule RC of the Call 

Report item 21 ____________ 

(c) Enter the sum of the amounts included in items 2, 3, 4, 5, 7, 9.a, and 9.b, above that are attributable to 

the bank’s consolidated financial subsidiaries (e.g., goodwill on a financial subsidiary's balance sheet that 

was included in the disallowed goodwill reported on 

item 7 above) ____________ 

(d) Enter the amount of "Other additions to (deductions from) Tier 1 capital" included in Schedule item 10 

above, that is attributable to the bank's consolidated financial subsidiaries ____________ 

(e) Enter the amount of any minority interests in consolidated financial subsidiaries included in Schedule 

RC of the Call Report, item 22 ____________ 

(f) Enter the sum of (a) and (d) less (b), (c), and (e); enter 0 if the amount is a negative number 

____________ 

(g) Adjustment to Tier 1 capital reported in item 11 above (one half of the bank's aggregate outstanding 

equity investment for the bank’s consolidated financial subsidiaries): enter 50% of the amount in (f) above 

_____________ 

29b. Adjustment to total risk-based capital reported in item 22. Report the bank's aggregate 

outstanding equity investment in financial subsidiaries as of the report date, which should be 

determined in the following manner. 

If a financial subsidiary is not consolidated into the bank for purposes of these reports, the 

bank's aggregate outstanding equity investment in the subsidiary is the amount of the bank’s 

ownership interest accounted for under the equity method of accounting. The bank's 

ownership interest will have been included in Schedule RC of the Call Report, item 8, "Investments in 

unconsolidated subsidiaries and associated companies." However, the bank's ownership interest in a 

financial subsidiary should exclude any loans and advances to the subsidiary and any holdings of the 

subsidiary's bonds, notes, and debentures, which are included in Schedule RC of the Call Report, item 8. 

If one or more financial subsidiaries are consolidated into the bank for purposes of these 

reports, the bank may use the following approach to determine the aggregate outstanding 

equity investments in these consolidated financial subsidiaries. 

Aggregate Outstanding Equity Investments in Consolidated Financial Subsidiaries 

(a) Enter the amount from line (f) in the calculation of the adjustment to Tier 1 capital for consolidated 

financial subsidiaries in the instructions for item 28.a, above ____________ 

(b) Enter the sum of the amounts included in items 12, 13, 14, 15, 16, and 20 above that are attributable to 

the bank's consolidated financial subsidiaries ____________ 

(c) Enter the amount of "Deductions for total risk-based capital" included in item 21 above, that is 

attributable to the bank's consolidated financial subsidiaries ____________ 

(d) Adjustment to total risk-based capital reported in item 22 above, for the bank's consolidated financial 

subsidiaries: enter the sum of (a) and (b) less (c) _____________ 
Draft 8/29/06 

FFIEC 101 

37

30. Adjustment to risk-weighted assets. Report the amount of the adjustment to risk-weighted assets for 

financial subsidiaries, which should be determined in the following manner. 

If a financial subsidiary is not consolidated into the bank, the adjustment to risk-weighted 

assets for the subsidiary will equal the bank's ownership interest accounted for under the 

equity method of accounting that is included in total risk-weighted assets. 

If a financial subsidiary is consolidated into the bank, the adjustment to risk-weighted assets 

for the subsidiary will be the total amount of the subsidiary's individual assets, derivatives, 

and off-balance sheet items as they have been allocated by risk weight across the risk weight 

categories, less the risk-weighted amount of bank assets representing claims on the financial subsidiary, 

other than the bank's ownership interest in the subsidiary, that were eliminated in consolidation. These 

eliminated assets will not have been included in the amounts reported. 

31. Adjustment to average total assets reported in item 28 above. Report the amount of the 

adjustment to average total assets for financial subsidiaries, which should be determined in 

the following manner. 

If a financial subsidiary is not consolidated into the bank, the adjustment to average total 

assets for the subsidiary will be the quarterly average of the bank's ownership interest 

accounted for under the equity method of accounting that is included in item 28 above. 

If a financial subsidiary is consolidated into the bank, the adjustment to average total assets 

for the subsidiary will be the quarterly average of the assets of the subsidiary that have been 

included in the consolidated assets of the bank, as reported in Schedule item 23 above; less 

any disallowed intangible assets and deferred tax assets of the subsidiary that have been 

included in items 24, 25, and 26 above; less any other assets of the subsidiary that 

have been included as other deductions in item 27 above; and less the quarterly 

average of bank assets representing claims on the financial subsidiary, other than the bank’s 

ownership interest in the subsidiary, that were eliminated in consolidation. These eliminated 

assets will not have been included in the amount reported in item 23 above. 

Capital Ratios 

32. Tier 1 leverage ratio. Report the bank’s Tier 1 leverage ratio as a percentage, rounded to 

two decimal places. Column B is to be completed by all banks. The ratio for column B is 

determined by dividing item 11, by item 28. Banks with financial subsidiaries must also complete column 

A. The ratio for column A is determined as follows: 

Item 11, minus item 29.a

Item 28, minus item 31 

33. Tier 1 risk-based capital ratio. Report the bank’s Tier 1 risk-based capital ratio as a 

percentage, rounded to two decimal places. Column B is to be completed by all banks. The 

ratio for column B is determined by dividing item 11, by total risk-weighted assets. Banks with financial 

subsidiaries must also complete column A. The ratio for column A is determined as follows: 

Item 11, minus item 29.a

Schedule B, item 31, minus item 30 of Schedule A 

34. Total risk-based capital ratio. Report the bank’s total risk-based capital ratio as a 

percentage, rounded to two decimal places. Column B is to be completed by all banks. The 

ratio for column B is determined by dividing item 22, by total risk-weighted assets. For banks with 

financial subsidiaries must also complete column A. The ratio for column A is determined as follows: 
Draft 8/29/06 

FFIEC 101 

38

Item 22, minus item 29.b

Schedule B, item 31, minus item 30 of Schedule A 

35. Eligible credit reserves. 

Report the amount of the bank’s eligible credit reserves. Eligible credit reserves are defined as all general 

allowances, including the ALLL, that have been established through a charge against earnings to absorb 

credit losses associated with on- or off-balance sheet wholesale and retail exposures. Eligible credit 

reserves would not include allocated transfer risk reserves established pursuant to 12 U.S.C. 3904 and other 

specific reserves created against recognized losses. 

36. Total expected credit losses. 

Report the amount of the bank’s total ECL. A bank’s ECL are defined as the sum of the ECL for all 

wholesale and retail exposures other than exposures to which the bank has applied double default 

treatment. The bank’s ECL for a wholesale exposure to a non-defaulted obligor or a non-defaulted retail 

segment is the product of PD, ELGD, and EAD for the exposure or segment. The bank’s ECL for a 

wholesale exposure to a defaulted obligor or a defaulted retail segment is equal to the bank’s impairment 

estimate for ALLL purposes for the exposure or segment. 
Draft 8/29/06 

FFIEC 101 

39

Schedule B PREPARATION INSTRUCTIONS

Report the information required for Table B using the definitions provided in the NPR. Round all numbers 

to the nearest thousand and percentages to two decimal places. 

Column Row(s) Instructions 

A 1 

Report the weighted average probability of default before 

consideration of credit risk mitigation from cell A-13 of the 

Wholesale Exposure – Corporate schedule. 

B 1 Report the total balance sheet amount from cell C-13 of the 

Wholesale Exposure – Corporate schedule. 

C 1 Report the total dollar volume of undrawn exposures from cell D13 of the Wholesale Exposure – Corporate schedule. 

D 1 Report the total dollar volume of exposure at default from cell E13 of the Wholesale Exposure – Corporate schedule. 

E 1 Report the weighted average maturity from cell F-13 of the 

Wholesale Exposure – Corporate schedule. 

F 1 

Report the weighted average loss given default after consideration 

of credit risk mitigants (collateral, guarantees and credit 

derivatives) from cell G2-13 of the Wholesale Exposures – 

Corporate schedule. 

G 1 Report the total amount of risk weighted assets from cell I-13 of 

the Wholesale Exposure – Corporate schedule. 

H 1 Report the total dollar volume of expected credit loss from cell J13 of the Wholesale Exposure – Corporate schedule. 

A 2 

Report the weighted average probability of default before 

consideration of credit risk mitigation from cell A-13 of the 

Wholesale Exposure – Bank schedule. 

B 2 Report the total balance sheet amount from cell C-13 of the 

Wholesale Exposure – Bank schedule. 

C 2 Report the total dollar volume of undrawn exposures from cell D13 of the Wholesale Exposure – Bank schedule. 

D 2 Report the total dollar volume of exposure at default from cell E13 of the Wholesale Exposure – Bank schedule. 

E 2 Report the weighted average maturity from cell F-13 of the 

Wholesale Exposure – Bank schedule. 

F 2

Report the weighted average loss given default after consideration 

of credit risk mitigants (collateral, guarantees and credit 

derivatives) from cell G2-13 of the Wholesale Exposures – Bank 

schedule. 

G 2 Report the total amount of risk weighted assets from cell I-13 of 

the Wholesale Exposure – Bank schedule. 

H 2 Report the total dollar volume of expected credit loss from cell J13 of the Wholesale Exposure – Bank schedule. 

A 3 

Report the weighted average probability of default before 

consideration of credit risk mitigation from cell A-13 of the 

Wholesale Exposure – Sovereign schedule. 

B 3 Report the total balance sheet amount from cell C-13 of the 

Wholesale Exposure – Sovereign schedule. 

C 3 Report the total dollar volume of undrawn exposures from cell D13 of the Wholesale Exposure – Sovereign schedule. 
Draft 8/29/06 

FFIEC 101 

40

Schedule B PREPARATION INSTRUCTIONS

D 3 Report the total dollar volume of exposure at default from cell E13 of the Wholesale Exposure – Sovereign schedule. 

E 3 Report the weighted average maturity from cell F-13 of the 

Wholesale Exposure – Sovereign schedule. 

F 3 

Report the weighted average loss given default after consideration 

of credit risk mitigants (collateral, guarantees and credit 

derivatives) from cell G2-13 of the Wholesale Exposures – 

Sovereign schedule. 

G 3 Report the total amount of risk weighted assets from cell I-13 of 

the Wholesale Exposure – Sovereign schedule. 

H 3 Report the total dollar volume of expected credit loss from cell J13 of the Wholesale Exposure – Sovereign schedule. 

A 4 

Report the weighted average probability of default before 

consideration of credit risk mitigation from cell A-13 of the 

Wholesale Exposure – Construction IPRE schedule. 

B 4 Report the total balance sheet amount from cell C-13 of the 

Wholesale Exposure – Construction IPRE schedule. 

C 4 Report the total dollar volume of undrawn exposures from cell D13 of the Wholesale Exposure – Construction IPRE schedule. 

D 4 Report the total dollar volume of exposure at default from cell E13 of the Wholesale Exposure – Construction IPRE schedule. 

E 4 Report the weighted average maturity from cell F-13 of the 

Wholesale Exposure – Construction IPRE schedule. 

F 4 

Report the weighted average loss given default after consideration 

of credit risk mitigants (collateral, guarantees and credit 

derivatives) from cell G2-13 of the Wholesale Exposures – 

Construction IPRE schedule. 

G 4 Report the total amount of risk weighted assets from cell I-13 of 

the Wholesale Exposure – Construction IPRE schedule. 

H 4 Report the total dollar volume of expected credit loss from cell J13 of the Wholesale Exposure – Construction IPRE schedule. 

A 5 

Report the weighted average probability of default before 

consideration of credit risk mitigation from cell A-13 of the 

Wholesale Exposure – HVCRE schedule. 

B 5 Report the total balance sheet amount from cell C-13 of the 

Wholesale Exposure – HVCRE schedule. 

C 5 Report the total dollar volume of undrawn exposures from cell D13 of the Wholesale Exposure – HVCRE schedule. 

D 5 Report the total dollar volume of exposure at default from cell E13 of the Wholesale Exposure – HVCRE schedule. 

E 5 Report the weighted average maturity from cell F-13 of the 

Wholesale Exposure – HVCRE schedule. 

F 5 

Report the weighted average loss given default after consideration 

of credit risk mitigants (collateral, guarantees and credit 

derivatives) from cell G2-13 of the Wholesale Exposures – 

HVCRE schedule. 

G 5 Report the total amount of risk weighted assets from cell I-13 of 

the Wholesale Exposure – HVCRE schedule. 

H 5 Report the total dollar volume of expected credit loss from cell J-
Draft 8/29/06 

FFIEC 101 

41

Schedule B PREPARATION INSTRUCTIONS

13 of the Wholesale Exposure – HVCRE schedule. 

A 6 

Report the weighted average probability of default before 

consideration of credit risk mitigation from cell A-13 of the 

Wholesale Exposure – IPRE schedule. 

B 6 Report the total balance sheet amount from cell C-13 of the 

Wholesale Exposure – IPRE schedule. 

C 6 Report the total dollar volume of undrawn exposures from cell D13 of the Wholesale Exposure – IPRE schedule. 

D 6 Report the total dollar volume of exposure at default from cell E13 of the Wholesale Exposure – IPRE schedule. 

E 6 Report the weighted average maturity from cell F-13 of the 

Wholesale Exposure – IPRE schedule. 

F 6 

Report the weighted average loss given default after consideration 

of credit risk mitigants (collateral, guarantees and credit 

derivatives) from cell G2-13 of the Wholesale Exposures – IPRE 

schedule. 

G 6 Report the total amount of risk weighted assets from cell I-13 of 

the Wholesale Exposure – IPRE schedule. 

H 6 Report the total dollar volume of expected credit loss from cell J13 of the Wholesale Exposure – IPRE schedule. 

A 7 

Report the weighted average probability of default before 

consideration of credit risk mitigation from cell A-13 of the 

Wholesale Exposure – Eligible margin loans, repo-style 

transactions and OTC Derivatives with Cross Product Netting 

schedule. 

D 7 

Report the total dollar volume of exposure at default from cell D13 of the Wholesale Exposure – Eligible margin loans, repo-style 

transactions and OTC Derivatives with Cross Product Netting 

schedule. 

E 7 

Report the weighted average maturity from cell C-13 of the 

Wholesale Exposure – Eligible margin loans, repo-style 

transactions and OTC Derivatives with Cross Product Netting 

schedule. 

F 7 

Report the weighted average loss given default from cell E-13 of 

the Wholesale Exposures – Eligible margin loans, repo-style 

transactions and OTC Derivatives with Cross Product Netting 

schedule. 

G 7 

Report the total amount of risk weighted assets from cell F-13 of 

the Wholesale Exposure – Eligible margin loans, repo-style 

transactions and OTC Derivatives with Cross Product Netting 

schedule. 

H 7 

Report the total dollar volume of expected credit loss from cell G13 of the Wholesale Exposure – Eligible margin loans, repo-style 

transactions and OTC Derivatives with Cross Product Netting 

schedule. 

A 8 

Report the weighted average probability of default before 

consideration of credit risk mitigation from cell H-13 of the 

Wholesale Exposure – Eligible margin loans, repo-style 

transactions and OTC Derivatives with Cross Product Netting 
Draft 8/29/06 

FFIEC 101 

42

Schedule B PREPARATION INSTRUCTIONS

schedule. 

D 8 

Report the total dollar volume of exposure at default from cell K13 of the Wholesale Exposure – Eligible margin loans, repo-style 

transactions and OTC Derivatives with Cross Product Netting 

schedule. 

E 8 

Report the weighted average maturity from cell J-13 of the 

Wholesale Exposure – Eligible margin loans, repo-style 

transactions and OTC Derivatives with Cross Product Netting 

schedule. 

F 8 

Report the weighted average loss given default from cell L-13 of 

the Wholesale Exposures – Eligible margin loans, repo-style 

transactions and OTC Derivatives with Cross Product Netting 

schedule. 

G 8 

Report the total amount of risk weighted assets from cell M-13 of 

the Wholesale Exposure – Eligible margin loans, repo-style 

transactions and OTC Derivatives with Cross Product Netting 

schedule. 

H 8 

Report the total dollar volume of expected credit loss from cell N13 of the Wholesale Exposure – Eligible margin loans, repo-style 

transactions and OTC Derivatives with Cross Product Netting 

schedule. 

A 9 

Report the weighted average probability of default before 

consideration of credit risk mitigation from cell A-13 of the 

Wholesale Exposure – Eligible margin loans, repo-style 

transactions - No Cross Product Netting schedule. 

D 9 

Report the total dollar volume of exposure at default from cell D13 of the Wholesale Exposure – Eligible margin loans, repo-style 

transactions - No Cross Product Netting schedule. 

E 9 

Report the weighted average maturity from cell C-13 of the 

Wholesale Exposure – Eligible margin loans, repo-style 

transactions - No Cross Product Netting schedule. 

F 9 

Report the weighted average loss given default from cell E-13 of 

the Wholesale Exposures – Eligible margin loans, repo-style 

transactions - No Cross Product Netting schedule. 

G 9 

Report the total amount of risk weighted assets from cell F-13 of 

the Wholesale Exposure – Eligible margin loans, repo-style 

transactions - No Cross Product Netting schedule. 

H 9 

Report the total dollar volume of expected credit loss from cell G13 of the Wholesale Exposure – Eligible margin loans, repo-style 

transactions - No Cross Product Netting schedule. 

A 10 

Report the weighted average probability of default before 

consideration of credit risk mitigation from cell H-13 of the 

Wholesale Exposure – Eligible margin loans, repo-style 

transactions - No Cross Product Netting schedule. 

D 10 

Report the total dollar volume of exposure at default from cell K13 of the Wholesale Exposure – Eligible margin loans, repo-style 

transactions - No Cross Product Netting schedule. 

E 10 Report the weighted average maturity from cell J-13 of the 

Wholesale Exposure – Eligible margin loans, repo-style 
Draft 8/29/06 

FFIEC 101 

43

Schedule B PREPARATION INSTRUCTIONS

transactions - No Cross Product Netting schedule. 

F 10 

Report the weighted average loss given default from cell L-13 of 

the Wholesale Exposures – Eligible margin loans, repo-style 

transactions - No Cross Product Netting schedule. 

G 10 

Report the total amount of risk weighted assets from cell M-13 of 

the Wholesale Exposure – Eligible margin loans, repo-style 

transactions - No Cross Product Netting schedule. 

H 10 

Report the total dollar volume of expected credit loss from cell N13 of the Wholesale Exposure – Eligible margin loans, repo-style 

transactions - No Cross Product Netting schedule. 

A 11 

Report the weighted average probability of default before 

consideration of credit risk mitigation from cell A-13 of the 

Wholesale Exposure – OTC Derivatives - No Cross Product 

Netting schedule. 

D 11 

Report the total dollar volume of exposure at default from cell D13 of the Wholesale Exposure – OTC Derivatives - No Cross 

Product Netting schedule. 

E 11 

Report the weighted average maturity from cell C-13 of the 

Wholesale Exposure – OTC Derivatives - No Cross Product 

Netting schedule. 

F 11 

Report the weighted average loss given default from cell E-13 of 

the Wholesale Exposures – OTC Derivatives - No Cross Product 

Netting schedule. 

G 11 

Report the total amount of risk weighted assets from cell F-13 of 

the Wholesale Exposure – OTC Derivatives - No Cross Product 

Netting schedule. 

H 11 

Report the total dollar volume of expected credit loss from cell G13 of the Wholesale Exposure – OTC Derivatives - No Cross 

Product Netting schedule. 

A 12 

Report the weighted average probability of default before 

consideration of credit risk mitigation from cell H-13 of the 

Wholesale Exposure – OTC Derivatives - No Cross Product 

Netting schedule. 

D 12 

Report the total dollar volume of exposure at default from cell K13 of the Wholesale Exposure – OTC Derivatives - No Cross 

Product Netting schedule. 

E 12 

Report the weighted average maturity from cell J-13 of the 

Wholesale Exposure – OTC Derivatives - No Cross Product 

Netting schedule. 

F 12 

Report the weighted average loss given default from cell L-13 of 

the Wholesale Exposures – OTC Derivatives - No Cross Product 

Netting schedule. 

G 12 

Report the total amount of risk weighted assets from cell M-13 of 

the Wholesale Exposure – OTC Derivatives - No Cross Product 

Netting schedule. 

H 12 

Report the total dollar volume of expected credit loss from cell N13 of the Wholesale Exposure – OTC Derivatives - No Cross 

Product Netting schedule. 

A 13 Report the weighted average probability of default from cell A-16 
Draft 8/29/06 

FFIEC 101 

44

Schedule B PREPARATION INSTRUCTIONS

of the Retail Exposure – Residential Mortgage – Closed-end First 

Lien Exposures schedule. 

B 13 

Report the total balance sheet amount from cell C-16 of the Retail 

Exposure – Residential Mortgage – Closed-end First Lien 

Exposures schedule. 

C 13 

Report the total dollar volume of undrawn exposures from cell D16 of the Retail Exposure – Residential Mortgage – Closed-end 

First Lien Exposures schedule. 

D 13 

Report the total dollar volume of exposure at default from cell E16 of the Retail Exposure – Residential Mortgage – Closed-end 

First Lien Exposures schedule. 

F 13 

Report the weighted average loss given default after consideration 

of credit risk mitigants (collateral, guarantees and credit 

derivatives) from cell G2-16 of the Retail Exposure – Residential 

Mortgage – Closed-end First Lien Exposures schedule. 

G 13 

Report the total amount of risk weighted assets from cell H-16 of 

the Retail Exposure – Residential Mortgage – Closed-end First 

Lien Exposures schedule. 

H 13 

Report the total dollar volume of expected credit loss from cell I16 of the Retail Exposure – Residential Mortgage – Closed-end 

First Lien Exposures schedule. 

A 14 

Report the weighted average probability of default from cell A-16 

of the Retail Exposure – Residential Mortgage – Closed-end 

Junior Lien Exposures schedule. 

B 14 

Report the total balance sheet amount from cell C-16 of the Retail 

Exposure – Residential Mortgage – Closed-end Junior Lien 

Exposures schedule. 

C 14 

Report the total dollar volume of undrawn exposures from cell D16 of the Retail Exposure – Residential Mortgage – Closed-end 

Junior Lien Exposures schedule. 

D 14 

Report the total dollar volume of exposure at default from cell E16 of the Retail Exposure – Residential Mortgage – Closed-end 

Junior Lien Exposures schedule. 

F 14 

Report the weighted average loss given default after consideration 

of credit risk mitigants (collateral, guarantees and credit 

derivatives) from cell G2-16 of the Retail Exposure – Residential 

Mortgage – Closed-end Junior Lien Exposures schedule. 

G 14 

Report the total amount of risk weighted assets from cell H-16 of 

the Retail Exposure – Residential Mortgage – Closed-end Junior 

Lien Exposures schedule. 

H 14 

Report the total dollar volume of expected credit loss from cell I16 of the Retail Exposure – Residential Mortgage – Closed-end 

Junior Lien Exposures schedule. 

A 15 

Report the weighted average probability of default from cell A-16 

of the Retail Exposure – Residential Mortgage – Revolving 

Exposures schedule. 

B 15 

Report the total balance sheet amount from cell C-16 of the Retail 

Exposure – Residential Mortgage – Revolving Exposures 

schedule. 
Draft 8/29/06 

FFIEC 101 

45

Schedule B PREPARATION INSTRUCTIONS

C 15 

Report the total dollar volume of undrawn exposures from cell D16 of the Retail Exposure – Residential Mortgage – Revolving 

Exposures schedule. 

D 15 

Report the total dollar volume of exposure at default from cell E16 of the Retail Exposure – Residential Mortgage – Revolving 

Exposures schedule. 

F 15 

Report the weighted average loss given default after consideration 

of credit risk mitigants (collateral, guarantees and credit 

derivatives) from cell G2-16 of the Retail Exposure – Residential 

Mortgage – Revolving Exposures schedule. 

G 15 

Report the total amount of risk weighted assets from cell H-16 of 

the Retail Exposure – Residential Mortgage – Revolving 

Exposures schedule. 

H 15 

Report the total dollar volume of expected credit loss from cell I16 of the Retail Exposure – Residential Mortgage – Revolving 

Exposures schedule. 

A 16 

Report the weighted average probability of default from cell A-16 

of the Retail Exposure – Qualifying Revolving Exposures – Credit 

Cards schedule. 

B 16 

Report the total balance sheet amount from cell C-16 of the Retail 

Exposure – Qualifying Revolving Exposures – Credit Cards 

schedule. 

C 16 

Report the total dollar volume of undrawn exposures from cell D16 of the Retail Exposure – Qualifying Revolving Exposures – 

Credit Cards schedule. 

D 16 

Report the total dollar volume of exposure at default from cell E16 of the Retail Exposure – Qualifying Revolving Exposures – 

Credit Cards schedule. 

F 16 

Report the weighted average loss given default after consideration 

of credit risk mitigants (collateral, guarantees and credit 

derivatives) from cell G2-16 of the Retail Exposure – Qualifying 

Revolving Exposures – Credit Cards schedule. 

G 16 

Report the total amount of risk weighted assets from cell H-16 of 

the Retail Exposure – Qualifying Revolving Exposures – Credit 

Cards schedule. 

H 16 

Report the total dollar volume of expected credit loss from cell I16 of the Retail Exposure – Qualifying Revolving Exposures – 

Credit Cards schedule. 

A 17 

Report the weighted average probability of default from cell A-16 

of the Retail Exposure – Qualifying Revolving Exposures – All 

Other schedule. 

B 17 Report the total balance sheet amount from cell C-16 of the Retail 

Exposure – Qualifying Revolving Exposures – All Other schedule. 

C 17 

Report the total dollar volume of undrawn exposures from cell D16 of the Retail Exposure – Qualifying Revolving Exposures – All 

Other schedule. 

D 17 

Report the total dollar volume of exposure at default from cell E16 of the Retail Exposure – Qualifying Revolving Exposures – All 

Other schedule. 
Draft 8/29/06 

FFIEC 101 

46

Schedule B PREPARATION INSTRUCTIONS

F 17 

Report the weighted average loss given default after consideration 

of credit risk mitigants (collateral, guarantees and credit 

derivatives) from cell G2-16 of the Retail Exposure – Qualifying 

Revolving Exposures – All Other schedule. 

G 17 

Report the total amount of risk weighted assets from cell H-16 of 

the Retail Exposure – Qualifying Revolving Exposures – All 

Other schedule. 

H 17 

Report the total dollar volume of expected credit loss from cell I16 of the Retail Exposure – Qualifying Revolving Exposures – All 

Other schedule. 

A 18 

Report the weighted average probability of default from cell A-16 

of the Retail Exposure – Other Retail Exposures – Small Business 

schedule. 

B 18 Report the total balance sheet amount from cell C-16 of the Retail 

Exposure – Other Retail Exposures – Small Business schedule. 

C 18 

Report the total dollar volume of undrawn exposures from cell D16 of the Retail Exposure – Other Retail Exposures – Small 

Business schedule. 

D 18 

Report the total dollar volume of exposure at default from cell E16 of the Retail Exposure – Other Retail Exposures – Small 

Business schedule. 

F 18 

Report the weighted average loss given default after consideration 

of credit risk mitigants (collateral, guarantees and credit 

derivatives) from cell G2-16 of the Retail Exposure – Other Retail 

Exposures – Small Business schedule. 

G 18 

Report the total amount of risk weighted assets from cell H-16 of 

the Retail Exposure – Other Retail Exposures – Small Business 

schedule. 

H 18 

Report the total dollar volume of expected credit loss from cell I16 of the Retail Exposure – Other Retail Exposures – Small 

Business schedule. 

A 19 

Report the weighted average probability of default from cell A-16 

of the Retail Exposure – Other Retail Exposures – All Other 

schedule. 

B 19 Report the total balance sheet amount from cell C-16 of the Retail 

Exposure – Other Retail Exposures – All Other schedule. 

C 19 

Report the total dollar volume of undrawn exposures from cell D16 of the Retail Exposure – Other Retail Exposures – All Other 

schedule. 

D 19 

Report the total dollar volume of exposure at default from cell E16 of the Retail Exposure – Other Retail Exposures – All Other 

schedule. 

F 19 

Report the weighted average loss given default after consideration 

of credit risk mitigants (collateral, guarantees and credit 

derivatives) from cell G2-16 of the Retail Exposure – Other Retail 

Exposures – All Other schedule. 

G 19 

Report the total amount of risk weighted assets from cell H-16 of 

the Retail Exposure – Other Retail Exposures – All Other 

schedule. 
Draft 8/29/06 

FFIEC 101 

47

Schedule B PREPARATION INSTRUCTIONS

H 19 

Report the total dollar volume of expected credit loss from cell I16 of the Retail Exposure – Other Retail Exposures – All Other 

schedule. 

B 20 Report the total amount of exposures outstanding subject to the 

Ratings-based Approach. 

G 20 Report the total amount of risk weighted assets of exposures 

outstanding subject to the Ratings-based Approach. 

B 21 Report the total amount of exposures outstanding subject to the 

Internal Assessment Approach. 

G 21 Report the total amount of risk weighted assets of exposures 

outstanding subject to the Internal Assessment Approach. 

B 22 Report the total amount of exposures outstanding subject to the 

Supervisory Formula. 

G 22 Report the total amount of risk weighted assets of exposures 

outstanding subject to the Supervisory Formula. 

G 23 Report the total amount of risk weighted assets of investors’ 

interest subject to an early amortization charge. 

B 24 Report the sum of cells A-2 through A-6 of the Equities schedule 

G 24 Report the sum of cells B-3 through B-6 of the Equities schedule. 

B 25 Report the sum of cells A-7 through A-12 of the Equities schedule 

G 25 Report the amount from cell B-13 of the Equities schedule. 

B 26 Report the sum of cells A-14 through A-16, and A-19 through A21 from the equities schedule. 

G 26 Report the sum of the amounts from cells B-18 and B-22 of the 

Equities schedule. 

G 27 Report total Market Risk Equivalent Assets. 

G 28 Report the amount in cell A-1 of the Operational Risk schedule, 

multiplied by 12.5. 

B 29 

Report the balance sheet amount of assets not subject to the 

Internal Ratings-Based Approach. 

G 29 Report the total amount of risk weighted assets of assets not 

subject to the Internal Ratings-Based Approach 

B 30 Report the balance sheet amount of assets determined to be 

immaterial exposures 

G 30 Report the total amount of risk weighted assets determined to be 

immaterial exposures 

G 31 Report the sum of cells G-1 through G-30 above. 
Draft 8/29/06 

FFIEC 101 

48

Preparation Instructions for Wholesale Exposures 

(Schedules C through H) 

GENERAL INSTRUCTIONS 

Definitions 

Apply the definitions provided in the NPR for the following terms: (1) 

probability of default (PD); (2) loss given default (LGD); (3) expected loss 

given default; (4) exposure at default (EAD); (5) effective maturity (M); (6) 

expected credit loss (ECL); (7) guarantees; (8) credit derivatives; and (9) 

double default treatment. 

Weighted Averages 

Weighted average obligor PD as used in this section is calculated by: (1) 

Determining the obligors and their exposures that fall within each of the PD 

ranges indicated, (2) multiplying each obligor’s PD by its total EAD, (3) 

summing the products from step (2) for all exposures within each PD range, 

and (4) dividing the summed products from step (3) by the sum of the EADs 

of all exposures in the same PD range. 

Weighted Average LGD before effects of guarantees and credit derivatives, 

but after counting collateral as used in this section is calculated by: (1) 

Determining the obligors and their exposures that fall within each of the PD 

ranges indicated, (2) multiplying each exposure’s LGD before considering 

effects of guarantees and credit derivatives, but after counting collateral by 

its EAD, (3) summing the products from step (2) for all exposures within each 

PD range, and (4) dividing the summed products from step (3) by the sum of 

the EADs of all exposures in the same PD range. 

Weighted average LGD with effects of guarantees, credit derivatives and 

collateral as used in this section is calculated by: (1) Determining the obligors 

and their exposures that fall within each of the PD ranges indicated, (2) 

multiplying each exposure’s LGD with effects of credit risk mitigants 

(guarantees, credit derivatives and collateral) by its EAD, (3) summing the 

products from step (2) for all exposures within each PD range, and (4) 

dividing the summed products from step (3) by the sum of the EADs of all 

exposures in the same PD range. 

Weighted average M as used in this section is calculated by: (1) Determining 

the obligors and their exposures that fall within each of the PD ranges 

indicated, (2) multiplying each exposure’s estimated M by its EAD, (3) 

summing the products from step (2) for all exposures within each PD range, 

and (4) dividing the summed products from step (3) by the sum of the EADs 

of all exposures in the same PD range. 
Draft 8/29/06 

FFIEC 101 

49

WHOLESALE EXPOSURES – SCHEDULE C 

CORPORATE INSTRUCTIONS 

Schedule 

C 

Wholesale 

- 

Corporate 

Report all Wholesale Exposures – Corporate, which include all wholesale 

exposures as defined in the NPR, except those which are to be specifically 

included in the Wholesale Exposures - Bank, Wholesale Exposures - 

Sovereign, Wholesale Exposures - High Volatility Commercial Real 

Estate, Wholesale Exposures - Income Producing Real Estate, Wholesale 

Exposures - Construction Income Producing Real Estate, Eligible margin 

loans, Repo-style transactions, or OTC Derivatives schedules of this 

report. 

Column Row(s) Instructions 

A 1 – 11 Report the weighted average obligor PD of all Wholesale Exposures – 

Corporate where the obligor PD falls within each PD range indicated. 

B 1 – 12 Report the total number of obligors included in this row for column A. 

C 1 – 12 Report the total balance sheet amount of exposures included in this row for 

column A. 

D 1 – 12 Report the total dollar value of available but undrawn balance of exposures 

included in this row for column A. 

E 1 – 12 Report the total exposure at default (as defined in the NPR) of exposures 

included in this row for column A. 

F 1 – 12 Report the weighted average maturity of exposures included in this row for 

column A. 

G1 1 – 12 

Report the weighted average LGD of exposures included in this row for 

column A. In estimating LGD, include the effects of collateral but not the 

effects of guarantees or credit derivatives. 

G2 1-12 

Report the weighted average LGD of exposures included in this row for 

column A. In estimating LGD, include the effects of credit risk mitigants 

(guarantees, credit derivatives and collateral). 

H1 1 – 12 

Report the estimated benefit of credit risk mitigation of exposures included 

in this row, expressed in terms of a reduction in risk-weighted assets in 

dollars, arising from the application of the PD Substitution approach or the 

LGD Adjustment approach. The estimate can be derived by deducting the 

amount in column I of this row from the aggregated risk-weighted assets 

that would have resulted from the application of the IRB Wholesale riskweight formula to all underlying obligations contained in this row as if 

they had not been hedged or guaranteed. The estimate should reflect only 

credit risk mitigation benefits derived from the application of the PD 

Substitution approach or the LGD Adjustment approach as defined in the 

NPR. 

H2 1-12 

Report the estimated benefit of credit risk mitigation of exposures included 

in this row, expressed in terms of a reduction in risk-weighted assets in 

dollars, arising from the application of the Double Default treatment. The 

estimate can be derived by deducting the amount in column I of this row 

from the aggregated risk-weighted assets that would have resulted from the 

application of the IRB Wholesale risk-weight formula to all underlying 
Draft 8/29/06 

FFIEC 101 

50

WHOLESALE EXPOSURES – SCHEDULE C 

CORPORATE INSTRUCTIONS 

obligations contained in this row as if they had not been hedged or 

guaranteed. The estimate should reflect only credit risk mitigation benefits 

derived from the application of the Double Default treatment as defined in 

the NPR. 

I 1 – 12 

Report the total risk weighted assets associated with all exposures included 

in this row for column A - after any credit risk mitigation adjustments 

including application of double default treatment. 

J 1 – 12 Report the dollar amount of ECL for exposure included in this row for 

column A.

A-J 13 Calculated cells. 

-- 14 Report the Risk Weighted Assets of immaterial exposures reportable in 

this schedule but not included in the cells above. 

-- 15 

Report the weighted average Expected Loss Given Default (ELGD) for the 

exposures in this category, weighting each ELGD by the exposure’s 

associated EAD. Only report in this item if using own internal estimates of 

LGD. 
Draft 8/29/06 

FFIEC 101 

51

WHOLESALE EXPOSURES – SCHEDULE D 

BANKS INSTRUCTIONS 

Schedule 

D 

Wholesale 

– 

Bank 

Report all Wholesale Exposures - Banks. For this schedule, Banks include the 

following entities: (1) banks and depository institutions as defined in the Glossary 

of the Reports of Condition and Income under the following headings: Banks, 

U.S. and Foreign; and Depository Institutions in the U.S.; (2) securities firms; and 

(3) government-related entities whose exposures do not have full faith & credit 

support of a sovereign such as Federal Home Loan Bank, Federal Agricultural 

Mortgage Corporation, and (4) multi-lateral development banks such as the World 

Bank and the Asian Development Bank that do not have full faith and credit 

backing of sovereign entities.. 

Column Row(s) Instructions 

A 1 – 11 Report the weighted average obligor PD of all Wholesale Exposures - Banks, 

where the obligor falls within each PD range indicated. 

B 1 – 12 Report the total number of obligors included in this row for column A. 

C 1 – 12 Report the total balance sheet amount of exposures included in this row for 

column A. 

D 1 – 12 Report the total dollar value of available but undrawn balance of exposures 

included in this row for column A. 

E 1 – 12 Report the total exposure at default (as defined in the NPR) of exposures included 

in this row for column A. 

F 1 – 12 Report the weighted average maturity of exposures included in this row for 

column A. 

G1 1 – 12 

Report the weighted average LGD of exposures included in this row for column 

A. In estimating LGD, include the effects of collateral but not the effects of 

guarantees or credit derivatives. 

G2 1-12 

Report the weighted average LGD of exposures included in this row for column 

A. In estimating LGD, include the effects of credit risk mitigants (guarantees, 

credit derivatives and collateral). 

H 1 – 12 

Report the estimated benefit of credit risk mitigation of exposures included in this 

row, expressed in terms of a reduction in risk-weighted assets in dollars, arising 

from the application of the PD substitution and the LGD adjustment approaches. 

The estimate can be derived by deducting the amount in column I of this row 

from the aggregated risk-weighted assets that would have resulted from the 

application of the IRB Wholesale risk-weight formula to all underlying 

obligations contained in this row as if they had not been hedged or guaranteed. 

The estimate should reflect only credit risk mitigation benefits derived from the 

application of the PD substitution and the LGD adjustment approaches as defined 

in the NPR. 

I 1 – 12 Report the total risk weighted assets associated with all exposures included in this 

row for column A - after any credit risk mitigation adjustments. 

J 1 – 12 Report the dollar amount of ECL for exposure included in this row for column A.

A-J 13 Calculated cells. 

-- 14 Report the Risk Weighted Assets of immaterial exposures reportable in this 

schedule but not included in the cells above. 

-- 15 

Report the weighted average Expected Loss Given Default (ELGD) for the 

exposures in this category, weighting each ELGD by the exposure’s associated 

EAD. Only report in this item if using own internal estimates of LGD. 
Draft 8/29/06 

FFIEC 101 

52

WHOLESALE EXPOSURES – SCHEDULE E 

SOVEREIGN INSTRUCTIONS 

Schedule E 

Wholesale 

– 

Sovereign 

Report all Wholesale Exposures – Sovereign (Sovereign exposures), which 

are defined for this schedule as: (1) direct claims on sovereign entities, (2) 

exposures unconditionally backed by the full faith and credit of a sovereign 

entity, U.S. Government-sponsored agencies such as Federal National 

Mortgage Association and Federal Home Loan Mortgage Corporation. 

Wholesale Exposures-Corporate. Wholesale exposures and sovereign 

entities are defined in the NPR. 

Column Row(s) Instructions 

A 1 – 11 Report the weighted average obligor PD of all Wholesale Exposures – 

Sovereign where the obligor PD falls within each PD range indicated. 

B 1 – 12 Report the total number of obligors included in this row for column A. 

C 1 – 12 Report the total book value of exposures included in this row for column A. 

D 1 – 12 Report the total dollar value of available but undrawn balance of exposures 

included in this row for column A. 

E 1 – 12 Report the total exposure at default (as defined in the NPR) of exposures 

included in this row for column A. 

F 1 – 12 Report the weighted average maturity of exposures included in this row for 

column A. 

G1 1 – 12 

Report the weighted average LGD of exposures included in this row for 

column A. In estimating LGD, include the effects of collateral but not the 

effects of guarantees or credit derivatives. 

G2 1-12 

Report the weighted average LGD of exposures included in this row for 

column A. In estimating LGD, include the effects of credit risk mitigants 

(guarantees, credit derivatives and collateral). 

H 1 – 12 

Report the estimated benefit of credit risk mitigation of exposures included 

in this row, expressed in terms of a reduction in risk-weighted assets in 

dollars, arising from the application of the PD substitution and LGD 

adjustment approaches. The estimate can be derived by deducting the 

amount in column I of this row from the aggregated risk-weighted assets 

that would have resulted from the application of the IRB Wholesale riskweight formula to all underlying obligations contained in this row as if they 

had not been hedged or guaranteed. The estimate should reflect only credit 

risk mitigation benefits derived from the application of the PD substitution 

and LGD adjustment approaches as defined in the NPR. 

I 1 – 12 Report the total risk weighted assets associated with all exposures included 

in this row for column A - after any credit risk mitigation adjustments. 

J 1 – 12 Report the dollar amount of ECL for exposure included in this row for 

column A.

A-J 13 Calculated cells. 

-- 14 Report the Risk Weighted Assets of immaterial exposures reportable in this 

schedule but not included in the cells above. 

-- 15 

Report the weighted average Expected Loss Given Default (ELGD) for the 

exposures in this category, weighting each ELGD by the exposure’s 

associated EAD. Only report in this item if using own internal estimates of 

LGD. 
Draft 8/29/06 

FFIEC 101 

53

WHOLESALE EXPOSURES – SCHEDULE F CONSTRUCTION INCOME 

PRODUCING REAL ESTATE (Construction IPRE) INSTRUCTIONS 

Schedule 

F 

Wholesale – 

Construction IPRE 

Report all Wholesale Exposures – Construction IPRE. Construction IPRE 

contains all of the following characteristics: (1) exposure must be a wholesale 

exposure collateralized by real estate; (2) repayment of the obligation is 

primarily reliant on the cash flows of the real estate serving as collateral for the 

exposure; (3) the exposure is (a) a construction loan or a land development 

loan, as defined in the Interagency Guidelines for Real Estate Lending Policies, 

or (b) a loan to acquire property in conjunction with a land development or 

construction project; (4) exposure is not to be reported in Wholesale Exposures 

– High Volatility Commercial Real Estate; and (5) obligor revenues are not 

diversified into property management, i.e. property management companies, 

hotel operators, real estate investment trusts, etc. 

Wholesale exposures are defined in the NPR. 

Column Row(s) Instructions 

A 1 – 11 Report the weighted average obligor PD of all Wholesale Exposures – 

Construction IPRE where the obligor PD falls within each PD range indicated. 

B 1 – 12 Report the total number of obligors included in this row for column A. 

C 1 – 12 Report the total balance sheet value of exposures included in this row for 

column A. 

D 1 – 12 Report the total dollar value of available but undrawn balance of exposures 

included in this row for column A. 

E 1 – 12 Report the total exposure at default (as defined in the NPR) of exposures 

included in this row for column A. 

F 1 – 12 Report the weighted average maturity of exposures included in this row for 

column A. 

G1 1 – 12 

Report the weighted average LGD of exposures included in this row for 

column A. In estimating LGD, include the effects of collateral but not the 

effects of guarantees or credit derivatives. 

G2 1-12 

Report the weighted average LGD of exposures included in this row for 

column A. In estimating LGD, include the effects of credit risk mitigants 

(guarantees, credit derivatives and collateral). 

H1 1 – 12 

Report the estimated benefit of credit risk mitigation of exposures included in 

this row, expressed in terms of a reduction in risk-weighted assets in dollars, 

arising from the application of the PD substitution and LGD adjustment 

approaches. The estimate can be derived by deducting the amount in column I 

of this row from the aggregated risk-weighted assets that would have resulted 

from the application of the IRB Wholesale risk-weight formula to all 

underlying obligations contained in this row as if they had not been hedged or 

guaranteed. The estimate should reflect only credit risk mitigation benefits 

derived from the application of the PD substitution and LGD adjustment 

approaches as defined in the NPR. 

H2 1-12 

Report the estimated benefit of credit risk mitigation of exposures included in 

this row, expressed in terms of a reduction in risk-weighted assets in dollars, 

arising from the application of the Double Default treatment. The estimate can 

be derived by deducting the amount in column I of this row from the 

aggregated risk-weighted assets that would have resulted from the application 

of the IRB Wholesale risk-weight formula to all underlying obligations 
Draft 8/29/06 

FFIEC 101 

54

WHOLESALE EXPOSURES – SCHEDULE F CONSTRUCTION INCOME 

PRODUCING REAL ESTATE (Construction IPRE) INSTRUCTIONS 

contained in this row as if they had not been hedged or guaranteed. The 

estimate should reflect only credit risk mitigation benefits derived from the 

application of the Double Default treatment as defined in the NPR. 

I 1 – 12 

Report the total risk weighted assets associated with all exposures included in 

this row for column A - after any credit risk mitigation adjustments including 

application of double default treatment. 

J 1 – 12 Report the dollar amount of ECL for exposures included in this row for column 

A.

A-J 13 Calculated cells. 

-- 14 Report the Risk Weighted Assets of immaterial exposures reportable in this 

schedule but not included in the cells above. 

-- 15 

Report the weighted average Expected Loss Given Default (ELGD) for the 

exposures in this category, weighting each ELGD by the exposure’s associated 

EAD. Only report in this item if using own internal estimates of LGD. 
Draft 8/29/06 

FFIEC 101 

55

WHOLESALE EXPOSURES – SCHEDULE G HIGH VOLATILITY 

COMMERCIAL REAL ESTATE (HVCRE) INSTRUCTIONS 

Schedule 

G 

Wholesale 

- 

HVCRE 

This section should report all exposures that meet the definition of 

HVCRE in the NPR. 

Column Row(s) Instructions 

A 1 – 11 Report the weighted average obligor PD of all Wholesale Exposures –

HVCRE where the obligor PD falls within each PD range indicated. 

B 1 – 12 Report the total number of obligors included in this row for column A. 

C 1 – 12 Report the total balance sheet amount of exposures included in this row for 

column A. 

D 1 – 12 Report the total dollar value of available but undrawn balance of exposures 

included in this row for column A. 

E 1 – 12 Report the total exposure at default (as defined in the NPR) of exposures 

included in this row for column A. 

F 1 – 12 Report the weighted average maturity of exposures included in this row for 

column A. 

G1 1 – 12 

Report the weighted average LGD of exposures included in this row for 

column A. In estimating LGD, include the effects of collateral but not the 

effects of guarantees or credit derivatives. 

G2 1-12 

Report the weighted average LGD of exposures included in this row for 

column A. In estimating LGD, include the effects of credit risk mitigants 

(guarantees, credit derivatives and collateral). 

H1 1 – 12 

Report the estimated benefit of credit risk mitigation of exposures included 

in this row, expressed in terms of a reduction in risk-weighted assets in 

dollars, arising from the application of the PD substitution and the LGD 

adjustment approaches. The estimate can be derived by deducting the 

amount in column I of this row from the aggregated risk-weighted assets 

that would have resulted from the application of the IRB Wholesale riskweight formula to all underlying obligations contained in this row as if 

they had not been hedged or guaranteed. The estimate should reflect only 

credit risk mitigation benefits derived from the application of the PD 

substitution and the LGD Adjustment approaches as defined in the NPR. 

H2 1-12 

Report the estimated benefit of credit risk mitigation of exposures included 

in this row, expressed in terms of a reduction in risk-weighted assets in 

dollars, arising from the application of the Double Default treatment. The 

estimate can be derived by deducting the amount in column I of this row 

from the aggregated risk-weighted assets that would have resulted from the 

application of the IRB Wholesale risk-weight formula to all underlying 

obligations contained in this row as if they had not been hedged or 

guaranteed. The estimate should reflect only credit risk mitigation benefits 

derived from the application of the Double Default treatment as defined in 

the NPR. 

I 1 – 12 

Report the total risk weighted assets associated with all exposures included 

in this row for column A - after any credit risk mitigation adjustments 

including the application of double default treatment. 
Draft 8/29/06 

FFIEC 101 

56

WHOLESALE EXPOSURES – SCHEDULE G HIGH VOLATILITY 

COMMERCIAL REAL ESTATE (HVCRE) INSTRUCTIONS 

J 1 – 12 Report the dollar amount of ECL for exposure included in this row for 

column A.

A-J 13 Calculated cells. 

-- 14 Report the Risk Weighted Assets of immaterial exposures reportable in 

this schedule but not included in the cells above. 

-- 15 

Report the weighted average Expected Loss Given Default (ELGD) for the 

exposures in this category, weighting each ELGD by the exposure’s 

associated EAD. Only report in this item if using own internal estimates 

of LGD. 
Draft 8/29/06 

FFIEC 101 

57

WHOLESALE EXPOSURES – SCHEDULE H INCOME PRODUCING 

REAL ESTATE (IPRE) INSTRUCTIONS 

Schedule 

H 

Wholesale – 

Other IPRE 

Report all Wholesale Exposures – Income Producing Real Estate (IPRE). 

Wholesale Exposures - IPRE contains all of the following characteristics: (1) 

exposure must be a wholesale exposure collateralized by real estate; (2) 

repayment of the obligation is primarily reliant on the cashflows of the real estate 

serving as collateral for the exposure; (3) purpose of the exposure is to purchase, 

refinance, or maintain existing property; (4) exposure is not to be reported in 

Wholesale Exposures – High Volatility Commercial Real Estate or Wholesale 

Exposures - Construction Income Producing Real Estate; and (5) obligor 

revenues are not diversified into property management, i.e. property management 

companies, hotel operators, real estate investment trusts, etc. (Wholesale 

exposures are defined in the NPR.) 

Column Row(s) Instructions 

A 1 – 11 Report the weighted average obligor PD of all Wholesale Exposures – IPRE 

where the obligor PD falls within each PD range indicated. 

B 1 – 12 Report the total number of obligors included in this row for column A. 

C 1 – 12 Report the total book value of exposures included in this row for column A. 

D 1 – 12 Report the total dollar value of available but undrawn balance of exposures 

included in this row for column A. 

E 1 – 12 Report the total exposure at default (as defined in the NPR) of exposures 

included in this row for column A. 

F 1 – 12 Report the weighted average maturity of exposures included in this row for 

column A. 

G1 1 – 12 

Report the weighted average LGD of exposures included in this row for column 

A. In estimating LGD, include the effects of collateral but not the effects of 

guarantees or credit derivatives. 

G2 1-12 

Report the weighted average LGD of exposures included in this row for column 

A. In estimating LGD, include the effects of credit risk mitigants (guarantees, 

credit derivatives and collateral). 

H1 1 – 12 

Report the estimated benefit of credit risk mitigation of exposures included in 

this row, expressed in terms of a reduction in risk-weighted assets in dollars, 

arising from the application of the PD substitution and LGD adjustment 

approaches. The estimate can be derived by deducting the amount in column I of 

this row from the aggregated risk-weighted assets that would have resulted from 

the application of the IRB Wholesale risk-weight formula to all underlying 

obligations contained in this row as if they had not been hedged or guaranteed. 

The estimate should reflect only credit risk mitigation benefits derived from the 

application of the PD substitution and LGD adjustment approaches as defined in 

the NPR. 

H2 1-12 

Report the estimated benefit of credit risk mitigation of exposures included in 

this row, expressed in terms of a reduction in risk-weighted assets in dollars, 

arising from the application of the Double Default treatment. The estimate can 

be derived by deducting the amount in column I of this row from the aggregated 

risk-weighted assets that would have resulted from the application of the IRB 

Wholesale risk-weight formula to all underlying obligations contained in this row 

as if they had not been hedged or guaranteed. The estimate should reflect only 

credit risk mitigation benefits derived from the application of the Double Default 

treatment as defined in the NPR. 
Draft 8/29/06 

FFIEC 101 

58

WHOLESALE EXPOSURES – SCHEDULE H INCOME PRODUCING 

REAL ESTATE (IPRE) INSTRUCTIONS 

I 1 – 12 Report the total risk weighted assets associated with all exposures included in 

this row for column A - after any credit risk mitigation adjustments. 

J 1 – 12 Report the dollar amount of ECL for exposures included in this row for column 

A.

A-J 13 Calculated cells. 

-- 14 Report the Risk Weighted Assets of immaterial exposures reportable in this 

schedule but not included in the cells above. 

-- 15 

Report the weighted average Expected Loss Given Default (ELGD) for the 

exposures in this category, weighting each ELGD by the exposure’s associated 

EAD. Only report in this item if using own internal estimates of LGD. 
Draft 8/29/06 

FFIEC 101 

59

Preparation Instructions for Eligible Margin Loans, Repo-Style 

Transactions, OTC Derivatives, and Combinations of these Instruments 

Subject to Qualifying Master Netting Agreements 

(Schedules I through K) 

GENERAL INSTRUCTIONS 

Definitions 

Apply the definitions provided in the NPR for the following terms: (1) 

probability of default (PD); (2) loss given default (LGD); (3) expected 

loss given default (ELGD); (4) exposure at default (EAD); (5) effective 

maturity (M); and (6) expected credit loss (ECL). 

Weighted Averages 

Weighted average PD as used in this section is calculated by: (1) 

Determining the exposures that have estimated PDs prior to 

considering the effects of credit risk mitigation (pre-CRM PD) that fall 

within each of the PD ranges indicated, (2) summing the products from 

step (1) for all exposures within each PD range, and (3) dividing the 

summed products from step (2) by the sum of the EADs of all 

exposures in the same PD range. 

Weighted average LGD as used in this section is calculated by: (1) 

Determining the obligors and their exposures that have estimated PDs 

prior to considering the effects of credit risk mitigation that fall within 

each of the PD ranges indicated, (2) multiplying each exposure’s LGD 

by its EAD, (3) summing the products from step (2) for all exposures 

within each PD range, and (4) dividing the summed products from step 

(3) by the sum of the EADs of all exposures in the same PD range. 

Weighted average M as used in this section is calculated by: (1) 

Determining the obligors and their exposures that have estimated PDs 

prior to considering the effects of credit risk mitigation that fall within 

each of the PD ranges indicated, (2) multiplying each exposure’s 

estimated M by its EAD, (3) summing the products from step (2) for all 

exposures within each PD range, and (4) dividing the summed products 

from step (3) by the sum of the EADs of all exposures in the same PD 

range. 
Draft 8/29/06 

FFIEC 101 

60

WHOLESALE EXPOSURES – SCHEDULE I 

ELIGIBLE MARGIN LOANS/REPO-STYLE / OTC DERIVATIVES WITH 

CROSS-PRODUCT NETTING INSTRUCTIONS

Schedule I Wholesale 

- 

Corporate 

Report all eligible margin loans, repo-style transactions and OTC 

Derivatives positions that are subject to a qualified master netting 

agreement as defined in the NPR. Exposures that are not covered 

by netting agreements or whose netting agreements do not meet the 

standard called for in the NPR to qualify for netting under the 

capital rules will be reported separately as gross exposures in the 

following two schedules.

Column Row(s) Instructions 

COLUMNS A THROUGH G CONTAIN DATA ONLY FOR NET 

EXPOSURES WHERE THE BANK USED THE EAD 

ADJUSTMENT METHOD FOR DETERMINING RISK 

WEIGHTED ASSETS. EXPOSURES CALCULATED USING 

ADJUSTED LGDS SHOULD BE REPORTED IN COLUMNS H 

THROUGH N. 

A 1 – 11 

Report the weighted average PD of all Wholesale Exposures – 

Corporate where the obligor PD - before any credit risk mitigation 

adjustments - falls within each PD range indicated. 

B 1 – 12 Report the total number of unique counterparties included in this 

row for column A. 

C 1 – 12 Report the weighted average maturity in years of exposures 

included in this row for column A, calculated to two decimal places.

D 1 – 12 Report the total Exposure at Default (EAD, as defined in the NPR) 

of exposures included in this row for column A. 

E 1 – 12 Report the weighted average LGD of exposures included in this row 

for column A. 

F 1 – 12 

Report the total risk weighted assets associated with all exposures 

included in this row for column A after any adjustments for eligible 

guarantees and eligible credit derivatives. 

G 1-12 Report the Expected Credit Loss, as defined in the NPR, associated 

with the exposures aggregated in this row for column A. 

COLUMNS H THROUGH N CONTAIN DATA ONLY FOR NET 

EXPOSURES WHERE THE BANK USED ADJUSTED LGDS 

FOR DETERMINING RISK WEIGHTED ASSETS. 

EXPOSURES CALCULATED USING THE EAD ADJUSTMENT 

METHODS SHOULD BE REPORTED IN COLUMNS A 

THROUGH G. 

H 1 – 11 

Report the weighted average PD of all Wholesale Exposures – 

Corporate where the obligor PD - before any credit risk mitigation 

adjustments - falls within each PD range indicated. 

I 1 – 12 Report the total number of unique counterparties included in this 

row for column H. 
Draft 8/29/06 

FFIEC 101 

61

WHOLESALE EXPOSURES – SCHEDULE I 

ELIGIBLE MARGIN LOANS/REPO-STYLE / OTC DERIVATIVES WITH 

CROSS-PRODUCT NETTING INSTRUCTIONS

J 1 – 12 Report the weighted average maturity in years of exposures 

included in this row for column G, calculated to two decimal places.

K 1 – 12 Report the total Exposure at Default (EAD, as defined in the NPR) 

of exposures included in this row for column H. 

L 1 – 12 Report the weighted average LGD of exposures included in this row 

for column H. 

M 1 – 12 

Report the total risk weighted assets associated with all exposures 

included in this row for column H - after any adjustments eligible 

guarantees and eligible credit derivatives. 

N 1-12 Report the Expected Credit Loss, as defined in the NPR, associated 

with the exposures aggregated in this row for column H. 
Draft 8/29/06 

FFIEC 101 

62

WHOLESALE EXPOSURES – SCHEDULE J 

ELIGIBLE MARGIN LOANS AND REPO-STYLE TRANSACTIONS/ SEC 

LEND / SECURED OTS DERIVATIVES NOT QUALIFIED FOR NETTING 

TREATMENT INSTRUCTIONS

Schedule J Wholesale 

- 

Corporate 

Report all eligible margin loans and repo-style transactions that are 

NOT subject to a qualifying master netting agreement as defined in 

the NPR. Exposures that are not covered by qualifying master 

netting agreements should be reported here as gross exposures in the 

following two schedules.

Column Row(s) Instructions 

COLUMNS A THROUGH G CONTAIN DATA ONLY FOR 

REPO, REPO-LIKE AND SECURITIES LENDING 

TRANSACTIONS WHERE THE BANK USED THE EAD 

ADJUSTMENT METHOD FOR DETERMINING RISK 

WEIGHTED ASSETS. EXPOSURES CALCULATED USING 

ADJUSTED LGDS SHOULD BE REPORTED IN COLUMNS H 

THROUGH N. 

A 1 – 11 

Report the weighted average PD of all Wholesale Exposures – 

Corporate where the obligor PD- before any credit risk mitigation 

adjustments - falls within each PD range indicated. 

B 1 – 12 Report the total number of unique counterparties included in this 

row for column A. 

C 1 – 12 Report the weighted average maturity in years of exposures 

included in this row for column A, calculated to two decimal places. 

D 1 – 12 Report the total Exposure at Default (EAD, as defined in the NPR) 

of exposures included in this row for column A. 

E 1 – 12 Report the weighted average LGD of exposures included in this row 

for column A. 

F 1 – 12 

Report the total risk weighted assets associated with all exposures 

included in this row for column A after any adjustments for eligible 

guarantees and eligible credit derivatives. 

G 1-12 

Report the Expected Credit Loss, as defined in the NPR, associated 

with the exposures aggregated in this row for column A. 

COLUMNS H THROUGH N CONTAIN DATA ONLY FOR 

ELIGIBLE MARGIN LOANS AND REPO – STYLE 

TRANSACTIONS WHERE THE BANK USED ADJUSTED 

LGDS FOR DETERMINING RISK WEIGHTED ASSETS. 

EXPOSURES CALCULATED USING THE EAD ADJUSTMENT 

METHODS SHOULD BE REPORTED IN COLUMNS A 

ATHROUGH G. 

H 1 – 11 

Report the weighted average PD of all Wholesale Exposures – 

Corporate where the obligor PD - before any credit risk mitigation 

adjustments - falls within each PD range indicated. 
Draft 8/29/06 

FFIEC 101 

63

WHOLESALE EXPOSURES – SCHEDULE J 

ELIGIBLE MARGIN LOANS AND REPO-STYLE TRANSACTIONS/ SEC 

LEND / SECURED OTS DERIVATIVES NOT QUALIFIED FOR NETTING 

TREATMENT INSTRUCTIONS

I 1 – 12 Report the total number of unique counterparties included in this 

row for column H. 

J 1 – 12 Report the weighted average maturity in years of exposures 

included in this row for column H, calculated to two decimal places. 

K 1 – 12 Report the total Exposure at Default (EAD, as defined in the NPR) 

of exposures included in this row for column H. 

L 1 – 12 Report the weighted average LGD of exposures included in this row 

for column H. 

M 1 – 12 

Report the total risk weighted assets associated with all exposures 

included in this row for column H after adjustments for eligible 

guarantees and eligible credit derivatives. 

N 1-12 Report the total Expected Credit Loss (ECL) for the exposures 

reported in this row for column H. 

O 

Row 15, 

cells: 

L-1 

L-2 

L-3 

Report the percentage, to one decimal place, of total EAD for this 

schedule calculated by the methods listed. L-1 is for the percentage 

EAD calculated by collateral haircuts, L-2 is for the percentage 

EAD calculated by Simple VaR, and L-3 is for the percentage EAD 

calculated using Internal Models. Report the method that is used for 

each exposure type (for example, simple VaR for repo-style 

transactions, haircuts for collateralized derivatives). 
Draft 8/29/06 

FFIEC 101 

64

WHOLESALE EXPOSURES – SCHEDULE K 

OTC DERIVATIVES NOT QUALIFIED FOR NETTING TREATMENT 

INSTRUCTIONS

Schedule K Wholesale 

- 

Corporate 

Report all OTC Derivative positions which are NOT subject to a 

qualifying master netting agreement as defined in the NPR. 

Exposures that are not covered by qualifying master netting 

agreements should be reported here as gross exposures in the 

following two schedules.

Column Row(s) Instructions 

COLUMNS A THROUGH G CONTAIN DATA ONLY FOR OTC 

DERIVATIVES WHERE THE BANK USED THE EAD 

ADJUSTMENT METHOD FOR DETERMINING RISK 

WEIGHTED ASSETS. EXPOSURES CALCULATED USING 

ADJUSTED LGDS SHOULD BE REPORTED IN COLUMNS H 

THROUGH N. 

A 1 – 11 Report the weighted average PD of all Wholesale Exposures – 

Corporate where the obligor PD falls within each PD range indicated. 

B 1 – 12 Report the total number of unique counterparties included in this row 

for column A. 

C 1 – 12 Report the weighted average maturity in years of exposures included 

in this row for column A, calculated to two decimal places. 

D 1 – 12 Report the total Exposure at Default (EAD, as defined in the NPR) of 

exposures included in this row for column A. 

E 1 – 12 Report the weighted average LGD of exposures included in this row 

for column A. 

F 1 – 12 

Report the total risk weighted assets associated with all exposures 

included in this row for column A after any adjustments for eligible 

guarantees and eligible credit derivatives. 

G 1-12 

Report the total Expected Credit Loss (ECL) for the exposures 

reported in this row for column A. 

COLUMNS H THROUGH N CONTAIN DATA ONLY FOR OTC 

DERIVATIVES WHERE THE BANK USED ADJUSTED LGDS 

FOR DETERMINING RISK WEIGHTED ASSETS. EXPOSURES 

CALCULATED USING THE EAD ADJUSTMENT METHODS 

SHOULD BE REPORTED IN COLUMNS A THROUGH G. 

H 1 – 11 Report the weighted average PD of all Wholesale Exposures – 

Corporate where the obligor PD falls within each PD range indicated. 

I 1 – 12 Report the total number of unique counterparties included in this row 

for column G. 

J 1 – 12 Report the weighted average maturity in years of exposures included 

in this row for column G, calculated to two decimal places. 

K 1 – 12 Report the total Exposure at Default (EAD, as defined in the NPR) of 

exposures included in this row for column A. 
Draft 8/29/06 

FFIEC 101 

65

WHOLESALE EXPOSURES – SCHEDULE K 

OTC DERIVATIVES NOT QUALIFIED FOR NETTING TREATMENT 

INSTRUCTIONS

L 1 – 12 Report the weighted average LGD of exposures included in this row 

for column G. 

M 1 – 12 

Report the total risk weighted assets associated with all exposures 

included in this row for column G after any adjustments for eligible 

guarantees and eligible credit derivatives. 

N 1 - 12 Report the total Expected Credit Loss (ECL) for the exposures 

reported in this row for Column H. 

O 

Row 15, 

cells: 

L-1 

L-2 

Report the percentage, to one decimal place, of total EAD for this 

schedule calculated by the methods listed. L-1 is for the percentage 

EAD calculated by collateral haircuts and L-2 is for the percentage 

EAD calculated using Internal Models. 
Draft 8/29/06 

FFIEC 101 

66

Preparation Instructions for Retail Exposures 

(Schedules L through R) 

GENERAL INSTRUCTIONS 

These templates should reflect summary or aggregate information based on the bank’s own 

segmentation system for risk-based capital purposes. For each retail category, banks should use 

the PDs calculated in its segmentation process and report each PD (and related segment 

information) in the corresponding estimated PD range. 

Definitions 

Apply the definitions provided in the NPR for the following terms: (1) 

probability of default (PD); (2) loss given default (LGD); (3) expected loss given 

default; (4) exposure at default (EAD); (5) expected credit loss (ECL); (6) 

guarantees; and (7) credit derivatives. 

Loan-to-Value 

Loan to Value: Where LTV information is requested, reporting of these cells is 

required only if LTVs are available. If LTVs are used in the segmentation 

process, report the LTV that is used in the segmentation process. If LTVs are not 

used in the segmentation process, report the most recent well-supported LTV for 

the exposures (original or well supported updated LTV). 

 

Credit Risk Score 

Credit Risk Score: Reporting of these cells is required only if the scores are 

available. Report scores only from credit scoring systems with a common 

mapping from scores to default probabilities and/or expected losses. Where two 

or more credit scoring systems with different mappings are used in the same 

portfolio, report scores only from the system used for the largest number of 

exposures in that portfolio. 
Draft 8/29/06 

FFIEC 101 

67

GENERAL INSTRUCTIONS 

Weighted Averages 

Weighted average PD as used in this section is calculated by: (1) Determining the 

exposures that are in risk segments whose PDs fall within each of the PD ranges 

indicated, (2) multiplying each segment’s PD by its EAD, (3) summing the 

products from step (2) for all segments within each PD range, and (4) dividing 

the summed products from step (3) by the sum of the EADs of all segments in the 

same PD range. 

Weighted Average LGD before effects of guarantees and credit derivatives, but 

after counting collateral as used in this section is calculated by: (1) Determining 

the segments that have PDs that fall within each of the PD ranges indicated, (2) 

multiplying each segment’s LGD before considering effects of guarantees and 

credit derivatives, but after counting collateral by its EAD, (3) summing the 

products from step (2) for all segments within each PD range, and (4) dividing 

the summed products from step (3) by the sum of the EADs of all segments in the 

same PD range. 

Weighted average LGD with effects of guarantees, credit derivatives and 

collateral as used in this section is calculated by: (1) Determining the segments 

that have PDs that fall within each of the PD ranges indicated, (2) multiplying 

each segment’s LGD with effects of credit risk mitigants (guarantees, credit 

derivatives and collateral) by its EAD, (3) summing the products from step (2) 

for all segments within each PD range, and (4) dividing the summed products 

from step (3) by the sum of the EADs of all segments in the same PD range. 

Weighted average credit score and Weighted Average Age are calculated in the 

same manner but weighted by number of accounts. 

Average Age Average Age is defined as number of months since loan origination. 
Draft 8/29/06 

FFIEC 101 

68

RETAIL EXPOSURES – SCHEDULE L 

RESIDENTIAL MORTGAGE - NON-REVOLVING FIRST LIENS 

INSTRUCTIONS

Schedule 

L 

Residential 

Mortgage 

Exposures (First 

Liens) 

Report all Residential Mortgage Exposures as defined in the NPR that (1) 

are secured by first liens, and (2) are not revolving lines of credit. 

Column Row(s) Instructions 

A 1 – 15 

Report the weighted average PD of all segments of exposures applicable 

to this section as noted above, whose IRB PD falls within each range 

indicated. 

B 1 – 15 Report the total number of exposures in all segments included in this row 

for column A. 

C 1 – 15 Report the total balance sheet amount of exposures within the segments 

included in this row for column A. 

D 1 – 15 

Report the dollar volume of available but undrawn balances of exposures 

within the segments included in this row for column A. Include undrawn 

commitments to lend, including available negative amortization and 

unfunded mortgage commitments. 

E 1 – 15 Report the total EAD of segments of exposures included in this row for 

column A. 

F 1 – 15 Report the weighted average age of exposures in the segments included 

in this row for column A. 

G1 1 – 15 

Report the weighted average LGD of exposures in the segments included 

in this row for column A. In estimating LGD, include the effects of 

collateral but not the effects of guarantees or credit derivatives. 

G2 1 – 15 

Report the weighted average LGD of exposures in the segments included 

in this row for column A. In estimating LGD, do include the effects of 

credit risk mitigants (collateral, guarantees and credit derivatives). 

H 1 – 15 Report total risk-weighted assets associated with all segments of 

exposures included in this row for column A. 

I 1 – 15 Report the dollar volume of ECL for segments of exposures included in 

this row for column A. 

J 1 – 15 Report the EAD of exposures included in this row for column A that 

have less than a 70% LTV. 

K 1 – 15 Report the EAD of exposures included in this row for column A that 

have at least a 70% but less than 80% LTV. 

L 1 – 15 Report the EAD of exposures included in this row for column A that 

have at least an 80% but less than 90% LTV. 

M 1 – 15 Report the EAD of exposures included in this row for column A that 

have at least a 90% but not more than 100% LTV. 

N 1 – 15 Report the EAD of exposures included in this row for column A that 

have a 100+% LTV. 

O 1 – 15 Report the weighted average credit risk score of exposures in the 

segments included in this row for column A. 

P 1 - 15 

Report the EAD of accounts that are included in the segments reported in 

this row where the LTV has been updated since the last report date for 

portfolio management purposes, that is, the updated LTV is based upon a 
Draft 8/29/06 

FFIEC 101 

69

RETAIL EXPOSURES – SCHEDULE L 

RESIDENTIAL MORTGAGE - NON-REVOLVING FIRST LIENS 

INSTRUCTIONS

refreshed assessment of the collateral value. If LTVs were not updated 

for any accounts in the segments reported in the row since the last report 

date, report 0. 

A - P 16 Calculated cells. 

-- 17 Report the risk-weighted assets of immaterial exposures reportable in this 

schedule but not included in the above cells. 

-- 18 

Report the subcategory weighted average Expected Loss Given Default 

(ELGD), weighting each ELGD by the exposure’s associated EAD 

calculated using the bank’s internal estimates of LGD. Report in this 

item only if using own internal estimate of LGD. 

-- 19 Report the name of the credit bureau or credit scoring system used to 

produce the values in column O. 
Draft 8/29/06 

FFIEC 101 

70

RETAIL EXPOSURES – SCHEDULE M 

RESIDENTIAL MORTGAGE – NON-REVOLVING JUNIOR LIENS 

INSTRUCTIONS

Schedule 

M 

Residential 

Mortgage 

Exposures 

(NonRevolving 

Junior 

Liens) 

Report all Residential Mortgage Exposures as defined in the NPR that (1) are 

secured by liens subordinate to any other lien, and (2) are not revolving. 

Column Row(s) Instructions 

A 1 – 15 Report the weighted average PD of all segments of exposures applicable to 

this section as noted above, whose IRB PD falls within each range indicated. 

B 1 – 15 Report the total number of exposures in all segments included in this row for 

column A. 

C 1 – 15 Report the total balance sheet amount of exposures within the segments 

included in this row for column A. 

D 1 – 15 

Report the dollar volume of available but undrawn balances of exposures 

within the segments included in this row for column A. Include undrawn 

commitments to lend, including available negative amortization and unfunded 

mortgage commitments. 

E 1 – 15 Report the total EAD of segments of exposures included in this row for 

column A. 

F 1 – 15 Report the weighted average age of exposures in the segments included in this 

row for column A. 

G1 1 – 15 

Report the weighted average LGD of exposures in the segments included in 

this row for column A. In estimating LGD, include the effects of collateral 

but not the effects of guarantees or credit derivatives. 

G2 1 – 15 

Report the weighted average LGD of exposures in the segments included in 

this row for column A. In estimating LGD, do include the effects of credit 

risk mitigants (collateral, guarantees and credit derivatives). 

H 1 – 15 Report total risk-weighted assets associated with all segments of exposures 

included in this row for column A. 

I 1 – 15 Report the dollar volume of ECL for segments of exposures included in this 

row for column A. 

J 1 – 15 

Report the EAD of exposures included in this row for column A that have less 

than a 70% LTV.

K 1 – 15 Report the EAD of exposures included in this row for column A that have at 

least a 70% but less than 80% LTV. 

L 1 – 15 Report the EAD of exposures included in this row for column A that have at 

least an 80% but less than 90% LTV. 

M 1 – 15 Report the EAD of exposures included in this row for column A that have at 

least a 90% but not more than 100% LTV. 

N 1 – 15 Report the EAD of exposures included in this row for column A that have a 

100+% LTV. 

O 1 – 15 Report the weighted average credit risk score of exposures in the segments 

included in this row for column A. 
Draft 8/29/06 

FFIEC 101 

71

RETAIL EXPOSURES – SCHEDULE M 

RESIDENTIAL MORTGAGE – NON-REVOLVING JUNIOR LIENS 

INSTRUCTIONS

P 1 - 15 

Report the EAD of accounts that are included in the segments reported in this 

row where the LTV has been updated since the last report date for portfolio 

management purposes, that is, the updated LTV is based upon a refreshed 

assessment of the collateral value. If LTVs were not updated for any 

accounts in the segments reported in the row since the last report date, report 

0. 

A - P 16 Calculated cells. 

-- 17 Report the risk-weighted assets of immaterial exposures reportable in this 

schedule but not included in the above cells. 

-- 18 

Report the subcategory weighted average Expected Loss Given Default 

(ELGD), weighting each ELGD by the exposure’s associated EAD calculated 

using the bank’s internal estimates of LGD. Report in this item only if using 

own internal estimate of LGD. 

-- 19 Report the name of the credit bureau or credit scoring system used to produce 

the values in column O. 
Draft 8/29/06 

FFIEC 101 

72

RETAIL EXPOSURES – SCHEDULE N 

RESIDENTIAL MORTGAGE – REVOLVING EXPOSURES 

INSTRUCTIONS

Schedule N 

Residential 

Mortgage 

Exposures 

(Revolving 

Exposures) 

Report all Residential Mortgage Exposures as defined in the NPR that are 

revolving. 

Column Row(s) Instructions 

A 1 – 15 Report the weighted average PD of the segments whose PDs fall within 

each of the PD ranges indicated. 

B 1 – 15 Report the total number of exposures in all segments included in this row 

for column A. 

C 1 – 15 Report the total balance sheet amount value of exposures within the 

segments included in this row for column A. 

D 1 – 15 

Report the dollar volume of available but undrawn balances of exposures 

within the segments included in this row for column A. Include undrawn 

commitments to lend, including available negative amortization and 

unfunded mortgage commitments. 

E 1 – 15 Report the total EAD of segments of exposures included in this row for 

column A. 

F 1 – 15 Report the weighted average age of exposures in the segments included in 

this row for column A. 

G1 1 – 15 

Report the weighted average LGD of exposures in the segments included in 

this row for column A. In estimating LGD, include the effects of collateral 

but not the effects of guarantees or credit derivatives. 

G2 1 – 15 

Report the weighted average LGD percentage of exposures in the segments 

included in this row for column A. In estimating LGD, do include the 

effects of credit risk mitigants (collateral, guarantees and credit 

derivatives). 

H 1 – 15 Report total risk-weighted assets associated with all segments of exposures 

included in this row for column A. 

I 1 – 15 Report the dollar amount of ECL for segments of exposures included in 

this row for column A. 

J 1 – 15 Report the EAD of exposures included in this row for column A that have 

less than a 70% LTV. 

K 1 – 15 Report the EAD of exposures included in this row for column A that have 

at least a 70% but less than 80% LTV. 

L 1 – 15 Report the EAD of exposures included in this row for column A that have 

at least an 80% but less than 90% LTV. 

M 1 – 15 Report the EAD of exposures included in this row for column A that have 

at least a 90% but not more than 100% LTV. 

N 1 – 15 Report the EAD of exposures included in this row for column A that are 

have a 100+% LTV. 

O 1 – 15 Report the weighted average credit risk score of exposures in the segments 

included in this row for column A. 

P 1 - 15 Report the EAD of accounts that are included in the segments reported in 

this row where the LTV has been updated since the last report date for 
Draft 8/29/06 

FFIEC 101 

73

RETAIL EXPOSURES – SCHEDULE N 

RESIDENTIAL MORTGAGE – REVOLVING EXPOSURES 

INSTRUCTIONS

portfolio management purposes, that is, the updated LTV is based upon a 

refreshed assessment of the collateral value. If LTVs were not updated for 

any accounts in the segments reported in the row since the last report date, 

report 0. 

A - P 16 Calculated cells. 

-- 17 Report the risk-weighted assets of immaterial exposures reportable in this 

schedule but not included in the above cells. 

-- 18 

Report the subcategory weighted average Expected Loss Given Default 

(ELGD), weighting each ELGD by the exposure’s associated EAD 

calculated using the bank’s internal estimates of LGD. Report in this item 

only if using own internal estimate of LGD. 

-- 19 Report the name of the credit bureau or credit scoring system used to 

produce the values in column O. 
Draft 8/29/06 

FFIEC 101 

74

RETAIL EXPOSURES – SCHEDULE O 

QUALIFYING REVOLVING EXPOSURES – CREDIT CARDS 

INSTRUCTIONS

Schedule O 

QRE 

(Credit 

Cards) 

Report all Qualifying Revolving Exposures as defined in the NPR, in 

which the obligor is issued a credit card to access available funds. 

Column Row(s) Instructions 

A 1 – 15 Report the weighted average PD of the segments whose PDs fall 

within each of the PD ranges indicated. 

B 1 – 15 Report the total number of exposures in all segments included in this 

row for column A. 

C 1 – 15 Report the total balance sheet amount of exposures within the 

segments included in this row for column A. 

D 1 – 15 Report the dollar amount of available but undrawn balances of 

exposures within the segments included in this row for column A. 

E 1 – 15 Report the total EAD of segments of exposures included in this row 

for column A. 

F 1 – 15 Report the total EAD for the exposures in the segments included in 

this row for column A that are less than 2 years old. 

G1 1 – 15 

Report the weighted average LGD of exposures in the segments 

included in this row for column A. In estimating LGD, include the 

effects of collateral but not the effects of guarantees or credit 

derivatives. 

G2 1 – 15 

Report the weighted average LGD of exposures in the segments 

included in this row for column A. In estimating LGD, do include the 

effects of credit risk mitigants (collateral, guarantees and credit 

derivatives). 

H 1 – 15 Report total risk-weighted assets associated with all segments of 

exposures included in this row for column A. 

I 1 – 15 Report the dollar amount of ECL for segments of exposures included 

in this row for column A. 

J 1 – 15 Report the weighted average credit risk score of exposures in the 

segments included in this row for column A. 

A - J 16 Calculated cells. 

-- 17 Report the risk-weighted assets of immaterial exposures reportable in 

this schedule but not included in the above cells. 

-- 18 

Report the subcategory weighted average Expected Loss Given 

Default (ELGD), weighting each ELGD by the exposure’s associated 

EAD calculated using the bank’s internal estimates of LGD. Report in 

this item only if using own internal estimate of LGD. 

-- 19 Report the name of the credit bureau or credit scoring system used to 

produce the values in column J. 
Draft 8/29/06 

FFIEC 101 

75

RETAIL EXPOSURES – SCHEDULE P 

QUALIFYING REVOLVING EXPOSURES – ALL OTHER 

INSTRUCTIONS

Schedule P QRE 

(Other) 

Report all other Qualifying Revolving Exposures as defined in the 

NPR, except those reported in Schedule O. 

Column Row(s) Instructions 

A 1 – 15 Report the weighted average PD of the segments whose PDs fall 

within each of the PD ranges indicated 

B 1 – 15 Report the total number of exposures in all segments included in this 

row for column A. 

C 1 – 15 Report the total balance sheet amount of exposures within the 

segments included in this row for column A. 

D 1 – 15 Report the dollar amount of available but undrawn balances of 

exposures within the segments included in this row for column A. 

E 1 – 15 Report the total EAD of segments of exposures included in this row 

for column A. 

F 1 – 15 Report the total EAD for the exposures in the segments included in 

this row for column A that are less than 2 years old. 

G1 1 – 15 

Report the weighted average LGD of segments of exposures in the 

segments included in this row for column A. In estimating LGD, 

include the effects of collateral but not the effects of guarantees or 

credit derivatives. 

G2 1 – 15 

Report the weighted average LGD percentage of exposures in the 

segments included in this row for column A. In estimating LGD, 

include the effects of credit risk mitigants (collateral, guarantees and 

credit derivatives). 

H 1 – 15 Report total risk weighted assets associated with all segments of 

exposures included in this row for column A. 

I 1 – 15 Report the dollar amount of ECL for segments of exposures 

included in this row for column A. 

J 1 – 15 Report the weighted average credit risk score of exposures in the 

segments included in this row for column A. 

A - J 16 Calculated cells. 

-- 17 Report the risk-weighted assets of immaterial exposures reportable 

in this schedule but not included in the above cells. 

-- 18 

Report the subcategory weighted average Expected Loss Given 

Default (ELGD), weighting each ELGD by the exposure’s 

associated EAD calculated using the bank’s internal estimates of 

LGD. Report in this item only if using own internal estimate of 

LGD. 

-- 19 Report the name of the credit bureau or credit scoring system used to 

produce the values in column J. 
Draft 8/29/06 

FFIEC 101 

76

RETAIL EXPOSURES – SCHEDULE Q 

OTHER RETAIL EXPOSURES – SMALL BUSINESS 

INSTRUCTIONS

Schedule Q 

Other 

Retail 

Exposure 

(Small 

Business) 

Report Other Retail Exposures as defined in the NPR, to an 

individual or company for business purposes if the bank’s 

consolidated business credit exposure to the individual or company 

is $1 million or less. 

Column Row(s) Instructions 

A 1 – 15 Report the weighted average PD of the segments whose PDs fall 

within each of the PD ranges indicated 

B 1 – 15 Report the total number of exposures in all segments included in this 

row for column A. 

C 1 – 15 Report the total balance sheet amount of exposures within the 

segments included in this row for column A. 

D 1 – 15 Report the dollar amount of available but undrawn balances of 

exposures within the segments included in this row for column A. 

E 1 – 15 Report the total EAD of segments of exposures included in this row 

for column A. 

F 1 – 15 Report the total EAD for the exposures in the segments included in 

this row for column A that are less than 2 years old. 

G1 1 – 15 

Report the weighted average LGD of exposures in the segments 

included in this row for column A. In estimating LGD, include the 

effects of collateral but not the effects of guarantees or credit 

derivatives. 

G2 1 – 15 

Report the weighted average LGD of exposures in the segments 

included in this row for column A. In estimating LGD, include the 

effects of credit risk mitigants (collateral, guarantees and credit 

derivatives). 

H 1 – 15 Report total risk weighted assets associated with all segments of 

exposures included in this row for column A. 

I 1 – 15 Report the dollar amount of ECL for segments of exposures 

included in this row for column A. 

J 1 – 15 Report the weighted average credit risk score of exposures in the 

segments included in this row for column A. 

A - J 16 Calculated cells. 

-- 17 Report the risk-weighted assets of immaterial exposures reportable 

in this schedule but not included in the above cells. 

-- 18 

Report the subcategory weighted average Expected Loss Given 

Default (ELGD), weighting each ELGD by the exposure’s 

associated EAD calculated using the bank’s internal estimates of 

LGD. Report in this item only if using own internal estimate of 

LGD. 

-- 19 Report the name of the credit bureau or credit scoring system used to 

produce the values in column J. 
Draft 8/29/06 

FFIEC 101 

77

RETAIL EXPOSURES – SCHEDULE R 

OTHER RETAIL EXPOSURES – ALL OTHER 

INSTRUCTIONS

Schedule R 

Other 

Retail 

Exposure 

Report Other Retail Exposures as defined in the NPR, except those 

reported in Schedule Q. 

Column Row(s) Instructions 

A 1 – 15 Report the weighted average PD of the segments whose PDs fall 

within each of the PD ranges indicated 

B 1 – 15 Report the total number of exposures in all segments included in this 

row for column A. 

C 1 – 15 Report the total balance sheet amount of exposures within the 

segments included in this row for column A. 

D 1 – 15 Report the dollar amount of available but undrawn balances of 

exposures within the segments included in this row for column A. 

E 1 – 15 Report the total EAD of segments of exposures included in this row 

for column A. 

F 1 – 15 Report the total EAD for the exposures in the segments included in 

this row for column A that are less than 2 years old. 

G1 1 – 15 

Report the weighted average LGD of exposures in the segments 

included in this row for column A. In estimating LGD, include the 

effects of collateral but not the effects of guarantees or credit 

derivatives. 

G2 1 – 15 

Report the weighted average LGD of the exposures in the segments 

included in this row for column A. In estimating LGD, include the 

effects of credit risk mitigants (collateral, guarantees and credit 

derivatives). 

H 1 – 15 Report total risk-weighted assets associated with all segments of 

exposures included in this row for column A. 

I 1 – 15 Report the dollar amount of ECL for segments of exposures 

included in this row for column A. 

J 1 – 15 Report the weighted average credit risk score of exposures in the 

segments included in this row for column A. 

A - J 16 Calculated cells. 

-- 17 Report the risk-weighted assets of immaterial exposures reportable 

in this schedule but not included in the above cells. 

-- 18 

Report the subcategory weighted average Expected Loss Given 

Default (ELGD), weighting each ELGD by the exposure’s 

associated EAD calculated using the bank’s internal estimates of 

LGD. Report in this item only if using own internal estimate of 

LGD. 

-- 19 Report the name of the credit bureau or credit scoring system used to 

produce the values in column J. 
Draft 8/29/06 

FFIEC 101 

78

Preparation Instructions for Securitization Exposures 

(Schedules S and T) 

INSTRUCTIONS FOR SECURITIZATION EXPOSURES – SCHEDULE S

Schedule 

S 

RBA and 

IAA 

Report the aggregate amount of securitization exposures in each 

line item that correspond to a particular rating category, separating 

those subject to the RBA from those subject to the IAA. Report 

RWA for each line item in the last column. Do not include 

exposures that require deduction and should be reported in 

Schedule A. 

If a securitization exposure benefits from credit risk mitigation, 

reflect such credit risk mitigation in risk-weighted assets. However, 

enter the entire notional amount of the exposure into the appropriate 

column according to its external or inferred rating. 

Schedule 

S 5A – 5C Report the sums of each of the columns from items 1 through 4 in Schedule S in columns A through C. 
Draft 8/29/06 

FFIEC 101 

79

INSTRUCTIONS FOR SECURITIZATION EXPOSURES – SCHEDULE T

Schedule 

T 1C – 2C 

In column C, report the aggregate amount that must be deducted.. 

Report the amount that must be deducted for unrated exposures 

with non-IRB underlying exposures in line 1 and the amount that 

must be deducted due to a 1250 percent or greater risk weight under 

the SFA in line 2. Do not use columns A or B. These amounts 

should also be reported in the Call Report Schedule RC-R, FR Y9C Report Schedule HC-R, or TFR Schedule CCR. 

Schedule 

T 3A – 3B 

In column A, report the total dollar amount of notional exposures to 

synthetic securitizations. In column B, report the RWA associated 

with those exposures. Do not use column C. 

Schedule 

T 4A – 4B 

In column A, report the total dollar amount of positions in synthetic 

securitizations hedged by collateral or eligible guarantees or eligible 

credit derivatives from eligible securitization guarantors. In column 

B, report the amount of RWA associated with these hedged 

positions. Do not use column C. 

Schedule 

T 5B 

In column B, report the amount of RWA that would have been 

required for the all securitization exposures if the capital 

requirement were not capped under section 42(d) of the proposed 

rule. For purposes of this cell only, convert amounts required to be 

deducted into risk-weighted assets by multiplying them by 1250 

percent. 

Schedule 

T 6A-7B 

Report EAD and RWA associated with the investors’ interest in 

revolving securitizations that could be subject to an early 

amortization capital requirement. 

Report amounts associated with retail credit lines (e.g., individual 

credit card lines) in line 6 and with non-retail credit lines in line 7. 

 

 
Draft 8/29/06 

FFIEC 101 

80

Preparation Instructions for Equity Exposures 

(Schedule U) 

INSTRUCTIONS FOR EQUITY EXPOSURES – SCHEDULE U 

(Refer to the NPR for Equity Exposure terms and definitions) 

Data 

Description Row(s) Instructions 

Total Equity 

Exposures 1 

In line 1, column A, report the aggregate adjusted carrying value of 

equity exposures that are subject to Part VI of the NPR. Do not 

include exposures subject to the market risk capital framework. 

Excluded 

Equity 

Exposures – 

0% Risk 

Weight 

Exposures 

2 

In line 2, column A, report the adjusted carrying value of equity 

exposures that are sovereign exposures or exposures to the Bank for 

International Settlements, the International Monetary Fund, the 

European Commission, the European central bank or a multi-lateral 

development bank. 

Excluded 

Equity 

Exposures – 

FHLB/Farm

er Mac 

Equity 

Exposures – 

20% Risk 

Weight 

3 

In line 3, column A, report the aggregate adjusted carrying value of 

equity exposures to a Federal Home Loan Bank or Farmer Mac that 

are not publicly traded and are held as a condition of membership in 

that entity. 

In line 3, column B, report the product of line 3, column A and 20 

percent. 

Excluded 

Equity 

Exposures – 

FHLB/Farm

er Mac 

Equity 

Exposures – 

100% Risk 

Weight 

4 

In line 4, column A, report the aggregate adjusted carrying value of 

equity exposures to a Federal Home Loan Bank or Farmer Mac not 

reported in line 3, column A. 

In line 4, column B, report the amount contained in line 4, column A. 
Draft 8/29/06 

FFIEC 101 

81

INSTRUCTIONS FOR EQUITY EXPOSURES – SCHEDULE U 

(Refer to the NPR for Equity Exposure terms and definitions) 

Excluded 

Equity 

Exposures – 

Community 

Developmen

t Equity 

Exposures – 

100% Risk 

Weight 

5 

In line 5, column A, report the aggregate adjusted carrying value of 

community development equity exposures. 

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

Equity 

Exposures to 

Investment 

Funds 

6 

In line 6, column A, report the adjusted carrying value of all equity 

exposures to investment funds. 

In line 6, column B, report RWA for all equity exposures to 

investment funds. 

 6a 

In line 6a, column A, report the adjusted carrying value of all equity 

exposures to investment funds to which the bank applies the full 

look-through approach. 

In line 6a, column B, report RWA for all equity exposures to 

investment funds to which the bank applies the full look-through 

approach. 

 6b 

In line 6b, column A, report the adjusted carrying value of all equity 

exposures to investment funds to which the bank applies the simple 

modified look-through approach. 

In line 6b, column B, report RWA for all equity exposures to 

investment funds to which the bank applies the simple modified lookthrough approach. 

 6c 

In line 6c, column A, report the adjusted carrying value of all equity 

exposures to investment funds to which the bank applies the 

alternative modified look-through approach. 

In line 6c, column B, report RWA for all equity exposures to 

investment funds to which the bank applies the alternative modified 

look-through approach. 

Simple 

Risk-Weight 

Approach 

Calculations 

Lines 7 through 13 are to be completed by banks that use the simple 

risk-weight approach. 
Draft 8/29/06 

FFIEC 101 

82

INSTRUCTIONS FOR EQUITY EXPOSURES – SCHEDULE U 

(Refer to the NPR for Equity Exposure terms and definitions) 

Excluded 

Exposures to 

Investment 

Funds 

7 In line 7, column A, report the aggregate adjusted carrying value of 

excluded equity exposures to investment funds. 

Excluded 

Equity 

Exposures – 

Hedge Pair 

Equity 

Exposures 

8 

In line 8, column A, report the sum of the adjusted carrying values of 

each equity exposure in a hedge pair with the smaller adjusted 

carrying value. 

Effective 

Portion of 

Hedge Pair 

Equity 

Exposures – 

100% Risk 

Weight 

9 

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

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

Nonsignificant 

Equity 

Exposures

10 

In line 10, report the adjusted carrying value of non-significant equity 

exposures (excluding items reported in lines 2 through 5 and 7 

through 9) up to 10 percent of tier 1 plus tier 2 capital. 

Publicly 

Traded 

Equity 

Exposures – 

300% Risk 

Weight 

11 

In line 11, column A, report the aggregate adjusted carrying value of 

the bank’s publicly traded equity exposures not included in lines 2 

through 10, including the ineffective portion of each hedge pair. 

In line 11, column B, report the product of line 11, column A and 300 

percent. 

NonPublicly 

Traded 

Equity 

Exposures – 

400% Risk 

Weight 

12 

In line 12, column A, report the adjusted carrying value of the bank’s 

equity exposures not included in line 11 that are not publicly traded. 

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

percent. 

Total 

SRWA 

13 

In line 13, column B, report the sum of lines 2 through 6 and 9 

through 12 of column B. 

This is the bank’s risk-weighted asset amount under the SRWA. 
Draft 8/29/06 

FFIEC 101 

83

INSTRUCTIONS FOR EQUITY EXPOSURES – SCHEDULE U 

(Refer to the NPR for Equity Exposure terms and definitions) 

Full Internal 

Models 

Approach 

Calculations 

Lines 14 -18 are for banks that use the internal models approach for 

both publicly traded and non-publicly traded equity exposures (Full 

IMA). 

Estimate of 

Potential 

Losses 

14 

In line 14, column A, report the estimate of potential losses on the 

bank’s equity exposures excluding those reported in lines 2 through 5 

and equity exposures to investment funds. 

In line 14, column B, report the product of line 16, column A, and 

12.5. 

Full IMA 

Floors 

Publicly 

Traded 

15 

In line 15, column A, report the sum of (i) the aggregate adjusted 

carrying values of the bank’s publicly traded equity exposures that do 

not belong to a hedge pair, are not reported in lines 2-5, and are not 

equity exposures to an investment fund and (ii) the aggregate 

ineffective portion of all hedge pairs. 

In line 15, column B, report the product of line 15, column A and 200 

percent. 

Full IMA 

Floors 

NonPublicly 

Traded 

16 

In line 16, column A, report the aggregate adjusted carrying values of 

the bank’s equity exposures that are not publicly traded, not reported 

in lines 2-5, and are not equity exposures to an investment fund. 

In line 16, column B, report the product of line 16, column A and 300 

percent 

Full IMA 

Floors 17 Report the sum of line 15, column B and line 16, column B. 

Actual 

RWA – Full 

IMA 

18 

In line 18, column B, report the sum of line 3, column B, line 4, 

column B, line 5, column B, line 6 column B, and the greater of line 

14, column B and line 17, column B. 

This is the bank’s risk-weighted asset amount under the full IMA. 

Partial 

Internal 

Models 

Approach 

Calculation 

Lines –19-22 are for banks that use the internal models approach only 

for publicly traded equity exposures (partial IMA). 

Estimate of 

Potential 

Losses 

19 

In line 19, column A, report the estimate of potential losses on the 

bank’s publicly traded equity exposures excluding those reported in 

lines 3 through 5 and equity exposures to investment funds. 

In line 19, column B, report the product of line 19, column A, and 

12.5. 
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INSTRUCTIONS FOR EQUITY EXPOSURES – SCHEDULE U 

(Refer to the NPR for Equity Exposure terms and definitions) 

Partial IMA 

Floor 20 

In line 20, column A, report the sum of (i) the aggregate adjusted 

carrying values of the bank’s publicly traded equity exposures that do 

not belong to a hedge pair, are not reported in lines 2-5, and are not 

equity exposures to an investment fund and (ii) the aggregate 

ineffective portion of all hedge pairs. 

In line 20, column B, report the product of line 20, column A and 200 

percent 

NonPublicly 

Traded 

Equity 

Exposures – 

400% Risk 

Weight 

21 

In line 21, column A, report the adjusted carrying value of nonpublicly traded equity exposures (other than those reported on lines 2-

6). 

In line 21, column B, report the product of line 21, column A, and 

400 percent. 

Actual 

RWA – 

Partial IMA 

22 

In line 22, column B, report the sum of line 3, column B, line 4, 

column B, line 5, column B, line 6, column B, line 21, column B and 

the greater of line 19, column B and line 20, column B. 

This is the bank’s risk-weighted asset amount under the partial IMA. 
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Preparation Instructions for Operational Risk 

(Schedule V) 

Item No. Caption and Instructions 

Public

Operational Risk Capital 

1. Risk-based Capital Requirement for Operational Risk 

The NPR describes the risk-based capital requirement for operational risk as follows: 

If a bank does not qualify to use or does not have qualifying operational risk 

mitigants, the bank’s dollar risk-based capital requirement for operational risk is its 

operational risk exposure minus eligible operational risk offsets (if any). 

If a bank qualifies to use operational risk mitigants and has qualifying operational 

risk mitigants, the bank’s dollar risk-based capital requirement for operational risk is 

the greater of: 

(1) The bank’s operational risk exposure adjusted for qualifying operational risk 

mitigants minus eligible operational risk offsets (if any); or 

(2) 0.8 multiplied by the difference between: (i) The bank’s operational risk 

exposure; and (ii) Eligible operational risk offsets (if any). 

2. Is item 1 generated from an "alternative operational risk quantification system?" 

Indication (y/n) of whether the risk-based capital figure reported in item 1 results 

from an “alternative operational risk quantification system” as discussed in section 

22(h)(3)(ii) of the NPR. 

Expected Operational Loss (EOL) and Eligible Operational Risk Offsets

3. Expected Operational Loss (EOL) 

As defined in the NPR, EOL is the expected value of the distribution of potential 

aggregate operational losses, as generated by the bank’s operational risk 

quantification system using a one-year horizon. 
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4. Total Eligible Operational Risk Offsets 

Summary: As defined in the NPR, eligible operational risk offsets are amounts, not 

to exceed expected operational loss, that: (1) are generated by internal business 

practices to absorb highly predictable and reasonably stable operational losses, 

including reserves calculated consistent with GAAP; and (2) are available to cover 

expected operational losses with a high degree of certainty over a one-year horizon. 

a. Eligible GAAP reserves: Reserves calculated in a manner consistent with GAAP 

as described above. 

b. Other eligible offsets: Offsets approved by the institution’s supervisor outside of 

GAAP reserves reported in item 4.a. above. 

Total Risk-based Capital Requirement for Operational Risk without:

Summary: The effects of each of the following three adjustments on risk-based 

capital for operational risk should be calculated independently (e.g. item 7 should 

only exclude Risk Mitigants from the calculation, and should continue to include 

adjustments for dependence assumptions and those related to business environment 

and internal control factors). 

5. Dependence Assumptions: This amount is equal to the risk-based capital for 

operational risk excluding the effects of dependence assumptions. As defined in the 

NPR, dependence is a measure of the association among operational losses across and 

within business lines and operational loss event types. 

6. Adjustments Reflecting Business Environment and Internal Control Factors: This 

amount is equal to the risk-based capital for operational risk excluding the effects of 

qualitative adjustments that account for key business environment and internal control 

factors. 

7. Risk Mitigants (e.g., insurance): This amount is equal to the risk-based capital 

requirement for operational risk excluding the effects of risk mitigants, as described 

in section 61(b) of the NPR. 

Confidential 

Internal Operational Loss Data Characteristics 

8. Reporting dates 

a. Starting date: The beginning date of the time period of internal loss data used in 

modeling operational risk capital. 
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b. Ending date: The ending date of the time period of internal loss data used in 

modeling operational risk capital. 

9. Highest dollar threshold on loss data 

The highest dollar amount that is used to exclude internal operational loss data from 

operational risk capital modeling. 

10. Does the dollar threshold change across units of measure? 

Indication (y/n) of whether the thresholds for the internal loss data used in modeling 

operational risk capital differ across units of measure. As defined in the NPR, unit of 

measure is the level (for example, organizational unit or operational loss event type) 

at which the bank’s operational risk quantification system generates a separate 

distribution of potential operational losses. 

11. Total number of losses: 

Column A: The total number of internal losses used in the model to determine the 

risk-based capital requirement for operational risk. 

Column B: The total number of internal losses in the current reporting period. 

12. Total dollar amount of losses: 

Column A: The total dollar amount of internal losses used in the model to determine 

the risk-based capital requirement for operational risk. 

Column B: The total dollar amount of internal losses in the current reporting period. 

13. Dollar amount of largest loss: 

Column A: The dollar value of the largest single loss used in the model to determine 

the risk-based capital requirement for operational risk. 

Column B: The dollar value of the largest single loss in the current reporting period. 
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14. Number of losses in the following ranges (e.g., ≥ $10,000 and < $100,000): 

For the ranges specified in a. through e. below, report the number of losses greater 

than or equal to the low-end of the range and less than the high-end of the range. For 

f., report the number of losses greater than or equal to $1 Billion. 

a. $10,000 - $100,000 

b. $100,000 - $1 Million 

c. $1 Million - $10 Million 

d. $10 Million - $100 Million 

e. $100 Million - $1 Billion 

f. $1 Billion+ 

Column A: For each range, the total number of internal losses used in the model to 

determine the risk-based capital requirement for operational risk. 

Column B: For each range, the total number of internal losses in the current reporting 

period. 

15. Total dollar amount of losses in the following ranges (e.g., ≥ $10,000 and < 

$100,000): 

For the ranges specified in a. through e. below, report the dollar amount of losses 

greater than or equal to the low-end of the range and less than the high-end of the 

range. For f., report the dollar amount of losses greater than or equal to $1 Billion. 

a. $10,000 - $100,000 

b. $100,000 - $1 Million 

c. $1 Million - $10 Million 

d. $10 Million - $100 Million 

e. $100 Million - $1 Billion 

f. $1 Billion+ 

Column A: For each range, the total dollar amount of internal losses used in the 

model to determine the risk-based capital requirement for operational risk. 

Column B: For each range, the total dollar amount of internal losses in the current 

reporting period. 
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Scenario Analysis 

16. How many individual scenarios were used in calculating the risk-based capital 

requirement for operational risk? 

The total number of scenarios used in the model to determine the risk-based capital 

requirement for operational risk. 

17. What is the dollar value of the largest individual scenario? 

The dollar value of the largest scenario used in the model to determine the risk-based 

capital requirement for operational risk. 

18. Number of scenarios in the following ranges (e.g., ≥ $1 Million and < $10 Million): 

For the ranges specified in a. through d. below, report the number of scenarios greater 

than or equal to the low-end of the range and less than the high-end of the range. For 

e., report the number of scenarios greater than or equal to $1 Billion. 

a. $1 Million - $10 Million 

b. $10 Million - $100 Million 

c. $100 Million - $500 Million 

d. $500 Million - $1 Billion 

e. $1 Billion + 

Distributional Assumptions 

19. How many units of measure were used in calculating the risk-based capital 

requirement for operational risk? 

The number of units of measure for which a separate distribution of potential 

operational losses is generated by the institution’s operational risk quantification 

system. 

20. Frequency Distribution: Across how many individual units of measure did the 

choice of frequency distribution change since the last reporting period? 

The total number of units of measure for which the statistical distribution(s) used this 

reporting period to estimate loss frequency differs from those used in the prior 

reporting period. 
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21. Severity Distribution: Across how many individual units of measure did the choice 

of severity distribution change since the last reporting period? 

The total number of units of measure for which the statistical distribution(s) used this 

reporting period to estimate loss severity differs from those used in the prior reporting 

period. 

Loss Caps 

Summary: The use of caps to exclude losses over a certain threshold can have a 

significant impact on modeling operational risk exposure, and can lead to an underestimation of the risk-based capital requirement for operational risk. Items 22 

through 24 solicit information on the extent to which such loss caps are used and the 

levels at which those caps are set. 

22. How many loss caps are used in calculating the risk-based capital requirement for 

operational risk? 

The number of loss caps used to limit loss size in the quantification process for 

determining the risk-based capital requirement for operational risk. 

23. What is the dollar amount of the smallest cap used? 

The dollar amount of the smallest cap used to limit loss size in the quantification 

process for determining the risk-based capital requirement for operational risk. 

24. What is the dollar amount of the largest cap used? 

The dollar amount of the largest cap used to limit loss size in the quantification 

process for determining the risk-based capital requirement