VersionasofJune30,2016ModifiedAugust23,2016Proposedchanges–TailoringNPR
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OMBNo.7100‐0341ExpirationDate:January31,2019
InstructionsfortheCapitalAssessmentsandStressTestinginformationcollection
(ReportingFormFRY‐14A)
ThisReportisrequiredbylaw:section165oftheDodd‐FrankAct(12U.S.C.§5365)andsection5oftheBankHoldingCompanyAct(12U.S.C.§1844). Publicreportingburdenforthisinformationcollectionisestimatedtovaryfromapproximately10to987hoursperresponse,withanaverageof159hoursperresponse,includingtimetogatherandmaintaindataintherequiredformandtoreviewinstructionsandcompletetheinformationcollection. Commentsregardingthisburdenestimateoranyotheraspectofthisinformationcollection,includingsuggestionsforreducingtheburden,maybesenttoSecretary,BoardofGovernorsoftheFederalReserveSystem,20thandCStreets,NW,Washington,DC20551,andtotheOfficeofManagementandBudget,PaperworkReductionProject(7100‐0341),Washington,DC20503.
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GENERALINSTRUCTIONS...................................................................................................................................................4
ScheduleA—Summary........................................................................................................................................................10
GENERALINSTRUCTIONS.....................................................................................................................................................10 1. INCOMESTATEMENT,BALANCESHEET,ANDCAPITAL..............................................................................................11 A.1.a—IncomeStatement .................................................................................................................................. 11 A.1.b—BalanceSheet ......................................................................................................................................... 26 A.1.c—Risk‐WeightedAssets(RWA) ................................................................................................................. 40 A.1.c.2—StandardizedRWA .............................................................................................................................. 40 A.1.c.3—AdvancedRWA .................................................................................................................................... 47 A.1.d—Capital .................................................................................................................................................... 48
2. RETAIL.......................................................................................................................................................................72 A.2.a—RetailBalanceandLossProjections ...................................................................................................... 72 A.2.b—RetailRepurchaseProjections ............................................................................................................... 77
3. AFS/HTMSECURITIES.............................................................................................................................................80 A.3.a—ProjectedOTTIforAFSSecuritiesandHTMbySecurity ...................................................................... 82 A.3.b—High‐LevelOTTIMethodologyandAssumptionsforAFSandHTMSecuritiesbyPortfolio ................ 82 A.3.c—ProjectedOTTIforAFSandHTMSecuritiesbyPortfolio ...................................................................... 82 A.3.d—ProjectedOCIandFairValueforAFSandImpairedHTMSecurities .................................................. 83 A.3.e—ActualAFSandHTMFairMarketValueSourcesbyPortfolio .............................................................. 83
4. TRADING....................................................................................................................................................................84 5. COUNTERPARTYCREDITRISK(CCR).......................................................................................................................86 6. BHCOPERATIONALRISKSCENARIOINPUTSANDPROJECTIONS................................................................................87 7. PRE‐PROVISIONNETREVENUE(PPNR).................................................................................................................89 A.7.a—PPNRProjectionsSub‐schedule ............................................................................................................. 92 A.7.b—PPNRNetInterestIncome(NII)Sub‐schedule .................................................................................... 107 A.7.c—PPNRMetrics ........................................................................................................................................ 116
ScheduleB—Scenario.....................................................................................................................................................129
B.1—SUPERVISORYBASELINESCENARIO.......................................................................................................................130 B.2—SUPERVISORYADVERSESCENARIO........................................................................................................................130 B.3—SUPERVISORYSEVERELYADVERSESCENARIO......................................................................................................130 B.4—BHCBASELINESCENARIO.....................................................................................................................................130 B.5—BHCADVERSESCENARIO......................................................................................................................................130 B.6+—ADDITIONALSCENARIO#1/#2/ETC.................................................................................................................130
ScheduleC—RegulatoryCapitalInstruments........................................................................................................132
ScheduleD—RegulatoryCapitalTransitions.........................................................................................................154
D.1—CAPITALCOMPOSITION.........................................................................................................................................155 D.2—EXCEPTIONBUCKETCALCULATOR........................................................................................................................165 D.3—ADVANCEDRISK‐WEIGHTEDASSETS...................................................................................................................168 D.4—STANDARDIZEDRISK‐WEIGHTEDASSETS............................................................................................................175 D.5—LEVERAGEEXPOSURE............................................................................................................................................181 D.6—PLANNEDACTIONS................................................................................................................................................186
ScheduleE—OperationalRisk.......................................................................................................................................189
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E.1—BHCOPERATIONALRISKHISTORICALCAPITAL(BHCBASELINESCENARIOONLY)..........................................189 E.2—BHCLEGALRESERVESREPORTING.......................................................................................................................189
ScheduleF–BusinessPlanChanges...........................................................................................................................190
ScheduleG–RetailRepurchaseExposures.............................................................................................................192
AppendixA:SupportingDocumentation..................................................................................................................197
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INSTRUCTIONSFORPREPARATIONOFCapitalAssessmentsandStressTestingReportFRY‐14AGENERALINSTRUCTIONS
TheCapitalAssessmentsandStressTestingReport(FRY‐14Areport)collectsdetaileddataonbankholdingcompanies’(BHCs)quantitativeprojectionsofbalancesheetassetsandliabilities,income,losses,andcapitalacrossarangeofmacroeconomicscenariosandqualitativeinformationonmethodologiesusedtodevelopinternalprojectionsofcapitalacrossscenarios. I t a p p l i e s t o bankholdingcompanieswithtotalconsolidatedassetsof$50billionormoreandintermediateholdingcompaniesforeignbankingorganizations(collectivelyreferredtoas“BHCs”).TheFRY‐14AreportiscomprisedofaSummary,Scenario,RegulatoryCapitalInstruments,RegulatoryCapitalTransitions,OperationalRisk,BusinessPlanChanges,andRetailRepurchaseExposureschedules,eachwithmultiplesupportingsub‐schedules.ThenumberofschedulesaBHCmustcompleteissubjecttomaterialitythresholdsandcertainothercriteria.Forinstance,largeandnoncomplexfirms1arenotrequiredtocompletecertainsub‐schedules.BHCsreportprojectionsontheFRY‐14AschedulesacrosssupervisoryscenariosprovidedbytheFederalReserve(supervisorybaseline,adverse,andseverelyadverse),aswellasBHC‐definedscenarios(BHCbaselineandBHCstress).OneormoreofthemacroeconomicscenariosincludesamarketriskshockthattheBHCswillassumewhenmakingtradingandcounterpartylossprojections. TheFederalReservewillprovidedetailsaboutthemacroeconomicscenariostotheBHCs. BHCsarealsorequiredtosubmitqualitativeinformationsupportingtheirprojections,includingdescriptionsofthemethodologiesusedtodeveloptheinternalprojectionsofcapitalacrossscenariosandotheranalysesthatsupporttheircomprehensivecapitalplans.Furtherinformationregardingthequalitativeandtechnicalrequirementsofrequiredsupportingdocumentationisprovidedinindividualschedulesasappropriate,aswellasinAppendixA:SupportingDocumentation.Asnoted,thisdocumentincludesrequirementsandsupervisoryexpectationsrelatedtosupportingdocumentationforallBHCssubjecttotheY‐14reportingrequirements.ThatsupportingdocumentationisintendedtohelptoensurethatBHCssubjecttoY‐14reportingrequirementsprovideaccurateandcomprehensiveinformationfortheirY‐14reports.Incertaincases,particularlyasoutlinedinAppendixA,thisdocumentdescribesadditionalexpectationsforcertaincapitalplanningpracticestohelpsupportBHCs’Y‐14reporting.However,thisdocumentisnotintendedtodescribethefullsetofexpectationsforcapitalplanning.ThefullsetofcapitalplanningexpectationshavebeenconsolidatedintwoFederalReservetwosupervisoryletters,SRLetters15‐18and15‐19,issuedinDecember2015.Importantly,thosetwoSRlettersclarifythatthecapital
1 AlargeandnoncomplexfirmisaBHCwithtotalconsolidatedassetsof$50billionorgreaterbutlessthan$250billion;on‐balancesheetforeignexposureoflessthan$10billion;andnonbankassetsoflessthan$75billion.
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planningexpectationsforLISCC2andLargelargeandCcomplexFirms3(asdefinedinthoseletters)arehigherthantheexpectationsforLlargeandNnoncomplexFfirms(asdefinedinthoseletters).4ABHCshouldrefertoSRLetter15‐18orSRLetter15‐19,asapplicable,forthecapitalplanningexpectationsapplicabletothatBHC(dependingontheBHC’ssizeandcomplexity),asthisdocumentappliestoallBHCssubjecttoY‐14reporting.anddoesnotdifferentiatebetweenLlargeandCcomplexvsLlargeandNnoncomplexFfirms.TotheextentthatthisdocumentreferencesexpectationsthatmaynotapplicabletoaLlargeandNnoncomplexFfirmpursuanttoSRLetter15‐19,aLlargeandNnoncomplexfirmwillnotbeheldtothoseexpectationsbutshouldinsteadrefertotheexpectationsinSRLetter15‐19.WhoMustReportA.ReportingCriteriaBHCswithtotalconsolidatedassetsof$50billionormore,asdefinedbythecapitalplanrule(12CFR225.8),arerequiredtosubmittheCapitalAssessmentandStressTestingreport(FRY‐14A/Q/M)totheFederalReserve.Thecapitalplanruledefinestotalconsolidatedassetsastheaverageofthecompany’stotalconsolidatedassetsoverthecourseofthepreviousfourcalendarquarters,asreflectedontheBHC’sConsolidatedFinancialStatementforBankHoldingCompanies(FRY–9C).Totalassetsshallbecalculatedbasedontheduedateofthebankholdingcompany’smostrecentFRY–9C.IftheBHChasnotfiledanFRY‐9Cforeachofthefourmostrecentquarters,theaverageoftheBHC’stotalconsolidatedassetsinthemostrecentconsecutivequartersasreportedquarterlyontheBHC’sFRY‐9Cshouldbeusedinthecalculation.Separateannualschedulesmustbereportedforeachscenarioasrequired,unlessotherwisespecifiedinthescheduleorsub‐scheduleinstructions(forexampleforhistoricaldatacollectionsontheRetailRepurchasesub‐schedule,forwhichonlythebaselinescenarioisrequired).Certaindataelementswithintheannualschedulesaresubjecttomaterialitythresholds. TheinstructionstothesedataschedulesprovidedetailsonhowtodeterminewhetheraBHCmustsubmitaspecificschedule,sub‐schedule,ordataelement.AllannualschedulesarerequiredtobereportedbyallBHCswiththeexceptionofcertaintheTradingandCCRsub‐schedulesoftheSummaryschedule,whichshouldbefiledasdescribedbelow:SecuritiesOTTImethodology,SecuritiesMarketValueSource,SecuritiesOTTIbySecurity,RetailRepurchase,Trading,Counterparty,andAdvancedRWAsub‐schedules(SummarySchedule): 2ALISCCfirmisaBHCthatissubjecttotheFederalReserve’sLargeInstitutionSupervisoryCoordinatingCommittee(LISCC)framework.3AlargeandcomplexfirmisaBHC,otherthanaLISCCfirm,withtotalconsolidatedassetsof$250billionormore,consolidatedtotalon‐balancesheetexposureof$10billionormore,ornonbankassetsof$75billionormore.4SRLetter15‐18setsforthcapitalplanningexpectationsforBHCsthataresubjecttotheFederalReserve’sLargeInstitutionSupervisoryCoordinatingCommittee(LISCC)frameworkandBHCswithtotalconsolidatedassetswithtotalconsolidatedassetsof$250billionormore,orconsolidatedtotalon‐balancesheetexposureof$10billionormore(definedasaLargeandComplexFirm).Undertheconcurrentproposedamendmentstothecapitalplanrule,BHCswithnonbankassetsof$75billionormorewouldalsobesubjecttoSRLetter15‐18.SRLetter15‐19setsforthcapitalplanningexpectationsforBHCsthathavetotalconsolidatedassetsofatleast$50billionbutlessthan$250billion,haveconsolidatedtotalon‐balancesheetexposureoflessthan$10billion,andarenototherwisesubjecttotheLISCCframework(definedasaLargeandNoncomplexFirm).Undertheconcurrentproposedamendmentstothecapitalplanrule,BHCswithnonbankassetsof$75billionormorewouldalsobesubjecttoSRLetter15‐18.
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Largeandnoncomplexfirms5arenotrequiredtocompletethesesubschedules.
TradingandCCRsub‐schedules(SummarySchedule): BHCswithgreaterthan$500billionintotalconsolidatedassetswhoaresubjecttotheamendedmarketriskrule(12CFRParts208,AppendixEand225AppendixE)mustsubmitthisscheduleandsub‐schedules.Additionally,theBoardortheDirectoroftheDivisionofBankingSupervisionandRegulationoftheFederalReserveBoard,actingunderdelegatedauthority,mayrequireanycompanytocompletetheCCRscheduleandsub‐scheduleunder12CFR252.144(b)(2).mustsubmitthisscheduleandsub‐schedules.
B.ExemptionsBHCsthatdonotmeetthereportingcriterialistedaboveareexemptfromreporting.Thefollowinginstitutionsarealsoexempt:
BHCs,savingsandloanholdingcompanies(SLHCs)andstatememberbanks(SMBs)withaveragetotalconsolidatedassetsofgreaterthan$10billionbutlessthan$50billionsubjecttothefinalruleonannualcompany‐runstresstests(12CFR252(h))arenotrequiredtofilethisreport.However,institutionsmeetingthisthresholdshouldreviewthereportingrequirementsandinstructionsfortheAnnualCompany‐RunStressTestProjections(FRY‐16)ontheBoard’spublicwebsite.SLHCsarecurrentlynotrequiredtocomplywithFRY‐14Areportingrequirements.FurtherinformationregardingreportingforSLHCswillbeprovidedinthefuture.6 WheretoSubmittheReportsAllBHCssubjecttothesereportingrequirementsmustsubmitcompletedreportselectronicallyviatheIntraLinkswebsite.BHCswillbeprovidedinformationonhowtotransmitdatatotheFRY‐14IntraLinksCollaborationwebsite.RequestsforaccesstotheIntralinkssiteshouldbesenttoccar.support@ccar.frb.org.Forrequirementsregardingthesubmissionofqualitativesupportinginformation,pleaseseeAppendixA:SupportingDocumentation,inadditiontoinstructionsassociatedwitheachscheduleforwhichsupportingdocumentationmightberequired.WhentoSubmittheReportsBHCsmustfiletheFRY‐14Aschedulesannuallyorsemi‐annuallyaccordingtotheappropriatetimeschedulesdescribedbelow.Allscheduleswillbedueonorbeforetheendofthesubmissiondate(unlessthatdayfallsonaweekend(subjecttotimelyfilingprovisions)).Earlysubmission,includingsubmissionofschedulesonaflowbasispriortotheduedate,aidstheFederalReserveinreviewingandprocessingdataandisencouraged.Ifthesubmissiondatefallsonaweekendorholiday,thedatamustbereceivedonthefirstbusiness
5 A large and noncomplex firm is defined as a bank holding company or U.S. intermediate holding company with total consolidated assets of $50 billion or greater, but less than $250 billion,; on-balance sheet foreign exposure of less than $10 billion,; and nonbank assets of less than $75 billion. 6SLHCswouldnotbesubjecttoDodd‐Frankannualcompany‐runstresstestingrequirementsuntilthenextcalendaryearaftertheSLHCsbecomesubjecttoregulatorycapitalrequirements.
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dayaftertheweekendorholiday. Nootherextensionsoftimeforsubmittingreportswillbegranted.
SchedulesandSub‐Sub‐schedules Dataas‐of‐date
SubmissionDatetoFederalReserve
Semi‐annualSchedules
Summary,MacroScenario
Dataas‐ofDecember31st.
Dataas‐ofJune30th.
DataaredueApril5thofthefollowingyear.
DataaredueOctober5thofthesameyear.
RetailRepurchaseExposures
Dataas‐ofDecember31st.
Dataas‐ofJune30th.
DataareduesevendaysaftertheFRY‐9Creportingschedule:Reporteddata(52calendardaysafterthecalendarquarter‐endforDecemberand47calendardaysafterthecalendarquarter‐endforJune).
AnnualSchedulesRegulatoryCapitalInstruments,RegulatoryCapitalTransitions,OperationalRiskandBusinessPlanChangesschedules
Dataas‐ofDecember31st.
DataaredueApril5thofthefollowingyear.
CCARMarketShockexerciseSummaryschedule
TradingRisk Counterparty
Dataas‐ofaspecifieddateinthefirstquarter.As‐of‐datewouldbecommunicatedbyFederalReserve7
DataaredueApril5th
HowtoPreparetheReports:A. ApplicabilityofGAAPBHCsarerequiredtoprepareandfiletheFRY‐14AschedulesinaccordancewithU.S.generallyacceptedaccountingprinciples(GAAP)andtheseinstructions. ThefinancialrecordsoftheBHCsshouldbemaintainedinsuchamannerandscopetoensuretheFRY‐14AispreparedinaccordancewiththeseinstructionsandreflectsafairpresentationoftheBHCs'financialconditionandassessmentofperformanceunderstressedscenarios.
7 As outlined in Sections 252.144 (Annual Stress Tests) of Regulation YY (12 CFR 252), the as-of date will be between January 1st and March 1st of that calendar year and will be communicated to the BHCs by March 1st of the calendar year. BHCs are permitted to submit the CCR schedule and the Trading and CCR sub-schedules of the Summary schedule as-of another recent reporting date prior to the supplied as-of date as appropriate.
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B. RulesofConsolidation PleasereferencetheFRY‐9CGeneralInstructionsforadiscussionregardingtherulesofconsolidation.
C. ProjectionsManyschedulescollectdataona“projectionhorizon”,whichincludesonequarterofactualdatafollowedbyatleastninequartersofprojecteddata.Whereprojectionsarerequired,thefollowingapplies:• The“projectionhorizon”referstotheninequartersstartingwiththefirstquarterofthe
reportingyear(e.g.,fromthefirstquarterof2013throughthefirstquarterof2015).• ColumnheadingsrefertoPQ1throughPQ9.PQstandsforprojectedquarter.PQ1throughPQ9
areninequarterlyprojectionsoverwhichtheplanninghorizonextends.• Insomecases,theprojectedquarterswillextendbeyondthenine‐quarterplanninghorizon(as
isthecaseofprojectedfuturelosseschargedtotherepurchasereserve),necessitatingPQ10ormore.
D. TechnicalDetailsThefollowinginstructionsapplygenerallytotheFRY‐14Aschedules,unlessotherwisespecified.Forfurtherinformationonthetechnicalspecificationsforthisreport,pleaseseetheTechnicalInstructions.• Donotenteranyinformationingrayhighlightedorshadedcells,includingthosewithembedded
formulas.Onlynon‐shadedcellsshouldbecompletedbyinstitutions.• Ensurethatanyinternalconsistencychecksarecompletepriortosubmission.• ReportdollarvaluesinmillionsofUSdollars(unlessspecifiedotherwise).• DatesshouldbeenteredinanYYYYMMDDformat(unlessspecifiedotherwise).• Reportnegativenumberswithaminus(‐)sign.• Reportdataasaninteger(unlessspecifiedotherwise)• Anamount,zeroornullshouldbeenteredforallitems,exceptinthosecaseswhereother
optionssuchas“notavailable”or“other”arespecified.Ifinformationisnotavailableornotapplicableandnosuchoptionsareoffered,thefieldshouldbeleftblank.
• Reportincomeandlossdataonaquarterlybasis,andnotonacumulativeoryear‐to‐datebasis.
E. OtherInstructionalGuidanceBHCsshouldreviewthefollowingpublisheddocuments(intheorderlistedbelow)whendeterminingtheprecisedefinitiontobeusedincompletingtheschedules.Whereapplicable,referencestotheFRY‐9ChavebeenprovidedintheFRY‐14Ainstructionsandtemplatesnotingassociationsbetweenthereportingseries. TheFRY‐14Ainstructions; TheFRY‐14Q/Minstructions; ThelatestavailableFRY‐9CinstructionspublishedontheFederalReserve’spublicwebsite:
http://www.federalreserve.gov/reportformsForpurposesofcompletingcertainFRY‐14Aschedules,BHCsshouldalsoconsultthefollowingreferencesforrelevantguidance: ThemostrecentCapPRInstructions
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ThemostrecentCCARInstructionsF. ConfidentialityAsthesedatawillbecollectedaspartofthesupervisoryprocess,theyaresubjecttoconfidentialtreatmentunderexemption8oftheFreedomofInformationAct(5U.S.C.552(b)(8)).Inaddition,commercialandfinancialinformationcontainedintheseinformationcollectionsmaybeexemptfromdisclosureunderExemption4.5(U.S.C.552(b)(4)).Disclosuredeterminationswouldbemadeonacase‐by‐casebasis.G. AmendedReportsTheFederalReservewillrequirethefilingofamendedreportsifprevioussubmissionscontainsignificanterrors. Inaddition,areportinginstitutionmustfileanamendedreportwhenitortheFederalReservediscoverssignificanterrorsoromissionssubsequenttosubmissionofareport.Failuretofileamendedreportsonatimelybasismaysubjecttheinstitutiontosupervisoryaction.Ifresubmissionsarerequired,institutionsshouldcontacttheappropriateReserveBank,aswellastheFRY‐[email protected],andresubmitdataviatheIntralinkswebsite.
H. QuestionsandRequestsforInterpretations BHCsshouldsubmitanyquestionsorrequestsforinterpretationsbye‐[email protected].
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ScheduleA—SummaryGeneralInstructionsThisdocumentcontainsinstructionsfortheFRY‐14ASummaryschedule.Thescheduleincludesdatacollectionsub‐schedulesrelatedtothefollowing:1.IncomeStatement,BalanceSheet,andCapitalStatements;2.Retail;3.Securities;4.Trading;5.CounterpartyCreditRisk;6.OperationalRisk;and7.Pre‐ProvisionNetRevenue(PPNR).Thebankholdingcompany(BHC)shouldsubmitaseparateSummaryscheduleforeachscenario.ABHCthatdecidesthesupervisorybaselinescenarioisappropriateforitsBHCbaselinescenarioshouldstillsubmitanFRY‐14Aforeachscenario.ThetwosubmissionswoulddifferinthatthesupervisorybaselineFRY‐14AwouldcontainacompletedCapital‐CCARandCapital‐DFAST;theBHCbaselinesubmissionwouldnotcontainacompletedCapital‐DFAST.UndertheBHCbaseline,supervisorybaseline,supervisoryadverse,andsupervisoryseverelyadversescenarios,BHCsshouldreporttheFRY‐14Asummaryschedule'sworksheets,otherthan"Capital‐DFAST"whereapplicable,assumingplannedcapitalactions.UndertheBHCstressscenario,BHCsshouldreporttheFRY‐14Asummaryschedule'sworksheetsassumingalternativecapitalactions.TheBHCstressscenariosubmissionwouldnotcontainacompletedCapital–DFAST.SupportingDocumentationPleaserefertoAppendixA:SupportingDocumentationforguidanceonprovidingsupportingdocumentation.
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A.1IncomeStatement,BalanceSheet,andCapitalA.1.a—IncomeStatementTheIncomeStatementsub‐schedulecollectsprojectionsforthemaincomponentsoftheincomestatement.FederalReserveMicroDataReferenceManual(MDRM)codesareprovidedinthe‘Notes’columnformanyofthelineitems.8Whereapplicable,usethedefinitionsfortheFRY‐9ClineitemscorrespondingtotheMDRMcode.Foreachscenarioused,inputtheloanlossprojectionsforthevariouslineitemsinthissub‐schedule. TheBHCshouldincludelossestiedtotherelevantbalancesreportedontheBalanceSheetsub‐schedule. Lossesassociatedwithheldforinvestmentloansaccountedforatamortizedcostshouldbereportedintheappropriatelineitemsunderthe“LossesAssociatedWithLoansHeldforInvestmentAccountedforatAmortizedCost”sectionandanylossesduetochangesinthefairvalueofassetsthatareheldforsaleorheldforinvestmentunderthefairvalueoptionshouldbereportedintheappropriatelineitemsunderthe“LossesAssociatedWithLoansHeldforSaleandLoansAccountedforUndertheFairValueOption”section.ForCorporateandCREloans,ifanMDRMnumberisnotprovided,usethesamedefinitionsasprovidedintheFRY‐14QCorporateandCommercialRealEstateschedules. Forcreditcardloans,usethesamedefinitionsasprovidedintheFRY‐14MCreditCardschedule. TheRepurchaseReserve/LiabilityforMortgageRepsandWarrantslineitemsareincludedtoprovideinformationontheexpectedevolutionofanyreserveoraccruedliabilitythathasbeenestablishedforlossesrelatedtosoldorgovernment‐insuredmortgageloans(firstorsecondlien).Losseschargedtothisreservecanoccurthroughcontractualrepurchases,settlementagreement,orlitigationloss,includinglossesrelatedtoclaimsundersecuritieslaworfraudclaims;itislikelythatmostlosseschargedtothisreservewillcomethroughcontractualrepurchasesorsettlements.Quarterlyreserve/accruedliabilitylevelsandquarterlyprovisionsandnetcharge‐offstothereserve/accruedliabilityshouldbereportedasforecastundertheapplicablescenario.ToensureconsistencyacrossthesheetsofeachFRY‐14Asummaryworkbook,theProvisionsduringthequarterlineislinkedtothePPNRProjectionsSub‐schedulerowswhereBHCsareexpectedtoreportanyprovisionstotheRepurchaseReserve/LiabilityforMortgageRepsandWarrants.Forthesamereason,theNetchargesduringthequarterlineislinkedtoTableG.3intheRetailRepurchaseSub‐schedule.Lineitems1through43LOSSESASSOCIATEDWITHLOANSHELDFORINVESTMENTATAMORTIZEDCOST:Lineitem1Realestateloans(indomesticoffices)Thisitemisashadedcellandisderivedfromthesumofitems2,5,8and14.Lineitem2Firstlienmortgages(includingHELOANS)Thisitemisashadedcellandisderivedfromthesumofitems3and4.Lineitem3Firstlienmortgages
8 EachMDRMcodeisassociatedwithaspecificlineitem(datacell)ontheFRY‐9Creport.Seehttp://www.federalreserve.gov/reportforms/mdrm/foralistofMDRMcodesanddatadescriptions.
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Reportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonallclosed‐endloanssecuredbyfirstlienson1to4familyresidentialproperties,excludingclosed‐endfirstlienhomeequityloans(reportedinitem4).Lineitem4Firstlienhomeequityloans(HELOANS)Reportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonallclosed‐endfirstlienhomeequityloans.Lineitem5Second/juniorlienmortgagesThisitemisashadedcellandisderivedfromthesumofitems6and7.Lineitem6Closed‐endjuniorloansReportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonallclosed‐endloanssecuredbyjunior(i.e.,otherthanfirst)lienson1to4familyresidentialproperties.Lineitem7Homeequitylinesofcredit(HELOCS)Reportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostontheamountoutstandingunderrevolving,open‐endlinesofcreditsecuredby1to4familyresidentialproperties.Lineitem8Commercialrealestate(CRE)loansThisitemisashadedcellandisderivedfromthesumofitems9,10,and11.Lineitem9ConstructionReportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonconstruction,landdevelopment,andotherlandloans,asdefinedintheFRY‐9C,ScheduleHC‐C,items1(a)(1)and1(a)(2).Lineitem10MultifamilyReportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonloanssecuredbymultifamily(5ormore)residentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(d).Lineitem11Nonfarm,nonresidentialThisitemisashadedcellandisderivedfromthesumofitems12and13.Lineitem12Owner‐occupiedReportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonloanssecuredbyowner‐occupiednonfarmnonresidentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(e)(1).Lineitem13Non‐owner‐occupiedReportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonnonfarmnonresidentialrealestateloansthatarenotsecuredbyowner‐occupiednonfarmnonresidentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(e)(2).Lineitem14Loanssecuredbyfarmland
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Reportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonallloanssecuredbyfarmland,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(b).Lineitem15Realestateloans(Notindomesticoffices)Thisitemisashadedcellandisderivedfromthesumofitems16,17,18and24.Lineitem16Firstlienmortgages(Notindomesticoffices)Reportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonallclosed‐endloanssecuredbyfirstlienson1to4familyresidentialproperties,notheldindomesticoffices.Lineitem17Second/juniorlienmortgages(Notindomesticoffices)Reportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonallloanssecuredbysecond/junior(i.e.,otherthanfirst)lienson1to4familyresidentialproperties,notheldindomesticoffices.Lineitem18Commercialrealestate(CRE)loans(Notindomesticoffices)Thisitemisashadedcellandisderivedfromthesumofitems19,20,and21.Lineitem19Construction(Notindomesticoffices)Reportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonconstruction,landdevelopment,andotherlandloans,asdefinedintheFRY‐9C,ScheduleHC‐C,items1(a)(1)and1(a)(2),notheldindomesticoffices.Lineitem20Multifamily(Notindomesticoffices)Reportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonloanssecuredbymultifamily(5ormore)residentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(d),notheldindomesticoffices.Lineitem21Nonfarm,nonresidential(Notindomesticoffices)Thisitemisashadedcellandisderivedfromthesumofitems22and23.Lineitem22Owner‐occupied(Notindomesticoffices)Reportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonloanssecuredbyowner‐occupiednonfarmnonresidentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(e)(1),notheldindomesticoffices.Lineitem23Non‐owner‐occupied(Notindomesticoffices)Reportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonnonfarmnonresidentialrealestateloansthatarenotsecuredbyowner‐occupiednonfarmnonresidentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(e)(2),notheldindomesticoffices.Lineitem24Loanssecuredbyfarmland(Notindomesticoffices)Reportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonallloanssecuredbyfarmland,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(b),notheldindomesticoffices.
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Lineitem25C&ILoansThisitemisashadedcellandisderivedfromthesumofitems26,27and28.Lineitem26C&IGradedReportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonallgradedcommercialandindustrial(C&I)loans.Reportonlyloans“graded”or“rated”usingthereportingentity’scommercialcreditratingsystem,asitisdefinedinthereportingentity’snormalcourseofbusiness.Thisincludeslossesassociatedwithdomesticandinternationalbusinessandcorporatecreditcardorchargecardloansforwhichacommerciallygradedcorporationisultimatelyresponsibleforrepaymentofcreditlossesincurred.Lineitem27SmallBusiness(Scored/DelinquencyManaged)Reportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonsmallbusinessloans.Reportall"scored"or"delinquencymanaged"U.S.smallbusinessloansforwhichacommercialinternalriskratingisnotusedorthatusesadifferentscalethanothercorporateloansreportedintheFRY‐9C,ScheduleHC‐C,items2.a,2.b,3,4.a,4.b,7,9.a,9.b.1,9.b.2,10.b,excludingcorporateandsmallbusinesscreditcardloansincludedintheFRY‐9C,ScheduleHC‐C,line4.a.Lineitem28BusinessandCorporateCardReportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonloansextendedunderbusinessandcorporatecreditcards.Businesscardsincludesmallbusinesscreditcardaccountswheretheloanisunderwrittenwiththesoleproprietororprimarybusinessownerasapplicant.Reportatthecontrolaccountlevelortheindividualpaylevel(notatthesub‐accountlevel).Corporatecardsincludeemployer‐sponsoredcreditcardsforusebyacompany'semployees.ExcludelossesassociatedwithcorporatecardorchargecardloansincludedinLineitem26(C&IGradedLoans).Lineitem29CreditCardsReportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonloansextendedunderconsumergeneralpurposeorprivatelabelcreditcards.Generalpurposecreditcardsarecreditcardsthatcanbeusedatawidevarietyofmerchants,includinganywhoacceptMasterCard,Visa,AmericanExpressorDiscovercreditcards.Includeaffinity,co‐brandcardsinthiscategory,andstudentcardsifapplicable.Privatelabelcreditcardsarecreditcards,alsoknownasproprietarycreditcards,tiedtotheretailerissuingthecardandcanonlybeusedinthatretailer'sstores.Includeoil&gascardsinthisloantype,andstudentcardsifapplicable.Lineitem30OtherConsumerThisitemisashadedcellandisderivedfromthesumofitems31,32,33and34.Lineitem31AutoLoansReportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonautoloans,asdefinedintheFRY‐9C,ScheduleHC‐C,item6(c).Lineitem32StudentLoansReportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonstudentloans.
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Lineitem33Other(consumer)loansbackedbysecurities(non‐purposelending)Reportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonotherconsumerloansthatarebackedbysecurities(i.e.,non‐purposelending).Lineitem34Other(consumer)Reportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonallotherconsumerloansnotreportedinitems31,32or33.Lineitem35OtherLoansThisitemisashadedcellandisderivedfromthesumofitems36,37,38,39and40.Lineitem36LoanstoForeignGovernmentsReportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonloanstoforeigngovernments,asdefinedintheFRY‐9C,ScheduleHC‐C,item7.ExcludelossesassociatedwithloanstoforeigngovernmentsincludedinLineitem27(SmallBusinessLoans).Lineitem37AgriculturalLoansReportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonagriculturalloans,asdefinedintheFRY‐9C,ScheduleHC‐C,item3.ExcludelossesassociatedwithagriculturalloansincludedinLineitem27(SmallBusinessLoans).Lineitem38LoansforPurchasingorCarryingSecurities(securedorunsecured)Reportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonloansforpurchasingorcarryingsecurities(securedorunsecured),asdefinedintheFRY‐9C,ScheduleHC‐C,item9.b.(1).ExcludelossesassociatedwithloansforpurchasingorcarryingsecuritiesincludedinLineitem27(SmallBusinessLoans).Lineitem39LoanstoDepositoriesandOtherFinancialInstitutionsReportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonloanstodepositoriesandotherfinancialInstitutions(securedorunsecured),asdefinedintheFRY‐9C,ScheduleHC‐C,items2.a,2.b,and9.a.ExcludelossesassociatedwithloanstodepositoriesandotherfinancialinstitutionsincludedinLineitem27(SmallBusinessLoans).Lineitem40AllOtherLoansandLeasesThisitemisashadedcellandisderivedfromthesumofitems41and42.Lineitem41AllOtherLoans(excludeconsumerloans)Reportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonallotherloans(excludingconsumerloans),asdefinedintheFRY‐9C,ScheduleHC‐C,item9.b.(2).ExcludelossesassociatedwithallotherloansincludedinLineitem27(SmallBusinessLoans).Lineitem42AllOtherLeasesReportlossesassociatedwithloansheldforinvestmentaccountedforatamortizedcostonallotherleases(excludingconsumerleases),asdefinedintheFRY‐9C,ScheduleHC‐C,item10.b.ExcludelossesassociatedwithallotherleasesincludedinLineitem27(SmallBusinessLoans).Lineitem43TotalLoansandLeases
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Reportthesumofitems1,15,25,29,30and35.Lineitems44through57LOSSESASSOCIATEDWITHHELDFORSALELOANSANDLOANSACCOUNTEDFORUNDERTHEFAIRVALUEOPTION:Lineitem44Realestateloans(indomesticoffices)Thisitemisashadedcellandisderivedfromthesumofitems45,46,47and48.Lineitem45FirstLienMortgagesReportlossesassociatedwithheldforsaleloansandloansaccountedforunderthefairvalueoptiononallclosed‐endloanssecuredbyfirstlienson1to4familyresidentialproperties,includingclosed‐endfirstlienhomeequityloans.Lineitem46Second/JuniorLienMortgagesReportlossesassociatedwithheldforsaleloansandloansaccountedforunderthefairvalueoptiononallloanssecuredbyjunior(i.e.,otherthanfirst)lienson1to4familyresidentialproperties.Lineitem47Commercialrealestate(CRE)loansReportlossesassociatedwithheldforsaleloansandloansaccountedforunderthefairvalueoptiononallconstruction,multifamily,andnonfarmnonresidentialloans,asdefinedintheFRY‐9C,ScheduleHC‐C,items1.a.(1),1.a.(2),1.d,1.e.(1)and1.e.(2).Lineitem48LoanssecuredbyfarmlandReportlossesassociatedwithheldforsaleloansandloansaccountedforunderthefairvalueoptiononallloanssecuredbyfarmland,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(b).Lineitem49Realestateloans(notindomesticoffices)Thisitemisashadedcellandisderivedfromthesumofitems50,51and52.Lineitem50ResidentialMortgages(notindomesticoffices)Reportlossesassociatedwithheldforsaleloansandloansaccountedforunderthefairvalueoptiononallloanssecuredby1to4familyresidentialproperties,includingbothfirstlienandsecond/juniorlienloans,notheldindomesticoffices.Lineitem51Commercialrealestate(CRE)loans(notindomesticoffices)Reportlossesassociatedwithheldforsaleloansandloansaccountedforunderthefairvalueoptiononallconstruction,multifamily,andnonfarmnonresidentialloans,asdefinedintheFRY‐9C,ScheduleHC‐C,items1.a.(1),1.a.(2),1.d,1.e.(1)and1.e.(2),notheldindomesticoffices.Lineitem52Loanssecuredbyfarmland(notindomesticoffices)Reportlossesassociatedwithheldforsaleloansandloansaccountedforunderthefairvalueoptiononallloanssecuredbyfarmland,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(b),notheldindomesticoffices.Lineitem53C&ILoansReportlossesassociatedwithheldforsaleloansandloansaccountedforunderthefairvalueoption
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onallcommercialandindustrialloans,asdefinedinitems26,27and28.Lineitem54CreditCardsReportlossesassociatedwithheldforsaleloansandloansaccountedforunderthefairvalueoptiononloansextendedunderconsumergeneralpurposeorprivatelabelcreditcards.Generalpurposecreditcardsarecreditcardsthatcanbeusedatawidevarietyofmerchants,includinganywhoacceptMasterCard,Visa,AmericanExpressorDiscovercreditcards.Includeaffinity,co‐brandcardsinthiscategory,andstudentcardsifapplicable.Privatelabelcreditcardsarecreditcards,alsoknownasproprietarycreditcards,tiedtotheretailerissuingthecardandcanonlybeusedinthatretailer'sstores.Includeoil&gascardsinthisloantype,andstudentcardsifapplicable.Lineitem55OtherConsumerReportlossesassociatedwithheldforsaleloansandloansaccountedforunderthefairvalueoptiononallotherconsumerloans,asdefinedinitems31,32,33and34.Lineitem56AllOtherLoansandLeasesReportlossesassociatedwithheldforsaleloansandloansaccountedforunderthefairvalueoptiononallotherloansandleases,asdefinedinitems36,37,38,39,41and42.Lineitem57TotalLoansandLeasesThisitemisashadedcellandisderivedfromthesumofitems44,49,53,54,55and56.Lineitems58through63TRADINGACCOUNT:Lineitem58TradingMark‐to‐market(MTM)LossesLineitem58mustequalthesumofthetotalsreportedinitem10ontheTradingSchedule,withthesignreversed.Lineitem59TradingIssuerDefaultLossesLineitem59mustequalitem1ontheCounterpartyRiskSchedule.Lineitem60CounterpartyCreditMTMLosses(CVAlosses)Lineitem60mustequalitem2ontheCounterpartyRiskSchedule.Lineitem61CounterpartyDefaultlossesLineitem61mustequalitem3ontheCounterpartyRiskSchedule.Lineitem62TotalTradingandCounterpartylossesThisitemisashadedcellandisderivedfromthesumofitems58,59,60,and61.Lineitems63through67OTHERLOSSES:Lineitem63GoodwillImpairmentReportlossesassociatedwithgoodwillimpairment,asdefinedintheFRY‐9C,ScheduleHC,item10(a).UnderGAAP(ASC350‐20‐35‐30),"Goodwillofareportingunitshallbetestedforimpairmentbetweenannualtestsifaneventoccursorcircumstanceschangethatwouldmorelikelythannot
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reducethefairvalueofareportingunitbelowitscarryingamount."However,itisacceptableforpurposesofthisexercisetoprovideannualestimatesaslongastheresultingquarterlycapitalprojectionswouldnotdiffermateriallyfromthosegeneratedusingquarterlyimpairmentprojections.Lineitem64ValuationAdjustmentforfirm’sowndebtunderfairvalueoption(FVO)Reportlossesassociatedwiththevaluationadjustmentforthefirm’sowndebtunderthefairvalueoption(FVO).Lineitem65OtherlossesReportallotherlossesnotreportedinitems1through65.Describetheselossesinthesupportingdocumentation.Lineitem66TotalOtherLossesReportthesumofallotherlossesincludedinitems63,64,and65.Lineitem67TotalLossesReportthesumofitems43,57,62and66.Lineitems68through116ALLOWANCEFORLOANANDLEASELOSSES(ALLL):Lineitem68ALLLpriorquarterReportthetotalallowanceforloanandleaselossesasoftheendofthepriorquarter.Lineitem69RealEstateLoans(inDomesticOffices)Reportthesumofitems70,74,and78.Lineitem70ResidentialMortgages(inDomesticOffices)Reportthesumoftheallowanceforloanandleaselossesincludedinitems71,72,and73.Lineitem71FirstLienMortgages(inDomesticOffices)Reporttheallowanceforloanandleaselossesforallloanssecuredbyfirstlienson1to4familyresidentialproperties,includingfirstlienhomeequityloans,heldindomesticoffices.Lineitem72Closed‐endJuniorLiens(inDomesticOffices)Reporttheallowanceforloanandleaselossesforallclosed‐endloanssecuredbyjunior(i.e.,otherthanfirst)lienson1to4familyresidentialproperties,heldindomesticoffices.Lineitem73HELOCs(inDomesticOffices)Reporttheallowanceforloanandleaselossesforrevolving,open‐endlinesofcreditsecuredby1to4familyresidentialproperties,heldindomesticoffices.Lineitem74CRELoans(inDomesticOffices)Reportthesumoftheallowanceforloanandleaselossesincludedinitems76,77and78.Lineitem75Construction(inDomesticOffices)Reporttheallowanceforloanandleaselossesforconstruction,landdevelopment,andotherland
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loans(asdefinedintheFRY‐9C,ScheduleHC‐C,items1(a)(1)and1(a)(2)),heldindomesticoffices.Lineitem76Multifamily(inDomesticOffices)Reporttheallowanceforloanandleaselossesforloanssecuredbymultifamily(5ormore)residentialproperties(asdefinedintheFRY‐9C,ScheduleHC‐C,item1(d)),heldindomesticoffices.Lineitem77Nonfarm,Non‐residential(inDomesticOffices)Reporttheallowanceforloanandleaselossesforloanssecuredbynonfarmnonresidentialproperties(asdefinedintheFRY‐9C,ScheduleHC‐C,items1(e)(1)and1(e)(2),heldindomesticoffices.Lineitem78LoansSecuredbyFarmland(inDomesticOffices)Reporttheallowanceforloanandleaselossesforloanssecuredbyfarmland(asdefinedintheFRY‐9C,ScheduleHC‐C,item1(b)),heldindomesticoffices.Lineitem79RealEstateLoans(NotinDomesticOffices)Reportthesumofitems81,82and83.Lineitem80ResidentialMortgages(NotinDomesticOffices)Reporttheallowanceforloanandleaselossesforallloanssecuredby1to4familyresidentialproperties,includingbothfirstlienandsecond/juniorlienloans,notheldindomesticoffices.Lineitem81CRELoans(NotinDomesticOffices)Reporttheallowanceforloanandleaselossesforallconstruction,multifamily,andnonfarmnonresidentialloans(asdefinedintheFRY‐9C,ScheduleHC‐C,items1.a.(1),1.a.(2),1.d,1.e.(1)and1.e.(2)),notheldindomesticoffices.Lineitem82Farmland(NotinDomesticOffices)Reporttheallowanceforloanandleaselossesforallloanssecuredbyfarmland(asdefinedintheFRY‐9C,ScheduleHC‐C,item1(b)),notheldindomesticoffices.Lineitem83C&ILoansReportthesumofitems85,86and87.Lineitem84C&IGradedReporttheallowanceforloanandleaselossesforallgradedcommercialandindustrial(C&I)loans.Reporttheassociatedallowanceonlyforloans“graded”or“rated”usingthereportingentity’scommercialcreditratingsystem,asitisdefinedinthereportingentity’snormalcourseofbusiness.Thisincludestheallowanceforloanandleaselossesforalldomesticandinternationalbusinessandcorporatecreditcardorchargecardloansforwhichacommerciallygradedcorporationisultimatelyresponsibleforrepaymentofcreditlossesincurred.Lineitem85SmallBusiness(Scored/DelinquencyManaged)Reporttheallowanceforloanandleaselossesforsmallbusinessloans.Reporttheassociatedallowanceforall"scored"or"delinquencymanaged"U.S.smallbusinessloansforwhichacommercialinternalriskratingisnotusedorthatusesadifferentscalethanothercorporateloansreportedintheFRY‐9C,ScheduleHC‐C,items2.a,2.b,3,4.a,4.b,7,9.a,9.b.1,9.b.2,10.b,excluding
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corporateandsmallbusinesscreditcardloansincludedintheFRY‐9C,ScheduleHC‐C,line4.a.Lineitem86BusinessandCorporateCardReporttheallowanceforloanandleaselossesforloansextendedunderbusinessandcorporatecreditcards.Businesscardsincludesmallbusinesscreditcardaccountswheretheloanisunderwrittenwiththesoleproprietororprimarybusinessownerasapplicant.Reportatthecontrolaccountlevelortheindividualpaylevel(notatthesub‐accountlevel).Corporatecardsincludeemployer‐sponsoredcreditcardsforusebyacompany'semployees.ExcludetheallowanceforloanandleaselossesrelatedtocorporatecardorchargecardloansincludedinLineitem85(C&IGradedLoans).Lineitem87CreditCardsReporttheallowanceforloanandleaselossesforloansextendedunderconsumergeneralpurposeorprivatelabelcreditcards.Generalpurposecreditcardsarecreditcardsthatcanbeusedatawidevarietyofmerchants,includinganywhoacceptMasterCard,Visa,AmericanExpressorDiscovercreditcards.Includeaffinity,co‐brandcardsinthiscategory,andstudentcardsifapplicable.Privatelabelcreditcardsarecreditcards,alsoknownasproprietarycreditcards,tiedtotheretailerissuingthecardandcanonlybeusedinthatretailer'sstores.Includeoil&gascardsinthisloantype,andstudentcardsifapplicable.Lineitem88OtherConsumerReporttheallowanceforloanandleaselossesforallotherconsumerloans,asdefinedinitems31,32,33and34.Lineitem89AllOtherLoansandLeasesReporttheallowanceforloanandleaselossesforallotherloansandleases,asdefinedinitems36,37,38,39,41and42.Lineitem90UnallocatedReportanyunallocatedportionoftheallowanceforloanandleaselosses.Lineitem91ProvisionsduringthequarterReporttheprovisionforloanandleaselossesduringthequarter,asdefinedintheFRY‐9C,ScheduleHI,item4.Lineitem92RealEstateLoans(inDomesticOffices)Reportthesumofitems93,97,and101.Lineitem93ResidentialMortgages(inDomesticOffices)Reportthesumoftheprovisionforloanandleaselossesincludedinitems94,95,and96.Lineitem94FirstLienMortgages(inDomesticOffices)Reporttheprovisionforloanandleaselossesforallloanssecuredbyfirstlienson1to4familyresidentialproperties,includingfirstlienhomeequityloans,heldindomesticoffices.Lineitem95Closed‐endJuniorLiens(inDomesticOffices)Reporttheprovisionforloanandleaselossesforallclosed‐endloanssecuredbyjunior(i.e.,other
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thanfirst)lienson1to4familyresidentialproperties,heldindomesticoffices.Lineitem96HELOCs(inDomesticOffices)Reporttheprovisionforloanandleaselossesforrevolving,open‐endlinesofcreditsecuredby1to4familyresidentialproperties,heldindomesticoffices.Lineitem97CRELoans(inDomesticOffices)Reportthesumoftheprovisionforloanandleaselossesincludedinitems98,99,and100.Lineitem98Construction(inDomesticOffices)Reporttheprovisionforloanandleaselossesforconstruction,landdevelopment,andotherlandloans,asdefinedintheFRY‐9C,ScheduleHC‐C,items1(a)(1)and1(a)(2),heldindomesticoffices.Lineitem99Multifamily(inDomesticOffices)Reporttheprovisionforloanandleaselossesforloanssecuredbymultifamily(5ormore)residentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(d),heldindomesticoffices.Lineitem100Nonfarm,Non‐residential(inDomesticOffices)Reporttheprovisionforloanandleaselossesforloanssecuredbynonfarmnonresidentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,items1(e)(1)and1(e)(2),heldindomesticoffices.Lineitem101LoansSecuredbyFarmland(inDomesticOffices)ReporttheprovisionforloanandleaselossesforloanssecuredbyfarmlandasdefinedintheFRY‐9C,ScheduleHC‐C,item1(b),heldindomesticoffices.Lineitem102RealEstateLoans(NotinDomesticOffices)Reportthesumofitems104,105and106.Lineitem103ResidentialMortgages(NotinDomesticOffices)Reporttheprovisionforloanandleaselossesforallloanssecuredby1to4familyresidentialproperties,includingbothfirstlienandsecond/juniorlienloans,notheldindomesticoffices.Lineitem104CRELoans(NotinDomesticOffices)Reporttheprovisionforloanandleaselossesforallconstruction,multifamily,andnonfarmnonresidentialloans,asdefinedintheFRY‐9C,ScheduleHC‐C,items1.a.(1),1.a.(2),1.d,1.e.(1)and1.e.(2),notheldindomesticoffices.Lineitem105Farmland(NotinDomesticOffices)Reporttheprovisionforloanandleaselossesforallloanssecuredbyfarmland,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(b),notheldindomesticoffices.Lineitem106C&ILoansReportthesumofitems107,108,and109.Lineitem107C&IGradedReporttheprovisionforloanandleaselossesforallgradedcommercialandindustrial(C&I)loans.
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Reporttheassociatedprovisiononlyforloans“graded”or“rated”usingthereportingentity’scommercialcreditratingsystem,asitisdefinedinthereportingentity’snormalcourseofbusiness.Thisincludestheprovisionforloanandleaselossesforalldomesticandinternationalbusinessandcorporatecreditcardorchargecardloansforwhichacommerciallygradedcorporationisultimatelyresponsibleforrepaymentofcreditlossesincurred.Lineitem108SmallBusiness(Scored/DelinquencyManaged)Reporttheprovisionforloanandleaselossesforsmallbusinessloans.Reporttheassociatedprovisionforall"scored"or"delinquencymanaged"U.S.smallbusinessloansforwhichacommercialinternalriskratingisnotusedorthatusesadifferentscalethanothercorporateloansreportedintheFRY‐9C,ScheduleHC‐C,items2.a,2.b,3,4.a,4.b,7,9.a,9.b.1,9.b.2,10.bofscheduleHC‐CoftheFRY‐9CexcludingcorporateandsmallbusinesscreditcardloansincludedintheFRY‐9C,ScheduleHC‐C,line4.a.Lineitem109BusinessandCorporateCardsReporttheprovisionforloanandleaselossesforloansextendedunderbusinessandcorporatecreditcards.Businesscardsincludesmallbusinesscreditcardaccountswheretheloanisunderwrittenwiththesoleproprietororprimarybusinessownerasapplicant.Reportatthecontrolaccountlevelortheindividualpaylevel(notatthesub‐accountlevel).Corporatecardsincludeemployer‐sponsoredcreditcardsforusebyacompany'semployees.ExcludetheprovisionforloanandleaselossesrelatedtocorporatecardorchargecardloansincludedinLineitem107(C&IGradedLoans).Lineitem110CreditCardsReporttheprovisionforloanandleaselossesforloansextendedunderconsumergeneralpurposeorprivatelabelcreditcards.Generalpurposecreditcardsarecreditcardsthatcanbeusedatawidevarietyofmerchants,includinganywhoacceptMasterCard,Visa,AmericanExpressorDiscovercreditcards.Includeaffinity,co‐brandcardsinthiscategory,andstudentcardsifapplicable.Privatelabelcreditcardsarecreditcards,alsoknownasproprietarycreditcards,tiedtotheretailerissuingthecardandcanonlybeusedinthatretailer'sstores.Includeoil&gascardsinthisloantype,andstudentcardsifapplicable.Lineitem111OtherConsumerReporttheprovisionforloanandleaselossesforallotherconsumerloans,asdefinedinitems31,32,33and34.Lineitem112AllOtherLoansandLeasesReporttheprovisionforloanandleaselossesforallotherloansandleases,asdefinedinitems36,37,38,39,41and42.Lineitem113UnallocatedReportanyunallocatedportionoftheprovisionforloanandleaselosses.Lineitem114Netcharge‐offsduringthequarterReportcharge‐offsnetofrecoveriesduringthequarter,asdefinedintheFRY‐9C,ScheduleHI‐B,PartI,item9,ColumnAminusColumnB.
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Lineitem115OtherALLLChangesReportotherchangestotheallowanceforloanandleaselosses,asdefinedintheFRY‐9C,ScheduleHI‐B,PartII,item6,minusScheduleHI‐B,PartII,item4.Lineitem116ALLL,currentquarterReportthesumofitems68,91and115,minusitem114.Lineitems117through120PRE‐PROVISIONNETREVENUE(PPNR):Lineitem117NetinterestincomeLineitem117mustequalitem13onthePPNRSubmissionSub‐schedule.Lineitem118NoninterestincomeLineitem118mustequalitem26onthePPNRSubmissionSub‐schedule.Lineitem119NoninterestexpenseLineitem119mustequalitem38onthePPNRSubmissionSub‐schedule.Lineitem120Pre‐provisionNetRevenueReportthesumofitems117and118,minusitem119.Lineitems121through135CONDENSEDINCOMESTATEMENT:Lineitem121Pre‐provisionNetRevenueReportthevalueforitem120.Lineitem122ProvisionsduringthequarterReportthevalueforitem91.Lineitem123TotalTradingandCounterpartyLossesReportthevalueforitem62.Lineitem124TotalOtherLossesReportthevalueforitem66.Lineitem125OtherIncomeStatement(I/S)ItemsReportotherincomestatementitemsthattheinstitutionchoosestodisclose.Describetheseitemsinthesupportingdocumentation.Lineitem126RealizedGains(Losses)onavailable‐for‐salesecurities,includingOTTIReportrealizedgains(losses)onavailable‐for‐salesecurities,asdefinedintheFRY‐9C,ScheduleHI,item6.b. Fortheprojectedquarters,thisamountrepresentsprojectedother‐than‐temporaryimpairmentlossesonavailable‐for‐salesecuritiesandrealizedgainsandlossesonavailable‐for‐salesecurities.Gainsandlossesfromsalesofavailable‐for‐salesecurities,otherthanOTTI,shouldnotbeallowedunlessthereisanexistingcontractualorlegalobligationtosellasecurityorasecurityhas
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alreadybeensold.Lineitem127RealizedGains(Losses)onheld‐to‐maturitysecurities,includingOTTIReportrealizedgains(losses)onheld‐to‐maturitysecurities,asdefinedintheFRY‐9C,ScheduleHI,item6.a. Fortheprojectedquarters,thisamountrepresentsprojectedother‐than‐temporaryimpairmentlossesonheld‐to‐maturitysecuritiesandrealizedgainsandlossesonheld‐to‐maturitysecurities.Gainsandlossesfromsalesofheld‐to‐maturitysecurities,otherthanOTTI,shouldnotbeallowedunlessthereisanexistingcontractualorlegalobligationtosellasecurityorasecurityhasalreadybeensold.Lineitem128Income(loss)beforetaxesandextraordinaryitemsReportthesumofitems121,125,126,and127,minusitems122,123,and124.Lineitem129Applicableincometaxes(foreignanddomestic)Reportallapplicableincometaxes,bothforeignanddomestic,asdefinedintheFRY‐9C,ScheduleHI,item9.Lineitem130Income(loss)beforeextraordinaryitemsandotheradjustmentsReporttheamountofitem128minusitem129.Lineitem131Extraordinaryitemsandotheradjustments,netofincometaxesReportallextraordinaryitemsandotheradjustments,netofincometaxes,asdefinedintheFRY‐9C,ScheduleHI,item11.Lineitem132Netincome(loss)attributabletoBHCandminorityinterestsReportthesumofitem130anditem131.Lineitem133Netincome(loss)attributabletominorityinterestsReportnetincome(loss)attributabletominorityinterests,asdefinedintheFRY‐9C,ScheduleHI,item13.Lineitem134Netincome(loss)attributabletoBHCReporttheamountofitem132minusitem133.Lineitem135EffectiveTaxRate(%)Reporttheamountofitem132dividedbyitem133,multipliedby100.Lineitems136through139REPURCHASERESERVE/LIABILITYFORMORTGAGEREPSANDWARRANTIES:Lineitem136Reserve,priorquarterReporttheamountofanyreserveoraccruedliabilitythatwasestablishedinthepriorquarterforlossesrelatedtosoldorgovernment‐insuredmortgageloans(firstorsecondlien).Lineitem137ProvisionsduringthequarterReporttheamountofprovisionsduringthequartertotherepurchasereserve/liabilityformortgage
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representationsandwarranties.Lineitem138NetchargesduringthequarterReporttheamountofnetcharges(chargeslessrecoveries)duringthequartertotherepurchasereserve/liabilityformortgagerepresentationsandwarranties.Losseschargedtothisreservecanoccurthroughcontractualrepurchases,settlementagreement,orlitigationloss,includinglossesrelatedtoclaimsundersecuritieslaworfraudclaims.Note:LargeandnoncomplexfirmsthatarenotrequiredtofiletheFRY‐14AScheduleA,Summary,MortgageRepurchasesub‐schedulemustreporttheprojectedvaluesforthisitem.Lineitem139Reserve,currentquarterReportthesumofitems136and137minusitem138.
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A.1.b—BalanceSheetForeachscenarioused,inputtheloanbalanceprojectionsinthevariouslineitemsinthissub‐schedule.Balanceprojectionsforloansheldintheloansheldforinvestmentportfolioshouldbereportedintheappropriatelineitemsinthe“LoansHeldforInvestmentatAmortizedCost”andbalancesforheldforsaleorheldforinvestmentunderthefairvalueoptionshouldbereportedintheappropriatelineitemsinthe“LoansHeldforSaleandLoansAccountedforUndertheFairValueOption”section. MDRMcodesareprovidedwithinthe‘Notes’columnformanyofthelineitems. Whenapplicable,thedefinitionoftheBHC’sprojectionsshouldcorrelatetothedefinitionsoutlinedbythecorrespondingMDRMcodewithintheFRY‐9Creport.DomesticreferstoportfoliosinthedomesticUSoffices(asdefinedintheFRY‐9Creport),andInternationalreferstoportfoliosoutsideofthedomesticUSoffices.ExplainanyM&Aanddivestituresincludedandhowtheyarefunded(liabilities,assetsales,etc.)Lineitems1through3SECURITIESLineitem1HeldtoMaturity(HTM)Reporttheamountofheld‐to‐maturitysecurities,asdefinedintheFRY‐9C,ScheduleHC,item2.a.Lineitem2AvailableforSale(AFS)Reporttheamountofavailable‐for‐salesecurities,asdefinedintheFRY‐9C,ScheduleHC,item2.b.Lineitem3TotalSecuritiesThisitemisashadedcellandisderivedfromthesumofitems1and2.Lineitem4Securitizations(investmentgrade)InvestmentgrademeansthattheentitytowhichtheBoard‐regulatedinstitutionisexposedthroughaloanorsecurity,orthereferenceentitywithrespecttoacreditderivative,hasadequatecapacitytomeetfinancialcommitmentsfortheprojectedlifeoftheassetorexposure.Suchanentityorreferenceentityhasadequatecapacitytomeetfinancialcommitmentsiftheriskofitsdefaultislowandthefullandtimelyrepaymentofprincipalandinterestisexpected.Lineitem5Securitizations(non‐investmentgrade)Securitizationsthatdonotmeettheinvestmentgradedefinitionabove.Lineitems6through51TOTALLOANSANDLEASES:Lineitem6Realestateloans(indomesticoffices)Thisitemisashadedcellandisderivedfromthesumofitems7,10,13and19.Lineitem7Firstlienmortgages(includingHELOANS)Thisitemisashadedcellandisderivedfromthesumofitems8and9.
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Lineitem8FirstlienmortgagesReportloanssecuredbyfirstlienson1to4familyresidentialproperties,excludingclosed‐endfirstlienhomeequityloans(reportedinitem7).Lineitem9Firstlienhomeequityloans(HELOANS)Reportallclosed‐endfirstlienhomeequityloans.Lineitem10Second/juniorlienmortgagesThisitemisashadedcellandisderivedfromthesumofitems11and12.Lineitem11Closed‐endjuniorloansReportallclosed‐endloanssecuredbyjunior(i.e.,otherthanfirst)lienson1to4familyresidentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(2)(b).Lineitem12Homeequitylinesofcredit(HELOCS)Reporttheamountoutstandingunderrevolving,open‐endlinesofcreditsecuredby1to4familyresidentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(1).Lineitem13Commercialrealestate(CRE)loansThisitemisashadedcellandisderivedfromthesumofitems14,15,and16.Lineitem14ConstructionReportconstruction,landdevelopment,andotherlandloans,asdefinedintheFRY‐9C,ScheduleHC‐C,items1(a)(1)and1(a)(2).Lineitem15MultifamilyReportloanssecuredbymultifamily(5ormore)residentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(d).Lineitem16Nonfarm,non‐residentialThisitemisashadedcellandisderivedfromthesumofitems17and18.Lineitem17Owner‐occupiedReportloanssecuredbyowner‐occupiednonfarmnonresidentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(e)(1).Lineitem18Non‐owner‐occupiedReportnonfarmnonresidentialrealestateloansthatarenotsecuredbyowner‐occupiednonfarmnonresidentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(e)(2).Lineitem19LoanssecuredbyfarmlandReportallloanssecuredbyfarmland,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(b).Lineitem20Realestateloans(Notindomesticoffices)Thisitemisashadedcellandisderivedfromthesumofitems21,22,23and29.Lineitem21Firstlienmortgages(Notindomesticoffices)
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Reportallclosed‐endloanssecuredbyfirstlienson1to4familyresidentialproperties,notheldindomesticoffices.Lineitem22Second/juniorlienmortgages(Notindomesticoffices)Reportallloanssecuredbysecond/junior(i.e.,otherthanfirst)lienson1to4familyresidentialproperties,notheldindomesticoffices.Lineitem23Commercialrealestate(CRE)loans(Notindomesticoffices)Thisitemisashadedcellandisderivedfromthesumofitems24,25,and26.Lineitem24Construction(Notindomesticoffices)Reportconstruction,landdevelopment,andotherlandloans,asdefinedintheFRY‐9C,ScheduleHC‐C,items1(a)(1)and1(a)(2),notheldindomesticoffices.Lineitem25Multifamily(Notindomesticoffices)Reportloanssecuredbymultifamily(5ormore)residentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(d),notheldindomesticoffices.Lineitem26Nonfarm,non‐residential(Notindomesticoffices)Thisitemisashadedcellandisderivedfromthesumofitems27and28.Lineitem27Owner‐occupied(Notindomesticoffices)Reportloanssecuredbyowner‐occupiednonfarmnonresidentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(e)(1),notheldindomesticoffices.Lineitem28Non‐owner‐occupied(Notindomesticoffices)Reportnonfarmnonresidentialrealestateloansthatarenotsecuredbyowner‐occupiednonfarmnonresidentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(e)(2),notheldindomesticoffices.Lineitem29Loanssecuredbyfarmland(Notindomesticoffices)Reportallloanssecuredbyfarmland,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(b),notheldindomesticoffices.Lineitem30C&ILoansThisitemisashadedcellandisderivedfromthesumofitems31,32,33and34.Lineitem31C&IGradedReportallgradedcommercialandindustrial(C&I)loans.Reportonlyloans“graded”or“rated”usingthereportingentity’scommercialcreditratingsystem,asitisdefinedinthereportingentity’snormalcourseofbusiness.Thisincludesdomesticandinternationalbusinessandcorporatecreditcardorchargecardloansforwhichacommerciallygradedcorporationisultimatelyresponsibleforrepaymentofcreditlossesincurred.Lineitem32SmallBusiness(Scored/DelinquencyManaged)Reportall"scored"or"delinquencymanaged"U.S.smallbusinessloansforwhichacommercialinternalriskratingisnotusedorthatusesadifferentscalethanothercorporateloansreportedin
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theFRY‐9C,ScheduleHC‐C,items2.a,2.b,3,4.a,4.b,7,9.a,9.b.1,9.b.2,10.b,excludingcorporateandsmallbusinesscreditcardloansincludedintheFRY‐9C,ScheduleHC‐C,line4.a.Lineitem33CorporateCardReportloansextendedundercorporatecreditcards.Reportatthecontrolaccountlevelortheindividualpaylevel(notatthesub‐accountlevel).Corporatecardsincludeemployer‐sponsoredcreditcardsforusebyacompany'semployees.ExcludecorporatecardloansincludedinLineitem31(C&IGradedLoans).Lineitem34BusinessCardReportloansextendedunderbusinesscreditcards.Businesscardsincludesmallbusinesscreditcardaccountswheretheloanisunderwrittenwiththesoleproprietororprimarybusinessownerasapplicant.Reportatthecontrolaccountlevelortheindividualpaylevel(notatthesub‐accountlevel).Lineitem35CreditCardsThisitemisashadedcellandisderivedfromthesumofitems36and37.Lineitem36ChargeCardsReportloansextendedunderconsumergeneralpurposeorprivatelabelcreditcardsthathavetermsandconditionsassociatedwithachargecard.Insteadofhavingastatedinterestrate,chargecardshaveanannualfeeandaninterchangefee.Alsocustomersmustpayofftheloanwithinthebillingcycle,whichistypicallyonemonth.Generalpurposechargecardsarecreditcardsthatcanbeusedatawidevarietyofmerchants,includinganywhoacceptMasterCard,Visa,AmericanExpressorDiscovercreditcards.Includeaffinity,co‐brandcardsinthiscategory,andstudentscardifapplicable.Privatelabelchargecardsarecreditcards,alsoknownasproprietarycreditcards,tiedtotheretailerissuingthecardandcanonlybeusedinthatretailer'sstores.Includeoil&gascardsinthisloantype,andstudentcardsifapplicable.Lineitem37BankCardsReportloansextendedunderconsumergeneralpurposeorprivatelabelcreditcardsthathavetermsandconditionsassociatedwithabankcard.Abankcardwillhaveastatedinterestrateandaminimumpaymentamountduewithinthebillingcycle.Generalpurposebankcardsarecreditcardsthatcanbeusedatawidevarietyofmerchants,includinganywhoacceptMasterCard,Visa,AmericanExpressorDiscovercreditcards.Includeaffinity,co‐brandcardsinthiscategory,andstudentcardsifapplicable.Privatelabelbankcardsarecreditcards,alsoknownasproprietarycreditcards,tiedtotheretailerissuingthecardandcanonlybeusedinthatretailer'sstores.Includeoil&gascardsinthisloantype,andstudentcardsifapplicable.Lineitem38OtherConsumerThisitemisashadedcellandisderivedfromthesumofitems39,40,41and42.Lineitem39AutoLoansReportallautoloans,asdefinedintheFRY‐9C,ScheduleHC‐C,item6(c).Lineitem40StudentLoansReportallstudentloans.
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Lineitem41Other(consumer)loansbackedbysecurities(non‐purposelending)Reportotherconsumerloansthatarebackedbysecurities(i.e.,non‐purposelending).Lineitem42Other(consumer)Reportallotherconsumerloansnotreportedinitems39,40or41.Lineitem43OtherLoansThisitemisashadedcellandisderivedfromthesumofitems44,45,46,47and48.Lineitem44LoanstoForeignGovernmentsReportallloanstoforeigngovernments,asdefinedintheFRY‐9C,ScheduleHC‐C,item7.ExcludeloanstoforeigngovernmentsincludedinLineitem32(SmallBusinessLoans).Lineitem45AgriculturalLoansReportallagriculturalloans,asdefinedintheFRY‐9C,ScheduleHC‐C,item3.ExcludeagriculturalloansincludedinLineitem32(SmallBusinessLoans).Lineitem46LoansforPurchasingorCarryingSecurities(securedorunsecured)Reportallloansforpurchasingorcarryingsecurities(securedorunsecured),asdefinedintheFRY‐9C,ScheduleHC‐C,item9.b.(1).ExcludeloansforpurchasingorcarryingsecuritiesincludedinLineitem32(SmallBusinessLoans).Lineitem47LoanstoDepositoriesandOtherFinancialInstitutionsReportallloanstodepositoriesandotherfinancialInstitutions(securedorunsecured),asdefinedintheFRY‐9C,ScheduleHC‐C,items2.a,2.b,and9.a.ExcludeloanstodepositoriesandotherfinancialinstitutionsincludedinLineitem32(SmallBusinessLoans).Lineitem48AllOtherLoansandLeasesThisitemisashadedcellandisderivedfromthesumofitems49and50.Lineitem49AllOtherLoans(excludeconsumerloans)Reportallotherloans(excludingconsumerloans),asdefinedintheFRY‐9C,ScheduleHC‐C,item9.b.(2).ExcludeallotherloansincludedinLineitem32(SmallBusinessLoans).Lineitem50AllOtherLeasesReportallotherleases(excludingconsumerleases),asdefinedintheFRY‐9C,ScheduleHC‐C,item10.b.ExcludeallotherleasesincludedinLineitem32(SmallBusinessLoans).Lineitem51TotalLoansandLeasesReportthesumofitems6,20,30,35,38and43.Lineitems52through94LOANSHELDFORINVESTMENTATAMORTIZEDCOST:Lineitem52Realestateloans(indomesticoffices)Thisitemisashadedcellandisderivedfromthesumofitems53,56,59and65.
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Lineitem53Firstlienmortgages(includingHELOANS)Thisitemisashadedcellandisderivedfromthesumofitems54and55.Lineitem54FirstlienmortgagesReportloansheldforinvestmentaccountedforatamortizedcostonallclosed‐endloanssecuredbyfirstlienson1to4familyresidentialproperties,excludingclosed‐endfirstlienhomeequityloans(reportedinitem53).Lineitem55Firstlienhomeequityloans(HELOANS)Reportloansheldforinvestmentaccountedforatamortizedcostonallclosed‐endfirstlienhomeequityloans.Lineitem56Second/juniorlienmortgagesThisitemisashadedcellandisderivedfromthesumofitems57and58.Lineitem57Closed‐endjuniorloansReportloansheldforinvestmentaccountedforatamortizedcostonallclosed‐endloanssecuredbyjunior(i.e.,otherthanfirst)lienson1to4familyresidentialproperties.Lineitem58Homeequitylinesofcredit(HELOCS)Reportloansheldforinvestmentaccountedforatamortizedcostontheamountoutstandingunderrevolving,open‐endlinesofcreditsecuredby1to4familyresidentialproperties.Lineitem59Commercialrealestate(CRE)loansThisitemisashadedcellandisderivedfromthesumofitems60,61,and62.Lineitem60ConstructionReportloansheldforinvestmentaccountedforatamortizedcostonconstruction,landdevelopment,andotherlandloans,asdefinedintheFRY‐9C,ScheduleHC‐C,items1(a)(1)and1(a)(2).Lineitem61MultifamilyReportloansheldforinvestmentaccountedforatamortizedcostonloanssecuredbymultifamily(5ormore)residentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(d).Lineitem62Nonfarm,nonresidentialThisitemisashadedcellandisderivedfromthesumofitems63and64.Lineitem63Owner‐occupiedReportloansheldforinvestmentaccountedforatamortizedcostonloanssecuredbyowner‐occupiednonfarmnonresidentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(e)(1).Lineitem64Non‐owner‐occupiedReportloansheldforinvestmentaccountedforatamortizedcostonnonfarmnonresidentialrealestateloansthatarenotsecuredbyowner‐occupiednonfarmnonresidentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(e)(2).
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Lineitem65LoanssecuredbyfarmlandReportloansheldforinvestmentaccountedforatamortizedcostonallloanssecuredbyfarmland,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(b).Lineitem66Realestateloans(Notindomesticoffices)Thisitemisashadedcellandisderivedfromthesumofitems67,68,69and75.Lineitem67Firstlienmortgages(Notindomesticoffices)Reportloansheldforinvestmentaccountedforatamortizedcostonallclosed‐endloanssecuredbyfirstlienson1to4familyresidentialproperties,notheldindomesticoffices.Lineitem68Second/juniorlienmortgages(Notindomesticoffices)Reportloansheldforinvestmentaccountedforatamortizedcostonallloanssecuredbysecond/junior(i.e.,otherthanfirst)lienson1to4familyresidentialproperties,notheldindomesticoffices.Lineitem69Commercialrealestate(CRE)loans(Notindomesticoffices)Thisitemisashadedcellandisderivedfromthesumofitems70,71,and72.Lineitem70Construction(Notindomesticoffices)Reportloansheldforinvestmentaccountedforatamortizedcostonconstruction,landdevelopment,andotherlandloans,asdefinedintheFRY‐9C,ScheduleHC‐C,items1(a)(1)and1(a)(2),notheldindomesticoffices.Lineitem71Multifamily(Notindomesticoffices)Reportloansheldforinvestmentaccountedforatamortizedcostonloanssecuredbymultifamily(5ormore)residentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(d),notheldindomesticoffices.Lineitem72Nonfarm,nonresidential(Notindomesticoffices)Thisitemisashadedcellandisderivedfromthesumofitems73and74.Lineitem73Owner‐occupied(Notindomesticoffices)Reportloansheldforinvestmentaccountedforatamortizedcostonloanssecuredbyowner‐occupiednonfarmnonresidentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(e)(1),notheldindomesticoffices.Lineitem74Non‐owner‐occupied(Notindomesticoffices)Reportloansheldforinvestmentaccountedforatamortizedcostonnonfarmnonresidentialrealestateloansthatarenotsecuredbyowner‐occupiednonfarmnonresidentialproperties,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(e)(2),notheldindomesticoffices.Lineitem75Loanssecuredbyfarmland(Notindomesticoffices)Reportloansheldforinvestmentaccountedforatamortizedcostonallloanssecuredbyfarmland,asdefinedintheFRY‐9C,ScheduleHC‐C,item1(b),notheldindomesticoffices.
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Lineitem76C&ILoansThisitemisashadedcellandisderivedfromthesumofitems77,78and79.Lineitem77C&IGradedReportloansheldforinvestmentaccountedforatamortizedcostonallgradedcommercialandindustrial(C&I)loans.Reportonlyloans“graded”or“rated”usingthereportingentity’scommercialcreditratingsystem,asitisdefinedinthereportingentity’snormalcourseofbusiness.Thisincludesdomesticandinternationalbusinessandcorporatecreditcardorchargecardloansforwhichacommerciallygradedcorporationisultimatelyresponsibleforrepaymentofcreditlossesincurred.Lineitem78SmallBusiness(Scored/DelinquencyManaged)Reportloansheldforinvestmentaccountedforatamortizedcostonsmallbusinessloans.Reportall"scored"or"delinquencymanaged"U.S.smallbusinessloansforwhichacommercialinternalriskratingisnotusedorthatusesadifferentscalethanothercorporateloansreportedintheFRY‐9C,ScheduleHC‐C,items2.a,2.b,3,4.a,4.b,7,9.a,9.b.1,9.b.2,10.b,excludingcorporateandsmallbusinesscreditcardloansincludedintheFRY‐9C,ScheduleHC‐C,line4.a.Lineitem79BusinessandCorporateCardReportloansheldforinvestmentaccountedforatamortizedcostonloansextendedunderbusinessandcorporatecreditcards.Businesscardsincludesmallbusinesscreditcardaccountswheretheloanisunderwrittenwiththesoleproprietororprimarybusinessownerasapplicant.Reportatthecontrolaccountlevelortheindividualpaylevel(notatthesub‐accountlevel).Corporatecardsincludeemployer‐sponsoredcreditcardsforusebyacompany'semployees.ExcludecorporatecardorchargecardloansincludedinLineitem77(C&IGradedLoans.Lineitem80CreditCardsReportloansheldforinvestmentaccountedforatamortizedcostonloansextendedunderconsumergeneralpurposeorprivatelabelcreditcards.Generalpurposecreditcardsarecreditcardsthatcanbeusedatawidevarietyofmerchants,includinganywhoacceptMasterCard,Visa,AmericanExpressorDiscovercreditcards.Includeaffinity,co‐brandcardsinthiscategory,andstudentcardsifapplicable.Privatelabelcreditcardsarecreditcards,alsoknownasproprietarycreditcards,tiedtotheretailerissuingthecardandcanonlybeusedinthatretailer'sstores.Includeoil&gascardsinthisloantype,andstudentcardsifapplicable.Lineitem81OtherConsumerThisitemisashadedcellandisderivedfromthesumofitems82,83,84and85.Lineitem82AutoLoansReportloansheldforinvestmentaccountedforatamortizedcostonautoloans,asdefinedintheFRY‐9C,ScheduleHC‐C,item6(c).Lineitem83StudentLoansReportloansheldforinvestmentaccountedforatamortizedcostonstudentloans.Lineitem84Other(consumer)loansbackedbysecurities(non‐purposelending)Reportloansheldforinvestmentaccountedforatamortizedcostonotherconsumerloansthatare
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backedbysecurities(i.e.,non‐purposelending).Lineitem85Other(consumer)Reportloansheldforinvestmentaccountedforatamortizedcostonallotherconsumerloansnotreportedinitems82,83or84.Lineitem86OtherLoansandLeasesThisitemisashadedcellandisderivedfromthesumofitems87,88,89,90and91.Lineitem87LoanstoForeignGovernmentsReportloansheldforinvestmentaccountedforatamortizedcostonloanstoforeigngovernments,asdefinedintheFRY‐9C,ScheduleHC‐C,item7.ExcludeloanstoforeigngovernmentsincludedinLineitem78(SmallBusinessLoans).Lineitem88AgriculturalLoansReportloansheldforinvestmentaccountedforatamortizedcostonagriculturalloans,asdefinedintheFRY‐9C,ScheduleHC‐C,item3.ExcludeagriculturalloansincludedinLineitem78(SmallBusinessLoans).Lineitem89LoansforPurchasingorCarryingSecurities(securedorunsecured)Reportloansheldforinvestmentaccountedforatamortizedcostonloansforpurchasingorcarryingsecurities(securedorunsecured),asdefinedintheFRY‐9C,ScheduleHC‐C,item9.b.(1).ExcludeloansforpurchasingorcarryingsecuritiesincludedinLineitem78(SmallBusinessLoans).Lineitem90LoanstoDepositoriesandOtherFinancialInstitutionsReportloansheldforinvestmentaccountedforatamortizedcostonloanstodepositoriesandotherfinancialInstitutions(securedorunsecured),asdefinedintheFRY‐9C,ScheduleHC‐C,items2.a,2.b,and9.a.ExcludeloanstodepositoriesandotherfinancialinstitutionsincludedinLineitem78(SmallBusinessLoans).Lineitem91AllOtherLoansandLeasesThisitemisashadedcellandisderivedfromthesumofitems92and93.Lineitem92AllOtherLoans(excludeconsumerloans)Reportloansheldforinvestmentaccountedforatamortizedcostonallotherloans(excludingconsumerloans),asdefinedintheFRY‐9C,ScheduleHC‐C,item9.b.(2).ExcludeallotherloansincludedinLineitem78(SmallBusinessLoans).Lineitem93AllOtherLeasesReportloansheldforinvestmentaccountedforatamortizedcostonallotherleases(excludingconsumerleases),asdefinedintheFRY‐9C,ScheduleHC‐C,item10.b.ExcludeallotherleasesincludedinLineitem78(SmallBusinessLoans).Lineitem94TotalLoansandLeasesReportthesumofitems52,66,76,80,81and86.
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Lineitems95through111HELDFORSALELOANSANDLOANSACCOUNTEDFORUNDERTHEFAIRVALUEOPTION:Lineitem95Realestateloans(indomesticoffices)Thisitemisashadedcellandisderivedfromthesumofitems96,97,98and99.Lineitem96FirstLienMortgagesThisitemisashadedcellandisderivedasitem7minusitem53.Lineitem97Second/JuniorLienMortgagesThisitemisashadedcellandisderivedasitem10minusitem56.Lineitem98Commercialrealestate(CRE)loansThisitemisashadedcellandisderivedasitem13minusitem59.Lineitem99LoanssecuredbyfarmlandThisitemisashadedcellandisderivedasitem19minusitem65.Lineitem100Realestateloans(notindomesticoffices)Thisitemisashadedcellandisderivedfromthesumofitems101,102and103.Lineitem101ResidentialMortgages(notindomesticoffices)Thisitemisashadedcellandisderivedasthesumofitems21and22minusitems67and68.Lineitem102Commercialrealestate(CRE)loans(notindomesticoffices)Thisitemisashadedcellandisderivedasitem23minusitem69.Lineitem103Loanssecuredbyfarmland(notindomesticoffices)Thisitemisashadedcellandisderivedasitem29minusitem75.Lineitem104C&ILoansThisitemisashadedcellandisderivedasitem30minusitem76.Lineitem105CreditCardsThisitemisashadedcellandisderivedasitem35minusitem80.Lineitem106OtherConsumerThisitemisashadedcellandisderivedasitem38minusitem81.Lineitem107AllOtherLoansandLeasesThisitemisashadedcellandisderivedasitem41minusitem84.Lineitem108TotalLoansandLeasesHeldforSaleandLoansandLeasesAccountedforundertheFairValueOptionThisitemisashadedcellandisderivedfromthesumofitems95,100,104,105,106and107.
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Lineitem109UnearnedIncomeonLoansReportallunearnedincomeonloans,asdefinedintheFRY‐9C,ScheduleHC‐C,item11,ColumnA.Lineitem110AllowanceforLoanandLeaseLossesThisitemisashadedcellandiscarriedoverfromitem117oftheIncomeStatementSub‐schedule.Lineitem111LoansandLeases(HeldforInvestmentandHeldforSale)NetofUnearnedIncomeandAllowanceforLoanandLeaseLossesThisitemisashadedcellandisderivedasitem51minusitems109and110.TRADINGLineitem112TradingAssetsReporttradingassets,asdefinedintheFRY‐9C,ScheduleHC,item5.Lineitems113through117INTANGIBLES:Lineitem113GoodwillReportgoodwill,asdefinedintheFRY‐9C,ScheduleHC,item10.a.Lineitem114MortgageServicingRightsReportallmortgageservicingrights,asdefinedintheFRY‐9C,ScheduleHC‐M,item12.a.Lineitem115PurchasedCreditCardRelationshipsandNonmortgageServicingRightsReportallpurchasedcreditcardrelationshipsandnonmortgageservicingrights,asdefinedintheFRY‐9C,ScheduleHC‐M,item12.b.Lineitem116AllOtherIdentifiableIntangibleAssetsReportallotheridentifiableintangibleassets,asdefinedintheFRY‐9C,ScheduleHC‐M,item12.c.Lineitem117TotalIntangibleAssetsThisitemisashadedcellandisderivedfromthesumofitems113,114,115and116.Lineitems118through131OTHER(Assets):Lineitem118CashandcashequivalentReportcashandcashequivalent,asdefinedintheFRY‐9C,ScheduleHC,items1.a.,1.b.(1),1.b.(2).Lineitem119FederalFundsSoldReportfederalfundssoldindomesticoffices,asdefinedintheFRY‐9C,ScheduleHC,item3.a.Lineitem120SecuritiesPurchasedunderAgreementstoResellReportsecuritiespurchasedunderagreementstoresell,asdefinedintheFRY‐9C,ScheduleHC,item3.b.
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Lineitem121PremisesandFixedAssetsReportallpremisesandfixedassets,asdefinedintheFRY‐9C,ScheduleHC,item6.Lineitem122OtherRealEstateOwned(OREO)Thisitemisashadedcellandisderivedfromthesumofitems123,124and125.Lineitem123CommercialReportthenetbookvalueofallotherrealestateownedintheformof,orforwhichtheunderlyingrealestateconsistsof,commercialrealestate.Lineitem124ResidentialReportthenetbookvalueofallotherrealestateownedintheformof,orforwhichtheunderlyingrealestateconsistsof,residentialrealestate.Lineitem125FarmlandReportthenetbookvalueofallotherrealestateownedintheformof,orforwhichtheunderlyingrealestateconsistsof,farmland.Lineitem126CollateralUnderlyingOperatingLeasesforWhichtheBankistheLessorThisitemisashadedcellandisderivedfromthesumofitems127and128.Lineitem127AutosReportthecarryingamountofautomobilesrentedtoothersunderoperatingleases,netofaccumulateddepreciation.Theamountreportedshouldonlyreflectcollateralrentedunderoperatingleasesandshouldnotincludecollateralsubjecttocapital/financingtypeleases.Lineitem128OtherReportthecarryingamountofanyequipmentorotherassets(otherthanautomobiles)rentedtoothersunderoperatingleases,netofaccumulateddepreciation.Theamountreportedshouldonlyreflectcollateralrentedunderoperatingleasesandshouldnotincludecollateralsubjecttocapital/financingtypeleases.Lineitem129OtherassetsReportallotherassets,asdefinedintheFRY‐9C,ScheduleHC,sumofitems8,9and11,minusitem126(above).Lineitem130TotalOther(assets)Thisitemisashadedcellandisderivedfromthesumofitems118‐122,126,and129.Lineitem131TotalAssetsThisitemisashadedcellandisderivedfromthesumofitems3,111,112,117and130.Lineitems132through142LIABILITIES:Lineitem132DepositsinDomesticOffices
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Reportalldepositsindomesticoffices,asdefinedintheFRY‐9C,SheduleHC,items13.a.(1)and13.a.(2).Lineitem133DepositsinForeignOfficesReportalldepositsinforeignoffices,asdefinedintheFRY‐9C,ScheduleHC,items13.b.(1)and13.b.(2).Lineitem134DepositsThisitemisashadedcellandderivedfromthesumofitems132and133.Lineitem135FederalFundsPurchasedandRepurchaseAgreementsReportallallfederalfundspurchasedandrepurchaseagreements,asdefinedintheFRY‐9C,ScheduleHC,items14.aand14.b.Lineitem136TradingLiabilitiesReportalltradingliabilities,asdefinedintheFRY‐9C,ScheduleHC,item15.Lineitem137OtherBorrowedMoneyReportotherborrowedmoney,asdefinedintheFRY‐9C,ScheduleHC,item16.Lineitem138SubordinatedNotesandDebenturesReportsubordinatednotesanddebentures,asdefinedintheFRY‐9C,ScheduleHC,item19.a.Lineitem139SubordinatedNotesPayabletoUnconsolidatedTrustsIssuingTruPSandTruPSIssuedbyConsolidatedSpecialPurposeEntitiesReportallsubordinatednotespayabletounconsolidatedtrustsissuingtrustpreferredsecurities,andtrustpreferredsecuritiesissuedbyconsolidatedspecialpurposeentities,asdefinedintheFRY‐9C,ScheduleHC,item19.b.Lineitem140OtherliabilitiesReportotherliabilities,asdefinedintheFRY‐9C,ScheduleHC,item20.Lineitem141Memo:Allowanceforoff‐balancesheetcreditexposuresReporttheallowanceforoff‐balancesheetcreditexposures,asdefinedintheFRY‐9C,ScheduleHC‐G,item3.Lineitem142TotalLiabilitiesReportthesumofitems134through140.Lineitems143through151EQUITYCAPITAL:Lineitem143PerpetualPreferredStockandRelatedSurplusReportallperpetualpreferredstockandrelatedsurplus,asdefinedintheFRY‐9C,ScheduleHC,item23.Lineitem144CommonStock(ParValue)
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Reporttheparvalueofcommonstock,asdefinedintheFRY‐9C,ScheduleHC,item24.Lineitem145Surplus(ExcludeAllSurplusRelatedtoPreferredStock)Reportsurplus(excludingsurplusrelatedtopreferredstock),asdefinedintheFRY‐9C,ScheduleHC,item25.Lineitem146RetainedEarningsReportallretainedearnings,asdefinedintheFRY‐9C,ScheduleHC,item26.a.Lineitem147AccumulatedOtherComprehensiveIncome(AOCI)Reportaccumulatedothercomprehensiveincome(AOCI),asdefinedintheFRY‐9C,ScheduleHC,item26.b.Lineitem148OtherEquityCapitalComponentsReportotherequitycapitalcomponents,asdefinedintheFRY‐9C,ScheduleHC,item26.c.Lineitem149TotalBHCEquityCapitalReportthesumofitems143through148.Lineitem150Noncontrolling(Minority)InterestsinConsolidatedSubsidiariesReportallnoncontrolling(minority)interestsinconsolidatedsubsidiaries,asdefinedintheFRY‐9C,ScheduleHC,item27.b.Lineitem151TotalEquityCapitalReportthesumofitems149and150.Lineitem152UnusedCommercialLendingCommitmentsandLettersofCreditReportallunusedcommerciallendingcommitmentsandlettersofcredit,asdefinedintheFRY‐9C,ScheduleHC‐L,items1.c.(1),1.c.(2),1.e.(1),1.e.(2),1.e.(3),2,3,and4.
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A.1.c—Risk‐WeightedAssets(RWA)A.1.c.1—StandardizedRWAAllBHCsarerequiredtocompletethe“StandardizedRWA”sub‐scheduleforallreportingquartersstartingJanuary1,2015.BHCsthataresubjecttomarketriskcapitalrequirementsattheasofdatearerequiredtocompletethemarketrisk‐weightedassetsectionwithinthesub‐schedule.However,ifaBHCprojectstomeetthetradingactivitythresholdthatwouldrequireittobesubjecttothemarketriskcapitalrequirementsduringtheforecastperiod,thentheBHCshouldcompletethemarketrisk‐weightedassetsectionwithinthesub‐schedule.Pleasereferto78FederalRegister62250,October11,2013and78FederalRegister76521,December18,2013fordetailsoftherequirements.StandardizedApproachCreditRiskLineitem1CashandbalancesduefromdepositoryinstitutionsReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem1.SecuritiesLineitem2aHeld‐to‐maturity(excludingsecuritizations):Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem2a.Lineitem2bAvailable‐for‐sale(excludingsecuritizations):Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem2b.Lineitem3FederalfundssoldReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem3a.LoansandleasesonheldforsaleLineitem4aResidentialmortgageexposuresReporttherisk‐weightedassetamountconsistentwiththedefinitionfortheFRY‐9C,PartII,Lineitem4a.Lineitem4bHighVolatilityCommercialRealEstateReporttherisk‐weightedamountconsistentwiththedefinitionfortheFRY‐9C,HC‐R,PartII,Lineitem4b.Lineitem4cExposurespastdue90daysormoreoronnonaccrualReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,Lineitem4c.Lineitem4dAllotherexposuresReporttherisk‐weightedassetamountconsistentwiththedefinitionfortheFRY‐9C,HC‐R,PartII,
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Lineitem4d.Loansandleases,netofunearnedincomeLineitem5aResidentialmortgageexposuresReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem5a.Lineitem5bHighVolatilityCommercialRealEstateReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem5b.Lineitem5cExposurespastdueexposures90daysormoreoronnonaccrualReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem5c.Lineitem5dAllotherexposuresReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem5d.Lineitem6Tradingassets(excludingsecuritizationsthatreceivestandardizedcharges)Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem7.Lineitem7aAllotherassetsReporttherisk‐weightedassetamountconsistentwiththedefinitionofY‐9C,HC‐R,PartII,lineitem8.Lineitem7bSeparateaccountbank‐ownedlifeinsuranceReporttherisk‐weightedassetamountconsistentwiththedefinitionofY‐9C,HC‐R,PartII,lineitem8a.Lineitem7cDefaultfundcontributionstocentralcounterpartiesReporttherisk‐weightedassetamountconsistentwiththedefinitionofY‐9C,HC‐R,PartII,lineitem8b.On‐balancesheetsecuritizationexposuresLineitem8aHeld‐to‐maturityReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,IineItem9a.Lineitem8bAvailable‐for‐saleReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem9b.Lineitem8cTradingassetsthatthatreceivestandardizedcharges
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Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem9c.Lineitem8dAllotheron‐balancesheetsecuritizationexposuresReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem9d.Lineitem9Off‐balancesheetsecuritizationexposuresReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem10.Lineitem10RWAforBalanceSheetAssetCategories(sumofitems1through8d)Thisitemisshadedandisderivedfromotheritemsintheschedule,noinputrequired.
DerivativesandOff‐BalanceSheetItemsLineitem11FinancialstandbylettersofcreditReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem12.Lineitem12PerformancestandbylettersofcreditandtransactionrelatedcontingentitemsReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem13.Lineitem13CommercialandsimilarlettersofcreditwithanoriginalmaturityofoneyearorlessReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem14.Lineitem14RetainedrecourseonsmallbusinessobligationssoldwithrecourseReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem15.Lineitem15Repo‐styletransactionsReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem16.Lineitem16Allotheroff‐balancesheetliabilitiesReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem17.Lineitem17aUnusedcommitments:Originalmaturityofoneyearorless,excludingABCPconduitsReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem18a.Lineitem17bUnusedcommitments:OriginalmaturityofoneyearorlesstoABCPconduits
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Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem18b.Lineitem17cUnusedcommitments:OriginalmaturityexceedingoneyearReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem18c.Lineitem18UnconditionallycancelablecommitmentReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem19.Lineitem19Over‐the‐counterderivativesReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem20.Lineitem20CentrallyclearedderivativesReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem21.Lineitem21Unsettledtransactions(failedtrades)Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem22.Lineitem22RWAforAssets,DerivativesandOff‐Balance‐SheetAssetCategoriesThisitemisashadedcellandisderivedfromthesumofitems9through21.Lineitem23RWAforpurposesofcalculatingtheallowanceforloanandleaselosses(ALLL)1.25percentthresholdReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem26.MarketRiskLineitems24through40areapplicableonlytoBHCsthataresubjecttothemarketriskcapitalrule.IfaBHCdoesnothaveaparticularportfolioornotradingbookatall,risk‐weightedassetsshouldbereportedas0.Lineitem24Value‐at‐risk(VaR)‐basedcapitalrequirementReporttherisk‐weightedamountconsistentwiththedefinitionforFFIEC102LineItem4.Lineitem25StressedVaR‐basedcapitalrequirementReporttherisk‐weightedamountconsistentwiththedefinitionforFFIEC102LineItem7.Specificriskadd‐onLineitem26DebtPositionsReporttherisk‐weightedamountconsistentwiththedefinitionforFFIEC102LineItem8
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Lineitem27EquitypositionsReporttherisk‐weightedamountconsistentwiththedefinitionofFFIEC102LineItem9.Lineitem28CapitalrequirementsforsecuritizationpositionsusingtheSimplifiedSupervisoryFormulaApproach(SSFA)orapplyingaspecificrisk‐weightingfactorof1250percent.Reporttherisk‐weightedamountconsistentwiththedefinitionofFFIEC102LineItem10.Lineitem29Standardizedmeasureofspecificriskadd‐ons(sumofitems26,27,and28)Thisitemisthederivedsumoflineitem26,27,and28.Therisk‐weightedamountshouldbeconsistentwiththedefinitionfortheFFIEC102Lineitem14.Item30isnotapplicabletoaninstitutionthatdoesnotcalculateamodeledmeasureofincrementalrisk.Lineitem30IncrementalriskchargerequirementReporttherisk‐weightedamountconsistentwiththedefinitionforFFIEC102LineItem18.Lineitem31ModeledcomprehensiveriskmeasureReporttherisk‐weightedamountconsistentwiththedefinitionforFFIEC102LineItem19.Lineitem32Standardizedmeasureofspecificriskadd‐onsfornetlongcorrelationtradingpositionsReporttherisk‐weightedamountconsistentwiththedefinitionofFFIEC102LineItem26.Lineitem33Standardizedmeasureofspecificriskadd‐onsfornetshortcorrelationtradingpositionsReporttherisk‐weightedamountconsistentwiththedefinitionofFFIEC102LineItem34Lineitem34Standardizedmeasureofspecificriskadd‐ons(greaterofitem32or33)ThisitemisderivedasthegreaterofLineItem32or33.Lineitem35Surchargeformodeledcorrelationtradingpositions(item34multipliedby0.08)Thisitemisderivedasproductoflineitem34multipliedby0.08.Thisitemshouldbeconsistentwiththerisk‐weightedamountforFFIEC102LineItem37.Lineitem36ComprehensiveriskcapitalmeasurerequirementReporttherisk‐weightedamountconsistentwiththedefinitionforFFIEC102LineItem42.OnlyifaBHChasreceivedsupervisoryapprovalofitscomprehensiveriskmodeleffectiveness,reporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem48.DeminimispositionsandotheradjustmentsLineitem37CapitalrequirementforalldeminimisexposuresRReporttherisk‐weightedamountconsistentwiththedefinitionofFFIEC102LineItem52Lineitem38AdditionalcapitalrequirementReporttherisk‐weightedamountconsistentwiththedefinitionofFFIEC102LineItem53.
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Lineitem39Sumofitems37and38Thisitemisderivedassumofitem37anditem38.Therisk‐weightedamountshouldbeconsistentwiththedefinitionofFFIEC102LineItem54.Marketrisk‐weightedassetsLineitem40Standardizedmarketrisk‐weightedassets:Sumofitems24,25,29,30(ifapplicable),36(ifapplicable),and39Thisitemisderivedasthesumofitems24,25,29,30(ifapplicable),36(ifapplicable),and39.Lineitem41Risk‐weightedassetsbeforedeductionsforexcessallowanceofloanandleaselossesandallocatedrisktransferriskreserveThisitemisashadedcellandisderivedfromthesumofitems22and40.Lineitem42Less:ExcessallowanceforloanandleaselossesReporttheassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem29.Lineitem43Less:AllocatedtransferriskreserveReporttheassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem30.Lineitem44Totalrisk‐weightedassetsThisitemisashadedcellandisderivedfromitem41minusthesumofitems42and43.MemorandaItems–DerivativesReportallmemorandaitemslines45through48g.Lineitem45CurrentcreditexposureacrossallderivativecontractscoveredbytheregulatorycapitalrulesReportthetotalcurrentcreditexposureamountforallinterestrate,foreignexchangerateandgold,credit(investmentgradereferenceassets),credit(non‐investmentgradereferenceassets),equity,preciousmetals(exceptgold),andotherderivativecontractscoveredbytheregulatorycapitalrulesafterconsideringapplicablelegallyenforceablebilateralnettingagreements.BankingorganizationsthataresubjecttoSubpartFoftheregulatorycapitalrulesshouldexcludeallcoveredpositionssubjecttotheseguidelines,exceptforforeignexchangederivativesthatareoutsideofthetradingaccount.ForeignexchangederivativesthatareoutsideofthetradingaccountandallOTCderivativescontinuetohaveacounterpartycreditriskcapitalchargeand,therefore,acurrentcreditexposureamountforthesederivativesshouldbereportedinthisitem.Lineitem46Notionalprincipalamountsofover‐the‐counterderivativecontractsThisitemisashadedcellandisderivedfromthesumoflines47athrough47g.Reportintheappropriatesub‐itemthenotionalamountorparvalueofallOTCderivativecontracts,includingcreditderivativesthataresubjecttotheregulatorycapitalrules.Suchcontractsincludeswaps,forwards,andpurchasedoptions.Lineitem47aInterestrateReportinterestratecontractsthataresubjecttotheregulatorycapitalrules.
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Lineitem47bForeignexchangerateandgoldReportforeignexchangecontractsandtheremainingmaturitiesofgoldcontractsthataresubjecttotheregulatorycapitalrules.Lineitem47cCredit(investmentgradereferenceasset)Reportcreditderivativecontractswherethereferenceentitymeetsthedefinitionofinvestmentgradeasdescribedin12CFR217.2oftheregulatorycapitalrule.Lineitem47dCredit(non‐investmentgradereferenceasset)Reportcreditderivativecontractswherethereferenceentitydoesnotmeetthedefinitionofinvestmentgradeasdescribedin12CFR217.2oftheregulatorycapitalrule.Lineitem47eEquityReportequityderivativecontractsthataresubjecttotheregulatorycapitalrules.Lineitem47fPreciousmetals(exceptgold)Reportotherpreciousmetalscontractsthataresubjecttotheregulatorycapitalrules.Reportallsilver,platinum,andpalladiumcontracts.Lineitem47gOtherReportothercontractsthataresubjecttotheregulatorycapitalrules.Forcontractswithmultipleexchangesofprincipal,notionalamountisdeterminedbymultiplyingthecontractualamountbythenumberofremainingpayments(e.g.,changesofprincipal)inthederivativecontract.Lineitem48NotionalprincipalamountsofcentrallyclearedderivativecontractsThisitemisashadedcellandisderivedfromthesumoflines48athrough48g.Reportintheappropriatesub‐itemthenotionalamountorparvalueofallcentrallyclearedderivativecontracts,includingcreditderivativesthataresubjecttotheregulatorycapitalrules.Suchcontractsincludeswaps,forwards,andpurchasedoptions.Lineitem49aInterestrateReportinterestratecontractsthataresubjecttotheregulatorycapitalrules.Lineitem49bForeignexchangerateandgoldReportforeignexchangecontractsandtheremainingmaturitiesofgoldcontractsthataresubjecttotheregulatorycapitalrules.Lineitem49cCredit(investmentgradereferenceasset)Reportcreditderivativecontractswherethereferenceentitymeetsthedefinitionofinvestmentgradeasdescribedin12CFR217.2oftheregulatorycapitalrule.Lineitem49dCredit(non‐investmentgradereferenceasset)Reportcreditderivativecontractswherethereferenceentitydoesnotmeetthedefinitionofinvestmentgradeasdescribedin12CFR217.2oftheregulatorycapitalrule.Lineitem49eEquityReportequityderivativecontractsthataresubjecttotheregulatorycapitalrules.
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Lineitem49fPreciousmetals(exceptgold)Reportotherpreciousmetalscontractsthataresubjecttotheregulatorycapitalrules.Reportallsilver,platinum,andpalladiumcontracts.Lineitem49gOtherReportothercontractsthataresubjecttotheregulatorycapitalrules.Forcontractswithmultipleexchangesofprincipal,notionalamountisdeterminedbymultiplyingthecontractualamountbythenumberofremainingpayments(e.g.,changesofprincipal)inthederivativecontract.A.1.c.2—AdvancedRWAPleasenotethatforpurposesofCCAR2016,BHCsareNOTrequiredtofilloutthe“AdvancedRWA”sub‐schedule.
BHCssubjecttosubpartEoftherevisedregulatorycapitalrulethathaveexitedtheparallelrunprocessandthathavereceivednotificationfromitsprimaryFederalsupervisorundersection121(d)oftheadvancedapproachesrulearerequiredtocompletethe“AdvancedRWA”sub‐schedule.
MDRMcodeshavebeenincludedinthesub‐schedule(columnC)andcorrespondtothedefinitionsfortheFFIEC101lineitemswhereapplicable.
BHCsthataresubjecttomarketriskcapitalrequirementsattheasofdatearerequiredtocompletethemarketrisk‐weightedassetsectionwithinthesub‐schedule.However,ifaBHCprojectstomeetthetradingactivitythresholdthatwouldrequireittobesubjecttothemarketriskcapitalrequirementsduringtheforecastperiod,thentheBHCshouldcompletethemarketrisk‐weightedassetsectionwithinthesub‐schedule.PleaserefertothefinalmarketriskcapitalrulereleasedbytheU.S.bankingagencies(77FederalRegister53060,August30,2012)fordetailsoftherequirementsoftherule.
AdvancedApproachesCreditRisk(IncludingCCRandnon‐tradingcreditrisk),with1.06scalingfactorandOperationalRiskLineitems1through57:AdvancedApproachesCreditRisk(IncludingCCRandnon‐tradingcreditrisk),with1.06scalingfactorandOperationalRiskLineitem1AdvancedApproachesCreditRWAThisitemisashadedcellandisderivedfromsumofitems2,13,20,47,49,5532or33,and40ifgreaterthan0or50ifgreaterthanzero.Lineitems2through57VariousDefinitionoftheBHC’sprojectionsshouldcorrelatetothedefinitionsoutlinedbythecorrespondingMDRMcode(shownincolumnC)oftheFFIEC101reportperthecurrentadvancedapproachescapitalrules(72FederalRegister69288,December7,2007).
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MarketRiskIfaBHCdoesnothaveaparticularportfolioornotradingbookatall,risk‐weightedassetsshouldbereportedas0.Foritems58through73,refertoinstructionsforitems12through30,respectively,formarketriskunderthe“GeneralRWA”sub‐schedule.Lineitem74OtherRWAIftheBHCisunabletoassignRWAtooneoftheabovecategories,evenonabest‐effortsbasis,theyshouldbereportedinthisline.Lineitem75Excesseligiblecreditreservesnotincludedintier2capitalIncludeexcesseligiblecreditreservesnotincludedintier2capital,consistentwiththecurrentadvancedapproachescapitalrules(72FederalRegister69288,December7,2007).Lineitem76TotalRWAThisitemisashadedcellandisderivedfromsumofitems1,56,73,74minusitem75.A.1.d—CapitalTheCapital–CCARandCapital–DFASTsub‐schedulescollectprojectionsofthemaindriversofequitycapitalandthekeycomponentsoftheregulatorycapitalschedule.MDRMcodesareprovidedinthe‘Notes’columnformanyofthelineitems.ABHCshouldconsulttheCCARInstructionsandthecapitalplanrule(12CFR225.8)forinformationregardingthecapitalactionassumptionstouseincompletingtheCapital–CCARsub‐schedule.ABHCshouldconsulttheCCARinstructionsandthecoveredcompanycompany‐runstresstestrule(12CFR252.56(b))forinformationregardingthecapitalactionassumptionstouseincompletingtheCapital–DFASTsub‐schedule.Inthemid‐cyclestresstests,aBHCshouldleavetheCapital–CCARsub‐scheduleblank.AlldatacollectedintheCapitalsub‐schedulesshouldbereportedonaquarterlybasisandnotonayear‐to‐date,cumulativebasis.Notethatlineitem105,Totalnumberofbankholdingcompanycommonsharesoutstanding,andlineitem114,Commonsharesoutstanding,shouldbereportedinmillionsofshares.AllBHCsarerequiredtoprovideprojectionsofcommonequitytier1capital,tier1capital,andtotalcapitalbasedontherevisedregulatorycapitalruleforallquarters.UndertheBoard’scapitalplanandstresstestrules,aBHC’scalculationsofproformaregulatorycapitalratiosovertheplanninghorizonshallnotincludeestimatesusingtheadvancedapproaches(See12CFR225.8.(b)(3)(i),12CFR252.43(d)(1),and12CFR252.53(d)(1)).Accordingly,foractualandprojectedlineitemsontheFRY‐14ASummaryScheduleCapital–CCARandCapital–DFASTsub‐schedules,BHCsshouldnotusetheadvancedapproaches.Forexample,inlineitem34,“Allotherdeductionsfrom(additionsto)commonequitytier1capitalbeforethreshold‐baseddeductions,”anadvancedapproachesBHCshouldnotincludeexpectedcreditlossesthatexceed
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theeligiblecreditreserves.Theprojectionsshouldclearlyshowanyproposedcapitaldistributionsorotherscenario‐dependentactionsthatwouldaffecttheBHC’sregulatorycapital,includinganyassumptionsrequiredundertheBoard'sregulations.SCHEDULEHI‐A—CHANGESINBANKHOLDINGCOMPANYEQUITYCAPITALLineitems1through17:ITEMSRELATEDTOSCHEDULEHI‐A—CHANGESINBANKHOLDINGCOMPANYEQUITYCAPITALLineitem1TotalbankholdingcompanyequitycapitalmostrecentlyreportedfortheendofpreviousQUARTERReporttotalbankholdingcompanyequitycapitalmostrecentlyreportedfortheendofpreviousquarter,asdefinedinFRY‐9C,ScheduleHI‐A,lineitem1(exceptFRY‐9C,ScheduleHI‐A,lineitem1,isreportedfortheendofthepreviouscalendaryear).Lineitem2EffectofchangesinaccountingprinciplesandcorrectionsofmaterialaccountingerrorsReporttheeffectofchangesinaccountingprinciplesandcorrectionsofmaterialaccountingerrors,asdefinedinFRY‐9C,ScheduleHI‐A,lineitem2.Lineitem3BalanceendofpreviousQUARTERasrestatedReportthesumoflineitems1and2.Lineitem4NetIncome(loss)attributabletobankholdingcompanyReportnetincome(loss)attributabletobankholdingcompany,asdefinedinFRY‐9C,ScheduleHI‐A,lineitem4.Lineitem5Saleofperpetualpreferredstock,grossReportthesaleofperpetualpreferredstock,gross,asdefinedinFRY‐9C,ScheduleHI‐A,lineitem5.a.Lineitem6ConversionorretirementofperpetualpreferredstockReporttheconversionorretirementofperpetualpreferredstock,asdefinedinFRY‐9C,ScheduleHI‐A,lineitem5.b.Lineitem7Saleofcommonstock,grossReportthesaleofcommonstock,gross,asdefinedinFRY‐9C,ScheduleHI‐A,lineitem6.a.Lineitem8ConversionorretirementofcommonstockReporttheconversionorretirementofcommonstock,asdefinedinFRY‐9C,ScheduleHI‐A,lineitem6.b.Note:increasesanddecreasesinadditionalpaidincapital(APIC)attributabletotheamortizationofemployeestockcompensationandanychangesinAPIC,orcommonstockasaresultoftheactualissuanceofcommonstockfortheemployeestockcompensationshouldbecapturedinthislineitem.Lineitem9Saleoftreasurystock
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Reportthesaleoftreasurystock,asdefinedinFRY‐9C,ScheduleHI‐A,lineitem7.Lineitem10PurchaseoftreasurystockReportthepurchaseoftreasurystock,asdefinedinFRY‐9C,ScheduleHI‐A,lineitem8.Lineitem11Changesincidenttobusinesscombinations,netReportthechangesincidenttobusinesscombinations,net,asdefinedinFRY‐9C,ScheduleHI‐A,lineitem9.Lineitem12CashdividendsdeclaredonpreferredstockReportcashdividendsdeclaredonpreferredstock,asdefinedinFRY‐9C,ScheduleHI‐A,lineitem10.Lineitem13CashdividendsdeclaredoncommonstockReportcashdividendsdeclaredoncommonstock,asdefinedinFRY‐9C,ScheduleHI‐A,lineitem11.Lineitem14OthercomprehensiveincomeReportothercomprehensiveincome,asdefinedinFRY‐9C,ScheduleHI‐A,lineitem12.Lineitem15ChangeintheoffsettingdebittotheliabilityforEmployeeStockOwnershipPlan(ESOP)debtguaranteedbythebankholdingcompanyReportthechangeintheoffsettingdebittotheliabilityforEmployeeStockOwnershipPlan(ESOP)debtguaranteedbythebankholdingcompany,asdefinedinFRY‐9C,ScheduleHI‐A,lineitem13.Lineitem16Otheradjustmentstoequitycapital(notincludedabove)Reportotheradjustmentstoequitycapital,notincludedabove,asdefinedinFRY‐9C,ScheduleHI‐A,lineitem14.ReportamountsseparatelyandprovideatextexplanationofeachtypeofadjustmenttoequitycapitalincludedinthislineiteminitemMemoranda1(lineitem124)attheendofthissub‐schedule.Note:increasesanddecreasesinadditionalpaidincapital(APIC)attributabletotheamortizationofemployeestockcompensationandanychangesinAPIC,treasuryorcommonstockasaresultoftheactualissuanceofcommonstockfortheemployeestockcompensationshouldnotbecapturedinthislineitem,insteadtheimpactshouldbecapturedinlineitems7,8,9,and/or10asappropriate.Lineitem17TotalbankholdingcompanyequitycapitalendofcurrentperiodThislineitemisashadedcellandisderivedfromthesumoflineitems3,4,5,6,7,8,9,11,14,15and16,lesslineitems10,12and13.NotethatthislineitemshouldcorrespondtothedefinitioninFRY‐9C,ScheduleHC,lineitem27a.
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RegulatoryCapitalperRevisedRegulatoryCapitalRule(July2013)AlladvancedapproachesBHCsandopt‐inBHCsmustcompletethefollowingsection.Whereapplicable,pleasereflectthetransitionprovisionsfortheappropriatelineitem,perthe2013revisedregulatorycapitalrule.Lineitem18AOCIopt‐outelectionAholdingcompanythatisnotanadvancedapproachesholdingcompanymaymakeaone‐timeelectiontoopt‐outoftherequirementtoincludemostcomponentsofAOCIincommonequitytier1capital(withtheexceptionofaccumulatednetgainsandlossesoncashflowhedgesrelatedtoitemsthatarenotrecognizedatfairvalueonthebalancesheet).AholdingcompanythatmakesanAOCIopt‐outelectionmustenter‘‘1’’for‘‘Yes’’inlineitem18.Therearenotransitionprovisionsapplicabletoreportinglineitem21,ifaholdingcompanymakesanAOCIopt‐outelection.Aholdingcompany(exceptanadvancedapproachesholdingcompany)mustmakeitsAOCIopt‐outelectionontheholdingcompany’sMarch31,2015FRY‐9Creport.ForaholdingcompanythatcomesintoexistenceafterMarch31,2015,theholdingcompanymustmakeitsAOCIopt‐outelectionontheholdingcompany’sfirstFRY‐9Creport.AfteraholdingcompanyinitiallymakesitsAOCIopt‐outelection,theholdingcompanymustreportitselectionineachY‐14Areportthereafter.WithpriornoticetotheFederalReserve,aholdingcompanyresultingfromamerger,acquisition,orpurchasetransactionmaymakeanewAOCIopt‐outelection,asdescribedinsection22(b)(2)oftherevisedregulatorycapitalrules.CommonEquityTier1Lineitem19Commonstockandrelatedsurplus,netoftreasurystockandunearnedemployeestockownershipplan(ESOP)shares (1)Commonstock:reporttheamountofcommonstockreportedinFRY‐9C,ScheduleHC‐R,partI,lineitem1,provideditmeetsthecriteriaforcommonequitytier1capitalbasedontherevisedregulatorycapitalrulesoftheFederalReserve.Includecapitalinstrumentsissuedbymutualbankingorganizationsthatmeetthecriteriaforcommonequitytier1capital.(2)PLUS:relatedsurplus:adjusttheamountreportedinFRY‐9C,ScheduleHC‐R,partI,lineitem1asfollows:includethenetamountformallytransferredtothesurplusaccount,includingcapitalcontributions,andanyamountreceivedforcommonstockinexcessofitsparorstatedvalueonorbeforethereportdate;excludeadjustmentsarisingfromtreasurystocktransactions.(3)LESS:treasurystock,unearnedESOPshares,andanyothercontra‐equitycomponents.Lineitem20Retainedearnings Reporttheamountoftheholdingcompany’sretainedearningsasdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem2.Lineitem21Accumulatedothercomprehensiveincome (AOCI)ReporttheamountofAOCIasdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem3.
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Lineitem22Commonequitytier1minorityinterestincludableincommonequitytier1capital.Reporttheaggregateamountofcommonequitytier1minorityinterestconsistentwith12CFR217.21oftherevisedregulatorycapitalrules.Reporttheamountoftheholdingcompany’scommonequitytier1minorityinterestincludableincommonequitytier1capitalasdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem4.Commonequitytier1minorityinterestmeansthecommonequitytier1capitalofadepositoryinstitutionorforeignbankthatisaconsolidatedsubsidiaryoftheholdingcompanyandthatisnotownedbytheholdingcompany.Inaddition,thecapitalinstrumentsissuedbythesubsidiarymustmeetallofthecriteriaforcommonequitytier1capital(qualifyingcommonequitytier1capital).Theminorityinterestlimitationsapplyonlytotheconsolidatedsubsidiariesthathavecommonequitytier1capitalinexcessofcapitalnecessarytomeettheminimumcapitalrequirementsplusthecapitalconservationbuffer.Forexample,asubsidiarywithacommonequitytier1capitalratioof8percentthatneedstomaintainacommonequitytier1capitalratioofmorethan7percenttoavoidlimitationsoncapitaldistributionsanddiscretionarybonuspaymentsisconsideredtohave“surplus”commonequitytier1capital.Thus,attheconsolidatedlevel,theholdingcompanymaynotincludetheportionofsuchsurpluscommonequitytier1capitalandisrequiredtophaseoutthissurplusminorityinterest.Lineitem23Commonequitytier1capitalbeforeadjustmentsanddeductionsThislineitemisashadedcellandisderivedfromthesumoflineitems19through22.ThisitemshouldalignwiththedefinitioninFRY‐9C,ScheduleHC‐R,lineitem5.
Commonequitytier1capital:adjustmentsanddeductions(whereapplicable,reportalllineitemsreflectiveoftransitionprovisions)
Lineitem24Goodwillnetofassociateddeferredtaxliabilities(DTLs)ReporttheamountofgoodwillasdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem6.However,iftheholdingcompanyhasaDTLthatisspecificallyrelatedtogoodwillacquiredinataxablepurchasebusinesscombinationthatitchoosestonetagainstthegoodwill,theamountofdisallowedgoodwilltobereportedinthislineitemshouldbereducedbytheamountoftheassociatedDTL.Ifaholdingcompanyhassignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstock,theholdingcompanyshouldreportinthislineitemgoodwillembeddedinthevaluationofasignificantinvestmentinthecapitalofanunconsolidatedfinancialinstitutionintheformofcommonstock(embeddedgoodwill).Suchdeductionofembeddedgoodwillwouldapplytoinvestmentsaccountedforundertheequitymethod.UnderGAAP,ifthereisadifferencebetweentheinitialcostbasisoftheinvestmentandtheamountofunderlyingequityinthenetassetsoftheinvestee,theresultingdifferenceshouldbeaccountedforasiftheinvesteewereaconsolidatedsubsidiary(whichmayincludeimputedgoodwill).Therearenotransitionprovisionsforthislineitem.
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Lineitem25Intangibleassets(otherthangoodwillandmortgageservicingassets(MSAs)),netofassociatedDTLsReporttheamountofintangibleassetsasdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem7.Reportallintangibleassets(otherthangoodwillandMSAs)netofassociatedDTLs,includedinFRY‐9C,ScheduleHC‐M,lineitems12.band12.c,thatdonotqualifyforinclusionincommonequitytier1capitalundertheregulatorycapitalrules.Generally,allpurchasedcreditcardrelationships(PCCRs)andnon‐mortgageservicingrights,reportedinFRY‐9C,ScheduleHC‐M,lineitem12.b,andallotheridentifiableintangibles,reportedinFRY‐9C,ScheduleHC‐M,lineitem12.c,donotqualifyforinclusionincommonequitytier1capitalandshouldbeincludedinthislineitem.Further,iftheholdingcompanyhasaDTLthatisspecificallyrelatedtoanintangibleasset(otherthanservicingassetsandPCCRs)acquiredinanontaxablepurchasebusinesscombinationthatitchoosestonetagainsttheintangibleassetforregulatorycapitalpurposes,theamountofdisallowedintangiblestobereportedinthislineitemshouldbereducedbytheamountoftheassociatedDTL.However,aDTLthattheholdingcompanychoosestonetagainsttherelatedintangiblereportedinthislineitemmaynotalsobenettedagainstDTAswhentheholdingcompanydeterminestheamountofDTAsthataredependentuponfuturetaxableincomeandcalculatesthemaximumallowableamountofsuchDTAsforregulatorycapitalpurposes.IftheamountreportedforotheridentifiableintangibleassetsinFRY‐9C,ScheduleHC‐M,lineitem12.c,includesintangibleassetsthatwererecordedonthereportingholdingcompany'sbalancesheetonorbeforeFebruary19,1992,theremainingbookvalueasofthereportdateoftheseintangibleassetsmaybeexcludedfromthislineitem.Lineitem26DeferredTaxAssets(DTAs)thatarisefromnetoperatinglossandtaxcreditcarryforwards,netofanyrelatedvaluationallowancesandnetofDTLsReporttheamountofDTAsasdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem8,thatarisefromnetoperatinglossandtaxcreditcarryforwards,netofanyrelatedvaluationallowancesandnetofDTLs.AOCI‐relatedadjustmentsIfItem18is“1”for“Yes”,completeitems27through31onlyforAOCIrelatedadjustments.Lineitem27:AOCIrelatedadjustments:Netunrealizedgains(losses)onavailable‐for‐salesecuritiesReporttheamountofnetunrealizedholdinggains(losses)onavailable‐for‐salesecurities,netofapplicabletaxes,asdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem9a,“Accumulatedothercomprehensiveincome.”Iftheamountisanetgain,reportitasapositivevalueinthislineitem.Iftheamountisanetloss,reportitasanegativevalueinthislineitem.Lineitem28:AOCIrelatedadjustments:Netunrealizedlossonavailable‐for‐salepreferredstockclassifiedasanequitysecurityunderGAAPandavailable‐for‐saleequityexposuresReportasapositivevaluenetunrealizedlossonavailable‐for‐salepreferredstockclassifiedasanequitysecurityunderGAAPandavailable‐for‐saleequityexposuresasdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem9b,“Accumulatedothercomprehensiveincome.”
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Lineitem29:AOCIrelatedadjustments:Accumulatednetgains(losses)oncashflowhedgesReporttheamountofaccumulatednetgains(losses)oncashflowhedgesasdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem9c,“Accumulatedothercomprehensiveincome.”Iftheamountisanetgain,reportitasapositivevalueinthislineitem.Iftheamountisanetloss,reportitasanegativevalueinthislineitem.Lineitem30:AOCIrelatedadjustments:AmountsrecordedinAOCIattributedtodefinedbenefitpostretirementplansresultingfromtheinitialandsubsequentapplicationoftherelevantGAAPstandardsthatpertaintosuchplansReporttheamountsrecordedinAOCIasdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem9d,“Accumulatedothercomprehensiveincome,”resultingfromtheinitialandsubsequentapplicationofASCSubtopic715‐20(formerlyFASBStatementNo.158,“Employers’AccountingforDefinedBenefitPensionandOtherPostretirementPlans”)todefinedbenefitpostretirementplansresultingfromtheinitialandsubsequentapplicationoftherelevantGAAPstandardsthatpertaintosuchplans.Aholdingcompanymayexcludethisportionrelatedtopensionassetsdeductedinthelineitemabove.Iftheamountisanetgain,reportitasapositivevalueinthislineitem.Iftheamountisanetloss,reportitasanegativevalueinthislineitem.Lineitem31:AOCIrelatedadjustments:Netunrealizedgains(losses)onheld‐to‐maturitysecuritiesthatareincludedinAOCIReporttheamountofnetunrealizedgains(losses)thatarenotcredit‐relatedonheld‐to‐maturitysecuritiesandareincludedinAOCIasdefinedinFRY‐9C,ScheduleHC‐R,partI,item9e,“Accumulatedothercomprehensiveincome.”Iftheamountisanetgain,reportitasapositivevalue.Iftheamountisanetloss,reportitasanegativevalue.Include(i)theunamortizedbalanceoftheunrealizedholdinggain(loss)thatexistedatthedateoftransferofadebtsecuritytransferredintotheheld‐to‐maturitycategoryfromtheavailable‐for‐salecategoryand(ii)theunaccretedportionofother‐than‐temporaryimpairmentlossesonavailable‐for‐saleandheld‐to‐maturitydebtsecuritiesthatwasnotrecognizedinearningsinaccordancewithASCTopic320,Investments‐DebtandEquitySecurities(formerlyFASBStatementNo.115,“AccountingforCertainInvestmentsinDebtandEquitySecurities”).IfItem18is“0”for“No”,completeitem32onlyforAOCIrelatedadjustments.Lineitem32Accumulatednetgain(loss)oncashflowhedgesincludedinAOCI,netofapplicabletaxeffects,thatrelatetothehedgingofitemsthatarenotrecognizedatfairvalueonthebalancesheetReporttheamountofaccumulatednetgain(loss)oncashflowhedgesincludedinAOCI,netofapplicabletaxeffectsthatrelatetothehedgingofitemsnotrecognizedatfairvalueonthebalancesheet,asdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem9f.Iftheamountisanetgain,reportitasapositivevalue.Iftheamountisanetloss,reportitasanegativevalue.Lineitem33Otherdeductionsfrom(additionsto)commonequitytier1capitalbeforethreshold‐baseddeductions:Unrealizednetgain(loss)relatedtochangesinthefairvalueofliabilitiesthatareduetochangesinowncreditriskReporttheamountofunrealizednetgain(loss)asdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem10a,priortothe10%and15%thresholddeductions,relatedtochangesinthefairvalueof
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liabilitiesthatareduetochangesintheholdingcompany’sowncreditrisk.Iftheamountisanetgain,reportitasapositivevalueinthislineitem.Iftheamountisanetloss,reportitasanegativevalueinthislineitem.Advancedapproachesholdingcompaniesonly:includethecreditspreadpremiumovertheriskfreerateforderivativesthatareliabilities.Lineitem34Otherdeductionsfrom(additionsto)commonequitytier1capitalbeforethreshold‐baseddeductions:Allotherdeductionsfrom(additionsto)commonequitytier1capitalbeforethreshold‐baseddeductionsReporttheamountofotherdeductionsfrom(additionsto)commonequitytier1capitalasdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem10b,thatarenotincludedinlineitemsabove,asdescribedbelow.
(1)After‐taxgain‐on‐saleinconnectionwithasecuritizationexposure.ReportthesameamountasdefinedinthesubcomponentofFRY‐9C,ScheduleHC‐R,partI,lineitem10b.Includeanyafter‐taxgain‐on‐saleinconnectionwithasecuritizationexposure.Gain‐on‐salemeansanincreaseintheequitycapitalofaholdingcompanyresultingfromasecuritization(otherthananincreaseinequitycapitalresultingfromtheholdingcompany’sreceiptofcashinconnectionwiththesecuritizationorreportingofamortgageservicingassetonFRY‐9C,ScheduleHC).(2)Definedbenefitpensionfundassets,netofassociatedDTLs.ReportthesameamountasdefinedinthesubcomponentofFRY‐9C,ScheduleHC‐R,partI,lineitem10b.Aholdingcompanymustdeductdefinedbenefitpensionfundassets,netofassociatedDTLs,heldbyaholdingcompany.WiththepriorapprovaloftheFederalReserve,thisdeductionisnotrequiredforanydefinedbenefitpensionfundnetassettotheextenttheholdingcompanyhasunrestrictedandunfetteredaccesstotheassetsinthatfund.Foraninsureddepositoryinstitution,nodeductionisrequired.Aholdingcompanymustriskweightanyportionofthedefinedbenefitpensionfundassetthatisnotdeductedasiftheholdingcompanydirectlyholdsaproportionalownershipshareofeachexposureinthedefinedbenefitpensionfund.(3)Investmentsintheholdingcompany’sownsharestotheextentnotexcludedaspartoftreasurystock.ReportthesameamountasdefinedinthesubcomponentofFRY‐9C,ScheduleHC‐R,partI,lineitem10b.Includetheholdingcompany’sinvestmentsin(includinganycontractualobligationtopurchase)itsowncommonstockinstruments,includingdirect,indirect,andsyntheticexposurestosuchinstruments(asdefinedintherevisedregulatorycapitalrules),totheextentsuchinstrumentsarenotexcludedaspartoftreasurystock.Ifaholdingcompanyalreadydeductsitsinvestmentinitsownshares(forexample,treasurystock)fromitscommonequitytier1capitalelements,itdoesnotneedtomakesuchdeductiontwice.Aholdingcompanymaydeductgrosslongpositionsnetofshortpositionsinthesameunderlyinginstrumentonlyiftheshortpositionsinvolvenocounterpartycreditrisk.Theholdingcompanymustlookthroughanyholdingsofindexsecuritiestodeductinvestmentsinitsowncapitalinstruments.
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Inaddition:(i)Grosslongpositionsininvestmentsinaholdingcompany’sownregulatorycapital
instrumentsresultingfromholdingsofindexsecuritiesmaybenettedagainstshortpositionsinthesameunderlyingindex;
(ii)Shortpositionsinindexsecuritiesthatarehedginglongcashorsyntheticpositionsmaybedecomposedtorecognizethehedge;and
(iii)Theportionoftheindexthatiscomposedofthesameunderlyingexposurethatisbeinghedgedmaybeusedtooffsetthelongpositionifboththeexposurebeinghedgedandtheshortpositionintheindexarecoveredpositionsunderthemarketriskcapitalrule,andthehedgeisdeemedeffectivebytheholdingcompany’sinternalcontrolprocesseswhichwouldhavebeenassessedbytheFederalReserve.
(4)Reciprocalcross‐holdingsinthecapitaloffinancialinstitutionsintheformofcommonstock.ReportthesameamountasdefinedinthesubcomponentofFRY‐9C,ScheduleHC‐R,partI,lineitem10b.Includeinvestmentsinthecapitalofotherfinancialinstitutions(intheformofcommonstock)thattheholdingcompanyholdsreciprocally(thisisthecorrespondingdeductionapproach).Suchreciprocalcrossholdingsmayresultfromaformalorinformalarrangementtoswap,exchange,orotherwiseintendtoholdeachother’scapitalinstruments.(5)Advancedapproachesholdingcompaniesonlythatexitparallelrun.9ReportthesameamountasdefinedinthesubcomponentofFRY‐9C,ScheduleHC‐R,partI,lineitem10b.Includetheamountofexpectedcreditlossthatexceedstheeligiblecreditreserves.
Lineitem35Non‐significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstockthatexceedthe10percentthresholdfornon‐significantinvestmentsThislineitemshouldbederivedaslineitem66,reflectiveofanyapplicabletransitionprovisions,andshouldcorrespondtothedefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem11.Aholdingcompanyhasanon‐significantinvestmentinthecapitalofanunconsolidatedfinancialinstitutionwhenitowns10percentorlessoftheissuedandoutstandingcommonsharesofthatinstitution.Lineitem36Subtotal(item23minusitems24through35)Thisitemisashadedcellandisderivedfromlineitem23minuslineitems24through35.ThisshouldcorrespondtothedefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem12.Lineitem37Significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsin 9 Anadvancedapproachesholdingcompanythatexittheparallelrunisanadvancedapproachesholdingcompanythathascompletedtheparallelrunprocessand receivednotificationfromtheFederalReservepursuanttosection121(d)ofsubpartEoftherevisedregulatorycapitalrules.
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theformofcommonstock,netofassociatedDTLs,thatexceed10percentcommonequitytier1capitaldeductionthresholdThislineitemshouldbederivedfromlineitem71,reflectiveofanyapplicabletransitionprovisions,andshouldcorrespondtothedefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem13.Aholdingcompanyhasasignificantinvestmentinthecapitalofanunconsolidatedfinancialinstitutionwhenitownsmorethan10percentoftheissuedandoutstandingcommonsharesofthatinstitution.Reporttheamountofsignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstockthatexceedthe10percentcommonequitytier1capitaldeductionthreshold,calculatedasfollows:
(1)Determinetheamountofsignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstock.
(2)Iftheamountin(1)isgreaterthan10percentoftheamountofthesubtotalinlineitem36,reportthedifferenceasthislineitem.
(3)Iftheamountin(2)islessthan10percentoftheamountofthesubtotalinlineitem36,reportzero.
Iftheholdingcompanyincludedembeddedgoodwillinlineitem24,toavoiddoublecounting,thexholdingcompanymaynetsuchembeddedgoodwillalreadydeductedagainsttheexposureamountofthesignificantinvestment.Forexample,ifaholdingcompanyhasdeducted$10ofgoodwillembeddedina$100significantinvestmentinthecapitalofanunconsolidatedfinancialinstitutionintheformofcommonstock,theholdingcompanyisallowedtonetsuchembeddedgoodwillagainsttheexposureamountofsuchsignificantinvestment(thatis,thevalueoftheinvestmentis$90forpurposesofthecalculationoftheamountthatissubjecttodeduction).Lineitem38MSAs,netofassociatedDTLs,thatexceedthe10percentcommonequitytier1capitaldeductionthresholdThislineitemshouldbederivedfromlinelineitem76,reflectiveofanyapplicabletransitionprovisions,andshouldcorrespondtothedefinitioninFRY‐9C,ScheduleHC‐R,partI.,lineitem14.ReporttheamountofMSAsincludedinFRY‐9C,ScheduleHC‐M,lineitem12(a),netofassociatedDTLs,thatexceedthe10percentcommonequitytier1capitaldeductionthresholdasfollows:
(1)TaketheamountofMSAsasreportedinFRY‐9C,ScheduleHC‐M,lineitem12(a),netofassociatedDTLs.
(2)Iftheamountin(1)ishigherthan10percentoftheamountofthesubtotalinlineitem60,reportthedifferenceasthislineitem.
(3)Iftheamountin(1)islowerthan10percentoftheamountofthesubtotalinlineitem60,enterzero.
Lineitem39DTAsarisingfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacks,netofrelatedvaluationallowancesandnetofDTLs,thatexceedthe10percentcommonequitytier1capitaldeductionthresholdThislineitemshouldbederivedfromlineitem79,reflectiveofanyapplicabletransitionprovisions,andshouldcorrespondtothedefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem15.
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(1)ReporttheamountofDTAsarisingfromtemporarydifferencesthattheholdingcompanycouldnotrealizethroughnetoperatinglosscarrybacksnetofanyrelatedvaluationallowancesandnetofassociatedDTLs(forexample,DTAsresultingfromtheholdingcompany’sALLL).
(2)Iftheamountin(1)ishigherthan10percentoftheamountofthesubtotalinlineitem36,
reportthedifferenceasthislineitem.(3)Iftheamountin(1)islowerthan10percentoftheamountofthesubtotalinlineitem36,
enterzero.DTAsarisingfromtemporarydifferencesthatcouldberealizedthroughnetoperatinglosscarrybacksarenotsubjecttodeduction,andinsteadmustbeassigneda100percentriskweight.Lineitem40Amountofsignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstock;MSAs,netofassociatedDTLs;andDTAsarisingfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacks,netofrelatedvaluationallowancesandnetofDTLs;thatexceedsthe15percentcommonequitytier1capitaldeductionthresholdThislineitemshouldbederivedfromlineitem84,reflectiveofanyapplicabletransitionprovisions,andshouldcorrespondtothedefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem16.Theaggregateamountofthethresholditems(thatis,significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstock;MSAs,netofassociatedDTLs;andDTAsarisingfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacks,netofrelatedvaluationallowancesandnetofDTLs)maynotexceed15percentoftheholdingcompany’scommonequitytier1capital,netofapplicableadjustmentsanddeductions(the15percentcommonequitytier1capitaldeductionthreshold).Lineitem41Deductionsappliedtocommonequitytier1capitalduetoinsufficientamountofadditionaltier1capitalandtier2capitaltocoverdeductionsReportthetotalamountofdeductionsasdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem17,relatedtoinvestmentsinownadditionaltier1andtier2capitalinstruments,reciprocalcrossholdings,non‐significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutions,andnon‐commonstocksignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsiftheholdingcompanydoesnothaveasufficientamountofadditionaltier1capitalandtier2capitaltocoverthesecorrespondingadditionaltier1andtier2deductionsinlineitems47and57.Lineitem42Totaladjustmentsanddeductionsforcommonequitytier1capitalThislineitemisashadedcellthatisderivedfromthesumoflineitems37through41.ThisitemshouldcorrespondtothedefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem18.Lineitem43Commonequitytier1capitalThislineitemisashadedcellthatisderivedfromlineitem36minuslineitem42.Thislineitemisthenumeratoroftheholdingcompany’scommonequitytier1risk‐basedcapitalratio,whichshouldalignwiththedefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem19.Additionaltier1capital
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Lineitem44Additionaltier1capitalinstrumentsplusrelatedsurplusReportthislineitemasdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem20.ReporttheportionofnoncumulativeperpetualpreferredstockandrelatedsurplusincludedinFRY‐9C,ScheduleHC,lineitem23,thatsatisfyallthecriteriaforadditionaltier1capitalintherevisedregulatorycapitalrulesoftheFederalReserve.Includeinstrumentsthatwere(i)issuedundertheSmallBusinessJob’sActof2010,or,priortoOctober4,2010,undertheEmergencyEconomicStabilizationActof2008and(ii)wereincludedinthetier1capitalundertheFederalReserve’sgeneralrisk‐basedcapitalrules(12CFRpart225,appendixA,and,ifapplicable,appendixE)(forexample,tier1instrumentsissuedundertheTARPprogramthataregrandfatheredpermanently).Alsoincludeadditionaltier1capitalinstrumentsissuedaspartofanESOP,providedthattherepurchaseofsuchinstrumentsisrequiredsolelybyvirtueofERISAforabankingorganizationthatisnotpublicly‐traded.Lineitem45Non‐qualifyingcapitalinstrumentssubjecttophaseoutfromadditionaltier1capitalReportthislineitemasdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem21,subjecttotheapplicablephase‐outscheduleasdescribedwithintheY‐9C.Reportthetotalamountofnon‐qualifyingcapitalinstrumentsthatwereincludedintier1capitalandoutstandingasofJanuary1,2014accordingtothefollowingcriteria:Depositoryinstitutionholdingcompanieswithtotalconsolidatedassetsof$15billionormoreasofDecember31,2009thatarenot2010MHCsmustphaseoutnon‐qualifyingcapitalinstruments(thatis,debtorequityinstrumentsthatdonotmeetthecriteriaforadditionaltier1ortier2capitalinstrumentsinsection217.20oftherevisedregulatorycapitalrules,butthatwereissuedandincludedintier1ortier2capital,respectively,priortoMay19,2010).Ifnon‐advancedapproachesholdingcompanieshavenon‐qualifyingcapitalinstrumentsthatareexcludedfromtier1capital,suchnon‐qualifyingcapitalinstrumentscanbeincludedintier2capital,withoutlimitation,providedtheinstrumentsmeetthecriteriafortier2capitalsetforthinsection217.20(d)oftherevisedregulatorycapitalrules.Forthecaseofadvancedapproachesholdingcompanies,non‐qualifyingcapitalinstrumentsthatarephasedoutoftier1capitalarefullyincludableintier2capital.FromJanuary1,2016,untilDecember31,2021,theseholdingcompaniesarerequiredtophaseoutsuchnon‐qualifyingcapitalinstrumentsfromtier2capital.Lineitem46Tier1minorityinterestnotincludedincommonequitytier1capitalReportthislineitemasdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem22–includetheamountoftier1minorityinterestthatisapplicableattheconsolidatedlevel,asdescribedbelow.Foreachconsolidatedsubsidiary,performthecalculationsinsteps(1)through(10)aslaidoutintheHC‐R,partIinstructions.Sumuptheresultsfromstep10foreachconsolidatedsubsidiaryandreporttheaggregatenumberinthislineitem.
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Fortier1minorityinterest,thereisnorequirementthatthesubsidiarybeadepositoryinstitutionoraforeignbank.However,theinstrumentthatgivesrisetotier1minorityinterestmustmeetallthecriteriaforeithercommonequitytier1capitaloradditionaltier1capitalinstrument.Lineitem47Additionaltier1capitalbeforedeductionsThisisashadedcellthatisderivedasthetotaloflineitems44through46.ThisitemshouldalignwiththedefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem23.Lineitem48Additionaltier1capitaldeductionsReportthislineitemasconsistentwithFRY‐9C,ScheduleHC‐R,partI,lineitem24,includingallapplicabletransitionprovisions.Reportadditionaltier1capitaldeductionsasthesumofthefollowingelements:
a.Investmentsinownadditionaltier1capitalinstrumentsReporttheholdingcompany’sinvestmentsin(includinganycontractualobligationtopurchase)itsownadditionaltier1instruments,whetherhelddirectlyorindirectly.Aholdingcompanymaydeductgrosslongpositionsnetofshortpositionsinthesameunderlyinginstrumentonlyiftheshortpositionsinvolvenocounterpartyrisk.Theholdingcompanymustlookthroughanyholdingsofindexsecuritiestodeductinvestmentsinitsowncapitalinstruments.Inaddition:(i) Grosslongpositionsininvestmentsinaholdingcompany’sownregulatorycapital
instrumentsresultingfromholdingsofindexsecuritiesmaybenettedagainstshortpositionsinthesameindex;
(ii)Shortpositionsinindexsecuritiesthatarehedginglongcashorsyntheticpositionscanbedecomposedtorecognizethehedge;and
(iii)Theportionoftheindexthatiscomposedofthesameunderlyingexposurethatisbeinghedgedmaybeusedtooffsetthelongpositionifboththeexposurebeinghedgedandtheshortpositionintheindexarecoveredpositionsunderthemarketriskcapitalrule,andthehedgeisdeemedeffectivebytheholdingcompany’sinternalcontrolprocesses.
b.Reciprocalcross‐holdingsinthecapitaloffinancialinstitutionsIncludeinvestmentsintheadditionaltier1capitalinstrumentsofotherfinancialinstitutionsthattheholdingcompanyholdsreciprocally,wheresuchreciprocalcrossholdingsresultfromaformalorinformalarrangementtoswap,exchange,orotherwiseintendtoholdeachother’scapitalinstruments.Iftheholdingcompanydoesnothaveasufficientamountofaspecificcomponentofcapitaltoeffecttherequireddeduction,theshortfallmustbedeductedfromthenexthigher(thatis,moresubordinated)componentofregulatorycapital.Forexample,ifaholdingcompanyisrequiredtodeductacertainamountfromadditionaltier1 capital and it does not have additional tier 1 capital, then the deduction should be fromcommonequitytier1capital.
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c.Non‐significantinvestmentsinadditionaltier1capitalofunconsolidatedfinancialinstitutionsthatexceedthe10percentthresholdfornon‐significantinvestmentsAninstitutionhasanon‐significantinvestmentinthecapitalofanunconsolidatedfinancialinstitutionifitowns10percentorlessoftheissuedandoutstandingcommonsharesofthatinstitution.Calculatethisamountasfollows:(1)Determinetheaggregateamountofnon‐significantinvestmentsinthecapitalof
unconsolidatedfinancialinstitutionsintheformofcommonstock,additionaltier1,andtier2capital.
(2)Determinetheamountofnon‐significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofadditionaltier1capital.
(3)Iftheamountin(1)isgreaterthanthe10percentthresholdfornon‐significantinvestments,thenmultiplythedifferencebytheratioof(2)over(1).Reportthisproductinthislineitem.
(4)Iftheamountin(1)islessthanthe10percentthresholdfornon‐significantinvestments,reportzero.
d.Significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsnotintheformofcommonstocktobedeductedfromadditionaltier1capitalReportthetotalamountofsignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofadditionaltier1capital.e.OtheradjustmentsanddeductionsIncludeadjustmentsanddeductionsappliedtoadditionaltier1capitalduetoinsufficienttier2capitaltocoverdeductions(relatedtoreciprocalcrossholdings,non‐significantinvestmentsinthetier2capitalofunconsolidatedfinancialinstitutions,andsignificantinvestmentsinthetier2capitalofunconsolidatedfinancialinstitutions).AlsoincludeadjustmentsanddeductionsrelatedtothecalculationofDTAs,gain‐on‐sale,definedbenefitpensionfundassets,changesinfairvalueofliabilitiesduetochangesinowncreditrisk,andexpectedcreditlossesduringthetransitionperiodasapplicable.
Lineitem49Additionaltier1capitalReportthislineitemasdefinedinFRY‐9C,ScheduleHC‐R,partI,PartI,lineitem25.Tier1capitalLineitem50Tier1capital(sumofitems43and49)Item74isashadedcellandisderivedfromthesumoflineitems43and49andshouldbeconsistentwiththedefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem26.Tier2capital
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Lineitem51Tier2capitalinstrumentsplusrelatedsurplusReporttheamountasdefinedinFRY‐9C,ScheduleHC‐R,partI, lineitem27.Reporttier2capitalinstrumentsthatsatisfyalleligibilitycriteriaundertherevisedregulatorycapitalrulesandrelatedsurplus.Includeinstrumentsthatwere(i)issuedundertheSmallBusinessJob’sActof2010,or,priortoOctober4,2010,undertheEmergencyEconomicStabilizationActof2008and(ii)wereincludedinthetier2capitalundertheFederalReserve’sgeneralrisk‐basedcapitalrules.Lineitem52Non‐qualifyingcapitalinstrumentssubjecttophaseoutfromtier2capitalReportthetotalamountofnon‐qualifyingcapitalinstrumentsthatwereincludedintier2capitalandoutstandingasofJanuary1,2014,andwillbesubjecttophaseout,asdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem28.Lineitem53TotalCapitalminorityinterestthatisnowincludedintier1capitalReporttheamountoftotalcapitalminorityinterestthatisincludableattheconsolidatedlevel,asdescribedbelow,asdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem29.Foreachconsolidatedsubsidiary,performthecalculationsinsteps(1)through(10)outlinedwithintheY‐9C,partI,lineitem29instructions.Sumuptheresultsforeachconsolidatedsubsidiaryandreporttheaggregatenumberinthislineitem.Lineitem54Allowanceforloanandleaselossesincludableintier2capitalReporttheportionoftheholdingcompany’sallowanceforloanandleaselossesthatareincludableintier2capital,asdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem30a.Noneoftheholdingcompany’sallocatedtransferriskreserve,ifany,isincludableintier2capital.Lineitem55(Advancedapproachesholdingcompaniesthatexitparallelrunonly):eligiblecreditreservesincludableintier2capitalBHCsdonothavetoreportthislineitem.Lineitem56Unrealizedgainsonavailable‐for‐salepreferredstockclassifiedasanequitysecurityunderGAAPandavailable‐for‐saleequityexposuresincludableintier2capitalBHCsshouldreportethislineitemconsistentwiththedefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem31.
(i)Holdingcompaniesthatentered“1”for“Yes”initem18:
Reportthepretaxnetunrealizedholdinggain(i.e.,theexcessoffairvalueasreportedinFRY‐9C,ScheduleHC‐B,lineitem7,columnD,overhistoricalcostasreportedinFRY‐9C,ScheduleHC‐B,lineitem7,columnC),ifany,onavailable‐for‐salepreferredstockclassifiedasanequitysecurityunderGAAPandavailable‐for‐saleequityexposuresincludableintier2capital,subjecttothelimitsspecifiedintherevisedregulatorycapitalrules.Theamountreportedinthislineitemcannotexceed45percentoftheholdingcompany’spretaxnetunrealizedgainonavailable‐for‐salepreferredstockclassifiedasanequitysecurityunderGAAPandavailable‐for‐saleequityexposures.
(ii)Holdingcompaniesthatentered“0”for“No”initem18:
Donotapplyanytransitionprovisionmultiplierforthislineitem.
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Lineitem57Tier2capitalbeforedeductionsThislineitemisashadedcellthatisderivedfromthesumoflineitems51,52,53,54,and56..ThislineitemshouldbeconsistentwiththedefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem32.a.Lineitem58(Advancedapproachesholdingcompaniesthatexitparallelrunonly):Tier2capitalbeforedeductions,reflectiveoftransitionproceduresBHCsdonothavetoreportthislineitem.Lineitem59Tier2capitaldeductionsReporttotaltier2capitaldeductionsasdefinedintheFRY‐9C,ScheduleHC‐R,partI,lineitem33,asthesumofthefollowingelements:Ifaholdingcompanydoesnothaveasufficientamountoftier2capitaltoreflectthesedeductions,thentheholdingcompanymustdeducttheshortfallfromadditionaltier1capitalor,ifthereisnotenoughadditionaltier1capital,fromcommonequitytier1capital.
a.Investmentsinownadditionaltier2capitalinstruments.Reporttheholdingcompany’sinvestmentsin(includinganycontractualobligationtopurchase)itsowntier2instruments,whetherhelddirectlyorindirectly.Aholdingcompanymaydeductgrosslongpositionsnetofshortpositionsinthesameunderlyinginstrumentonlyiftheshortpositionsinvolvenocounterpartyrisk.Theholdingcompanymustlookthroughanyholdingsofindexsecuritiestodeductinvestmentsinitsowncapitalinstruments.Inaddition:(i) Grosslongpositionsininvestmentsinaholdingcompany’sownregulatorycapital
instrumentsresultingfromholdingsofindexsecuritiesmaybenettedagainstshortpositionsinthesameindex;
(ii)Shortpositionsinindexsecuritiesthatarehedginglongcashorsyntheticpositionscanbedecomposedtorecognizethehedge;and
(iii)Theportionoftheindexthatiscomposedofthesameunderlyingexposurethatisbeinghedgedmaybeusedtooffsetthelongpositionifboththeexposurebeinghedgedandtheshortpositionintheindexarecoveredpositionsunderthemarketriskcapitalrule,andthehedgeisdeemedeffectivebytheholdingcompany’sinternalcontrolprocesses.
b.Reciprocalcross‐holdingsinthecapitaloffinancialinstitutions.Includeinvestmentsinthetier2capitalinstrumentsofotherfinancialinstitutionsthattheholdingcompanyholdsreciprocally,wheresuchreciprocalcrossholdingsresultfromaformalorinformalarrangementtoswap,exchange,orotherwiseintendtoholdeachother’scapitalinstruments.c.Non‐significantinvestmentsintier2capitalofunconsolidatedfinancialinstitutionsthatexceedthe10percentthresholdfornon‐significantinvestments.Calculatethisamountasfollows:(1)Determinetheaggregateamountofnon‐significantinvestmentsinthecapitalof
unconsolidatedfinancialinstitutionsintheformofcommonstock,additionaltier1,andtier
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2capital.(2)Determinetheamountofnon‐significantinvestmentsinthecapitalof
unconsolidatedfinancialinstitutionsintheformoftier2capital.(3)If(1)isgreaterthanthe10percentthresholdfornon‐significantinvestments,then,
multiplythedifferencebytheratioof(2)over(1).Reportthisproductinthislineitem.(4)If(1)islessthanthe10percentthresholdfornon‐significantinvestments,enterzero.d.Significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsnotintheformofcommonstocktobedeductedfromtier2capital.Reportthetotalamountofsignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformoftier2capital.e.Otheradjustmentsanddeductions.Includeanyotherapplicableadjustmentsanddeductionsappliedtotier2capitalinaccordancewiththerevisedregulatorycapitalrules.
Lineitem60Tier2capitalThislineitemisashadedcellthatisderivedfromlineitem57minuslineitem59.ThislineitemshouldbeconsistentwiththedefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem34.a.Lineitem61(Advancedapproachesholdingcompaniesthatexitparallelrun):Tier2capital,reflectiveoftransitionprovisionsBHCsarenotrequiredtocompletethislineitem.TotalCapitalLineitem62TotalcapitalThislineitemisashadedcellthatisderivedfromthesumoflineitems50and60.ThislineitemshouldbeconsistentwiththedefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem35.a.Lineitem63(Advancedapproachesholdingcompaniesthatexitparallelrunonly):Totalcapital,reflectiveoftransitionprovisions(sumofitems50and61)BHCsarenotrequiredtocompletethislineitem.ThresholdDeductionsCalculationsNon‐significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstock,netofassociatedDTLsLineitem64Non‐significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstockAggregateholdingsofcapitalinstrumentsrelevanttonon‐significantinvestmentsinthecapitalofunconsolidatedfinancialentities.Aholdingcompanyhasanon‐significantinvestmentinthecapitalofanunconsolidatedfinancialinstitution(asdefinedinsection217.2oftherevisedregulatorycapitalrules)ifitowns10percentorlessoftheissuedandoutstandingcommonsharesofthatinstitution.TheholdingcompanymayapplyassociatedDTLstothisdeduction.This
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shouldcorrespondtothedefinitionofnon‐significantinvestmentsinFRY‐9C,ScheduleHC‐R,partI,lineitem11.Lineitem6510percentcommonequitytier1deductionthresholdfornon‐significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstockThislineitemisashadedcellandisderivedastenpercentof(lineitem23lesslineitems24through34).Lineitem66Amountofnon‐significantinvestmentstobedeductedfromcommonequitytier1dueto10percentdeductionthreshold Thislineitemisashadedcellandisderivedaslineitem64lesslineitem65.Iflineitem65isgreaterthanlineitem64thisissettozero.ThislineitemshouldbeconsistentwiththedefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem11.Significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstock,netofassociatedDTLs
Lineitem67Grosssignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstock Aggregateholdingsofcapitalinstrumentsrelevanttosignificantinvestmentsinthecapitalofunconsolidatedfinancialentities,includingdirect,indirectandsyntheticholdingsinboththebankingbookandtradingbook.Lineitem68PermittedoffsettingshortpositionsinrelationtothespecificgrossholdingsincludedaboveOffsettingpositionsinthesameunderlyingexposurewherethematurityoftheshortpositioneithermatchesthematurityofthelongpositionorhasaresidualmaturityofatleastoneyear.Lineitem69SignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstocknetofshortpositionsThislineitemisashadedcellandisthegreateroflineitem67minuslineitem68orzero.ThislineitemshouldcorrespondtothedefinitionofsignificantinvestmentsinFRY‐9C,ScheduleHC‐R,partI,lineitem13.Lineitem7010percentcommonequitytier1deductionthreshold Thislineitemisashadedcellandisderivedfrom10percentoflineitem36.Lineitem71Amounttobedeductedfromcommonequitytier1dueto10percentdeductionthreshold Thislineitemisashadedcellandisthegreateroflineitem69minuslineitem70.Iflineitem70isgreaterthanlineitem69thisissettozero.ThislineitemshouldbeconsistentwiththedefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem13.
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MSAs,netofassociatedDTLsLineitem72TotalmortgageservicingassetsclassifiedasintangibleReporttheamountofMSAsincludedinScheduleHC‐M,lineitem12(a),priortoanynettingofassociatedDTLs.Lineitem73AssociateddeferredtaxliabilitieswhichwouldbeextinguishediftheintangiblebecomesimpairedorderecognizedundertherelevantaccountingstandardsTheamountofmortgageservicingassetstobedeductedfromcommonequitytier1istobeoffsetbyanyassociateddeferredtaxliabilities,withrecognitioncappedat10%ofthebank’scommonequitytier1(aftertheapplicationofallregulatoryadjustments).Ifthebankchoosestonetitsdeferredtaxliabilitiesassociatedwithmortgageservicingassetsagainstdeferredtaxassets(inlineitem26),thosedeferredtaxliabilitiesshouldnotbedeductedagainhere.Lineitem74MortgageservicingassetsnetofrelateddeferredtaxliabilitiesThislineitemisashadedcellandisderivedaslineitem72minuslineitem73.ThislineitemshouldcorrespondtothedefinitionofMSAsinFRY‐9C,ScheduleHC‐R,partI,lineitem14.Lineitem7510percentcommonequitytier1deductionthreshold Thislineitemisashadedcellandisderivedas10percentoflineitem36.Lineitem76Amounttobedeductedfromcommonequitytier1dueto10percentdeductionthreshold Thislineitemisashadedcellandisderivedfromlineitem74minuslineitem75.Iflineitem75isgreaterthanlineitem74thisissettozero.ThislineitemshouldbeconsistentwiththedefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem14.DTAsarisingfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacks,netofrelatedvaluationallowancesandnetofDTLsLineitem77DTAsarisingfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacks,netofrelatedvaluationallowancesandnetofDTLs Thisisashadedcellthatisderivedaslineitem111minuslineitem112.ThislineitemshouldcorrespondtothedefinitionofDTAsinFRY‐9C,ScheduleHC‐R,partI,lineitem15.TheamountofDTAsarisingfromtemporarydifferencesthattheholdingcompanycouldnotrealizethroughnetoperatinglosscarrybacksnetofanyrelatedvaluationallowancesandnetofassociatedDTLs.Lineitem7810percentcommonequitytier1deductionthresholdThislineitemisashadedcellandisderivedas10percentoflineitem36.Lineitem79Amounttobedeductedfromcommonequitytier1dueto10percentdeductionthresholdThislineitemisashadedcellandisderivedfromlineitems77minus78.Iflineitem78isgreaterthanlineitem77thisissettozero.ThislineitemshouldbeconsistentwiththedefinitioninFRY‐9C,
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ScheduleHC‐R,partI,lineitem15. Aggregateofitemssubjecttothe15%limit(significantinvestments,mortgageservicingassetsanddeferredtaxassetsarisingfromtemporarydifferences)Lineitem80Sumofitems69,74,and77Thislineitemisashadedcellandisderivedasthesumoflineitems69,74,and77.Lineitem8115percentcommonequitytier1deductionthreshold Thislineitemisashadedcellandisderivedas15percentoflineitem36.StartingJanuary1,2018,thislineitemisderivedas17.65percentof(lineitem36minuslineitem80).Lineitem82Sumofitems71,76,and79Thislineitemisashadedcellandisderivedasthesumoflineitems71,76,and79.Lineitem83Item80minusitem82Thislineitemisashadedcellandisderivedfromlineitems80minuslineitem82.Lineitem84Amounttobedeductedfromcommonequitytier1dueto15percentdeductionthreshold,priortotransitionprovision(greaterofitem83minusitem81orzero) Thislineitemisashadedcellandisderivedaslineitems81minuslineitem83.Iflineitem83isgreaterthanlineitem81thisissettozero.ThisshouldcorrespondtothedefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem16.
TotalAssetsfortheLeverageRatio(12CFR217)Lineitem85AveragetotalconsolidatedassetsReporttheamountofaveragetotalconsolidatedassetsasdefinedinFRY‐9C,ScheduleHC‐RHC‐R,partIlineitem36.Lineitem86Deductionsfromcommonequitytier1capitalandadditionaltier1capitalReporttheamountofdeductionsfromcommonequitytier1capitalandadditionaltier1capitalasdefinedinFRY‐9C,ScheduleHC‐R,partIlineitem37.Lineitem87Otherdeductionsfrom(additionsto)assetsforleverageratiopurposesReporttheamountofotherdeductionsfromassetsasdefinedinFRY‐9C,ScheduleHC‐R,partIlineitem38.Basedontherevisedregulatorycapitalrules,reporttheamountofanydeductionsfrom(additionsto)totalassetsforleveragecapitalpurposesthatarenotincludedinItem107Iftheamountisanetdeduction,reportitasapositivevalueinthislineitem.Iftheamountisanetaddition,reportitasanegativevalueinthislineitem.Lineitem88Totalassetsfortheleverageratio(lineitem85minuslineitems86and87)Thislineitemisashadedcellandisderivedaslineitem85minuslineitems86and87.ThisshouldcorrespondtothedefinitioninFRY‐9C,ScheduleHC‐R,partIlineitem39.
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REGULATORYCAPITALANDRATIOSLineitem89CommonEquityTier1Thislineitemisashadedcellandisderivedfromlineitem43.Lineitem90Tier1CapitalThislineitemisashadedcellandisderivedfromlineitem50.Lineitem91TotalCapitalThislineitemisashadedcellandisderivedfromlineitem62.Lineitem92TotalCapital(advancedapproachesinstitutionsthatexitparallelrunonly)Respondentsarenotrequiredtocompletethislineitem.Lineitem93Totalrisk‐weightedassetsusingstandardizedapproachThisshouldcorrespondtothedefinitionoftotalrisk‐weightedassetsinFRY‐9C,ScheduleHC‐R,partI,lineitem40.a.ForCapital–CCAR,pleasereportthetotalamountofStandardizedRWA,asreportedonlineitem44ofFRY‐14A.1.c.2,ScheduleA–SummaryStandardizedRWAsub‐schedule.ForCapital–DFAST,reporttotalrisk‐weightedassetsascalculatedconsistentwiththeDFASTcapitalactionassumptions.Lineitem94(Advancedapproachesholdingcompaniesthatexitparallelrunonly):totalrisk‐weightedassetsusingadvancedapproachesrulesBHCsarenotrequiredtofilloutthislineitem.Lineitem95TotalAssetsfortheLeverageRatioperrevisedregulatorycapitalruleThisisderivedfromlineitem88andshouldcorrespondtodefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem39.Lineitem96CommonEquityTier1Ratio(%)Thislineitemisderivedfromlineitem89dividedbylineitem93.ThislineitemshouldcorrespondtodefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem41.A.Lineitem97CommonEquityTier1Ratio(%)(advancedapproachesinstitutionsthatexitparallelrunonly)BHCsarenotrequiredtofilloutthislineitem.Lineitem98Tier1CapitalRatio(%)Thislineitemisderivedfromlineitem90dividedbylineitem93.ThislineitemshouldcorrespondtodefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem42.A.Lineitem99Tier1CapitalRatio(%)(advancedapproachesinstitutionsthatexitparallelrunonly)BHCsarenotrequiredtofilloutthislineitem.Lineitem100Totalrisk‐basedcapitalratio(%)Thislineitemisderivedfromlineitem91dividedbylineitem93.Thislineitemshouldcorrespond
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todefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem43.A.Lineitem101Totalrisk‐basedcapitalratio(%)(advancedapproachesinstitutionsthatexitparallelrunonly)BHCsarenotrequiredtofilloutthislineitem.Lineitem102Tier1LeverageRatio(%)Thislineitemisderivedfromlineitem90dividedbylineitem95.ThislineitemshouldcorrespondtodefinitioninFRY‐9C,ScheduleHC‐R,partI,lineitem44.ScheduleHC‐F—OtherAssetsLineitem103NetdeferredtaxassetsReportnetdeferredtaxassets,asdefinedinFRY‐9C,ScheduleHC‐F,lineitem2.ScheduleHC‐G—OtherLiabilitiesLineitem104NetdeferredtaxliabilitiesReportnetdeferredtaxliabilities,asdefinedinFRY‐9C,ScheduleHC‐G,lineitem2.ScheduleHC‐M—MemorandaLineitem105TotalnumberofbankholdingcompanycommonsharesoutstandingReportthetotalnumber(inmillions)ofbankholdingcompanycommonsharesoutstanding,asdefinedinFRY‐9C,ScheduleHC‐M,lineitem1.IssuancesassociatedwiththeU.S.DepartmentofTreasuryCapitalPurchaseProgramLineitem106SeniorperpetualpreferredstockorsimilaritemsReportissuancesofseniorperpetualpreferredstockorsimilaritemsassociatedwiththeU.S.DepartmentofTreasurycapitalpurchaseprogram,asdefinedinFRY‐9C,ScheduleHC‐M,lineitem24.a.Lineitem107WarrantstopurchasecommonstockorsimilaritemsReportissuancesofwarrantstopurchasecommonstockorsimilaritemsassociatedwiththeU.S.DepartmentofTreasurycapitalpurchaseprogram,asdefinedinFRY‐9C,ScheduleHC‐M,lineitem24.b.
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DeferredTaxAssetInformationLineitem108NetoperatinglosscarrybacksReporttheamountoftaxespreviouslypaidthatthebankholdingcompanycouldrecoverthroughlosscarrybacksifthebankholdingcompany’stemporarydifferences(bothdeductibleandtaxable)fullyreverseatthereportdate.Thecarrybackperiodisthepriortwocalendartaxyearsplusanycurrenttaxespaidintheyear‐to‐dateperiod.Reportdisaggregateddatafortaxespaidinmemorandumlineitems125,126,and127.Lineitem109Deferredtaxassetsthatarisefromnetoperatinglossandtaxcreditcarryforwards,netofDTLs,butgrossofrelatedvaluationallowancesReporttheaggregateamountofDTAsthatarisefromnetoperatinglossandtaxcreditcarryforwards,netofassociatedDTLs,butgrossofassociatedvaluationallowances.ThislineitemshouldcorrespondtothedefinitionofDTAsinFRY‐9C,ScheduleHC‐R,partI,lineitem8,beforetheapplicationofanytransitionprovisionsplusanyrelatedvaluationallowances.Lineitem110ValuationallowancesrelatedtodeferredtaxassetsthatarisefromnetoperatinglossandtaxcreditcarryforwardsReportanyvaluationallowancesrelatedtoDTAsthatarisefromnetoperatinglossandtaxcreditcarryforwards,netofassociatedDTLs.Lineitem111Deferredtaxassetsarisingfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacks,netofDTLs,butbeforerelatedvaluationallowancesReporttheaggregateamountofDTAsarisingfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacks,netofDTLs,butgrossofrelatedvaluationallowances.ThislineitemshouldcorrespondtothegrossamountofDTAsarisingfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacks,netofDTLsasdefinedinFRY‐9C,ScheduleHC‐R,partI,lineitem15,plusanyrelatedvaluatationallowances.Thatis,thisistheamountofDTAsfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacks,netofDTLs,subjecttothe10percentcommonequitytier1capitalthreshold,beforetheapplicationofanytransitionprovisionsplusanyrelatedvaluationallowances.Lineitem112ValuationallowancesrelatedtoDTAsarisingfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacksReportanyvaluationallowancesrelatedtoDTAsarisingfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacks,netofDTLs.SupplementalCapitalActionInformationLineitem113CashdividendsdeclaredoncommonstockLineitem114Commonsharesoutstanding(Millions)Lineitem115Commondividendspershare($)
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Lineitem116IssuanceofcommonstockforemployeecompensationReporttheamount(in$millions)oftheissuanceofcommonstockforemployeecompensation. Includeincreasesanddecreasesinadditionalpaidincapital(APIC)attributabletotheamortizationofemployeestockcompensationandanychangesinAPIC,treasuryorcommonstockasaresultoftheactualissuanceofcommonstockfortheemployeestockcompensation.Lineitem117OtherissuanceofcommonstockReporttheamount(in$millions)ofotherissuanceofcommonstock(otherthanforemployeecompensation).Lineitem118TotalissuanceofcommonstockLineitem119SharerepurchasestooffsetissuanceforemployeecompensationReporttheamount(in$millions)ofsharerepurchasestooffsettheissuanceofstockforemployeecompensation.Lineitem120OthersharerepurchasesReporttheamount(in$millions)ofallothersharerepurchases.Lineitem121TotalsharerepurchasesSupplementalInformationonTrustPreferredSecuritiesSubjecttoPhase‐OutfromTier1CapitalLineitem122OutstandingtrustpreferredsecuritiesReporttheoutstandingnotionalbalanceoftrustpreferredsecuritiesasdefinedinFRY‐9C,ScheduleHC,lineitem19b.Lineitem123Trustpreferredsecuritiesincludedinitem49Reporttrustpreferredsecuritiesqualifyingfortier1capitalandincludedinlineitem49above. MEMORANDA:MemorandaLineitem124ItemizedotheradjustmentstoequitycapitalReportamountsseparatelyofotheradjustmentstoequitycapitalincludedinlineitem16,andprovideatextexplanationofeachtypeofadjustment.Itemizedhistoricaldatarelatedtotaxespaid:MemorandaLineitem125TaxespaidduringfiscalyearendedtwoyearsagoReporttheamountoftaxespaidduringfiscalyearendedtwoyearsago,assumingthatfiscalyearsalignwithcalendaryears.MemorandaLineitem126TaxespaidduringfiscalyearendedoneyearagoReporttheamountoftaxespaidduringfiscalyearendedoneyearago,assumingthatfiscalyears
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alignwithcalendaryears.MemorandaLineitem127Taxespaidthroughtheas‐ofdateofthecurrentfiscalyearReporttheamountoftaxespaidduringthecurrentfiscalyearthroughtheas‐ofdate,assumingthatfiscalyearsalignwithcalendaryears.MemorandaLineitem128ReconciletheSupplementalCapitalActionandHI‐AprojectionsInthislineitem,reconcilethesupplementalcapitalactionsreportedwithHI‐Aprojectionsreportedinlineitems1through15;thatis,allocatethecapitalactionsamongtheHI‐Abuckets.SupportingDocumentationPleaserefertoAppendixA:SupportingDocumentationforguidanceonprovidingsupportingdocumentation.A.2RetailLoansontheretailschedulesshouldbereportedbasedontheloan'sclassificationontheFRY‐9C,ScheduleHC‐C(i.e.basedontheloanscollateral,counterparty,orpurpose).RefertotheFRY‐9CinstructionsforScheduleHC‐Cforguidanceonloanclassification.Allloansshouldbereportednetofcharge‐offs.Throughouttheretail‐relatedsub‐schedules,DomesticreferstoportfoliosheldindomesticUSoffices(asdefinedintheFRY‐9Cglossary),andInternationalreferstoportfoliosoutsideofthedomesticUSoffices.A.2.a—RetailBalanceandLossProjectionsTheRetailBalanceandLossProjectionssub‐schedulecollectsprojectionsofbusiness‐linelevelbalancesandlossesonBHCs’heldforinvestmentloansaccountedforatamortizedcost(accrualloans).Loansheldforsaleandloansheldforinvestmentunderthefairvalueoptionshouldnotbeincluded.RetailLoanCategoriesA. FirstLienMortgages(inDomesticOffices)TheloanpopulationincludesalldomesticfirstlienmortgageloansdirectlyheldontheBHC’sportfolio.PortfolioloansareallloansasdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.2.(a).B. FirstLienHELOANs(inDomesticOffices)TheLoanpopulationincludesalldomesticfirstlienhomeequityloansdirectlyheldontheBHC’sportfolio.PortfolioloansareallloansasdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(2)(a).C. Closed‐EndJuniorLiens(inDomesticOffices)TheloanpopulationincludesalldomesticloansdirectlyheldontheBHC’sportfolio.PortfolioloansareallloansasdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(2)(b).
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D. HELOCs(inDomesticOffices)TheloanpopulationincludesallfirstandjuniorliendomesticlinesdirectlyheldontheBHC’sportfolio.PortfoliolinesareallloansasdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(1).E. FirstLienMortgagesandHELOANs(International)Theloanpopulationincludesallnon‐domesticloansdirectlyheldontheBHC’sportfolio.PortfolioloansareallloansasdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(2)(a).F. Closed‐EndJuniorLiensandHomeEquityLinesOfCredit(International)Theloanpopulationincludesallnon‐domesticloans/linesdirectlyheldontheBHC’sportfolio.Portfolioloansareallloans/linesasdefinedintheFRY‐9C,ScheduleHC–C,item1.c.(2)(b),anditem1.c.(1).G. CorporateCard(Domestic)Employer‐sponsoreddomesticcreditcardsforusebyacompany’semployees.ThisincludesUScorporatecreditcardloansasdefinedintheFRY‐9C,ScheduleHC‐C,item4.a,andUScorporatecardloansreportedinotherFRY‐9Clines.Onlyincludecardswherethereisanyindividualliabilityassociatedwiththesub‐linessuchthatindividualborrowercharacteristicsaretakenintoaccountduringtheunderwritingdecision,and/orperformanceonthecreditisreportedtothecreditbureaus.Loansforwhichacommercially‐gradedcorporationisultimatelyresponsibleforrepaymentofcreditlossesincurredshouldnotbereportedinthisSub‐schedule.
H. BusinessCard(Domestic)Smallbusinessdomesticcreditcardaccountswheretheloanisunderwrittenwiththesoleproprietororprimarybusinessownerasanapplicant.Reportatthecontrolaccountlevelortheindividualpaylevel(notatthesub‐accountlevel).ThisincludesSMEcreditcardloansasdefinedintheFRY‐9C,ScheduleHC‐C,item4.a,andUScorporatecardloansreportedinotherFRY‐9Clines.Onlyincludecardswherethereisanyindividualliabilityassociatedwiththesub‐linessuchthatindividualborrowercharacteristicsaretakenintoaccountduringtheunderwritingdecision,and/orperformanceonthecreditisreportedtothecreditbureaus.Loansforwhichacommercially‐gradedcorporationisultimatelyresponsibleforrepaymentofcreditlossesincurredshouldnotbereportedinthisSub‐schedule.
I. ChargeCard(Domestic)DomesticcreditcardsforwhichthebalanceisrepaidinfulleachbillingcycleasdefinedintheFRY‐9C,ScheduleHC‐Citem6.aor9.b.Excludechargecardstocorporationsandsmallbusinesses(reportinCorporateCardorBusinessCard,asappropriate).
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J. BankCard(Domestic)RegulargeneralpurposedomesticcreditcardsasdefinedintheFRY‐9C,ScheduleHC‐C,item6.aor9.b.Bankcardsincludeproductsthatcanbeusedatawidevarietyofmerchants,includinganywhoacceptMasterCard,Visa,AmericanExpressorDiscovercreditcards.Includeaffinityandco‐brandcardsinthiscategory,andstudentcards,ifapplicable.Thisproducttypealsoincludesprivatelabelorproprietarycreditcards,whicharetiedtotheretailerissuingthecardandcanonlybeusedinthatretailer’sstores.Includeoilandgascardsinthisloantype.Excludebankcardstocorporationsandsmallbusinesses(reportinCorporateCardorBusinessCard,asappropriate).K. BusinessandCorporateCard(International)Reportemployer‐sponsorednon‐domesticcreditcardsforusebyacompany’semployeesandsmallbusinessnon‐domesticcreditcardaccountswheretheloanisunderwrittenwiththesoleproprietororprimarybusinessownerasanapplicant.SuchloansasdefinedintheFRY‐9C,ScheduleHC‐C,item4.b,andInternationalcorporateandbusinesscardloansreportedinotherFRY‐9Clines.Forcorporatecards,onlyincludecardswherethereisanyindividualliabilityassociatedwiththesub‐linessuchthatindividualborrowercharacteristicsaretakenintoaccountduringtheunderwritingdecision,and/orperformanceonthecreditisreportedtothecreditbureaus.Forbankcards,onlyincludecardswherethereisanyindividualliabilityassociatedwiththesub‐linessuchthatindividualborrowercharacteristicsaretakenintoaccountduringtheunderwritingdecision,and/orperformanceonthecreditisreportedtothecreditbureaus.Loansforwhichacommercially‐gradedcorporationisultimatelyresponsibleforrepaymentofcreditlossesincurredshouldnotbereportedinthisSub‐schedule.L. BankandChargeCard(International)Includebothnon‐domesticcreditcardsforwhichthebalanceisrepaidinfulleachbillingcycleandregulargeneralpurposenon‐domesticcreditcardsasdefinedintheinFRY‐9C,ScheduleHC‐Citem6.aor9.b.Bankcardsincludeproductsthatcanbeusedatawidevarietyofmerchants,includinganywhoacceptMasterCard,Visa,AmericanExpressorDiscovercreditcards.Includeaffinityandco‐brandcardsinthiscategory,andstudentcards,ifapplicable.Thisproducttypealsoincludesprivatelabelorproprietarycreditcards,whicharetiedtotheretailerissuingthecardandcanonlybeusedinthatretailer’sstores.Includeoilandgascardsinthisloantype.Excludebankcardstocorporationsandsmallbusinesses(reportinCorporateCardorBusinessCard,asappropriate).M. AutoLoans(Domestic)
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IncludealldomesticasdefinedintheFRY‐9C,ScheduleHC‐C,item6.candrepossessedautomobilesasdefinedintheFRY‐9C,ScheduleHC‐F,item6.
N. AutoLoans(International)Includeallnon‐domesticasdefinedintheFRY‐9C,ScheduleHC‐C,item6.candrepossessedautomobilesasdefinedintheFRY‐9C,ScheduleHC‐F,item6.
O. AutoLeases(Domestic)IncludedomesticautoleasesasdefinedintheFRY‐9C,ScheduleHC‐C,item10.aandrepossessedautomobilesasdefinedintheFRY‐9C,ScheduleHC‐F,item6.
P. AutoLeases(International)Includenon‐domesticautoleasesasdefinedintheFRY‐9C,ScheduleHC‐C,item10.aandrepossessedautomobilesasdefinedintheFRY‐9C,ScheduleHC‐F,item6.
Q. StudentLoanIncludestudentloansasdefinedintheFRY‐9C,ScheduleHC‐C,items6.band6.d.
R. SmallBusinessLoan‐Scored(Domestic)Theloanpopulationofdomesticsmallbusinessloansisdependentontwofactors:1)theclassificationoftheloanasdefinedintheFRY‐9C,ScheduleHC‐C(i.e.basedonthecollateral,counterparty,orpurposeoftheloan);and(2)whetherthemethodtomeasurecreditriskfortheloanisdifferentthanthatusedforordinarycorporateloans.
a. ReportableloansmayincludethosesmallbusinessloansthatareincludedintheFRY‐9C,ScheduleHC‐C,items2.a,2.b,3,4.aand4.b(excludingSMEcreditcardloansincludedonItem4.a)7,9.b.(1),9,b.(2)and10.b.
b. Tobeclassifiedasasmallbusinessloan,themethodtomeasurecreditriskmustbedifferentthanthemethodusedforothercorporateloans.Commercialinternalriskratingsorgradestendtonotbeusedtoassesscreditriskforordinarycorporateloans.Meanwhile,smallbusinessloanstendtobescoredordelinquencymanaged.Additionally,loansthatareneverthelessinternallyriskweightedbutthatuseascaledifferentfromthatusedforordinarycorporateloansmayalsobeconsideredsmallbusinessloans.
S. SmallBusinessLoan‐Scored(International)Thepopulationofinternationalsmallbusinessloansincludesallnon‐domesticloansthatfitthedefinitionofsmallbusinessloans(seeabove).
T. OtherConsumerLoansandLeases(Domestic)a. IncludealldomesticloansasdefinedintheFRY‐9C,ScheduleHC‐C,items6.band6.dexcluding
studentloansandnon‐purposebasedsecuritiesloans.Non‐purposebasedsecuritiesloansareloanssecuredbyaportfolioofsecuritiesthatareusedforthepurposeofsomethingotherthanpurchasingsecurities.
b. Includedomesticnon‐autoleasesasdefinedintheFRY‐9C,ScheduleHC‐C,item10.a.
U. OtherConsumerLoansandLeases(International)a. Includeallnon‐domesticloansasdefinedintheFRY‐9C,ScheduleHC‐C,items6.band6.d
excludingstudentloansandnon‐purposesecuritiesbasedloans.Non‐purposesecuritiesbased
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loansareloanssecuredbyaportfolioofsecuritiesthatareusedforthepurposeofsomethingotherthanpurchasingsecurities.
b. Includenon‐domesticnon‐autoleasesasdefinedintheFRY‐9C,ScheduleHC‐C,item10.a.ForSectionsAthroughU:Reportlineitems1through8forthecurrentquarterandninesubsequentprojectedquarters(PQ1throughPQ9).Reportingofprojectionsforcreditcardsshouldbebasedonallopenaccounts(activeandinactive),butnotcharged‐offaccountsLineitem1BalancesReportaccordingtoFRY‐9Cdefinitions(endofquarterlevels).ReportendofquarterlevelsforeachSection.Whererequested,pleasesegmentthetotalbalancesreportedbyage.Forthoselines,balancesshouldbeclassifiedaccordingtotheoriginationdateoftheaccountwithwhichthebalanceisassociated.Lineitem2NewOriginationsReportthetotaldollaramountofneworiginationsnetofsalestoAgencies.Reportonlyoriginationsforthoseloansandleasesthatthebankholdingcompanyhastheintentandabilitytoholdfortheforeseeablefutureoruntilmaturityorpayoff.
Lineitem3PaydownsReportthetotaldollarofrepaymentsreceivedinthegivenquarter.
Lineitem4AssetPurchasesReportthetotaldollarofassetspurchasedinthegivenquarter.IncludemortgagesrepurchasedfromGNMA,GSEs,andprivatesecuritizationsthatareputbackintotheaccrualbook.Lineitem5AssetSalesReportthetotaldollarofassetssoldinthegivenquarter,netofsalestoAgencies.
Lineitem6LoanLossesReportthetotaldollarofnetcharge‐offsrecognizedinthegivenquarter.
Lineitem7CumulativeInterimLoanLosses–Non‐PCIReportthetotalunpaidprincipalbalancethathasbeencharged‐offonloansinthesegmentthroughquarter‐endofthereportingperiodonnon‐PurchasedCredit‐Impaired(PCI)loans.Interimcharge‐offsincludeallcumulativepartialcharge‐offs/write‐downsforloanthathavenotbeenfullycharged‐offorotherwiseliquidated.
Lineitem8CumulativeInterimLoanLosses–PCIReportthetotalinterimlossesthroughquarter‐endofthereportingperiodthathavebeenorareexpectedtobecoveredbythenon‐accretablemarkorthereservesetuppost‐mark(ALLL)tocoveradditionalshortfallsinexpectedcashflowsonPurchasedCredit‐Impaired(PCI)loans..Thismeasureshouldnotincludeliquidatedloans.Formoreinformationonpurchasedcredit‐impairedloans,refertotheFRY‐9C,ScheduleHC‐N,Memorandumitem9.
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A.2.b—RetailRepurchaseProjectionsLargeandnoncomplexfirmsarenotrequiredtocompletethissubschedule.TheRetailRepurchasesub‐schedulecollectsprojecteddataonloanssoldbytheBHCthatmaybesubjecttorepurchaseriskduetobreachesofrepresentationsandwarrantiesmadeduringthesaleoftheloans,asdefinedintheFRY‐9C,ScheduleHC‐P,item6.ItalsocollectsdataonloansinsuredbytheUSGovernmentforwhichtheinsurancecoveragecouldbedeniedorindemnificationrequiredifloandefectsareidentified.ProjectedlossesinthesetablesshouldcorrespondtothesoldloanpopulationsreportedinScheduleG–RetailRepurchaseExposures.Thissub‐schedulecollectstheprojectedfuturelifetimelossesthatwouldbecharged‐offthroughtherepurchasereserveundereachscenario.TableInformation:InformationreportedinthisschedulewillbecollectedinTablesAthroughG.PleasereportinformationaggregatedbyVintageforeachtableandcorrespondingdatafieldsbelow.TheVintageofeachcolumnreferstothecalendaryearthattheloanwassold(i.e.,2004throughthecurrentyear).IncaseswherethedatamaynotbeavailablebyVintage,reportthedataintheUnallocatedcolumn.ProjectedFutureLossestoBHCChargedtoRepurchaseReserveassociatedwithVintagespriorto2004shouldbeincludedintheUnallocatedcolumn.TablesAthroughF:ForTablesAthroughF,datawillberepresentedinthreesections.Section1:BHCABLETOREPORTOUTSTANDINGUPBANDDELINQUENCYINFORMATIONREQUESTEDTherowvariablesforSection1identifiedinTablesAthroughFshouldbecompletedusingthefollowingcategories:EstimatedLifetimeNetCreditLosses(ExcludingExemptPopulation):Reportthefirm’sestimateoflifetimenetcreditlossesbyinvestorsintheloans(inclusiveofnetcreditlossesrealized‐to‐date)underthescenarioinquestion,excludingfromtheestimatelossesontheexemptpopulationasdefinedinScheduleG–RetailRepurchaseExposures.ProjectedFutureLossestoBHCChargedtoRepurchaseReserve(ExcludingExemptPopulation):Reportlifetimefuturelossesrelatedtosoldorgovernment‐insuredloansunderthescenarioinquestionthattheBHCexpectstochargethroughitsrepurchasereserve.RefertotheFRY‐9C,ScheduleHC‐P,item7forafurtherdefinitionof“repurchasereserve”.AnyamountofprojectedfuturelossesassociatedwithVintagespriorto2004shouldbehighlightedinthesupportingdocumentationandincludedintheUnallocatedcolumn.Plannedfutureoriginationswiththeintenttosellwherethereareexpectedlosses/reservesassociatedwithnewvintagesshouldnotbeincludedontheRetailRepurchasesub‐schedule.
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Section2:BHCUNABLETOREPORTOUTSTANDINGUPBORDELINQUENCYINFORMATIONREQUESTEDTherowvariableforSection2identifiedinTablesAthroughFshouldbecompletedusingthefollowingcategory:ProjectedFutureLossestoBHCChargedtoRepurchaseReserve(ExcludingExemptPopulation):Reportlifetimefuturelossesrelatedtosoldorgovernment‐insuredloansunderthescenarioinquestionthattheBHCexpectstochargethroughitsrepurchasereserve.DatacollectedinSections1and2shouldbemutuallyexclusive.Section3:LOSSPROJECTIONSTherowvariableforSection3identifiedinTablesAthroughFshouldbecompletedusingthefollowingcategory:ProjectedFutureLossestoBHCChargedtoRepurchaseReserve:Lifetimefuturelossesrelatedtosoldorgovernment‐insuredloansunderthescenarioinquestionthattheBHCexpectstochargethroughitsrepurchasereserve.AspartofSection3forTablesAthroughF,pleasedistributetheprojectedfuturelifetimelossesthatwouldbecharged‐offthroughtherepurchasereserveundereachscenario,asdefinedinTableInstructionsbelow,overthequartersdisplayeddefinedineachcolumnheader(i.e.,PQ1throughPQ9,andPQ10orlater).ForTablesAthroughF,thesumoftheprojectedfuturelossesinSectionsA.3–F.3expectedtobechargedofftotherepurchasereserveshouldequalthesumoftheprojectedfuturelossesexpectedtobechargedoffthroughtherepurchasereserveinSectionsA.1–F.1andA.2–F.2.TheProjectionValidityCheckcellswillread“TRUE”whentheseprojectedlossesarefilledoutcorrectly.Further,thesumoftheprojectedfuturelossesreportedinSectionsA.3‐F.3iscalculatedinSectionG.3.Thesumoflossesexpectedtobechargedtotherepurchasereserveislinkedtothenetcharge‐offlinesintheRepurchaseReserveontheIncomeStatementtoensureconsistencyacrossthesheetsoftheFRY‐14Asummaryworkbook.TableInstructionsThetablesbelowshouldcorrespondtothesoldloanpopulationsreportedinScheduleG–RetailRepurchaseExposures.TablesA—LoansSoldtoFannieMae(FNMA)TablesB—LoansSoldtoFreddieMac(FHLMC)
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TablesC—LoansInsuredbytheUSGovernmentLoansinsuredbytheUSGovernmentincludeloansinsuredbytheFederalHousingAdministration(FHA)ortheFarmersHomeAdministration(FmHA)orguaranteedbytheVeteransAdministration(VA)thatbackGovernmentNationalMortgageAssociation(GNMA)securities,i.e.,‘‘GNMAloans.”IncludeallloansinsuredbytheUSGovernmentincludingthoseonbalancesheet(includinganyGNMAbuyoutsoron‐balancesheetFHAexposures)orsoldintoaGNMAsecurity.TablesD—LoansSecuritizedwithMonolineInsuranceIncludeloanspackagedintoasecuritizationandwrappedwithmonolineinsurance.Ifitcannotbeidentifiedwhetheragivenloanismonolineinsured,includetheloaninthiscategory.TablesE—LoansSecuritizedwithoutMonolineInsuranceIncludeloanspackagedintoasecuritizationbutnotwrappedwithmonolineinsurance;TablesF—WholeLoansSoldIncludeloanssoldaswholeloanstopartiesotherthanFannieMaeorFreddieMac,evenifthewholeloansweresubsequentlysoldtoFannieMaeorFreddieMac.TableG—TotalLossProjectionsThisitemisashadedcellandisderivedfromthesumofTablesA3,B3,C3,D3,E3,andF3.
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A.3AFS/HTMSecuritiesGeneralInstructionsHigh‐LevelOTTIMethodologyandAssumptionsforAFSandHTMSecuritiesbyPortfolio,ProjectedOTTIforAFSandHTMSecuritiesbyPortfolio,ProjectedOCIandFairValueforAFSandImpairedHTMSecurities,andActualAFSandHTMFairMarketValueSourcesbyPortfoliocollectdataonthefollowingtypesofsecurities:1) governmentagencymortgage‐backedsecurities(MBS):MBSissuedorguaranteedbyU.S.
Governmentagencies;
2) auctionratesecurities:auction‐ratesecuritiesarevariableratesecuritieswithlong‐termmaturitieswhoseinterestratesareperiodicallyresetthroughauctionsoccurringatpredeterminedshort‐termintervals(generally7,14,28,or35days);
3) collateralizeddebtobligations(CDOs):CDOsareasset‐backedsecuritiescollateralizedbyadiscreteportfoliooffixedincomeassetsandthatmakepaymentsbasedontheperformanceofthoseassets;
4) collateralizedloanobligations(CLOs):CLOsaresecuritizationsofportfoliosofloansthroughabankruptcy‐remotespecial‐purposevehicle(SPV)thatissuesasset‐backedsecuritiesinoneormoreclasses(ortranches).Ingeneral,CLOsarebackedbyavarietyofassets,includingwholecommercialloans,revolvingcreditfacilities,lettersofcredit,andbankers’acceptances;
5) commercialmortgage‐backedsecurities(CMBS):ExcludesecuritiesthathavebeenissuedorguaranteedbytheFederalNationalMortgageAssociation(FNMA)ortheFederalHomeLoanMortgageCorporation(FHLMC)orguaranteedbytheGovernmentNationalMortgageAssociation(GNMA).Reportthesesecuritiesas“AgencyMBS”(above);
6) commonstock(equity);
7) autoasset‐backedsecurities(ABS):ABScollateralizedbyautoloans;
8) creditcardABS:ABScollateralizedbycreditcardloans;
9) studentloanABS:ABScollateralizedbystudentloans;
10) otherABS(excludinghomeequityloanABS):allotherABSthatcannotproperlybereportedasautoABS,creditcardABS,studentloanABSorhomeequityloanABS;
11) corporatebonds:corporatebondsaredebtobligationsissuedbycorporationsandmaybesecuredorunsecured;
12) coveredbonds:securitiesgenerallyclassifiedas“coveredbonds”thatfeaturerecoursetocashflowsofapoolofmortgagesorpublic‐sectorloansonthebalancesheetofanissuingfinancialinstitution;
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13) domesticnon‐governmentagencyresidentialmortgage‐backedsecurities(RMBS,includeshome
equityloanABS):RMBS,includingsecuritiesbackedbyhomeequityloansthatareissuedbydomesticnon‐governmentagencyentities.SuchasAlt‐A(optionARM),Alt‐AFRM,Alt‐AARM,closed‐endsecond,HELOC,Scratch&Dent,Subprime,PrimeFixed,andPrimeARMsecurities;
14) foreignRMBS:RMBSofforeignissuers;
15) municipalbonds:bondsissuedbyU.S.states,cities,counties,andothergovernmentalentitiesatorbelowthestatelevel.IncludebondsissuedbyCanadianprovincesorotherlocalgovernmententitiesandbondsissuedbyothernon‐USlocalgovernmententities;
16) mutualfunds:investmentsinmutualfunds,includingmoneymarketmutualfundsandmutualfundsthatinvestsolelyinU.S.governmentsecurities;
17) preferredstock(equity):refertotheFRY‐9CGlossaryentryfor“PreferredStock”;
18) sovereignbonds:bondsissuedbythecentralgovernmentsofforeigncountries.Also,includeinthiscategoryobligationsofforeigncountrycentralbanks,foreigncentralgovernmentunitsoragencies,fullygovernment‐guaranteedobligationsofmunicipalorstate‐ownedenterprises;andobligationsofsupranationalorganizationssuchastheInternationalBankforReconstructionandDevelopment(WorldBank),Inter‐AmericanDevelopmentBank,andAsianDevelopmentBank;
19) U.S.Treasuries&othergovernmentagencynon‐mortgage‐backedsecurities:U.S.governmentagencyobligationsissuedbyU.S.governmentagenciesandU.S.government‐sponsoredagencies,includingbutnotlimitedto,SmallBusinessAdministration“GuaranteedLoanPoolCertificates,”U.S.MaritimeAdministrationobligations,andExport–ImportBankparticipationcertificates.Includeobligations(otherthanmortgage‐backedsecurities)issuedbytheFarmCreditSystem,theFederalHomeLoanBankSystem,theFederalHomeLoanMortgageCorporation,theFederalNationalMortgageAssociation,theFinancingCorporation,ResolutionFundingCorporation,theStudentLoanMarketingAssociation,andFDICStructuredSaleGuaranteedNotesandNCUAGuaranteedNotes;and
20) othersecurities(for"other"AFSandHTMsecurities,pleaseprovidethesecuritytypeinrow22,currentlylabeled"Other",addingextrarowsbelowasnecessary):allsecuritiesthatcannotproperlybereportedinthecategoriesabove.
IncircumstanceswherebytheBHCholdssecuritiesinbothAFSandHTMcategorieswithinagivenassetclass,separateeachsecurityintoseparaterows.Ifusingadditionalrows,BHCsshouldensurethatthetotalssumappropriately)asdefinedintheFRY‐14Q,ScheduleB,Securities.AllBHCsshouldestimateresultsusingtheconditionsspecifiedinthemacroeconomicscenario.SecuritiesshouldcorrespondwithwherethereporterhasclassifiedtheassetonthebalancesheetoftheFRY‐9C.
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A.3.a—ProjectedOTTIforAFSSecuritiesandHTMbySecurityForeachindividualsecuritythatincurredalossinP&L,statetheidentifiervalue(CUSIPorISIN)andtheamountoflossprojected(overtheentireforecasthorizon).Generally,securitiesshouldalwaysbereportedwithapublicidentifier,ifavailable,suchasavalidCUSIP,ISIN,orSEDOL.IfavalidCUSIP,ISINorSEDOLidentifierexistsforthesecurity,pleasereportthevalueofthechosenidentifier(theCUSIP,ISIN,orSEDOLcode)andindicatetheidentifiertypeas“CUSIP”,“ISIN”,or“SEDOL”.IfaCUSIP,ISIN,orSEDOLidentifierisnotavailableforagivensecurity,pleasereportanalternativepublicidentifiervalue,ifavailable,andreporttheidentifiertype.Ifonlyaprivateorinternalidentifierisavailable,pleaseindicate“INTERNAL.”Createaseparatelineitemforeachposition.Totalprojectedlossesshouldreconciletothetotalsumofprojectedlosses(acrossallquarters)providedintheProjectedOTTIforAFSandHTMSecuritiesbyPortfolioSchedule(A.3.c).IncircumstanceswherebytheBHCholdssecuritiesinbothAFSandHTMcategorieswithinagivenassetclass,separateeachsecurityintoseparatelineitems.A.3.b—High‐Level OTTI Methodology and Assumptions for AFS and HTM Securities byPortfolioLargeandnoncomplexfirmsarenotrequiredtocompletethissubschedule.Completetheunshadedcellsinthetableprovided.Inthe“ThresholdforDeterminingOTTI”column,reporteithertheprice‐basedthreshold,theratings‐basedthreshold,thecashflowmodel‐basedthreshold,orotherthreshold.Reporttheaggregatecumulativelifetimelossonunderlyingcollateral(%originalbalance)asthetotalundiscountedlossamount(includingbothhistoricalandprojectedlosses)fortheunderlyingcollateralasapercentageoforiginalprincipalbalanceofthesecuritiesaggregatedbyportfolio.Inthe“discountratemethodology”column,statewhetheramarket‐basedoraccounting‐based(e.g.,book/purchaseprice)discountisused.Inthefinalthreecolumns:providethename(s)ofanyvendor(s)andanyvendormodelsthatareused,indicatewhetherallsecuritieswerereviewedforpotentialOTTIforstresstestingandprovidethemacro‐economicandfinancialvariablesusedinlossestimation.A.3.c—ProjectedOTTIforAFSandHTMSecuritiesbyPortfolioProvidethecreditlossportionandnon‐creditlossportionofprojectedOTTI(forrelevantportfolios)forthequartersdetailedinthetablesprovided.Valuesshouldbequarterly,notcumulative.FortheActualAmortizedCostcolumn,BHCsshouldestimateandprovidefairvaluesofAFSsecuritiesbasedonare‐pricingoftheCCARas‐ofdatepositionsheldonthereportingdate.OTTIrelatedtothesecurity’screditlossisrecognizedinearnings,whereastheOTTIrelatedtootherfactors(definedasthenon‐creditlossportion)isincludedaspartofaseparatecomponentofothercomprehensiveincome(OCI).Foronlythosesecuritiesdeterminedtobeother‐than‐temporarilyimpaired,BHCsshouldprovidebothprojectedlossesthatwouldberecognizedinearningsandanyprojectedlossesthatwouldbecapturedinOCI.AmortizedCostshouldrepresentallSecuritiesheld,regardlessofiftheyareimpairedornotandshouldbereconciledtoamortizedcostsubmittedontheFRY‐14Q,ScheduleB.2.Onlysecuritiesprojectedtoexperienceanother‐than‐temporaryimpairmentlossintheP&Lshouldbereportedinthe"CreditLossPortion"and"Non‐CreditLossPortion"columns.OTTIvaluesshouldbestatedaspositivevalues.
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A.3.d—ProjectedOCIandFairValueforAFSandImpairedHTMSecuritiesThisSchedulemustbecompletedforallBHCsregardlessofsubjectivitytotheadvancedapproachesrule.The“TotalActualFairMarketValue”columnistheend‐of‐quarterfairvalueoftheportfolioassetsforthereportingquarter.Amortizedcostandfairmarketvaluefortheas‐ofdateshouldreconciletobalancessubmittedontheFRY‐14Q,ScheduleB.2.The“BeginningFairMarketValue”ineachcolumnfortheprojectedquartersrepresentsthebeginning‐of‐quarterfairvalueoftheAFSandimpairedHTMportfolioassetsevaluatedduringtheprojectedquarter.Foravoidanceofdoubt,SecuritiespurchasedinthemiddleofthequartershouldbeaccountedforintheBeginningFairMarketValueofthesubsequentquarter.The“FairValueRateofChange”istheweightedaveragepercentchangeinfairvalueoverthequarterforassetsprojectedtobeheldatthebeginningandendoftherelevantquarter.(The“FairValueRateofChange”isnotaratioofprojectedOCItoBeginningFairMarketValue).TheFairValueRateofChangeshouldrepresentthechangeinpriceoftheassetswherebythechangeinfairvaluedoesnotincludeamortizationsorpaydowns.Reinvestedassetsshouldbeincludedifthesecuritieswereheldatthebeginningandendoftherelevantquarter.The“ProjectedOCI”ineachcolumnrepresentsthepre‐taxincrementalchangeinAccumulatedOtherComprehensiveIncomeduringtheperiodduetochangesinthefairvalueofthesecuritiesintheportfolioandmayalsoreflectchangesinamortizedcost,includingchangesduetoamortizationandaccretion,oranyotheranticipatedfactorsaffectingtheamortizedcostamountsofAFSandimpairedHTMholdings.FutureOCImayincludefairvaluegainsandlossesonnewinstrumentsifre‐investmentsareanticipated.Thesecolumns,includingthe“TotalProjectedOCIinallQuarters”,maybeaffectedbychangesinasecurities'amortizedcostduetoaprojectedexperienceofOTTIandestimateofOTTIwrite‐downforagivenquarter.A.3.e—ActualAFSandHTMFairMarketValueSourcesbyPortfolioLargeandnoncomplexfirmsarenotrequiredtocompletethissubschedule.Provideinformationonthesourcesofactualfairmarketvaluesasofthereportingdate.Inthe“PrincipalMarketValueSource”column,statewhetheravendororproprietarymodelisused.Ifusingathirdpartyvendor,providethenameofthevendor.BHCsshouldalsoindicatehowoftensecuritiesarenormallymarkedtomarket(e.g.,daily,weekly,quarterly,etc.).Supportingdocumentation:PleaserefertoAppendixA:SupportingDocumentationforguidanceonprovidingsupportingdocumentation.
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A.4TradingOnlytheBHCssubjecttothemarketshockscenarioarerequiredtocompletethissub‐schedule.TheTradingsub‐schedulecollectsfirm‐widetradingprofitandloss(P/L)resultsdecomposedintothevariouscategorieslisted(e.g.,Equities,FX,Rates)asofadatespecifiedbytheFederalReserveoranotherrecentreportingdatepriortothesuppliedas‐ofdateasappropriate(seeWhentoReportsectionoftheGeneralInstructionsforadditionaldetail).Thesecategoriesarenotmeanttodenotelinesofbusinessordesks,butratherfirm‐widetotalsbyrisk.Thedecompositionoflossesintoriskareasshouldsumtoequalthetotaltradingmark‐to‐market(MTM)lossreportedontheincomestatement.ReporttotalP/Lfortheentirescenariohorizon.WhenreportingP/Lnumbers,reportprofitsaspositivenumbersandlossesasnegativenumbers.
ColumnInstructionsColumnAFirmwideTradingTotalReportfirm‐widetotaltradingprofitandlossfortheentirescenariohorizon.DonotincludeP/LrelatedtoCVAhedgesinthiscolumn.ColumnBContributionsfromHigher‐OrderRisksReportcontributionstoP/LincludedinColumnAfromhigher‐orderrisks.Higherorderrisksarethoseinter‐assetrisksattributabletotermsnotrepresentedintheFRY‐14Q.ThehighestordertermrepresentedintheFRY‐14Qwillvarybasedonthespecificassetclass.Forexample,thecommodityspotvolgridsdonotcapturerisksattributabletotheco‐movementofmultipleunderlyingcommodities.ColumnCFirmwideCVAHedgesTotalReportfirm‐widetotalP/LrelatedtotheCreditValueAdjustment(CVA)hedges.LineitemInstructionsThecategoriesarenotmeanttodenotelinesofbusinessordesks,butratherfirmwidetotalsbyrisk.CategorizationmatchesthatontheFRY‐14Q.SeeFRY‐14QTradingScheduleinstructionsforadditionaldetail.Lineitem1EquityReportthecontributiontoP/LfromexposuresassociatedwithfirmwideEquityrisk.Lineitem2FXReportthecontributiontoP/LfromexposuresassociatedwithfirmwideFXrisk.Lineitem3RatesReportthecontributiontoP/LfromexposuresassociatedwithfirmwideRatesrisk.Lineitem4 CommoditiesReportthecontributiontoP/LfromexposuresassociatedwithfirmwideCommoditiesrisk.
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Lineitem5SecuritizedProductsReportthecontributiontoP/LfromexposuresdetailedontheSecuritizedProductsandAgenciessub‐schedulesoftheFRY‐14QTradingSchedule.ForAgencyproducts,theP/LrelatedtointerestratesriskshouldbereportedintheRatessection(Line3),whiletheP/LassociatedwithOAS/creditriskelementsshouldbereportedinthislineitem.Lineitem6OtherCreditReportthecontributiontoP/LfromallcreditproductsotherthanthosespecifiedontheSecuritizedProductsorAgenciessub‐schedulesoftheFRY‐14QTradingSchedule.ForMuniproducts,theP/LrelatedtointerestratesriskshouldbereportedintheRatessection(Line3),whiletheP/Lassociatedwithcreditriskelementsshouldbereportedinthislineitem.Lineitem7PrivateEquityReportthecontributiontoP/LfromexposuresdetailedonthePrivateEquitySub‐scheduleoftheFRY‐14QTradingSchedule.Lineitem8OtherFairValueAssetsReportthecontributiontoP/LfromexposuresdetailedontheOtherFairValueAssetsSub‐scheduleoftheFRY‐14QTradingSchedule.Lineitem9Cross‐AssetTermsReportthecontributiontoP/Lfromintra‐assetrisksattributabletotheco‐movementofmultipleassetclasses.Forexample,anequityoptionpayingoffinaforeigncurrencywouldhavebothEquityandFXrisk.TheP/Lduetothisco‐dependencewouldbeenteredintoline9andshouldnotbedividedamongtheindividualcategorieslistedinLines1‐8.Lineitem10 TotalReportthetotaloflines1through9.Thistotalmustequalline58,Tradingmark‐to‐market(MTM)loss,reportedontheIncomeStatementsub‐scheduleofthisSchedule.SupportingDocumentationPleaserefertoAppendixA:SupportingDocumentationforguidanceonprovidingsupportingdocumentation.
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A.5CounterpartyCreditRisk(CCR)Largeandnoncomplexfirmsarenotrequiredtocompletethissubschedule.TheCCRsub‐schedulecollectsprojectedcounterpartycreditlossesasofadatespecifiedbytheFederalReserve. Lossesshouldbereportedaspositivevaluesandgainsshouldbereportedasnegativevalues..Lineitem1IssuerDefaultLosses(Tradingbook)Reportlossesarisingfrompotentialdefaultoftheissuersofsecuritiesheldinthetradingbook.Lineitem1aIssuerDefaultlossesfromsecuritizedproducts(Tradingbook)Reportlossesarisingfrompotentialdefaultoftheissuersofsecuritizedproducts,includingRMBS,CMBS,andothersecuritizedproductsasspecifiedontheSecuritizedProductsSub‐scheduleoftheFRY‐14QTradingSchedule.Lineitem1bIssuerDefaultlossesfromothercreditsensitiveinstruments(Tradingbook)Reportlossesarisingfrompotentialdefaultoftheissuersofallothercreditsensitiveinstruments(i.e.,allproductsconsideredinTradingIDRlossesotherthansecuritizedproducts),suchassovereigns,advancedeconomycorporatecredits,andemergingmarketcorporatecredits.Lineitem2CounterpartyCreditMTMLosses(CVALosses)ReportCounterpartyCreditMTMLosses.ReporttotallossesasequivalenttotheBHC'scalculationofaggregatestressedCVAlessunstressedCVAforeachscenario.Thisfigure,thesumofitems2aand2bshouldcorrespondtothedifferencebetweenaggregatestressedCVAandaggregateunstressedCVA,asreportedinScheduleF–CounterpartCreditRisk,Sub‐schedule1.e,forallscenarios.Lineitem2aCounterpartyCVAlossesReportCounterpartyCVAlosses.Lineitem2bOfflineReserveCVALossesReportCVAlossesthatresultfromoffline/additionalCVAreserve.Lineitem3CounterpartyDefaultLossesReportlossesarisingfrompotentialdefaultofoneormorecounterparties.Lineitem3aImpactofCounterpartyDefaultHedgesReportthereductiontoCounterpartyDefaultlossesreportedinitem3duetothegainsfromsinglenameCDShedges(asdefinedinScheduleLoftheFRY‐14Q)ofdefaultingcounterparties.SupportingDocumentationPleaserefertoAppendixA:SupportingDocumentationforguidanceonprovidingsupportingdocumentation.
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A.6 BHCOperationalRiskScenarioInputsandProjectionsLargeandnoncomplexfirmsarenotrequiredtocompletethissubschedule.OperationalrisklossesaredefinedintheRevisedCapitalFrameworkaslossesarisingfrominadequateorfailedinternalprocesses,peopleandsystems,orfromexternalevents.Operationalrisklossesincludelegallossesbutexcludeboundaryevents.Boundaryeventsareoperationallossesthatcouldalsobeclassifiedascrediteventlosses.TheInteragencyFinalRulefurtherdefinesanoperationallossasafinancialloss(excludinginsuranceortaxeffects)resultingfromanoperationallosseventandincludesallexpensesassociatedwithanoperationallosseventexceptforopportunitycosts,forgonerevenue,andcostsrelatedtoriskmanagementandcontrolenhancementsimplementedtopreventfutureoperationallosses.Anoperationallosseventisdefinedasafinanciallossthatresultsfromariskexposuretothefirm.SomeexamplesofoperationallosseventsthatBHCsmayconsiderarelossesrelatedtoimproperbusinesspractices(includingclassactionlawsuits),executionerrors,cybersecuritybreaches,naturaldisasters,andfraud.OperationalrisklossprojectionsshouldbeincludedinthePPNRProjectionssub‐scheduleinline29,OperationalRiskExpense.SeeScheduleE–OperationalRiskforadditionaloperationalriskreportingrequirements.DefinitionsRefertothefollowingdefinitionswhencompletingtheOperationalRiskScenarioInputsandProjectionssub‐schedule,andtheBHCOperationalRiskHistoricalCapitalsub‐schedule:
1.TypeofData:a) Externaldata:HistoricaloperationallossesthathavebeenexperiencedbyotherBHCs.b) Internaldata:HistoricaloperationallossesthathavebeenexperiencedbytheBHC.c) OperationalRiskScenarioAnalysis:Asystematicprocessofobtainingexpertopinions
frombusinessmanagersandriskmanagementexpertstoderivereasonedassessmentsofthelikelihoodandlossimpactofplausiblehighseverityoperationallosses
d) BusinessEnvironmentandInternalControlFactors(BEICFs):Riskandcontrolassessments,keyriskindicators,andotherfactorsusefulinidentifyingthelevelofriskwithinanorganization.
e) ModelOutput:Outputgeneratedbyaninternalorexternalmodel,suchasafactormodelf) Other:Datatypesuniquetoanorganization’soperationalriskframework
2.BriefDescription:Descriptionofoperationallosseventorotherfactorconsidered.
3.RiskSegment:ThelevelatwhichtheBHC'smethodologyorquantificationmodelgeneratesaseparateestimateforpotentialoperationallosses.
4.DollarContributiontoOperationalLossEstimate:Foreachrisksegment,reporttheprojectedoperationallossamount.ThetotalofallrisksegmentsforeachCCARScenarioshouldagreetotheprojected“Operationalriskexpense”amountincludedinLine29intheScenario’sPPNRProjectionssub‐schedule.
Sub‐scheduleInstructionsTheBHCOperationalRiskScenarioInputsandProjectionssub‐schedulecollectsinformationaboutthecompositionoftheoperationalrisklossprojections.Eachreportinginstitutionshouldidentifytheoperationalriskstowhichitisexposed,developanddefinetherisksegmentsthatrepresent
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thefirm’srisks,andprojectoperationallossesusingrelevantdata.Datacanincludeexternaldata,internaldata,scenarioanalysis,riskassessment,etc.Asappropriate,quantitativemethodologiesmaybeusedtoconvertrelevantdataintolossprojections.Eachrisksegmentshouldproduceaninputtotheoveralllossprojection.Reportinginstitutionsareexpectedtoprovidethetypeofdata,abriefdescriptionofthelossevent,howitwascategorized(risksegment),andthecontributionthedatamadetothelossprojection.LossProjectionsbasedonLegalReservesandSettlementsAspartoftheoverallOperationalRisklossprojections,BHCsshouldreportthepotentialimpactoflossesresultingfromafirm’sactionstopreventormitigateanoperationallosssettlementwithclients,ortopreventfuturelegalaction.EachoftheOperationalRisklossprojectionsineachoftherequiredCCARScenariosshouldincludeallprojectedsettlements,make‐wholepayments,payoutsthatsatisfyadverselegalrulings,andotherlegallossesiftheyarenotcoveredonthePPNRProjectionsSub‐scheduleunderitems14Nand30(ProvisionstoRepurchaseReserve/LiabilityforResidentialMortgageRepresentationsandWarranties).Ifspecificallylinkedtooperationalrisk,BHCsshouldincludealllegalconsultationfees,retainerfees,andprovisionstothelegalreservewithintheOperationalRisklossprojections.UnrelatedProfessionalServicesThecostofoutsideconsulting,routine“businessasusual”legalexpenses,externalaudit,andotherprofessionalservicesthatareunrelatedtooperationalriskshouldbeincludedinitem31(ProfessionalandOutsideServicesExpenses)onthePPNRProjectionsSub‐schedule.Supportingdocumentation:PleaserefertoAppendixA:SupportingDocumentation.
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A.7Pre‐ProvisionNetRevenue(PPNR)A.GeneralTechnicalDetailsThissectionprovidesgeneralguidanceanddatadefinitionsforthethreePPNRsub‐schedulesincludedintheSummarySchedule:PPNRProjectionssub‐schedule,PPNRNetInterestIncome(NII)sub‐schedule,andPPNRMetricssub‐schedule. Thethreesub‐schedulesaredescribedindetailbelow.Certaincommonlyusedtermsandabbreviations,includingPPNR,aredefinedattheendofthissection.OtherdefinitionsareembeddedintheSchedule. UndefinedtermsshouldbeassumedtofollowFRY‐9Cdefinitions.IncaseswhereFRY‐9Cguidanceisunavailable,BHCsshoulduseinternaldefinitionsandincludeinformationaboutthedefinitionsusedintheSupportingDocumentationInstructionsforFRY‐14Aprojections.AlllineitemdefinitionsandidentificationnumbersareconsistentbetweentheFRY‐14AandFRY‐14Qanddatashouldbereportedaccordingly.WherespecificFRY‐14PPNRand/orFRY‐9Cguidanceexistsforbusinesslineand/orotheritems,providebothhistoricalandprojectionsdataconsistentlythroughouttimeinaccordancewiththeinstructions.IfaBHChasnotdonesoinpriorfilings,restateandresubmit.IfaBHCisunabletoconsistentlyadheretodefinitions,itcanrequestanexemption.Allquarterlyfiguresshouldbereportedonaquarterlybasis(notonayear‐to‐datebasis).Providedataforallnon‐shadedcells,exceptwherethedatarequestedisoptional.TheBHCisnotrequiredtopopulatecellsshadedgray.Iftherearenodataforcertainnumericalfields,thenpopulatethefieldswithazero(0).IfthefieldsareoptionalandaBHCchoosesnottoreportdata,leavethefieldsblank.Fornumericalfieldsrequestinginformationinpercent(e.g.averageratesearned),usestandardformatwhere.01=1%.Donotusenonnumericalcharactersinnumericalfields.Ifthereisnoinformationforcertaindescriptivefields,thenpopulatethefieldswith“N/A.”Donotleavedescriptivefieldsblank.
TheBHCsneedtoensurethat(a)revenuesandexpensesreportedalwaysreconcileonanetbasistoFRY‐9C,ScheduleHI,item3plusitem5.mminus7.eplusitem7.c.(1)minusitem40ofPPNRProjectionssub‐schedule(notethatthisdoesnotincludelossesresultingfromthetradingshockexercise),(b)NetInterestIncomeisequalbetweenthePPNRProjectionsandPPNRNetInterestIncomesub‐schedules,andthat(c)AveragebalancesreportedforthepurposesofthePPNRNetInterestIncomesub‐scheduleequalFRY‐9C,ScheduleHC‐K,item5foraverageassetsandanaverageofFRY‐9C,ScheduleHC,item21foraverageliabilities.BHCsshouldfollowthesameguidancewhenrestatingdatatocorrectanyerrorseitherinternallyidentifiedoridentifiedbytheFederalReserve.MaterialityThresholdsBHCsforwhichdepositscompriselessthan25percentoftotalliabilitiesforanyperiodreportedinanyofthefourmostrecentFRY‐14QshouldcompletethePPNRProjectionssub‐scheduleas
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wellastheMetricsbyBusinessSegment/Lineand“Firm‐WideMetrics:PPNRProjectionsSub‐schedule”sectionsofthePPNRMetricssub‐schedule.TheNetInterestIncomesub‐scheduleisoptionalfortheseBHCs.AllotherBHCsshouldcompleteallthreesub‐schedules,includingtheNetInterestIncomesub‐scheduleandtheNetInterestIncomesub‐schedulesectionofthePPNRMetricssub‐schedule.ReportdataforallquartersforagivenbusinesssegmentinthePPNRProjectionsandPPNRMetricssub‐schedulesifthetotalrevenueofthatbusinesssegment(calculatedasthesumofnetinterestincomeandnoninterestincomeforthatsegment),relativetototalrevenueoftheBHCexceeded5percentinanyofthemostrecentfouractualquartersasprovidedbytheBHCintheFRY‐14Q.Ifinternationalrevenueexceeded5percentoftotalrevenueinanyofthemostrecentfouractualquartersasprovidedbytheBHCintheFRY‐14Q,provideregionalbreakouts(PPNRMetricssub‐schedule,items45A‐45D)forallquartersinthePPNRMetricssub‐schedule.IfInternationalRetailandSmallBusinessrevenuesexceeded5percentofTotalRetailandSmallBusinessSegmentrevenueandTotalRetailandSmallBusinessSegmentrevenueswerematerialbasedonanapplicable5percentthresholdinanyofthemostrecentfouractualquartersasprovidedbytheBHCintheFRY‐14Q,providerelatedmetricsdataforallquarters(PPNRMetricssub‐schedule,item10).NetInterestIncome:PrimaryandSupplementaryDesignationBHCsareexpectedtoreportalllineitemsforallsub‐schedulessubjecttoapplicablethresholdsasdetailedintheinstructions. Inaddition,forallBHCsthatarerequiredtocompletethePPNRNetInterestIncomesub‐schedule,thePPNRNetInterestIncomesub‐scheduleshouldbedesignatedas“PrimaryNetInterestIncome.”ThePPNRProjectionsSub‐scheduleforsuchBHCswillbe“SupplementaryNetInterestIncome”bydefault.ForBHCsthatarenotrequiredtocompletethePPNRNetInterestIncomesub‐schedulethePPNRProjectionsSub‐scheduleshouldbedesignatedas“PrimaryNetInterestIncome.”PPNRNetInterestIncomeSub‐schedulewillbe“SupplementaryNetInterestIncome”forsuchBHCsbydefault,butisoptional.Notethatthisdesignationwouldreferonlytothenetinterestincomeportionofthesub‐schedules.B.CommonlyUsedTermsandAbbreviationsCreditcards:Unlessspecifiedotherwise,usethesamedefinitionsasprovidedintheFRY‐14MCreditCardscheduleDomesticRevenues:RevenuesfromtheUSandPuertoRicoonly.NotethatthisdiffersfromthedefinitionofdomesticontheFRY‐9C.InternationalRevenues:InternationalRevenuesshouldbethosegeneratedfromtransactionswithclientsthataredomiciledoutsidetheU.S.andPuertoRico.Pre‐provisionNetRevenue(PPNR):Sumofnetinterestincomeandnoninterestincomenetofnoninterestexpense,withcomponentsexpectedtoreconcilewiththosereportedintheFRY‐9Cwhenadjustedforcertainitems.AspresentedonthePPNRschedules,theadjustmentsinclude
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exclusionsofValuationAdjustmentforBHC’sdebtunderfairvalueoption(FVO),goodwillimpairment,lossresultingfromtradingshockexercise(ifapplicable),aswellasadjustmentsrelatedtooperationalriskexpenserequiredforPPNRpurposes.Fortherelateditems,referencethePPNRProjectionssub‐scheduleandrelatedinstructionsfortheitems29,40‐42. GainsandlossesonAFSandHTMsecurities,includingotherthantemporaryimpairments(OTTI)estimates,arenotacomponentofPPNR.Allrevenueandexpensesrelatedtomortgageservicingrights(MSRs)arecomponentsofPPNRtobereportedintheassociatednoninterestincomeandnoninterestexpenselineitemsonthePPNRschedules.TotalLoansHeldforSaleandLoansAccountedforundertheFairValueOption(item57oftheIncomeStatementsub‐schedule)areexcludedonlyiftheyarearesultofamarketshockexercise.OtherLosses(item66)areexcludedasapplicableandareexpectedtobeinfrequent.Revenues:Sumofnetinterestincomeandnoninterestincomeadjustedforselectedexclusions,asreportedonlineitem27ofthePPNRProjectionssub‐schedule.Run‐OfforLiquidatingBusinesses:operationsthatdonotmeetanaccountingdefinitionof“discontinuedoperations”butwhichtheBHCintendstoexit.InordertofacilitatethecalculationofthepropernetinterestincomeontheNetInterestIncomesub‐schedule,reporttotalbalancesrelatedtodiscontinuedoperationsasanegativenumberin“Other”initems15and38andthecorrespondingaverageratesearnedinitems31and46.BHCsshouldprovideadetailedlistingofthetype(bycorrespondinglineitemontheNetInterestIncomesub‐schedule)ofsuchbalancesreportedasnegativeitemsin“Other”andthecorrespondingratesinthesubmissiondocumentation.
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A.7.a—PPNRProjectionsSub‐scheduleThePPNRProjectionssub‐scheduleisbasedonstandardizedreportingofeachcomponentofPPNR,usingbusinesssegment/lineviewsasdiscussedbelow. IfthereisadifferencebetweentheFRY‐14standardizedreportingrequirementsandtheBHCs’internalviewusedforinternalcapitalplanningpurposes,theBHCsshouldreportdatainthePPNRsub‐schedulesonlyperthestandardizedFRY‐14requirements.TheBHCsareencouragedtoprovidedataconsistentwiththeirowninternalviewinsupportingdocumentation,accompanyingtheFRY‐14AProjectionsanddiscussdatadifferences.IftheBHCsareunabletocomplywiththerequirements,theycanrequestatemporaryexemption.ThisguidanceappliestoPPNRSubmission/ProjectionsandPPNRNetInterestIncomesub‐schedules.PleaseseeguidanceforPPNRMetricsinthePPNRMetricssectionoftheinstructions.RevenueComponentsRevenueitemsaredividedintonetinterestincomeandnoninterestincome,withtotalsexpectedtoreconcilewithwhatwouldbereportedintheFRY‐9CwhenadjustedforValuationAdjustmentforfirm’sowndebtunderfairvalueoption(FVO),lossresultingfromtradingshockexercise(ifapplicable),andoperationalriskexpenseadjustmentsrequiredforPPNRpurposes.Forrelateditems,referencePPNRProjectionssub‐scheduleandrelatedinstructionsforlineitems29,40,and42.InthedocumentationsupportingtheFRY‐14APPNRsubmission,BHCsareencouragedtodiscussoperationalrisklossesreportedascontra‐revenuesforFRY‐9CpurposesandtheirreallocationtoOperationalRiskexpenseinaccordancewiththePPNRinstructions.DonotreportgainsandlossesonAFSandHTMsecurities,includingotherthantemporaryimpairments(OTTI)estimates,asacomponentofPPNR.Reportallitemseitherinthesegmentsthatgeneratedthemand/orsegmentsthattheywereallocatedtothroughfundstransferpricing(FTP). NetinterestincomeallocationtothedefinedsegmentsshouldbebasedonthecostoffundsapplicabletothosesegmentsasdeterminedbytheBHC.SupportingDocumentationinstructionsregardingmethodologyusedshouldbeprovidedinthememorequiredwiththeFRY‐14AProjections. Businesssegmentsandrelatedsub‐componentsdonothavetocorrespondtobutmayincludecertainlineitemsontheFRY‐9Cschedule. TheBusinesssegmentstructureofthesub‐scheduleisdefinedbyproduct/service(e.g.,creditcards,investmentbanking)andclienttype(e.g.,retail,mediumsizebusinesses);itisnotdefinedbyclientrelationship.BHCsareencouragedtonotewhichlineitemscontainDebitValuationAdjustments(DVA)and/orCreditValuationAdjustments(CVA)(note:thesearedifferentfromfairvalueadjustmentontheBHC'sowndebtundertheFairValueOption(FVO)whichisexcludedfromPPNRbydefinition),includingamountsifavailable,andwhetherthesearegeneratedwiththepurposetogenerateprofit.Allrevenueandexpensesrelatedtomortgageservicingrights(MSRs)andtheassociatednoninterestincomeandnoninterestexpenselineitemsshouldbeevolvedovertheninequarterprojectionhorizons,andreportedinthepre‐provisionnetrevenue(PPNR)schedules. Gainsorlossesonloansheldforsaleandloansaccountedforunderthefairvalueoption(HFS/FVOloans)shouldbereportedintherelevantitemsonthePPNRProjectionsSub‐scheduleinaccordancewiththeBHC’snormalaccountingprocedures.StartinginJanuary2014,allBHCs
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shouldprojectgainsorlossesonHFS/FVOloansforallninequartersusingonlythemacroeconomicscenariowithoutreferencetotheglobalmarketshock.BusinessSegmentDefinitionsSubjecttoapplicablethresholds,reportingofnetinterestincomeandnoninterestincomeitemsisrequestedbasedonabusinesssegment/lineview,withbusinesssegments/linesdefinedasfollows:
Asgeneralguidance,smallbusinessclientsarethosewithannualsalesoflessthan$10million.
Business,government,not‐for‐profit,andotherinstitutionalentitiesofmediumsizearethosewithannualsalesbetween$10millionand$2billion.Largebusinessandinstitutionalentitiesarethosewithannualsalesofmorethan$2billion.IfaBHC’sinternalreportingfortheseclientsegmentsdeviatesfromthisgeneralguidance,continuetoreportaccordingtointernaldefinitionsanddescribehowtheBHCdefinedtheseorsimilarclientsegmentsandthescopeofrelatedbusinesssegments/lines(internalandthosedefinedintheFRY‐14PPNRsub‐schedules)inthememosupportingtheFRY‐14Asubmission.
ABHCmayincludepublicfundsinthesegmentreportingbasedonthetypeoftherelationshipthatexistsbetweenthepublicfundsandtheBHC.Forexample,iftheBHCactsinacustodialoradministrativecapacity,theBHCmayreportpublicfundsinInvestorServices.IfaBHCisinvolvedinthemanagementoffunds,theBHCmayreportthepublicfundsinInvestmentManagement.
NetInterestIncomebyBusinessSegment(unlessspecifiedotherwise,allnumbersareglobal).
Lineitem1 RetailandSmallBusinessThisitemisashadedcellandisderived,percolumn,fromthesumofitems1Aand1G.Foritems1Athrough1F,domesticincludesU.S.andPuertoRicoonly.Reportintheappropriatesub‐itemallnetinterestincomerelatedtoretailandsmallbusinessbankingandlending,includingbothongoingaswellasrun‐offandliquidatingbusinesses10.ExcludeanyrevenuesrelatedtoWealthManagement/PrivateBanking(WM/PB)clientseveniftheyareinternallyclassifiedasretail.BHCsmayincludesuchrevenuesinWM/PBlineitemsinstead.IncaseofWM/PBmortgagerepurchasecontra‐revenues,ifany,reportthemasoutlinedinthePPNRProjectionsub‐schedule.Lineitem1A DomesticThisitemisashadedcellandisderived,percolumn,fromthesumofitems1Bthrough1F.Lineitem1B CreditandChargeCardsReportnetinterestincomefromdomesticBHCissuedcreditandchargecardstoretailcustomersincludingthosethatresultfrompartnershipagreements.Mayincluderevenuethatisgeneratedondomesticaccountsduetoforeignexchangetransactions.Excludethefollowing: otherunsecuredborrowinganddebitcards; smallbusinesscards(reportinOtherRetailandSmallBusinessLending,item1F); wholesaleandcommercialcards(reportinTreasuryServices,item8). 10See“CommonlyUsedTermsandAbbreviations”forthedefinition.
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CardstoWealthManagement/PrivateBankingclients(reportinWealthManagement/PrivateBanking,line19B)
Lineitem1C MortgagesReportnetinterestincomefromdomesticresidentialmortgageloansofferedtoretailcustomers.Lineitem1D HomeEquityReportnetinterestincomefromdomestichomeequityloansandlinesofcredit(HELOANs/HELOCs)providedtoretailcustomers.Lineitem1E RetailandSmallBusinessDepositsReportnetinterestincomefromdomesticbranchbankinganddeposit‐relatedproductsandservicesprovidedtoretailandsmallbusinesscustomers.Includedebitcardrevenuesinthisline.Mayincluderevenuethatisgeneratedondomesticaccountsduetoforeignexchangetransactions.Thisitemdoesnotincludeanylendingrevenues.Lineitem1F OtherRetailandSmallBusinessLendingReportnetinterestincomefromotherdomesticretailandsmallbusinesslendingproductsandservices.Theseinclude,butarenotlimitedto,smallbusinesscards,loans,autoloans,studentloans,orpersonalunsecuredcredit.AlldomesticlendingrevenuesnotcapturedinCreditCards,Mortgages,andHomeEquityshouldbereportedhere.Lineitem1G InternationalRetailandSmallBusinessReportnetinterestincomefromretailandsmallbusinessgeneratedoutsideoftheU.S.andPuertoRico.Includes,butisnotlimitedto,allinternationalrevenuesfromcredit/charge/debitcards,mortgages,homeequity,branchanddepositservices,auto,student,andsmallbusinessloans.Lineitem2 CommercialLendingReportnetinterestincomefromlendingproductsandservicesprovidedtobusiness,government,not‐for‐profit,andotherinstitutionalentitiesofmediumsize,aswellastocommercialrealestateinvestorsandowners.Excludetreasury,deposit,andinvestmentbankingservices.Lineitem3 InvestmentBankingReportintheappropriatesub‐itemallnetinterestincomegeneratedfrominvestmentbankingservicesprovidedtobusinessandinstitutionalentitiesofbothmediumandlargesize.Includerevenuesfromnewissuesecuritizationsforthirdparties.Businesslinesaredefinedasfollows: Advisory:Corporatestrategyandfinancialadvisory,suchasservicesprovidedformergersand
acquisitions(M&A),restructuring,financialriskmanagement,amongothers. EquityCapitalMarkets:Equityinvestmentbankingservices(e.g.,IPOsorsecondaryofferings). DebtCapitalMarkets:Generallynon‐loandebtinvestmentbankingservices. Syndicated/CorporateLending:Lendingcommitmentstolargercorporateclients,including
eventortransaction‐drivenlending(e.g.,tofinanceM&A,leveragedbuyouts,bridgeloans).Generally,allsyndicatedlendingoriginationactivityshouldbeincludedhere(notinCommercialLending).
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Lineitem4 MerchantBanking/PrivateEquityReportnetinterestincomefromprivateequity(PE),realestate,infrastructure,andprincipalinvestmentsinhedgefunds.Mayincludeprincipalinvestmentrelatedtomerchantbankingactivities.Lineitem5 SalesandTradingThisitemisashadedcellandisderived,percolumn,fromthesumofitems5Aand5B.Reportintheappropriatesub‐itemallnetinterestincomegeneratedfromsalesandtradingactivities.AnyinterestincomefromcarryshouldbeincludedinSales&Tradingnetinterestincome.Mayincludeshort‐termtradingmadeforpositioningorprofitgenerationrelatedtotheSales&Tradingactivitiesinthislineitem.Lineitem5A PrimeBrokerageReportnetinterestincomegeneratedfromsecuritiesfinancing,securitieslending,custody,clearing,settlement,andotherservicesforhedgefundsandotherprimebrokerageclients.Includeallprimebrokeragerevenuesinthislineandnotinanyotherbusinesssegments/lines.Lineitem5B OtherReportnetinterestincomefromallotherSales&Tradingactivities.Theseinclude,butarenotlimitedto: Equities:Commissions,fees,dividends,andtradinggainsandlossesonequityproducts.Exclude
primebrokerageservices. FixedIncome:Commissions,fees,andtradinggainsandlossesonrates,credit,andotherfixed
incomeproducts.Excludeprimebrokerageservices.o Rates:GenerallyU.S.Treasury,investmentgradesovereign,U.S.agencybonds,andinterest
rateswaps.RatesrevenuesrelatedtotradingactivitiesoutsideoftheSales&TradingdivisionneednotbeincludedintotheRatestradinginthissection,butdescribewheretheyareallocatedintheBHC’sdocumentationsupportingtheFRY‐14Asubmission.
o Credit:Generallycorporatebonds,loans,ABS,muni,emergingmarkets,CDS.IfaBHCclassifiessomeofthecreditrelatedtrading(suchasdistresseddebt)insegmentsotherthan“Sales&Trading,”itcancontinuetoreportitasinitsinternalfinancialreportsbutindicatewheretheyarereportedinthedocumentationsupportingFRY‐14Asubmission.
o Other:e.g.,FX/Currenciesifnotincludedabove. Commodities:Commissions,fees,andtradinggainsandlossesoncommodityproducts.Exclude
primebrokerageservices.Lineitem6 InvestmentManagementReportallnetinterestincomegeneratedfrominvestmentmanagementactivities.Businesslinesaredefinedasfollows: AssetManagement:Professionalmanagementofmutualfundsandinstitutionalaccounts.
Institutionalclientsmayincludeendowments,not‐for‐profitentities,governments,andothers. WealthManagement/PrivateBanking(WM/PB):Professionalportfoliomanagementand
advisoryservicesforindividuals.Individualclientsmaybedefinedasmassmarket,affluent,andhighnetworth.Activitiesmayalsoincludetaxplanning,savings,inheritance,andwealthplanning,amongothers.MayincludedepositandlendingservicestoWM/PBclientshereandretailbrokerageservicesforbothWM/PBandnonWM/PBclients.
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Lineitem7 InvestmentServicesReportallnetinterestincomegeneratedfrominvestmentservicing.Excludeprimebrokeragerevenues.Businesslinesaredefinedasfollows: AssetServicing:Custody,fundservices,securitieslending,liquidityservices,collateral
management;andotherassetservicing.Includerecordkeepingservicesfor401Kandemployeebenefitplans,butexcludefundingorguaranteeproductsofferedtosuchclients.
IssuerServices:Corporatetrust,shareownerservices,depositoryreceipts,andotherissuerservices.
OtherInvestmentServices:Clearingandotherinvestmentservices.Lineitem8 TreasuryServicesReportallnetinterestincomefromcashmanagement,globalpayments,workingcapitalsolutions,depositservices,andtradefinancefrombusinessandinstitutionalentitiesofbothmediumandlargesize.Includewholesale/corporateandcommercialcards.Lineitem9 InsuranceServicesReportallnetinterestincomefrominsuranceactivitiesincluding,butnotlimitedto,individual(e.g.,life,health),autoandhome(propertyandcasualty),titleinsuranceandsuretyinsurance,andemployeebenefitsinsurance.Lineitem10 Retirement/CorporateBenefitProductsReportpremiums,fees,andothernetinterestincomegeneratedfromretirementandcorporatebenefitfundingproducts,suchasannuities,guaranteedinterestproducts,andseparateaccountcontracts.Thefees/revenuesthatmayberecordedherearegenerallygeneratedasaresultoftheBHCacceptingrisksrelatedtoactuarialassumptionsortheestimationofmarketreturnswhereguaranteesoffutureincomestreamshavebeenmadetoclients.Lineitem11 Corporate/OtherReportnetinterestincomeassociatedwith: Capitalandasset‐liabilitymanagement(ALM)activities.Amongotheritems,mayinclude
investmentsecuritiesportfolios(butnotgainsandlossesonAFSandHTMsecurities,includingOTTI,astheseareexcludedfromPPNRbydefinition).Alsomayincludeprincipalinvestmentsupportingthecorporatetreasuryfunctiontomanagefirm‐widecapital,liquidity,orstructuralrisks.
Run‐offorliquidatingbusinesses11(butexcluderetailandsmallbusinessrun‐off/liquidatingbusinesses,perRetailandSmallBusinesssegmentdefinition)
Non‐financialbusinesses(e.g.,publishing,travelservices) Corporatesupportfunctions(e.g.,HumanResources,IT) Othernon‐corerevenuesnotincludedinothersegments(e.g.,intersegmenteliminations).Lineitem12 OptionalImmaterialBusinessSegmentsBHCshavetheoptiontoreportlessmaterialbusinesssegmentrevenueinOptionalImmaterialBusinessSegments. Thereportedtotaloptionalimmaterialbusinesssegmentrevenuerelativetototalrevenuecannotexceed10percent.Ifthetotalimmaterialbusinesssegmentrevenuerelativetototalrevenuewouldbegreaterthan10percentinanyofthemostrecentfouractualquartersas
11 See“CommonlyUsedTermsandAbbreviations”forthedefinition.
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providedbytheBHCintheFRY‐14Q,reportdataforthelargestbusinesssegmentamongtheimmaterialbusinesssegmentsforallquartersinthePPNRProjectionsandPPNRMetricssub‐schedulessuchthattheamountreportedintheOptionalImmaterialBusinesssegmentslineitemsdoesnotexceed10percent. BHCsshouldprovidecomprehensiveinformationintheSupportingDocumentationInstructionsonwhichbusinesssegmentsareincludedintheOptionalImmaterialBusinesssegmentslineitemsinbothFRY‐14QandFRY‐14Aschedules,theirrelativecontributiontothetotalsreportedinbothschedulesandthemannerinwhichtherevenueswereprojectedforFRY‐14Apurposes.ListsegmentsincludedinthislineiteminFootnote7.Lineitem13 TotalNetInterestIncomeThisitemisashadedcellandisderived,percolumn,fromthesumofitems1,2through5,and6through12.Lineitem13,percolumn,shouldequalitem49onPPNRNIISub‐schedule,ifcompleted.NoninterestIncomebyBusinessSegment(unlessspecifiedotherwise,allnumbersareglobal).Lineitem14 RetailandSmallBusinessThisitemisashadedcellandisderived,percolumn,fromthesumofitems14Aand14T.Lineitem14ADomesticThisitemisashadedcellandisderived,percolumn,fromthesumofitems14B,14E,14O,and14S.Reportintheappropriatesub‐itemalldomesticrevenuesrelatedtoretailandsmallbusinessbankingandlending,includingbothongoingaswellasrun‐offandliquidatingbusinesses12.ExcludeanyrevenuesrelatedtoWealthManagement/PrivateBanking(WM/PB)clientseveniftheyareinternallyclassifiedasretail.BHCsmayincludesuchrevenuesinWM/PBlineitemsinstead.IncaseofWM/PBmortgagerepurchasecontra‐revenues,ifany,reportthemasoutlinedinthePPNRProjectionsub‐schedule.Lineitem14BCreditandChargeCardsThisitemisashadedcellandisderived,percolumn,fromthesumofitems14Cand14D.Reportintheappropriatesub‐itemallnoninterestincomegeneratedfromdomesticBHCissuedcreditandchargecardstoretailcustomersincludingthosethatresultfromapartnershipagreements.Mayincluderevenuethatisgeneratedondomesticaccountsduetoforeignexchangetransactionsandcorporatecards.Excludethefollowing: otherunsecuredborrowinganddebitcards; smallbusinesscards(reportinOtherRetailandSmallBusinessLending,item14S); wholesaleandcommercialcards(reportinTreasuryServices,item21); CardstoWealthManagement/PrivateBankingclients(reportinWealthManagement/Private
Banking,line19B)Lineitem14CCreditandChargeCardInterchangeRevenues‐GrossReportinterchangerevenuesfromalldomesticBHCissuedcreditandchargecardsincludingthosethatresultfromapartnershipagreement.Reportbeforeanycontra‐revenues(e.g.,rewards,etc.).
12See“CommonlyUsedTermsandAbbreviations”forthedefinition.
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Lineitem14DOtherReportallotherfeeincomeandrevenueearnedfromcreditandchargecardsnotcapturedinitem14C.Lineitem14EMortgageandHomeEquityThisitemisashadedcellandisderived,percolumn,fromthesumofitems14F,14Iand14N.Reportintheappropriatesub‐itemnoninterestincomegeneratedfromdomesticresidentialmortgageloansofferedtoretailcustomersanddomestichomeequityloansandlinesofcredit(HELOANs/HELOCs)providedtoretailcustomers.Lineitem14FProductionThisitemisashadedcellandisderived,percolumn,fromthesumofitems14Gand14H.Lineitem14GGains/LossesonSaleReportgains/(losses)fromthesaleofdomesticmortgagesandhomeequityoriginatedthroughallproductionchannels(retail,broker,correspondent,etc.)withtheintenttosell.Suchgains/lossesshouldincludedeferredfeesandcoststhatarereportedasadjustmentstothecarryingbalanceofthesoldloan,fairvaluechangesonloancommitmentswithratelocksthatareaccountedforasderivatives,fairvaluechangesonmortgageloansheld‐for‐saledesignatedforfairvaluetreatment,lower‐of‐costormarketadjustmentsonmortgageloansheld‐for‐salenotdesignatedforfairvaluetreatment,fairvaluechangesonderivativeinstrumentsusedtohedgeloancommitmentsandheld‐of‐salemortgages,andvalueassociatedwiththeinitialcapitalizationoftheMSRuponsaleoftheloan.Lineitem14HOtherReportallotherfeeincomeandrevenueearnedfrommortgageproductionnotcapturedinitem14G.Lineitem14I ServicingThisitemisashadedcellandisderived,percolumn,fromthesumofitems14J,14K,14L,and14M.Lineitem14J Servicing&AncillaryFeesReportfeesreceivedfromactivitiesrelatingtotheservicingofmortgageloans,including(butnotlimitedto)thecollectionprincipal,interest,andescrowpaymentsfromborrowers;paymentoftaxesandinsurancefromescrowedfunds;monitoringofdelinquencies;executionofforeclosures;temporaryinvestmentoffundspendingdistribution;remittanceoffeestoguarantors,trustees,andothersprovidingservices;andaccountingforandremittanceofprincipalandinterestpaymentstotheholdersofbeneficialinterestsinthefinancialassets.Lineitem14KMSRAmortizationIncludeeconomicamortizationorscheduledandunscheduledpayments,netofdefaultsunderbothFVandLOCOMaccountingmethods.Lineitem14LMSRValueChangesduetoChangesinAssumptions/ModelInputs/OtherNetofHedgePerformanceReportchangesintheMSRvaluehereandnotinanyotheritems.ReportchangesintheMSRhedgeshereandnotinanyotheritems.IncludeMSRchangesunderbothFVandLOCOM
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accountingmethods.Lineitem14MOtherReportallotherrevenueearnedfromservicingactivitiesnotcapturedinlines14Jthrough14L.Lineitem14NProvisionstoRepurchaseReserve/LiabilityforResidentialMortgageRepresentationsandWarranties(contra‐revenue)Reportprovisionstobuildanynon‐litigationreserves/accruedliabilitiesthathavebeenestablishedforlossesrelatedtosoldorgovernment‐insuredresidentialmortgageloans(firstorsecondlien).Donotreportsuchprovisionsinanyotheritems;reportthemonlyinlineitems14Nor30,asapplicable.Excludeallprovisionstolitigationreserves/liabilityforclaimsrelatedtosoldresidentialmortgages(reportinitem29).Lineitem14ORetailandSmallBusinessDepositsThisitemisashadedcellandisderived,percolumn,fromthesumofitems14P,14Qand14R.Reportintheappropriatesub‐itemnoninterestincomefromdomesticbranchbankinganddeposit‐relatedproductsandservicesprovidedtoretailandsmallbusinesscustomers.Includedebitcardrevenuesinthisline.Mayincluderevenuethatisgeneratedondomesticaccountsduetoforeignexchangetransactions.Lineitem14PNon‐SufficientFunds/OverdraftFees–GrossReportnoninterestincomefromfeesearnedfrominsufficientfunddepositbalancesandoverdrawnclientdepositaccounts.Reportbeforeanycontra‐revenues(e.g.,waivers,etc.).Lineitem14QDebitInterchange–GrossReportnoninterestincomefrominterchangefeesearnedondebitcards.Reportbeforeanycontra‐revenues(e.g.,rewards,etc.).Lineitem14ROtherAmongitemsincludedherearedebitcardcontra‐revenuesandoverdraftwaivers,asapplicable.Lineitem14S OtherRetailandSmallBusinessLendingReportnoninterestincomefromotherdomesticretailandsmallbusinesslendingproductsandservices.Theseinclude,butarenotlimitedto,smallbusinesscards,othersmallbusinessloans,autoloans,studentloans,orpersonalunsecuredcredit.Lineitem14TInternationalRetailandSmallBusinessReportnoninterestincomefromretailandsmallbusinessgeneratedoutsideoftheUSandPuertoRico.Includes,butisnotlimitedto,allrevenuesfromcredit/charge/debitcards,mortgages,homeequity,branchanddepositservices,auto,student,andsmallbusinessloans.Lineitem15 CommercialLendingReportnoninterestincomefromlendingproductsandservicesprovidedtobusiness,government,not‐for‐profit,andotherinstitutionalentitiesofmediumsize,aswellastocommercialrealestateinvestorsandowners.Excludetreasury,deposit,andinvestmentbankingservicesprovidedtocommerciallendingclients.
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Lineitem16 InvestmentBankingThisitemisashadedcellandisderived,percolumn,fromthesumofitems16Athrough16D.Reportintheappropriatesub‐itemnoninterestincomegeneratedfrominvestmentbankingservicesprovidedtobusinessandinstitutionalentitiesofbothmediumandlargesize.Includerevenuesfromnewissuesecuritizationsforthirdparties.Lineitem16AAdvisoryCorporatestrategyandfinancialadvisory,suchasservicesprovidedformergersandacquisitions(M&A),restructuring,financialriskmanagement,amongothers.Lineitem16BEquityCapitalMarketsEquityinvestmentbankingservices(e.g.,IPOsorsecondaryofferings).Lineitem16CDebtCapitalMarketsGenerallynon‐loandebtinvestmentbankingservices.Lineitem16DSyndicated/CorporateLendingLendingcommitmentstolargercorporateclients,includingeventortransaction‐drivenlending(e.g.,tofinanceM&A,leveragedbuyouts,bridgeloans).Generally,allsyndicatedlendingoriginationactivityshouldbeincludedhere(notinCommercialLending).Lineitem17 MerchantBanking/PrivateEquityThisitemisashadedcellandisderived,percolumn,fromthesumofitems17Athrough17C.Reportintheappropriatesub‐itemrevenuesfromthesponsorshipof,managementof,orfrominvestingin,distinctlong‐terminvestmentvehicles,suchasrealestatefunds,privateequityfunds,hedgefundsorsimilarvehicles.Alsoincludedirectlong‐terminvestmentsinsecuritiesandassetsmadeprimarilyforcapitalappreciation,orinvestmentswheretheBHCislikelytoparticipatedirectlyincorporategovernance.Donotincluderevenuesfromsales&tradingoperations,corporatelendingoutsideofafundstructure,investinginaHTMorAFSsecuritiesportfolio,brokerageormutualfundoperations.Lineitem17ANetInvestmentMark‐to‐MarketReportthenetgainorlossfromsaleorfromtheperiodicmarkingtomarketofMerchant Banking/PrivateEquityinvestments.Lineitem17BManagementFeesReportfeesandcommissionspaidbythirdpartiestotheBHCinconnectionwithsale,placementorthemanagementofabovedescribedinvestmentactivities.Lineitem17COtherReportanynoninterestincomeitemsnotincludedinitems17Aand17B.AlsoincludetheBHC’sproportionateshareoftheincomeorotheradjustmentsfromitsinvestmentsinequitymethodinvestees.Lineitem18 SalesandTradingThisitemisashadedcellandisderived,percolumn,fromthesumofitems18A,18D,18H,and18K.
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Reportintheappropriatesub‐itemnoninterestincomegeneratedfromsalesandtradingactivities.AnyinterestincomefromcarryshouldbeincludedinSales&Tradingundernetinterestincome.Mayincludeshort‐termtradingmadeforpositioningorprofitgenerationrelatedtotheSales&Tradingactivitiesinthislineitem.Lineitem18AEquitiesThisitemisashadedcellandisderived,percolumn,fromthesumofitems18Band18C.Lineitem18BCommissionandFeesReportcommissions,fees,anddividendsonequityproducts.Excludeprimebrokerageservices.Lineitem18COtherReportallnoninterestincomeforequitiessalesandtrading,excludingprimebrokerage(tobereportedasaseparatelineitem)andexcludingcommissionsandfees.Thisincludestradingprofitsandothernoninterestnon‐commissionincome.Lineitem18DFixedIncomeThisitemisashadedcellandisderived,percolumn,fromthesumofitems18E,18F,and18G.Reportintheappropriatesub‐itemcommissions,fees,andtradinggainsandlossesonrates,credit,andotherfixedincomeproducts.Excludeprimebrokerageservices.Lineitem18ERatesGenerallyU.S.Treasury,investmentgradesovereign,U.S.agencybonds,andinterestrateswaps.RatesrevenuesrelatedtotradingactivitiesoutsideoftheSales&TradingdivisionneednotbeincludedintotheRatestradinginthissection,butdescribewheretheyareallocatedintheBHC’sdocumentationsupportingtheFRY‐14Asubmission.Lineitem18FCreditGenerallycorporatebonds,loans,ABS,muni,emergingmarkets,CDS.IfaBHCclassifiessomeofthecreditrelatedtrading(suchasdistresseddebt)insegmentsotherthan“Sales&Trading,”itcancontinuetoreportitasinitsinternalfinancialreportsbutindicatewheretheyarereportedinthedocumentationsupportingFRY‐14Asubmission.Lineitem18GOtherReportotherfixedincomeproductsifnotincludedabove(e.g.,FX/Currencies).Lineitem18HCommoditiesThisitemisashadedcellandisderived,percolumn,fromthesumofitems18Iand18J.Lineitem18I CommissionandFeesReportcommissions,fees,andtradinggainsandlossesoncommodityproducts.Excludeprimebrokerageservices.Lineitem18J OtherReportothernoninterestincomegeneratedfromcommodityproducts,excludingprimebrokerageservices.
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Lineitem18KPrimeBrokerageThisitemisashadedcellandisderived,percolumn,fromthesumofitems18Land18M.Reportintheappropriatesub‐itemnoninterestincomefromsecuritiesfinancing,securitieslending,custody,clearing,settlement,andotherservicesforhedgefundsandotherprimebrokerageclients.Includeallprimebrokeragerevenuesinthislineandnotinanyotherbusinesssegments/lines.Lineitem18LCommissionandFeesReportcommissionsandfeesonprimebrokerageservices.Lineitem18MOtherReportothernoninterestincomegeneratedfromprimebrokerageservices.Lineitem19 InvestmentManagementThisitemisashadedcellandisderived,percolumn,fromthesumofitems19Aand19B.Reportintheappropriatesub‐itemallnoninterestincomegeneratedfrominvestmentmanagementactivities.Lineitem19AAssetManagementProfessionalmanagementofmutualfundsandinstitutionalaccounts.Institutionalclientsmayincludeendowments,not‐for‐profitentities,governments,andothers.Lineitem19BWealthManagement/PrivateBanking(WM/PB)Professionalportfoliomanagementandadvisoryservicesforindividuals.Individualclientsmaybedefinedasmassmarket,affluent,andhighnetworth.Activitiesmayalsoincludetaxplanning,savings,inheritance,andwealthplanning,amongothers.MayincludedepositandlendingservicestoWM/PBclientshereandretailbrokerageservicesforbothWM/PBandnonWM/PBclients.Lineitem20 InvestmentServicesThisitemisashadedcellandisderived,percolumn,fromthesumofitems20A,20D,and20E.Reportintheappropriatesub‐itemallnoninterestincomegeneratedfrominvestmentservicing.Excludeprimebrokeragerevenues.Lineitem20AAssetServicingThisitemisashadedcellandisderived,percolumn,fromthesumofitems20Band20C.Reportintheappropriatesub‐itemallnoninterestincomefromcustody,fundservices,securitieslending,liquidityservices,collateralmanagement,andotherassetservicing.Includerecordkeepingservicesfor401Kandemployeebenefitplans,butexcludefundingorguaranteeproductsofferedtosuchclients.Lineitem20BSecuritiesLendingReportnoninterestincomegeneratedfromsecuritieslending.Lineitem20COtherReportallothernoninterestincomeassetservicing,excludingsecuritieslending.Lineitem20DIssuerServicesCorporatetrust,shareownerservices,depositoryreceipts,andotherissuerservices.
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Lineitem20EOtherReportnoninterestincomefromclearingandotherinvestmentservicesnotincludedabove.Lineitem21 TreasuryServicesReportcashmanagement,globalpayments,workingcapitalsolutions,depositservices,andtradefinancefrombusinessandinstitutionalentitiesofbothmediumandlargesize.Includewholesaleandcommercialcards.Lineitem22 InsuranceServicesReportallnoninterestincomefrominsuranceactivitiesincluding,butnotlimitedto,individual(e.g.,life,health),autoandhome(propertyandcasualty),titleinsuranceandsuretyinsurance,andemployeebenefitsinsurance.Lineitem23 Retirement/CorporateBenefitProductsReportpremiums,fees,andothernoninterestincomegeneratedfromretirementandcorporatebenefitfundingproducts,suchasannuities,guaranteedinterestproducts,andseparateaccountcontracts.Thefees/revenuesthatmayberecordedherearegenerallygeneratedasaresultoftheBHCacceptingrisksrelatedtoactuarialassumptionsortheestimationofmarketreturnswhereguaranteesoffutureincomestreamshavebeenmadetoclients.Lineitem24 Corporate/OtherReportnoninterestincomeassociatedwith: Capitalandasset‐liabilitymanagement(ALM)activities.Amongotheritems,mayinclude
investmentsecuritiesportfolios(butnotgainsandlossesonAFSandHTMsecurities,includingOTTI,astheseareexcludedfromPPNRbydefinition).Alsomayincludeprincipalinvestmentsupportingthecorporatetreasuryfunctiontomanagefirm‐widecapital,liquidity,orstructuralrisks.
Run‐offorliquidatingbusinesses12(butexcluderetailandsmallbusinessrun‐off/liquidatingbusinesses,perRetailandSmallBusinesssegmentdefinition)
Non‐financialbusinesses(e.g.,publishing,travelservices) Corporatesupportfunctions(e.g.,HumanResources,IT) Othernon‐corerevenuesnotincludedinothersegments(e.g.,intersegmenteliminations).Lineitem25 OptionalImmaterialBusinessSegmentBHCshavetheoptiontoreportlessmaterialbusinesssegmentrevenueinseparatelineitems“OptionalImmaterialBusinessSegments”. Thereportedtotaloptionalimmaterialbusinesssegmentrevenuerelativetototalrevenuecannotexceed10percent.Ifthetotalimmaterialbusinesssegmentrevenuerelativetototalrevenuewouldbegreaterthan10percentinanyofthemostrecentfouractualquartersasprovidedbytheBHCintheFRY‐14Q,reportdataforthelargestbusinesssegmentamongtheimmaterialbusinesssegmentsforallquartersinthePPNRProjectionsandPPNRMetricssub‐schedulessuchthattheamountreportedintheOptionalImmaterialBusinesssegmentslineitemsdoesnotexceed10percent. BHCsshouldprovidecomprehensiveinformationintheSupportigDocumendationonwhichbusinesssegmentsareincludedintheOptionalImmaterialBusinesssegmentslineitemsinbothFRY‐14QandFRY‐14Aschedules,theirrelativecontributiontothetotalsreportedinbothschedulesandthemannerinwhichtherevenueswereprojectedforFRY‐14Apurposes.ListsegmentsincludedinthislineiteminFootnote7.
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Lineitem26 TotalNoninterestIncomeThisitemisashadedcellandisderived,percolumn,fromthesumofitems14,15,16,17,18,19,20,and21through25.ExcludesValuationAdjustmentforfirm'sowndebtunderfairvalueoption(FVO)reportedinitem40andtheresultoftradingshockexercise(whereapplicable),asitisreportedinitem42.Lineitem27 TotalRevenuesThisitemisashadedcellandisderived,percolumn,fromthesumofitems13and26.NoninterestExpenseComponentsNoninterestExpensefiguresaretobebrokenoutasdetailedonthesub‐schedule. ThetotalisexpectedtoreconcilewithwhatwouldbereportedintheFRY‐9Cwhenadjustedforcertainitems.AspresentedonthePPNRsub‐schedules,theadjustmentsincludeexclusionsofgoodwillimpairmentandadjustmentsrelatedtooperationalriskexpenserequiredforPPNRpurposes. Fortherelateditems,referencePPNRProjectionssub‐scheduleandrelatedinstructionsforthelineitems29and41.ExpensedataonthePPNRSubmissionsub‐scheduleareonlyintendedtobereportedasfirm‐wideBHCexpenses,withexceptionoflineitem34A,i.e.MarketingExpenseforDomesticCreditCards. ThislineitemisforDomesticCreditCardsbusinesslineonly. SeethedescriptionoftheDomesticCreditCardbusinesslineintheBusinessSegmentDefinitionssectionofthedocument. IftheWorker’sCompensationexpenseisanexpecteditem,orisregularlybudgetedandpaidoutsimilartoaninsurancepremiumoraccrualofagreed‐uponexpenses,thenaBHCwouldreportitasCompensationexpenseorlineitem28.IftheWorker’sCompensationresultsfromalegalsettlement,orispartofalargepayouttopreventlitigation,solveacomplaint,orsatisfyapenaltyorfine,thenaBHCwouldreportitinlineitem29withOperationalRiskExpenses.Lineitem28 CompensationExpenseThisitemisashadedcellandisderived,percolumn,fromthesumofitems28Athrough28E.Lineitem28ASalaryExcludestockbasedandcashvariablepaycompensationandreportinitems28Dand28E,respectively.Lineitem28BBenefitsExcludestockbasedandcashvariablepaycompensationandreportinitems28Dand28E,respectively.Lineitem28CCommissions.Reportcommissionsonlyin"Commissions"lineitem28C;donotreportcommissionsinanyothercompensationlineitems.Lineitem28DStockBasedCompensation
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ReportallexpensesrelatedtostockbasedcompensationasdefinedbyASCTopic718,Compensation‐StockCompensation(formerlyFASBStatementNo.123(R),Shared‐BasedPayment).Lineitem28ECashVariablePayReportexpensesrelatedtoalldiscretionaryvariablecompensationpaid(ortobepaid)intheformofcash.IncludedeferredvariablecompensationplansnotassociatedwithBHCstock.Lineitem29 OperationalRiskExpenseThisitemisashadedcellandisderived,percolumn,fromtheitemontheOpRiskProjectedLossesSub‐schedule.Alloperationallossitems,includingoperationallossesthatarecontrarevenueamountsorcannotbeseparatelyidentified,shouldbereportedintheoperationalriskexpense.AnylegalconsultationorretainerfeesspecificallylinkedtoanoperationalriskeventshouldbeincludedintheOperationalRiskExpense.Includeallprovisionstolitigationreserves/liabilityforclaimsrelatedtosoldresidentialmortgagesandalllitigationsettlementsandpenaltiesinthislineitemandnotinanyotherlineitem.ThereportingoftheoperationalriskexpenseitemwillnotnecessarilybeconsistentwithFRY‐9Creporting.Lineitem30 ProvisionstoRepurchaseReserve/LiabilityforResidentialMortgageRepresentationsandWarrantiesProvisionstobuildanynon‐litigationreserves/accruedliabilitiesthathavebeenestablishedforlossesrelatedtosoldorgovernment‐insuredresidentialmortgageloans(firstorsecondlien).Donotreportsuchprovisionsinanyotheritems;reportthemonlyinlineitems14Nor30,asapplicable.Excludeallprovisionstolitigationreserves/liabilityforclaimsrelatedtosoldresidentialmortgages(reportinitem29).
Lineitem31 ProfessionalandOutsideServicesExpensesAmongitemsincludedareroutinelegalexpenses(i.e.,legalexpensesnotrelatedtooperationallosses),auditandconsultingfees,andotherfeesforprofessionalservices.Lineitem32 ExpensesofPremisesandFixedAssetsReportexpensesofpremisesandfixedassets,asdefinedintheFRY‐9C,ScheduleHI,item7.b.Lineitem33 AmortizationExpenseandImpairmentLossesforOtherIntangibleAssetsReportamortizationexpenseandimpairmentlossesforotherintangibleassets,asdefinedintheFRY‐9C,ScheduleHI,item7.c.(2).Lineitem34 MarketingExpenseThisitemisashadedcellandisderived,percolumn,fromthesumofitems34Aand34B.Lineitem34ADomesticCreditandChargeCardMarketingExpenseIncludedomesticBHCissuedcreditandchargecards,asdefinedinitem1B,includingthosethatresultfromapartnershipagreement.Includebothdirectandallocatedexpenses.Reportanyexpensesthataremadetoexpandthecompany’scardmemberand/ormerchantbase,facilitategreatersegmentpenetration,enhancetheperceptionofthecompany’screditcardbrand,and/orincreasetheutilizationoftheexistingcardmemberbaseacrossthespectrumofmarketingandadvertisingmediums.
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Lineitem34BOtherReportallmarketingexpensesnotrelatedtodomesticcreditandchargecardscapturedinline34A.Lineitem35 OtherRealEstateOwnedExpenseAllexpensesassociatedwithotherrealestateownedthatwouldnormallybereportedintheFRY‐9C,ScheduleHI,item7.d.,‘‘Othernoninterestexpense’’.Lineitem36 ProvisionforUnfundedOff‐BalanceSheetCreditExposures(tobuild/decreaseitem141(BHCKB557)inBalanceSheet)Reporttheprovisionforcreditlossesonoff‐balancesheetcreditexposuresnormallyreportedasoneoftheitemsinFRY‐9C,ScheduleHI,item7.d.Lineitem37 OtherNoninterestExpenseProvideafurtherbreakoutofsignificantitemsincludedinOtherNoninterestExpenseinfootnote4,suchthatnomorethan5%ofNoninterestExpensearereportedwithoutfurtherbreakout.Reportthelineitembreakoutforthecombined9quartersofprojected“Othernoninterestexpense”(lineitem37).AquarterlybreakoutofthesedatashouldbeincludedintheSupportingDocumentation.Lineitem38 TotalNoninterestExpenseThisitemisashadedcellandisderived,percolumn,fromthesumofitems28,29through34,and35through37.ExcludesGoodwillImpairmentincludedinitem41.Lineitem39 ProjectedPPNRThisitemisashadedcellandisderived,percolumn,fromitem27less38.Bydefinition,PPNRwillcalculateasnetinterestincomeplusnoninterestincomelessnoninterestexpense,excludingitemsbrokenoutinitems40and41.Lineitem40 ValuationAdjustmentforFirm’sOwnDebtUnderFairValueOption(FVO)ListsegmentsfromwhichitemwasexcludedinFootnote9.Infootnote27,listFRY‐9C,ScheduleHIitemsinwhichthisamountisnormallyreportedandhasbeenexcludedfrominthisreportingview.Lineitem41 GoodwillImpairmentReportimpairmentlossesforgoodwill,asdefinedintheFRY‐9C,ScheduleHI,item7.c.(1).UnderGAAP(ASC350‐20‐35‐30),"Goodwillofareportingunitshallbetestedforimpairmentbetweenannualtestsifaneventoccursorcircumstanceschangethatwouldmorelikelythannotreducethefairvalueofareportingunitbelowitscarryingamount."However,itisacceptableforpurposesofthisexercisetoprovideannualestimatesaslongastheresultingquarterlycapitalprojectionswouldnotdiffermateriallyfromthosegeneratedusingquarterlyimpairmentprojections.Lineitem42 LossResultingfromTradingShockExercise(ifapplicable)Thisitemisashadedcellandisderived,percolumn,fromthesumofitems58through62ontheSub‐schedule1.a,IncomeStatement.BHCsshouldnotreportchangesinvalueoftheMSRassetorhedgeswithinthetradingbook.ListsegmentsfromwhichitemwasexcludedinFootnote25.
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A.7.b—PPNRNetInterestIncome(NII)Sub‐scheduleBHCsforwhichdepositscomprise25percentormoreoftotalliabilitiesforanyperiodreportedinanyofthefourmostrecentFRY‐14QarerequiredtosubmittheNetInterestIncomesub‐schedule.BHCsshouldcompletenon‐shadedcellsonly;allshadedcellswithembeddedformulaswillself‐populate.Thissub‐schedulerequiresBHCstoprovideaverageassetandliabilitybalancesandaverageyieldstocalculatenetinterestincome.Thetotalnetinterestincomecalculatedshouldequalthetotalnetinterestincomereportedusingabusinesssegment/lineviewinthePPNRProjectionssub‐schedule.Theaveragebalancesandratesaremeanttoreflecttheaverageovereachquarterasbestaspossible.TheFederalReserveunderstandsthatbecauseofchangesinbalancesovertheperiod,thesimplemultiplicationofaverageloanratesandbalancesmaynotyieldtheactualinterestincome.Inthesecases,theBHCsmayreporttheaverageloanratesothatitequalsaweightedaveragerateovertheperiodandtheinterestincometotalforeachquarterreflectshistoricalresultsortheBHC'sprojection,asapplicable.Iftheaverageratesaremateriallyimpactedbylargeshiftsinbalancesovertheperiod,highlightthisindocumentationsupportingtheFRY‐14Asubmission.Ratesonthissub‐scheduleareintendedtoprovideaproductlevelviewexclusiveoftransferpricingactivityandshouldbereportedonagrossbasis.ThereportingofnetinterestincomeonthePPNRProjectionsandPPNRSubmissionSub‐schedulesprovideabusinesslineviewandshouldbereportednetoftransferpricingadjustments.AverageAssetsBHCsshouldreferenceFRY‐9CandotherdefinitionsprovidedinthePPNRNetInterestIncomesub‐schedulewhencompletingthissection. Aligntheassetcategoriesdefinitions,wherenoFRY9Ccodeisprovided,withthoseontheBalanceSheetsub‐scheduleoftheFRY‐14ASummarySchedule.TheFRY‐9Ccodereferencesareintendedonlytoprovideguidanceforthetypesofitemstobeincludedorexcluded;butNOTthetypeofbalancetobeprovided.Allrequestedbalanceitemsareaverages.Inthecaseofloans,aligndefinitionswiththe“totalloans”sectionoftheBalanceSheetsub‐schedule.IncludepurchasedcreditimpairedloansPCIloanbalancesandtheinterestincomerecognizedontheseloans.However,reporttheaggregateofallnonaccrualloansaslineitem9,ratherthanincludingthemineachloantype.Althoughnonaccrualloansarereportedinaggregateforreportingpurposes,BHCsareencouragedtoprovidedetailsonthenonaccrualloansbyBalanceSheetsub‐scheduledefinition,ifavailable,inthedocumentationsupportingtheirFRY‐14Asubmission.BalancesheetforecastsareintendedtobereportedinamannerconsistentwithhowtheBHCreportssuchbalancesontheFR‐Y9CbasedontheBHCKreferencesinthenotescolumnofthebalancesheetsub‐schedule,orotherwiseinaccordancewithFRY‐14Areportinginstructionswherenoreferencesareprovided.SuchbalancesshouldthenbereportedconsistentlyonthePPNRNetIISub‐schedule(inbothFRY‐14AandFRY‐14Qschedules).Ifthisreportingresultsin
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recordingcertainnon‐earningassetsintheaveragetradingassetslineonthePPNRNetIIsub‐schedule(oranyotherlineitemwithanassociatedrate),aBHCshouldsimplyreducetheweightedaveragerateappliedtothatbalancetoensurethatincomeforecastsarecalculatedappropriately.AveragebalancesonthePPNRNetInterestIncomesub‐schedules(bothonFRY‐14QandFRY‐14A)areintendedtobereportedinamannerconsistentwithitemsontheBalanceSheetsub‐scheduleofFRY‐14Aschedule.Assuch,averageassetbalancesonPPNRNetInterestIncomesub‐schedulearetoreconciletoaverageofassetbalancesbasedonFRY‐9CBHCK2170(whichreflectsfairvalueofAFSsecurities).Lineitem1 FirstLienResidentialMortgages(indomesticoffices)Reporttheaveragebalanceoffirstlienresidentialmortgagesindomesticoffices(asdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(2)(a),columnB).Lineitem2 Second/JuniorLienResidentialMortgages(indomesticoffices)Thisitemisashadedcellandisderived,percolumn,fromthesumofitems2Aand2B.Lineitem2A Closed‐EndJuniorLiensReporttheaveragebalanceofsecond/juniorlienresidentialmortgagesindomesticoffices(asdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(2)(b),columnB).Lineitem2B HomeEquityLinesofCredit(HELOCs)Reporttheaveragebalanceofhomeequitylinesofcreditindomesticoffices(asdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(1),columnB).Lineitem3 C&ILoansReporttheaveragebalanceofC&IGraded,SmallBusiness(Scored/DelinquencyManaged),CorporateCard,andBusinessCardloans.Lineitem4 CRELoans(indomesticoffices)ReporttheaveragebalanceofCREloansindomesticofficesasdefinedintheFRY‐9C,ScheduleHC‐C,items1.a.(1),1.a.(2),1.d,1.e.(1),and1.e.(2),columnB.Lineitem5 CreditCardsReporttheaveragebalanceofcreditcards(asdefinedintheFRY‐9C,ScheduleHC‐C,item6.a,columnA).Lineitem6 OtherConsumerThisitemisashadedcellandisderived,percolumn,fromthesumofitems6Athrough6C.Lineitem6A AutoLoansReporttheaveragebalanceofautoloansasdefinedintheFRY‐9C,ScheduleHC‐C,item6.c,columnA.Lineitem6B StudentLoansReporttheaveragebalanceofstudentloans.
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Lineitem6C Other(includingloansbackedbysecurities(non‐purposelending))Reporttheaveragebalanceofotherloans.Lineitem7 RealEstateLoans(notindomesticoffices)Thisitemisashadedcellandisderived,percolumn,fromsumofitems7Aand7B.(Also,definedasFRY‐9C,ScheduleHC‐C,item1,columnA,lessaboveitems1,2,5,andFRY‐9C,ScheduleHC‐C,item1.b,columnB.)Lineitem7A ResidentialMortgages(firstandsecondlien)Reporttheaveragebalanceoffirstandsecondlienresidentialmortgagesnotindomesticoffices.Lineitem7B OtherReporttheaveragebalanceofotherrealestateloansnotindomesticoffices.Lineitem8 OtherLoansandLeasesReporttheaveragebalanceofotherloansandleases.IncludeloanssecuredbyfarmlandasdefinedinFRY‐9C,ScheduleHC‐C,item1.b,columnB,andotherloansnotaccountedforintheabovecategories.IftotalnetinterestincomedoesnotreconciletoFRY‐9CtotalperPPNRdefinitionusingfairvalueaveragebalancesforAFSsecurities,use“Other”balances(lineitems15and38)andcorrespondingrates(lineitems31and46)tooffsetthedifference.Lineitem9NonaccrualLoansReporttheaveragebalanceofnonaccrualloans,asdefinedintheFRY‐9C,ScheduleHC‐N,itemitem10(ColumnC)lessScheduleHC‐N,item9(ColumnC).Institutionsaretoprovideadditionaldetailswithinthesupportingdocumentation;thecompositionofthenon‐accrualloansbykeyloantypeoverthereportedtimeperiodsforeachofthescenarios.Lineitem10Securities(AFSandHTM)–TreasuriesandAgencyDebenturesReporttheaveragebalanceofAFS/HTMbalancesinTreasuryandAgencydebentures,asdefinedintheFRY‐9C,ScheduleHC‐B,items1,2.aand2.b,columnsAandD.Lineitem11Securities(AFSandHTM)–AgencyRMBS(bothCMOsandpass‐throughs)ReporttheaveragebalanceofAFS/HTMbalancesinAgencyRMBS,asdefinedintheFRY‐9C,ScheduleHC‐B,items4.a.(1),4.a.(2),4.b.(1)and4.b.(2),columnsAandD.
Lineitem12Securities(AFSandHTM)‐OtherReporttheaveragebalanceofallAFS/HTMinvestmentsnotreportedinitems10and11,definedintheFRY‐9C,ScheduleHC,items2.aand2.blessNetIISub‐scheduleitems10&11.
Lineitem13 TradingAssets.ReporttheaveragebalanceoftradingassetsasdefinedintheFRY‐9C,ScheduleHC‐K,item4.a.Lineitem14 DepositswithBanksandOtherReporttheaveragebalanceofdepositswithbanks.Lineitem15 OtherInterest/Dividend‐BearingAssetsReporttheaveragebalanceofotherinterest/dividend‐bearingassetnotaccountedforintheabove
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categories(e.g.FedFundsSold,Repos,etc.).InFootnote2,breakoutandexplainnatureofsignificantitemsincludedinotheraverageinterest‐bearingassetbalancessuchthatnomore5%oftotalaverageinterest‐bearingassetbalancesarereportedwithoutafurtherbreakout.Lineitem16OtherAssetsReporttheaveragebalanceofallnon‐interestbearingassets.Line16oftheNetInterestIncomeSub‐scheduleisintendedforaBHCtoreportnoninterestbearingassets,andaccordinglyisexcludedfromthecalculationofinterestincome.Lineitem17 TotalAverageAssetBalancesThisitemisashadedcellandisderived,percolumn,fromsumofitems1,2,3through6,7,and8through16,asdefinedintheFRY‐9C,ScheduleHC,item12.AverageRatesEarnedAllratesareannualized.Lineitem18 FirstLienResidentialMortgages(indomesticoffices)ReporttheearnedaveragerateoffirstlienresidentialmortgagesindomesticofficesasdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(2)(a),columnB.Lineitem19 Second/JuniorLienResidentialMortgages(indomesticoffices)Thisitemisashadedcellandisderived,percolumn,fromsumofitems19Aand19B.Lineitem19AClosed‐EndJuniorLiensReporttheearnedaveragerateofsecond/juniorlienresidentialmortgagesindomesticofficesasdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(2)(b),columnB.Lineitem19BHomeEquityLinesofCredit(HELOCs)ReporttheearnedaveragerateofhomeequitylinesofcreditindomesticofficesasdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(1),columnB.Lineitem20 C&ILoans(excludingsmallbusiness(scored/delinquencymanaged)Reportearnedaveragerateoflargecommercialcreditsandsmallbusiness(graded)loans.NotethatthedefinitionsforLargeCommercialCreditsandSmallBusiness(Graded)arealignedwithBalanceSheetdefinitions(e.g.,inthecurrentreports,consistentwithCCAR2012BalanceSheetsub‐schedule).Lineitem21 CRELoans(indomesticoffices)ReporttheearnedaveragerateofCREloansindomesticofficesasdefinedintheFRY‐9C,ScheduleHC‐C,items1.a.(1),1.a.(2),1.d,1.e.(1),and1.e.(2),columnB.Lineitem22 CreditCardsReportearnedaveragerateofcreditcardsasdefinedintheFRY‐9C,ScheduleHC‐C,item6.a,columnA.Lineitem23 OtherConsumer
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Thisitemisashadedcellandisderived,percolumn,fromthesumofitems23Athrough23C.Lineitem23AAutoLoansReportearnedaveragerateofautoloansasdefinedintheFRY‐9C,ScheduleHC‐C,item6.c,columnA.Lineitem23BStudentLoansReportearnedaveragerateofstudentloans.Lineitem23COther,incl.loansbackedbysecurities(non‐purposelending)Reportearnedaveragerateofotherloans.Lineitem24 RealEstateLoans(notindomesticoffices)Item24isashadedcellandisderived,percolumn,fromsumofitems24Aand24B.(Also,definedasFRY‐9C,ScheduleHC‐C,item1,columnA,lessaboveitems18,19,21,andFRY‐9C,ScheduleHC‐C,item1.b,columnB.)Lineitem24AResidentialMortgages(firstandsecondlien)Reporttheearnedaveragerateoffirstandsecondlienresidentialmortgagesnotindomesticoffices.Lineitem24BOtherReporttheearnedaveragerateofotherrealestateloansnotindomesticoffices.Lineitem25 OtherLoansandLeasesReporttheearnedaveragerateofotherloansandleases.IncludeloanssecuredbyfarmlandasdefinedinScheduleHC‐C,FRY‐9C,ScheduleHC‐C,item1.b,columnB,andotherloansnotaccountedforintheabovecategories.IftotalnetinterestincomedoesnotreconciletoFRY‐9CtotalperPPNRdefinitionusingfairvalueaveragebalancesforAFSsecurities,use“Other”balances(lineitems15and38)andcorrespondingrates(lineitems27and43)tooffsetthedifference.Lineitem26 NonaccrualLoansReporttheearnedaveragerateofnonaccrualloans.Interestincomeearnedonnonaccrualbalancesisgenerallyexpectedtobesmall.Lineitem27 Securities(AFSandHTM)–TreasuriesandAgencyDebenturesReporttheearnedaveragerateearnedonAFS/HTMbalancesinTreasuryandAgencydebentures.Lineitem28Securities(AFSandHTM)–AgencyRMBS(bothCMOsandpass‐throughs)ReporttheearnedaveragerateearnedonAFS/HTMbalancesinAgencyRMBS.Lineitem29Securities(AFSandHTM)‐OtherReporttheearnedaveragerateearnedonallotherAFS/HTMbalances.Lineitem30 TradingAssetsReporttheearnedaveragerateoftradingassetsasdefinedintheFRY‐9C,ScheduleHC‐K,item4.a.
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Lineitem31 DepositswithBanksandOtherReporttheearnedaveragerateofdepositswithbanks.
Lineitem32 OtherInterest/Dividend‐BearingAssetsReporttheearnedaveragerateofotherinterest/dividend‐bearingassetnotaccountedforintheabovecategories.Lineitem33 TotalInterestIncomeThisitemisashadedcellandisderived,percolumn,fromsumoftheproductsofitems1and18,2and19,2Aand19A,2Band19B,3and20,4and21,5and22,6Aand23A,6Band23B,6Cand23C,7Aand24A,7Band24B,8and25,9and26,10and27,11and28,12and29,13and30,14and31,&15and32annualized.AverageLiabilityBalancesFortheclassificationofdomesticandforeigndepositliabilities,BHCsshouldreportbasedoninternaldefinitions(thosedeemedtobestrepresentthebehaviorcharacteristicsofdeposits).Forallotherliabilities,BHCshouldreferenceFRY‐9CandotherdefinitionsprovidedinthePPNRNetinterestIncomesub‐schedulewhencompletingthissection.Lineitem34 Deposits‐DomesticThisitemisashadedcellandisderived,percolumn,fromsumofitems34Athrough34E.AsumofaveragedomesticandforeigndepositsshouldbeequaltoasumofaverageFRY‐9C,ScheduleHC,items13.a.(1),13.a.(2),13.b.(1),and13.b.(2).Lineitem34ANoninterest‐bearingDemandReportbalancesusinginternaldefinitions.Lineitem34BMoneyMarketAccountsReportbalancesusinginternaldefinitions.Lineitem34CSavingsReportbalancesusinginternaldefinitions.Lineitem34DNegotiableOrderofWithdrawal(NOW),AutomaticTransferService(ATS),andotherTransactionAccountsReportbalancesusinginternaldefinitions.Lineitem34ETimeDepositsReportbalancesusinginternaldefinitions.Lineitem35 Deposits‐ForeignThisitemisashadedcellandisderived,percolumn,fromthesumofitems35Aand35B.AsumofaveragedomesticandforeigndepositsshouldbeequaltoasumofaverageFRY‐9C,ScheduleHC,items13.a.(1),13.a.(2),13.b.(1),and13.b.(2).
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Lineitem35AForeignDepositsReportbalancesusinginternaldefinitions.Lineitem35BForeignDeposits‐TimeReportbalancesusinginternaldefinitions.Lineitem36 FedFunds,Repos,&OtherShortTermBorrowingThisitemisashadedcellandisderived,percolumn,fromthesumofitems36Athrough36C.
Lineitem36AFedFundsReporttheaveragebalanceofFedFundspurchasedindomesticofficesasdefinedintheFRY‐9C,ScheduleHC,item14.a.Lineitem36BReposReporttheaveragebalanceofSecuritiessoldunderagreementtorepurchaseasdefinedintheFRY‐9C,ScheduleHC,item14.b.Lineitem36COtherShortTermBorrowingReporttheaveragebalanceofliabilitiesreportedasotherborrowedmoneyandsubordinatednotesanddebentures(asdefinedintheFRY‐9C,ScheduleHC,items16anditems19.a.whichthefirmwoulddefineasshorttermborrowings).
Asumoflineitems36C(“othershorttermborrowing”)and39(“otherinterestbearingliabilities”)equalsasumofaverageBHCK3190,averageBHCK4062,andaverageinterest‐bearingliabilitiesreportedinBHCK2750;lineitem40(“otherliabilities”)capturesaveragenon‐interestbearingliabilitiesinBHCK2750.
Lineitem37 TradingLiabilitiesReporttheaveragebalanceofTradingLiabilitiesasdefinedintheFRY‐9C,ScheduleHC,item15.
Lineitem38 SubordinatedNotesPayabletoUnconsolidatedTrustsIssuingTrustPreferredSecurities(TruPS)andTruPSIssuedbyConsolidatedSpecialPurposeEntitiesReporttheaveragebalanceofPreferredSecurities(TruPS)andTruPSIssuedbyConsolidatedSpecialPurposeEntitiesasdefinedintheFRY‐9C,ScheduleHC,item19b.
Lineitem39OtherInterest‐BearingLiabilitiesReporttheaveragebalanceofliabilitiesreportedasOtherBorrowedMoneyandSubordinatedNotesandDebenturesasdefinedintheFRY‐9C,ScheduleHC,items16anditems19awhicharenotalreadyreportedinlineitem35cOtherShortTermBorrowing.Thisincludesalllong‐termdebtnotincludedinlineitem38above.Asumoflineitems36C(“othershorttermborrowing”)and39(“otherinterestbearingliabilities”)equalsasumofaverageBHCK3190,averageBHCK4062,andaverageinterest‐bearingliabilitiesreportedinBHCK2750;lineitem40(“otherliabilities”)capturesaveragenon‐interestbearingliabilitiesinBHCK2750.
Lineitem40OtherLiabilitiesReporttheaveragebalanceofliabilitiesreportedasOtherLiabilitiesasdefinedintheFRY‐9C,ScheduleHC,item20.Asumoflineitems36C(“othershorttermborrowing”)and39(“other
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interestbearingliabilities”)equalsasumofaverageBHCK3190,averageBHCK4062,andaverageinterest‐bearingliabilitiesreportedinBHCK2750;lineitem40(“otherliabilities”)capturesaveragenon‐interestbearingliabilitiesinBHCK2750.
Lineitem41 TotalAverageLiabilityBalancesThisitemisashadedcellandisderived,percolumn,fromsumofitems34,35,36,and37to40.AverageLiabilityRatesAllratesareannualized.Lineitem42 Deposits—DomesticThisitemisashadedcellandisderived,percolumn,fromsumofitems42Athrough42E.Lineitem42ANoninterest‐bearingDemandThisitemisashadedcell;ratesareequaltozerobydefinition.Lineitem42BMoneyMarketAccountsReporttheearnedaveragerateofMoneyMarketAccountsreportedinitem34B.
Lineitem42CSavingsReporttheearnedaveragerateofSavingsAccountsreportedinitem34C.
Lineitem42DNegotiableOrderofWithdrawal(NOW),AutomaticTransferService(ATS),andotherTransactionAccountsReporttheearnedaveragerateofNegotiableOrderofWithdrawal(NOW),AutomaticTransferService(ATS),andotherTransactionAccountsreportedinitem34D.
Lineitem42ETimeDepositsReporttheearnedaveragerateofTimeDepositsreportedinitem34E.
Lineitem43 Deposits‐ForeignThisitemisashadedcellandisderived,percolumn,fromthesumofitems43Aand43B.Lineitem43AForeignDepositsReporttheearnedaveragerateofForeignDepositsreportedinitem35A.Lineitem43BForeignDeposits‐TimeReporttheearnedaveragerateofForeignDeposits—Timereportedinitem35B.Lineitem44 FedFunds,Repos,&OtherShortTermBorrowingThisitemisashadedcellandisderived,percolumn,fromthesumofitems44Athrough44C.Lineitem44AFedFundsReporttheaverageratepaidforFedFundspurchasedindomesticofficesasdefinedintheFRY‐9C,ScheduleHC,item14a.
Lineitem44BReposReporttheaverageratepaidforSecuritiesSoldunderagreementstorepurchaseasdefinedinthe
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FRY‐9C,ScheduleHC,item14b.
Lineitem44COtherShortTermBorrowingReporttheaverageratepaidonliabilitiesreportedasotherborrowedmoneyandsubordinatednotesanddebenturesasdefinedintheFRY‐9C,ScheduleHC,items16anditems19awhichthefirmdefinedasshorttermborrowings.
Lineitem45 TradingLiabilitiesReporttheaveragerateofTradingLiabilitiesasdefinedintheFRY‐9C,ScheduleHC,item15.
Lineitem46 SubordinatedNotesPayabletoUnconsolidatedTrustsIssuingTrustPreferredSecurities(TruPS)andTruPSIssuedbyConsolidatedSpecialPurposeEntitiesReporttheaveragerateofPreferredSecurities(TruPS)andTruPSIssuedbyConsolidatedSpecialPurposeEntitiesasdefinedintheFRY‐9C,ScheduleHC,item19b.
Lineitem47 OtherInterest‐BearingLiabilitiesReporttheaverageratepaidontheliabilitiesreportedasotherborrowedmoneyandsubordinatednotesanddebenturesasdefinedintheFRY‐9C,ScheduleHC,items16and19awhichthefirmdefinedasOtherInterestBearingLiabilities.Lineitem48 TotalInterestExpenseThisitemisashadedcellandisderived,percolumn,fromsumoftheproductsofitems34Aand42A,34Band42B,34Cand42C,34Dand42D,34Eand42E,35Aand43A,35Band43B,36Aand44A,36Band44B,36Cand44C,37and45,38and46,and39and47,annualized.Lineitem49 TotalNetInterestIncomeThisitemisashadedcellandisderived,percolumn,fromitem33minusitem48.AmountshouldequalSub‐schedule7.a,PPNRSubmissionSub‐schedule,item13.
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A.7.c—PPNRMetricsThePPNRMetricssub‐schedulerequestsinformationoncertainmetricsrelevantfortheassessmentofvariouscomponentsofPPNR.ElementsinSectionCofthePPNRMetricssub‐schedule(lineitems53through87andeither884Aor88B&C)arerequiredonlyforBHCsthatmustcompletetheNetInterestIncomesub‐schedule.AllothermetricsarerequiredofallBHCs,subjecttoapplicablethresholds.MetricsinSectionA,"MetricsbyBusinessSegment/Line,"correspondtoBusinessSegments/LinesonPPNRSubmissionsub‐schedule.Incontrast,SectionsBandCarebothforfirm‐widemetrics.Inprovidingindustrymarketsizeinformation,BHCscanusethirdpartydataandarenotrequiredtoindependentlyderivethesemetrics. Anysupportinginformationshouldbedescribedindetail,includingthedatasource,andcorrespondingdatashouldbeprovidedinthesub‐schedule.ABHC,ifrelyinguponthirdpartydataforbuildingprojections,shouldstillbecognizantofhowtheirestimateswouldbeappropriateacrosstherangeofassumedmacro‐economicconditionsinvariousscenariosorifsomeadjustmentmaybeappropriate.BHCsshoulduseinternaldefinitionsofproprietarytradingandclearlydescribethecoveredactivitiesandtransactionsinmethodologynarratives.IfaBHCisunabletoprovideametriconthePPNRMetricssub‐schedule,itshouldofferadataseriesforalternativemetricsthatareconsideredbytheBHCinprojectingtherelevantcomponent(s)ofPPNRandincludeintheSupportingDocumentationrequiredwiththeFR‐14AProjectionsadiscussionofwhythestandardmetriccouldnotbeprovided.SectionA. MetricsbyBusinessSegment/Line(unlessspecifiedotherwise,allnumbersareglobal)."MetricsbyBusinessSegment/Line"correspondtoBusinessSegments/LinesonthePPNRSubmissionSub‐schedule.ThismeansthateachmetricisreflectiveofrevenuesreportedonthePPNRSubmissionsub‐scheduleforagivenbusinesssegment/line,unlessexplicitlystatedotherwise.RetailandSmallBusinessSegmentDomesticForlineitems1through9,domesticincludesU.S.andPuertoRicoonly.CreditandChargeCardsLineitem1 TotalOpenAccounts–EndofPeriodReportnumberoftotalopenaccountsattheendofperiodforcreditandchargecards.Lineitem2 CreditandChargeCardPurchaseVolumeReportcreditandchargecardpurchasevolume,netofreturns.Excludecashandbalancetransfervolumes.
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Lineitem3 CreditandChargeCardRewards/PartnerSharingExpenseReportcreditcardrewards/partnersharingexpenseforcreditandchargecards.InFootnote23,listwhichlineitem(s)onPPNRSubmissionSub‐schedulecontain(s)theCardsRewards/PartnerSharingcontra‐revenuesand/orexpenses.Noteifthisitemincludesanycontra‐revenuesotherthanRewards/PartnerSharing(e.g.MarketingExpenseAmortization)infootnote34.MortgagesandHomeEquity Lineitem4 AverageThird‐PartyResidentialMortgagesServicedReporttheaverageoutstandingprincipalbalanceforresidentialmortgageloanstheBHCservicesforothers.Lineitem5 ResidentialMortgageOriginationsIndustryMarketSize–VolumeReporttotalvolumeofdomesticmortgagesthatoriginatedduringthequarter.ABHCwouldprovideUSindustry‐wideoriginationvolume($millions)forclosed‐endloanssecuredbyfirstlienson1to4familyresidentialpropertiesduringagivenquarter.Thiswouldnotincludeanyhomeequityloansorlinesofcredit.Lineitem6 MortgagesandHomeEquitySoldDuringtheQuarterReportfirstandjuniorlienmortgagesandhomeequityloanssoldduringthequarterasdefinedinFRY‐9C,ScheduleHC‐P,items3.a,3.b,3.c.(1),3.c.(2).FRY‐9Cnameis"ResidentialMortgagesSoldDuringtheQuarter";thismetricneednotbelimitedtoMortgagesandHomeEquitybusinessline.Lineitem7 ServicingExpensesReportexpensesforservicingfirstandjuniorlienmortgagesandhomeequityloans.Includebothdirectandallocatedexpenses.RetailandSmallBusinessDepositsLineitem8 TotalOpenCheckingandMoneyMarketAccounts–EndofPeriodReportonlythenumberofcheckingandmoneymarketaccountsthataredepositaccountsunderFRY‐9Cguidanceandareconsistentwiththedefinitionsprovidedfor“Retailandsmallbusinessbankingandlendingservices”segmentand“Retailandsmallbusinessdeposits”businesslinewithinthissegmentinthePPNRinstructions.Lineitem9 DebitCardPurchaseTransactionsReportnumberoftransactions(notdollarvalue).InternationalRetailandSmallBusinessInternationalretailandsmallbusinesslocatedinregionsoutsidetheU.S.andPuertoRico.
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Lineitem10 CreditandChargeCardRevenuesProvidemetricsdataforallquarters,butonlyifinternationalretailandsmallbusinesssegmentrevenuesexceeded5%oftotalretailandsmallbusinesssegmentandtotalretailandsmallbusinessrevenueexceeded5%oftotalrevenuesinanyofthelastfouractualquartersrequestedinthePPNRschedule.InvestmentBankingSegmentOnlyfirmsthatreportgreaterthan$100millionanyprojectedquarterinitem16,InvestmentBanking,ofScheduleA.7.a(PPNRProjections)shouldreporttheinvestmentbankingmetricsbelow(Lines11to26).Lineitem11 NumberofEmployeesReportthenumberoffull‐timeequivalentemployeesatendofcurrentperiodasdefinedintheFRY‐9C,ScheduleHI,Memorandumitem5,forinvestmentbankingsegment.Lineitem12 Compensation–TotalIncludebothdirectandallocatedexpensesforinvestmentbankingsegment.Lineitem13 StockBasedCompensationandCashVariablePayIncludebothdirectandallocatedexpensesforinvestmentbankingsegment.AdvisoryLineitem14 DealVolumeReporttheglobaldollarvolumeofallcompleteddealsforthereportingBHC.Lineitem15 IndustryMarketSize‐FeesReportglobalfeesearnedbyallrelevantindustryparticipantsinthisarea.Lineitem16 IndustryMarketSize‐CompletedDealVolumeReporttheglobaldollarvolumeofcompleteddealsforallrelevantindustryparticipants.Lineitem17 BacklogAglobalbacklogshouldbebasedonprobabilityweightedfees.Thedatashouldbeconsistentwithhistoricalinternalreporting,notbymarketmeasurement.ThelastquartershouldbetheBHC’slatestbacklogestimate.Backlogreportingisnotrequiredonaprojectionsbasis.EquityCapitalMarketsLineitem18 DealVolumeReporttheglobaldollarvolumeofalldealsforthereportingBHC.Lineitem19 IndustryMarketSize–Fees
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Reportglobalfeesearnedbyallrelevantindustryparticipantsinthisarea.Lineitem20 IndustryMarketSize‐VolumeReportglobaldollarvolumeofcompleteddealsforallrelevantindustryparticipants.DebtCapitalMarketsLineitem21 DealVolumeReporttheglobaldollarvolumeofalldealsforthereportingBHC.Lineitem22 IndustryMarketSize–FeesReportglobalfeesearnedbyallrelevantindustryparticipantsinthisarea.Lineitem23 IndustryMarketSize–VolumeReporttheglobaldollarvolumeofcompleteddealsforallrelevantindustryparticipants.SyndicatedLendingLineitem24DealVolumeReporttheglobaldollarvolumeofalldealsforthereportingBHC.Lineitem25IndustryMarketSize‐FeesReportglobalfeesearnedbyallrelevantindustryparticipantsinthisarea.Lineitem26IndustryMarketSize‐VolumeReporttheglobaldollarvolumeofcompleteddealsforallrelevantindustryparticipants.SalesandTradingSegmentLineitem27NumberofEmployeesReportthenumberoffull‐timeequivalentemployeesatendofcurrentperiodasdefinedintheFRY‐9C,ScheduleHI,Memorandumitem5,forsalesandtradingsegment.Lineitem28Compensation–TotalIncludebothdirectandallocatedexpensesforsalesandtradingsegment.Lineitem29StockBasedCompensationandCashVariablePayIncludebothdirectandallocatedexpensesforsalesandtradingsegment.EquitiesLineitem30AverageAssetBalanceReportaverageassetbalanceforthequarterofallmark‐to‐marketassetsassociateddirectlywith
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theequitysalesandtradingbusinesses.FixedIncomeLineitem31AverageAssetBalanceReportaverageassetbalanceforthequarterofallmark‐to‐marketassetsassociateddirectlywiththefixedincomesalesandtradingbusinesses.CommoditiesLineitem32AverageAssetBalanceReportaverageassetbalanceforthequarterofallmark‐to‐marketassetsassociateddirectlywiththecommoditiessalesandtradingbusinesses.PrimeBrokerageLineitem33AverageClientBalancesReportthegrossedup"interestbalances"thatresultfromprimebrokerageactivities.Lineitem34TransactionVolumeReporttotaldollarvolumeofalltransactionsduringthequarter.InvestmentManagementSegmentAssetManagementLineitem35AUM–TotalThisitemisashadedcellandisderived,percolumn,fromthesumofitems35Athrough35C.Lineitem35AAUM–EquitiesReporttotalassetsundermanagementforwhichtheinvestmentmandate/strategyisprimarilyequities.Lineitem35BAUM–FixedIncomeReporttotalassetsundermanagementforwhichtheinvestmentmandate/strategyisprimarilyfixedincome.Lineitem35CAUM–OtherReporttotalassetsundermanagementforwhichtheinvestmentmandate/strategycannotbeclassifiedaseitherEquitiesorfixedincome.Forexample,includealternativeinvestments,currencyproducts,etc.
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Lineitem36NetInflows/OutflowReportimpactofnetinflows/outflowsonassetsundermanagement.
WealthManagement/PrivateBankingLineitem37FeeEarningClientAssets–TotalThisitemisashadedcellandisderived,percolumn,fromthesumofitems37Athrough37C.Lineitem37AFeeEarningClientAssets–EquitiesReporttotalFeeEarningClientAssetsinvesteddirectlyorindirectlyprimarilyinequities.Lineitem37BFeeEarningClientAssets–FixedIncomeReporttotalFeeEarningClientAssetsinvesteddirectlyorindirectlyprimarilyinfixedincome.Lineitem37CFeeEarningClientAssets–OtherReporttotalFeeEarningClientAssetsforwhichtheinvestmentcannotbeclassifiedaseitherEquitiesorfixedincome.Forexample,includesometypesofalternativeinvestments,currencyproducts,etc.Lineitem38NetInflows/OutflowReportimpactofnetinflows/outflowsonFeeEarningClientAssets.Lineitem39NumberofFinancialAdvisorsProvidearelevantheadcountnumber(e.g.financialadvisors,portfoliomanagers)tofacilitatetheassessmentofrevenueproductivityintheWealthManagement/PrivateBankingbusinessline.InvestmentServicesSegmentAssetServicingLineitem40AssetsunderCustodyandAdministrationReporttotalassetsundercustodyandadministrationasoftheendofthequarter.SectionB. FirmWideMetrics:PPNRProjectionsSub‐scheduleLineitem41NumberofEmployeesReportthenumberoffull‐timeequivalentemployeesatendofcurrentperiodasdefinedintheFRY‐9C,ScheduleHI,Memorandumitem5.Lineitem42Revenues–InternationalThisitemisashadedcellandisderived,percolumn,fromthesumofitems42Athrough42D.Theseitemsarebasedonholdingcompanyconsolidatedreportingandnotonlegal‐entitybasis.
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Lineitem42ARevenues‐APACProvideAsiaandPacific(includesSouthAsia,Australia,andNewZealand)regionbreakoutsforallquarters,butonlyifinternationalrevenueexceeded5%ofthetotalrevenueinanyofthelastfouractualquartersrequestedinthePPNRschedule.Forspecificcountryassignments,useinternaldefinitions.Lineitem42BRevenues‐EMEAProvideEurope,MiddleEast,andAfricaregionbreakoutsforallquarters,butonlyifinternationalrevenueexceeded5%ofthetotalrevenueinanyofthelastfouractualquartersrequestedinthePPNRschedule.Forspecificcountryassignments,useinternaldefinitions.Lineitem42CRevenues‐LatAmProvideLatinAmerica,includingMexicoregionbreakoutsforallquarters,butonlyifinternationalrevenueexceeded5%ofthetotalrevenueinanyofthelastfouractualquartersrequestedinthePPNRschedule.Forspecificcountryassignments,useinternaldefinitions.Lineitem42DRevenues‐CanadaProvideCanadaregionbreakoutsforallquarters,butonlyifinternationalrevenueexceeded5%ofthetotalrevenueinanyofthelastfouractualquartersrequestedinthePPNRschedule.Lineitem43Revenues–DomesticThisitemisashadedcellandisderived,percolumn,fromPPNRSubmissionSub‐scheduleitem27lessitem42.Theitemwillcaptureallrevenuessolongasinternationalrevenuesdonotexceed5%oftotalrevenueinanyofthelastfouractualquartersrequestedinthePPNRschedule.Lineitem44SeveranceCostsInFootnote14,listitemsonPPNRSubmissionsub‐schedulethatincludethisitemifany.Lineitem45CollateralUnderlyingOperatingLeasesforWhichtheBankistheLessorThisitemisashadedcellandisderived,percolumn,fromBalanceSheetSub‐scheduleitem126.Referstothebalancesheetcarryingamountofanyequipmentorotherassetrentedtoothersunderoperatingleases,netofaccumulateddepreciation.ThisitemshouldcorrespondtotheamountprovidedintheFRY‐9C,ScheduleHC‐Fitem6(seeitem13intheinstructions).Theamountincludedshouldonlyreflectcollateralrentedunderoperatingleasesandnotincludecollateralsubjecttocapital/financingtypeleases.Lineitem45AAutoThisitemisashadedcellandisderived,percolumn,fromBalanceSheetSub‐scheduleitem127.Lineitem45BOtherThisitemisashadedcellandisderived,percolumn,fromBalanceSheetSub‐scheduleitem128.Lineitem46OREOBalanceThisitemisashadedcellandisderived,percolumn,fromBalanceSheetSub‐scheduleitem122,asdefinedintheFRY‐9C,ScheduleHC,item7.ReportingofOREOitemsonFRY‐14QPPNRMetricsisexpectedtobeconsistentwithreportingofOREOitemsonFRY‐14APPNRMetricssub‐schedule
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whichsourcesthedatadirectlyfromFRY‐14ABalanceSheetsub‐schedule.Thus,reportingofOREOitemsonFRY‐14QPPNRMetricssub‐scheduleisconsistentwithreportingofOREOitemsonFRY‐14ABalanceSheetsub‐schedule.Lineitem46ACommercialThisitemisashadedcellandisderived,percolumn,fromBalanceSheetSub‐scheduleitem123.Lineitem46BResidentialThisitemisashadedcellandisderived,percolumn,fromBalanceSheetSub‐scheduleitem124.Lineitem46CFarmlandThisitemisashadedcellandisderived,percolumn,fromBalanceSheetSub‐scheduleitem125.Lineitem47Non‐RecurringPPNRItemsReportthetotalincomestatementimpactofallmaterialnon‐recurringandinfrequentitems.Examplesofsuchitemsincludegainsorlossesonsalesofbusinesslines,gainsorlossesonextinguishmentofdebt,gainsorlossesonmergers/jointventures,etc.Breakoutandexplaintheseexcludeditemsinfootnote32.Lineitem48TradingRevenueReporttradingrevenueasdefinedintheFRY‐9C,ScheduleHI,item5.c.Lineitem49NetGains/(Losses)onSalesofOtherRealEstateOwnedReporttradingrevenueasdefinedintheFRY‐9C,ScheduleHI,item5.j.InFootnote19,listbusinesssegmentsreportedonPPNRSubmissionSub‐schedulethatincludethisitem,ifany.SectionC.FirmWideMetrics:NetInterestIncomeSub‐schedule(RequiredonlyforBHCsthatwererequiredtocompletetheNetInterestIncomeSub‐schedule)Lineitem50CarryingValueofPurchasedCreditImpaired(PCI)LoansReporttradingrevenueasdefinedintheFRY‐9C,ScheduleHC‐C,memorandumitemM.5.b.Lineitem51NetAccretionofdiscountonPCILoansincludedininterestRevenuesReportthenetaccretionofdiscountonPCIloansincludedinnetinterestincomeasincludedonthePPNRSubmissionSub‐scheduleandNetInterestIncomeSub‐schedule.Lineitem52LoansHeldforSale–FirstLienResidentialLiensinDomesticOffices(AverageBalances)ReportaveragebalanceoffirstlienresidentialloansheldforsaleasincludedintheNetInterestIncomeSub‐schedule.Lineitem53AverageRateonLoansHeldforSale–FirstLienResidentialLiensinDomesticOfficesReportaverageratepaidonfirstlienresidentialloansheldforsaleasincludedintheNetInterest
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IncomeSub‐schedule.QuarterEndWeightedAverageLifeofAssetsTheWeightedAverageLife(WAL)shouldreflectthecurrentposition,theimpactofnewbusinessactivity,aswellastheimpactofbehavioralassumptionssuchasprepaymentsordefaults,basedontheexpectedremaininglives,inclusiveofbehavioralassumptions.Itshouldreflecttheweightedaverageoftimetoprincipalactualrepayment(asmodeled)forallpositionsinthatportfolio,roundedtothenearestmonthlyterm.Forrevolvingproducts,theWALshouldreflecttheunderlyingrepaymentbehaviorassumptionsassumedbytheinstitution,whichwouldincludecontractualrepayments,anyassumedexcesspaymentsorprepayments,anddefaults.TheWALfortheFRY‐14Qdisclosuresshouldreflectthespotbalancesheetpositionforeachtimeperiod.TheWALshouldbereflectiveofthetimingassumedbytheinstitutionsforthoseassets/liabilitiestradingportfoliostobeheldonthebalancesheetandnotattheindividualpositionlevel.FortheFRY‐14A,giventhatitcoversforecastedtimeperiods,theWALshouldbeforward‐lookingwhichincorporatesthechangestotheprojectedWAL,includingnewbusinessactivity.ReferencethePPNRNetInterestIncomesub‐scheduleforproductdefinitions.Lineitem54FirstLienResidentialMortgages(inDomesticOffices)Reportthequarterendweightedaveragelifeofdomesticfirstlienresidentialmortgages(asdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(2)(a),columnB).Lineitem55Closed‐EndJuniorResidentialLiens(inDomesticOffices)Reportthequarterendweightedaveragelifeofdomesticclosed‐endjuniorresidentialliens(asdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(2)(b),columnB).Lineitem56HomeEquityLinesOfCredit(HELOCs)Reportthequarterendweightedaveragelifeofdomestichomeequitylinesofcredit(asdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(1),columnB).Lineitem57C&ILoansReportthequarterendweightedaveragelifeofC&IGraded,SmallBusiness(Scored/DelinquencyManaged),CorporateCard,andBusinessCardloans.Lineitem58CRELoans(inDomesticOffices)ReportthequarterendweightedaveragelifeofdomesticCREloans(asdefinedintheFRY‐9C,ScheduleHC‐C,thesumofitems1.a.(1),1.a.(2),1.d.,1.e.(1)1.e.(2)),ColumnB.Lineitem59CreditCardsReportthequarterendweightedaveragelifeofcreditcards(asdefinedintheFRY‐9C,ScheduleHC‐C,item6.a.,columnA).Lineitem60AutoLoansReportthequarterendweightedaveragelifeofautoloans(asdefinedintheFRY‐9C,ScheduleHC‐C,item6.c.,columnA).Lineitem61StudentLoans
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Reportthequarterendweightedaveragelifeofstudentloans.Lineitem62Other,incl.loansbackedbysecurities(non‐purposelending)ReportthequarterendweightedaveragelifeofOtherConsumerLoans,incl.loansbackedbysecurities(non‐purposelending).Lineitem63ResidentialMortgages(FirstandSecondLien,NotinDomesticOffices)Reportthequarterendweightedaveragelifeofallresidentialmortgages(firstandsecondlien)notindomesticoffices.Lineitem64OtherRealEstateLoans(NotinDomesticOffices)Reportthequarterendweightedaveragelifeofotherrealestateloansnotindomesticoffices.Lineitem65OtherLoans&LeasesReportthequarterendweightedaveragelifeofotherloansandleases.Includeloanssecuredbyfarmland(asdefinedintheFRY‐9C,ScheduleHC‐C,item1.b,columnB),andotherloansnotaccountedforintheabovecategories.Lineitem66Securities(AFSandHTM)‐TreasuriesandAgencyDebenturesReportthequarterendweightedaveragelifeofAFS/HTMbalancesinTreasuryandAgencyDebentures(asdefinedintheFRY‐9C,ScheduleHC‐B,items1,2.aand2.b,columnsAandD).TheWALreportingitems(items69‐71)onPPNRMetricswithintheSummaryScheduleisintendedtoreflecttheweightaverageremaininglifeforthereportedperiod.Thenumberistoreflectboththeweightedaveragelifeofthecurrentpositionsaswellastheimpactofassumednewbusiness.Lineitem67Securities(AFSandHTM)‐AgencyRMBS(bothCMOsandpass‐throughs)ReportthequarterendweightedaveragelifeofAFS/HTMbalancesinAgencyRMBS(asdefinedintheFRY‐9C,ScheduleHC‐B,items4.a.(1),4.a.(2),4.b.(1)and4.b.(2),columnsAandD).TheWALreportingitems(items66‐68)onPPNRMetricswithintheSummaryScheduleisintendedtoreflecttheweightaverageremaininglifeforthereportedperiod.Thenumberistoreflectboththeweightedaveragelifeofthecurrentpositionsaswellastheimpactofassumednewbusiness.Lineitem68Securities(AFSandHTM)‐OtherReportthequarterendweightedaveragelifeofallotherAFS/HTM(definedintheFRY‐9C,ScheduleHC,asitems2.aand2.blessPPNRMetricsSub‐schedulelineitems66&67).TheWALreportingitems(items66‐68)onPPNRMetricswithintheSummaryScheduleisintendedtoreflecttheweightaverageremaininglifeforthereportedperiod.Thenumberistoreflectboththeweightedaveragelifeofthecurrentpositionsaswellastheimpactofassumednewbusiness.
Lineitem69TradingAssetsReportthequarterendweightedaveragelifeoftradingassets(asdefinedintheFRY‐9C,ScheduleHC‐K,item4.a.).Fortradingassets,WALshouldbereflectiveofthetimingassumedbytheinstitutionsforthoseassetstobeheldonthebalancesheetandnotnecessarilythedurationoftheunderlyingpositions.Lineitem70AllOtherEarningAssetsReportthequarterendweightedaveragelifeofallotherinterest‐bearingassetsnotaccountedforintheabovecategories.
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QuarterEndWeightedAverageLifeofLiabilitiesTheWeightedAverageLife(WAL)shouldreflectthecurrentposition,theimpactofnewbusinessactivity,aswellastheimpactofbehavioralassumptionssuchasprepaymentsordefaults,basedontheexpectedremaininglives,inclusiveofbehavioralassumptions.Itshouldreflecttheweightedaverageoftimetoprincipalactualrepayment(asmodeled)forallpositionsinthatportfolio,roundedtothenearestmonthlyterm.Forrevolvingproducts,theWALshouldreflecttheunderlyingrepaymentbehaviorassumptionsassumedbytheinstitution,whichwouldincludecontractualrepayments,anyassumedexcesspaymentsorprepayments,anddefaults.TheWALfortheFRY‐14Qdisclosuresshouldreflectthespotbalancesheetpositionforeachtimeperiod.FortheFRY‐14A,giventhatitcoversforecastedtimeperiods,theWALshouldbeforward‐lookingwhichincorporatesthechangestotheprojectedWAL,includingnewbusinessactivity.ReferencePPNRNetInterestIncomesub‐scheduleforproductdefinitions.Lineitem71DomesticDeposits–TimeReportthequarterendweightedaveragelifeforDomesticTimeDeposits(usinginternaldefinitions).Lineitem72ForeignDeposits–TimeReportthequarterendweightedaveragelifeofForeignTimeDeposits(usinginternaldefinitions).Lineitem73FedFundsReportthequarterendweightedaveragelifeofFedFundspurchasedindomesticoffices(asdefinedintheFRY‐9C,ScheduleHC,item14.a.).Lineitem74ReposReportthequarterendweightedaveragelifeofSecuritiessoldunderagreementtorepurchase(asdefinedintheFRY‐9C,ScheduleHC,item14.b.).Lineitem75OtherShortTermBorrowingReportthequarterendweightedaveragelifeofliabilitiesreportedasotherborrowedmoneyandsubordinatednotesanddebentures(asdefinedintheFRY‐9C,ScheduleHC,items16.and19.a.,ofwhichthefirmwoulddefineasshorttermborrowings).Lineitem76TradingLiabilitiesReporttheweightedaveragelifeofTradingLiabilities(asdefinedintheFRY‐9C,ScheduleHC,item15).Fortradingliabilities,WALshouldbereflectiveofthetimingassumedbytheinstitutionsforthoseassetstobeheldonthebalancesheetandnotnecessarilythedurationoftheunderlyingpositions.Lineitem77SubordinatedNotesPayabletoUnconsolidatedTrustsIssuingTruPSandTruPSIssuedbyConsolidatedSpecialPurposeEntitiesReportthequarterendweightedaveragelifeofPreferredSecurities(TruPS)andTruPSIssuedbyConsolidatedSpecialPurposeEntities(asdefinedintheFRY‐9C,ScheduleHC,item19.b.).Lineitem78AllOtherInterestBearingLiabilities
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Reportthequarterendweightedaveragelifeofalllong‐termdebtnotincludedinlineitem80above.AverageDomesticDepositRepricingBetaDomesticdepositrepricingisratemovementinanenvironmentwheretherepricingassumptionassumedbyeachofthemajordepositproductsisnotrestrictedbyacap,floor,orzero.Betashouldbereportedasabalance‐weightedaverageoftheactualutilizedbetasofthelineitemsthatcontributetotherolluppointrequested.Theasofdateofthebalanceweightsmustbeequaltothereportingdateforallapplicablescenarios.Forthebalance‐weightedaveragebeta,eachdepositcategoryshouldbereportedusingablendofbrokeredandretaildeposits.Betareferstotheaveragerepricingresponseratethefirmprojectsforeachofthedepositproductsrelativetomovementsininterestratesandmightbedifferentbasedonthescenario.Thebetasforlineitems79through82shouldbereportedinbasispoints(bp)andreflectmovementintheyieldcurve,eitherupordowninrelationshiptoanassumed100bpsmovementandspecifictoeachscenario,ifapplicable.Forbeta‐relatedlineitems79to84onthePPNRMetricstemplate,anegativenumbercanbereportedinthedownwardratemovements.However,anegativewouldbeindicatingthatthefirmisprojectingan“increase”inthebetawhenratesmovementsaredown.Lineitem79MoneyMarketAccountsReport(indecimalformbasispoints)thebalance‐weightedaveragebetaofdomesticmoneymarketaccounts(usinginternaldefinitionsforthisproduct).Lineitem80SavingsReport(inbasispoints)thebalance‐weightedaveragebetaofdomesticsavingsaccounts(usinginternaldefinitionsforthisproduct).Lineitem81NOW,ATS,andotherTransactionAccountsReport(inbasispoints)thebalance‐weightedaveragebetaofNegotiableOrderofWithdrawal(NOW),AutomaticTransferService(ATS),andothertransactionaccounts(usinginternaldefinitionsfortheseproducts).Lineitem82TimeDepositsReport(inbasispoints)thebalance‐weightedaveragebetaoftimedeposits(usinginternaldefinitionsforthisproduct).AverageForeignDepositRepricingBetaForeigndepositrepricingisratemovementinanenvironmentwheretherepricingassumptionassumedbyeachofthemajordepositproductsisnotrestrictedbyacap,floor,orzero.Betashouldbereportedasabalance‐weightedaverageoftheactualutilizedbetasofthelineitemsthatcontributetotherolluppointrequested.Theasofdateofthebalanceweightsmustbeequaltothereportingdateforallapplicablescenarios.
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Forthebalance‐weightedaveragebeta,eachdepositcategoryshouldbereportedusingablendofbrokeredandretaildeposits.Betareferstotheaveragerepricingresponseratethefirmprojectsforeachofthedepositproductsrelativetomovementsininterestratesandmightbedifferentbasedonthescenario.Thebetaratiosforlineitems83through85Cshouldbereportedinbasispoints(bp)movementintheyieldcurve,eitherupordowninrelationshiptoanassumed100bpsmovementandspecifictoeachscenario,ifapplicable.Lineitem83ForeignDepositsReport(inbasispoints)thebalance‐weightedaveragebetaofforeigndeposits(usinginternaldefinitionsforthisproduct).Lineitem84ForeignDeposits‐TimeReport(inbasispoints)thebalance‐weightedaveragebetaofforeigntimedeposits(usinginternaldefinitionsforthisproduct).Itisappropriatetoreportthisitemasa“balance‐weightedaveragebetaofforeigntimedeposits.Lineitem85NewDomesticBusinessPricingforTimeDepositsNewbusinesspricingfortimedepositsreferstotheanticipatedaveragerateonnewlyissuedtimedeposits,includingrenewals.Giventhattimedepositshaveastatedmaturity,alltimedepositsissuedforthattimeperiodareconsiderednewbusiness.Thesub‐scheduleisrequestingre‐pricingbetaundernormalratescenariosforbothanupwardanddownwardratemovement.Lineitem85ACurve(ifmultipletermsassumed)Reporttheprimaryreferencecurveusedbythefirmforpricingtimedeposits.Ifmorethanonecurveforthepricingoftimedepositsisused,thecurveusedtopricethemajorityofthetimedepositsshouldbenotedonthescheduleandadditionalpricinginformationshouldbeprovidedinthesupplementaryinformation.Iftheinstitutiononlyassumesasinglematuritytermfornewissuance,thentheinstitutionshouldprovidetherelativeindex(lineitem85B)andspreadusedtoestimatenewbusinesspricinginlieuofthecurve(lineitem85C).Theterm“curve”referstothereferencerateusedtopricetimedeposits.Giventhatthepricingoftimedepositsisdependentontheterm,theinstitutionshouldprovidetheoverallcurveusedtopricetimedeposits.Lineitem85BIndexRate(ifsingletermassumed)Reporttheindex(e.g.,30dayLIBOR)usedtopricetimedepositswhenasinglematuritytermfornewissuancesisassumed.Theindexshouldbetheonetowhichthebetainlineitem82isapplied.Lineitem85CSpread(RelativetotheIndexRate)Reporttheweightedaveragespreadusedtopricetimedepositsabovetheindexratewhenasinglematuritytermfornewissuancesisassumed.
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ScheduleB—ScenarioTheseinstructionsprovideguidanceforreportingthevariablesusedinthefirm‐definedmacroeconomicscenariosunderlyingtheprojectionsoflosses,revenue,andcapital. Thesescenariosincludethesupervisorybaselinescenario,supervisoryadversescenario,supervisoryseverelyadverse,BHCbaselinescenario,andBHCstressscenario,aswellas,anyadditionalscenariosgeneratedbythefirmorsuppliedbytheFederalReserve.(AdditionalScenario#1;AdditionalScenario#2;etc.)Thetemplateconsistsofthreesub‐schedulesthateachBHCmustcomplete. Additionalsub‐schedulesareprovidediftheBHCgeneratedadditionalvariablesforthesupervisoryscenariosorreportedadditionalscenariosbeyondtheBHCbaselineandBHCstressscenarios. Thesub‐schedulesinthetemplateare:ScenarioVariableDefinitions: Thissub‐scheduleshouldbeusedtolistanddefinethevariablesincludedintheBHCbaselineandBHCstressscenarios,aswellas,anyadditionalBHCscenariosreported.• Thesub‐scheduleprovidesspaceforthesupervisorybaselinescenario,supervisoryadverse
scenario,supervisoryseverelyadversescenario,BHCbaselinescenario,andBHCstressscenario,aswellas,spaceforanadditionalscenario. ThesectionsfortheBHCbaselineandBHCstressscenariosmustbecompleted.Ifnoadditionalscenariosareprovided,thenthissectionofthesub‐schedulemaybeleftblank.Ifoneormoreadditionalscenariosareprovided,thenasectionshouldbecreatedforeachadditionalscenarioandlabeledaccordingly(AdditionalScenario#1;AdditionalScenario#2;etc.)
• Foreachscenario,listthevariablesincludedinthescenariointhecolumntitled"VariableName."
• Variabledefinitionsshouldbeprovidedinthecolumntitled"VariableDefinition."Variabledefinitionsshouldincludeadescriptionofthevariableandthedenominationand/orfrequencyofthevariable(e.g.,"Billionsof2005dollars"or"inpercent,averageofmonthlyvalues").
Theforecastsandhistoricaldataforallthescenariovariablesareconstructedonthesamebasis.Thus,ifavariableis,overhistory,constructedasanaverage,itsforecastshouldbeinterpretedasanaverageaswell.Forreference,belowarethedefinitions(i.e.period‐averageorperiod‐end)ofthefinancialmarketvariablesinthescenario:
o U.S.3‐monthTreasuryyield:Quarterlyaverageof3‐monthTreasurybillsecondarymarketratediscountbasis.
o U.S.10‐yearTreasuryyield:Quarterlyaverageoftheyieldon10‐yearU.S.Treasurybonds.
o U.S.BBBcorporateyield:Quarterlyaverageoftheyieldon10‐yearBBB‐ratedcorporatebonds.
o U.S.mortgagerate:QuarterlyaverageofweeklyseriesofFreddieMacdata.o U.S.DowJonesTotalStockMarketIndex:Endofquartervalue,DowJones.o U.S.MarketVolatilityIndex(VIX):ChicagoBoardOptionsExchangeconvertedto
quarterlybyusingthemaximumvalueinanyquarter.• Forconvenience,thesub‐scheduleprovidesspacefor10variablesperscenario,butanynumber
ofvariablesmaybereported,dependingonthevariablesactuallyusedinthescenario.Extra
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linesmaybecreatedasneeded. Thesamevariablesdonotnecessarilyhavetobeincludedineachscenario.
• Firmsshouldincludealleconomicandfinancialmarketvariablesthatwereimportantinprojectingresults,includingthosethataffectonlyasubsetofportfoliosorpositions.Forexample,ifassetpriceshadameaningfulimpact,theassumedleveloftheequitymarketandinterestratesshouldbeincluded,orifbankruptcyfilingsaffectcreditcardlossestimates,thentheassumedlevelsoftheseshouldbereported.
• Foradditionalvariablesgeneratedforthesupervisoryadversescenarioorsupervisoryseverelyadversescenario,BHCsshouldsetthepathstobeasconsistentaspossiblewiththepathsofthevariablesalreadyspecifiedinthescenario.
• Firmsshouldalsoincludeanyvariablescapturingregionalorlocaleconomicorassetvalueconditions,suchasregionalunemploymentratesorhousingprices,ifthesewereusedintheprojections.
• Firmsshouldincludehistoricaldata,aswellasprojections,foranymacroeconomic,regional,local,orfinancialmarketvariablesthatarenotgenerallyavailable.Historicaldataforthesevariablescanbeincludedinaseparatesub‐schedule.
B.1—SupervisoryBaselineScenarioThissub‐scheduleshouldbeusedtoreportthevaluesofanyadditionalvariablesgeneratedforthesupervisorybaselinescenario.B.2—SupervisoryAdverseScenarioThissub‐scheduleshouldbeusedtoreportthevaluesofanyadditionalvariablesgeneratedforthesupervisoryadversescenario.B.3—SupervisorySeverelyAdverseScenarioThissub‐scheduleshouldbeusedtoreportthevaluesofanyadditionalvariablesgeneratedforthesupervisoryseverelyadversescenario.B.4—BHCBaselineScenarioThissub‐scheduleshouldbeusedtoreportthevaluesofthevariablesincludedintheBHCbaselinescenario.B.5—BHCAdverseScenarioThissub‐scheduleshouldbeusedtoreportthevaluesofthevariablesincludedintheBHCstressscenario.B.6+—AdditionalScenario#1/#2/etc.Thesesub‐schedulesshouldbeusedtoreportthevaluesofthevariablesincludedinanyadditionalscenarios.Pleasecreateaseparatesub‐schedule(tab)foreachadditionalscenario.Namethesub‐schedules“AdditionalScenario#1;”“AdditionalScenario#2;”etc.AllScenarios: ThefollowingappliestoalloftheScenariotabs: Thevariablesshouldbethesame(andhavethesamenames)asthevariableslisted
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inthecorrespondingsectionsoftheScenarioVariableDefinitionsSub‐schedule. Listquarterlyvaluesforthevariablesstartingwiththelastrealizedvaluethroughtheendof
theforecasthorizon. IfaBHCneedstoinferamonthly(insteadofquarterly)progressionofvariables,itshould
smoothorproratethevariables,ratherthanholdingthequarterlyvalueconstantoverthequartermonths.
Pleaseenterallvariablesaslevelsratherthanaschangesorgrowthrates(forinstance,the
dollarvalueofrealGDPratherthantheGDPgrowthrate).
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ScheduleC—RegulatoryCapitalInstrumentsGeneralguidanceTheRegulatoryCapitalInstrumentsannual(FRY‐14A)schedulecollectsactual(historical)dataandprojectionsovertheninequarterhorizonofBHCs’balancesofthefundedinstrumentsthatareincludedinregulatorycapital.Theschedulecollectsdataonthehistoricalbalancesandprojectedbalancesoffundedregulatorycapitalinstrumentsbyinstrumenttype,inadditiontoprojectionsforissuancesandredemptionsthatcontributetochangesinbalancesundertheBHCbaselinescenario.Thisschedulecollectsthetotalbalancesofcapitalinstrumentsandplannedredemptionsandissuancesatanaggregateinstrument‐typelevel(e.g.,commonstock,non‐cumulativeperpetualpreferred,subordinateddebt,etc.).Theinstructionsforthesub‐scheduleshouldbereadinconjunctionwiththeregulatorycapitalguidelinesissuedbytheFederalReserve,theFRY‐9Creportandinstructionsandtherevisedregulatorycapitalrule(seegenerally12CFR217).BHCsmustreportinformationonbothanotionalbasisandonthebasisofthedollaramountincludedinregulatorycapital.For“NotionalAmount”reportthetotalnotionalamountofeachinstrument.BHCsmustprovidethe“NotionalAmount”regardlessofwhetherthereisanassociatedamountrecognizedinregulatorycapital.Forexample,100%ofsubordinateddebtnearingmaturitywithlimitedornorecognitioninregulatorycapitalshouldbeincluded.For“AmountRecognizedinRegulatoryCapital”reporttheportionofthenotionalamountthatisrecognizedinregulatorycapital.BHCsshouldusethe“Comments”fieldtoprovideidentificationofindividualinstrumentsthathavechangedinvalue.Respondentsshouldalsoincludeanyothercharacteristicsthatimpacttheinvestmentvalue.BHCsmustprovideapagereferenceintheirCapitalPlaninwhichthestatedactivitesarecapturedinthe“PageReferenceintheCapitalPlan”fieldsforfieldforanylineitemwith“Comments”;thisinformationisnotrequiredforthecapitalbalancesectionsoftheschedule.Ifpagereferencesarenotavailablefortheentriesinthe‘QuarterlyActivity–OtherthanIssuances,Repurchases,orRedemptions’section,thentheBHCisrequiredtoprovidedetailedcommentsexplainingtheentryinthe“Comments”field.AllBHCsmustreportquarterendingbalancesunderthe“ActualAsofDate”andprojectedbalancesunderProjectionQuartersPQ1,PQ2,PQ3,PQ4,PQ5,PQ6,PQ7,PQ8,andPQ9forboththe“NotionalAmount”andthe“Amountrecognizedinregulatorycapital”.ForanyinstrumenttypetheBHChasnotissuedanddoesnotprojecttoissue,BHCsmustleavethefieldblank.Forboththe“Notionalamount”and“Amountrecognizedinregulatorycapital”withinthe“Revisedregulatorycapitaltreatmentsection,”BHCsmustprovidetheactualandprojectedaggregatedollaramounts($Millions)foreachlineitemundertherevisedregulatorycapitalrule.Submissionsmustreflectthenecessarytransitionprovisionsfornon‐qualifyingcapitalinstrumentswiththeirquarterendingactualbalancesreported.
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For“QuarterlyRedemption/RepurchaseActivity,”reporttheactualandprojectedaggregatedollaramount($Millions)ofplannedredemptionsandrepurchasestobeconductedineachquarterforeachtypeofcapitalinstrument.Allredemptionsandrepurchasesmustbereportedasnegativevalues.“QuarterlyRedemption/RepurchaseActivity”mustincludeincreasesanddecreasesinadditionalpaidincapital(APIC)attributabletotheamortizationofemployeestockcompensationandanychangesinAPIC,treasuryorcommonstockasaresultoftheactualissuanceofcommonstockfortheemployeestockcompensation.For“QuarterlyIssuanceActivity,”reporttheactualandprojectedaggregatedollaramount($Millions)ofplannedissuancestobeconductedineachquarterforeachinstrumenttype.“QuarterlyIssuanceActivity”mustincludeincreasesanddecreasesinadditionalpaidincapital(APIC)attributabletotheamortizationofemployeestockcompensationandanychangesinAPIC,treasuryorcommonstockasaresultoftheactualissuanceofcommonstockfortheemployeestockcompensation.Conversionofpreferredstocktocommonstockshouldbereportedasaredemptionofpreferredstockandanissuanceofcommonstockinthesamequarter.
For“QuarterlyActivity–OtherthanIssuances,Repurchases,orRedemptions,”reporttheactualandprojectedaggregatedollaramount($Millions)ofplannedchangesinregulatorycapitalinstrumentsthatarenotthedirectresultofissuances,repurchases,orredemptions,includingbutnotlimitedto:(1)Maturitiesofcapitalinstruments;and(2)Equitycontributionsfromaparentthatdonotinvolvetheissuanceofcommonstock.For“CapitalBalances,”reporttheactualaggregatebalances($Millions)ofeachtypeofcapitalinstrumentfortheas‐ofquarterenddate,reflectingtheimpactofplannedcapitalactions.“CapitalBalances”“NotionalAmount”theactualmustbecompleted,eveniftheinstrumentisnotrecognizedinregulatorycapital.Projectionquartersarecalculatedbasedontheactivityreportedinthe“QuarterlyRedemption/RepurchaseActivity”,“QuarterlyIssuanceActivity”,and“QuarterlyActivity–Otherthanissuancesandrepurchases”andthereported“Actual”.
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QuarterlyRedemption/RepurchaseActivityLineItem1CommonStock(CS)(Revisedregulatorycapitalruletreatment–CommonEquityTier1)(1)"CommonStock"asdefinedintheFRY‐9C,ScheduleHC,lineitem24,provideditmeetsthecriteriaforcommonequitytier1capitalbasedontherevisedregulatorycapitalrulesoftheFederalReserve.Includecapitalinstrumentsissuedbymutualbankingorganizationsthatmeetthecriteriaforcommonequitytier1capital;(2)PLUS:"Surplus"asdefinedintheFRY‐9C,ScheduleHC,lineitem25;(3)PLUS:"Otherequitycapitalcomponents"asdefinedintheFRY‐9C,ScheduleHC,lineitem26(c)(onlywarrantsin(2)surplusshouldbesubtracted);and(4)LESS:"IssuancesassociatedwiththeU.S.DepartmentofTreasuryCapitalPurchaseProgram:WarrantstoPurchaseCommonStock"asdefinedintheFRY‐9C,ScheduleHC‐M,lineitem24(b).Line1shouldexcludeamountsreportedinline2asdescribedbelow.LineItem2CommonStock(CS)‐EmployeeStockCompensation(Revisedregulatorycapitalruletreatment–CommonEquityTier1)ReportthecarryingamountofcommonstockasdefinedintheFRY‐9C,ScheduleHC,lineitem24issuedaspartofanemployeestockownershipplan(ESOP)andincludedinequitycapitalonthebalancesheet.Includeincreasesanddecreasesinadditionalpaidincapital(APIC)attributabletotheamortizationofemployeestockcompensationandanychangesinAPIC,treasuryorcommonstockasaresultoftheactualissuanceofcommonstockforemployeestockforemployeestockcompensation.
LineItem3CSWarrants(Revisedregulatorycapitalruletreatment–CommonEquityTier1)ReportthecarryingamountofwarrantstoissuecommonstockasdefinedintheFRY‐9C,ScheduleHC,lineitem24andincludedinequitycapitalonthebalancesheet.
LineItem4CSUSGInvestment(Revisedregulatorycapitalruletreatment–CommonEquityTier1)ReportthecarryingamountofwarrantsissuedtotheU.S.DepartmentofTreasurytopurchasecommonstockasdefinedintheFRY‐9C,ScheduleHC,lineitem24ofthereportinginstitutionthatisincludedinequitycapitalonthebalancesheetincludedintheFRY‐9C,ScheduleHC‐M,lineitem24(b).
LineItem5CapitalInstrumentIssuedbySubsidiary(Revisedregulatorycapitalruletreatment–CommonEquityTier1)Reportcapitalinstrumentsissuedbyafullyconsolidatedsubsidiaryofthereportinginstitutiontoathirdpartyinvestorthatqualifyforinclusionincommonequitytier1capitalasdefinedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem4.Toqualifyforinclusionincommonequitytier1capital,thecapitalinstrumentsmustbeissuedbyadepositoryinstitutionoraforeignbankthatisaconsolidatedsubsidiaryofabankingorganization.
LineItem6OtherCommonEquityTier1Instruments(Revisedregulatorycapitalruletreatment–CommonEquityTier1)ReportallotherCommonEquityTier1instrumentsissuedthatarenotincludedintheFRY‐9C,ScheduleHC‐R,PartI,lineitems1,2,4and5.
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LineItem7Non‐CumulativePerpetualPreferred(NCPP)(Revisedregulatorycapitalruletreatment–AdditionalTier1)ReporttheamountofnoncumulativeperpetualpreferredstockandrelatedsurplusincludedintheFRY‐9C,ScheduleHC,lineitem23,andanyothercapitalinstrumentandrelatedsurplusthatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserve.
LineItem8NCPPConvertible(Revisedregulatorycapitalruletreatment–AdditionalTier1)ReporttheamountofNCPPConvertiblesecuritiesandrelatedsurplusincludedintheFRY‐9C,ScheduleHC,lineitem23,thatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserve.
LineItem9MandatoryConvertiblePreferred(MCP)(Revisedregulatorycapitalruletreatment–AdditionalTier1)ReporttheamountofMandatoryConvertiblePreferred(MCP)securitiesandrelatedsurplusincludedintheFRY‐9C,ScheduleHC,lineitem23,thatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserve.
LineItem10MCPUSGPreferred(Revisedregulatorycapitalruletreatment–AdditionalTier1)ReporttheamountofmandatoryconvertiblepreferredsecuritiesissuedtotheU.S.DepartmentofTreasurybybankholdingcompaniesthatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserveincludedintheFRY‐9C,ScheduleHC,lineitem3,andScheduleHC‐M,lineitem24(a).
Item11CapitalInstrumentIssuedbySubsidiary(Revisedregulatorycapitalruletreatment–AdditionalTier1)Reporttheamountoftier1minorityinterestnotincludedincommonequitytier1capitalthatisincludableattheconsolidatedlevelasdefinedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem22.Fortier1minorityinterest,thereisnorequirementthatthesubsidiarybeadepositoryinstitutionoraforeignbank.However,theinstrumentthatgivesrisetoadditionaltier1minorityinterestmustmeetallthecriteriaforadditionaltier1capitalinstrument.
LineItem12OtherAdditionalTier1Instruments(Revisedregulatorycapitalruletreatment–AdditionalTier1)Reporttheamountofallothercapitalinstruments,otherthanthoseincludedinlineitems7through11thatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserve.
LineItem13CumulativePerpetualPreferred(CPP)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)ReporttheamountofCumulativePerpetualPreferredsecuritiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.
LineItem14CPPTARPPreferred(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)
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ReporttheamountofCPPTARPPreferredsecuritiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.
LineItem15MandatoryConvertiblePreferred(MCP)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)ReporttheamountofMandatoryConvertiblePreferredsecuritiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartIlineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem16MCPUSGPreferred(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)ReporttheamountofMCPUSGPreferredsecuritiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.
LineItem17CumulativeDatedPreferred(TRUPS)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)ReporttheamountofCumulativeDatedPreferred(TRUPS)securitiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.
LineItem18USGPreferredTRUPS(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)ReporttheamountofUSGPreferred(TRUPS)securitiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.
LineItem19OtherNon‐qualifyingInstrumentsinTier1(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)Reporttheamountofallothercapitalinstrumentsotherthanthoseincludeinlineitems14through18thatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.
LineItem20SubordinatedDebt(Revisedregulatorycapitalruletreatment–Tier2)ReportsubordinateddebtinstrumentsthatsatisfyalleligibilitycriteriaundertherevisedregulatorycapitalrulesoftheFederalReserveandrelatedsurplusincludedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem27.Includeinstrumentsthatwere(i)issuedundertheSmallBusinessJobsActof2010,or,priortoOctober4,2010,undertheEmergencyEconomicStabilizationActof2008and(ii)wereincludedinthetier2capitalnonqualifyingcapitalinstruments(e.g.,TruPSandcumulativeperpetualpreferred)undertheFederalReserve’sgeneralrisk‐basedcapitalrules.
LineItem21CapitalInstrumentIssuedbySubsidiary(Revisedregulatorycapitalruletreatment–Tier2)Reporttheamountoftotalcapitalminorityinterestnotincludedintier1capital,asdefinedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem29.
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LineItem22OtherTier2Instruments(Revisedregulatorycapitalruletreatment–Tier2)Reportallothercapitalinstruments,otherthanthoseincludedinlineitems20and21,thatsatisfyalleligibilitycriteriaundertherevisedregulatorycapitalrulesoftheFederalReserveandrelatedsurplusincludedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem27.Inaddition,reporttier2capitalnon‐qualifyingcapitalinstruments(e.g.,TruPSandcumulativeperpetualpreferred)thathavebeenphased‐outoftier1capitalintheFRY‐9C,ScheduleHC‐R,PartI,lineitem21.
Foritems23through29,holdingcompaniesmayincludeinregulatorycapitaldebtorequityinstrumentsissuedpriortoSeptember12,2010,thatdonotmeetthecriteriaforadditionaltier1ortier2capitalinstrumentsin12CFR217.20oftherevisedregulatorycapitalrulesbutthatwereincludedintier1ortier2capitalrespectivelyasofSeptember12,2010(non‐qualifyingcapitalinstrumentsissuedpriortoSeptember12,2010)uptothepercentageoftheoutstandingprincipalamountofsuchnon‐qualifyingcapitalinstrumentsasofJanuary1,2014,intheFRY‐9C,ScheduleHC‐R,lineitem21.
LineItem23CumulativePerpetualPreferred(CPP)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)ReporttheamountofCumulativePerpetualPreferredinstrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem24CPPTARPPreferred(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)ReporttheamountofCPPTARPPreferredinstrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem25MandatoryConvertiblePreferred(MCP)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)ReporttheamountofMandatoryConvertiblePreferred(MCP)instrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem26MCPUSGPreferred(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)ReporttheamountofCumulativePerpetualPreferredinstrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem27CumulativeDatedPreferred(TRUPS)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)
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ReporttheamountofCumulativeDatedPreferred(TRUPS)instrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem28USGPreferredTRUPS(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)ReporttheamountofCumulativePerpetualPreferredinstrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem29OtherNon‐qualifyingInstrumentsinTier2(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)Reporttheamountofallcapitalinstrumentsotherthantheonesincludedinlineitems23through28thatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.
QuarterlyIssuanceActivityLineItem30CommonStock(CS)(Revisedregulatorycapitalruletreatment–CommonEquityTier1)Report(1)"CommonStock"asdefinedintheFRY‐9C,ScheduleHC,lineitem24,provideditmeetsthecriteriaforcommonequitytier1capitalbasedontherevisedregulatorycapitalrulesoftheFederalReserve.Includecapitalinstrumentsissuedbymutualbankingorganizationsthatmeetthecriteriaforcommonequitytier1capital;(2)PLUS:"Surplus"asdefinedintheFRY‐9C,ScheduleHC,lineitem25;(3)PLUS:"Otherequitycapitalcomponents"asdefinedintheFRY‐9C,ScheduleHC,lineitem26(c)(onlywarrantsin(2)surplusshouldbesubtracted);and(4)LESS:"IssuancesassociatedwiththeU.S.DepartmentofTreasuryCapitalPurchaseProgram:WarrantstoPurchaseCommonStock"asdefinedintheFRY‐9C,ScheduleHC‐M,lineitem24(b).Line30shouldexcludeamountsreportedinline31asdescribedbelow.LineItem31CommonStock(CS)‐EmployeeStockCompensation(Revisedregulatorycapitalruletreatment–CommonEquityTier1)ReportthecarryingamountofcommonstockasdefinedintheFRY‐9C,ScheduleHC,lineitem24issuedaspartofanemployeestockownershipplan(ESOP)andincludedinequitycapitalonthebalancesheet.Includeincreasesanddecreasesinadditionalpaidincapital(APIC)attributabletotheamortizationofemployeestockcompensationandanychangesinAPIC,treasuryorcommonstockasaresultoftheactualissuanceofcommonstockforemployeestockforemployeestockcompensation.LineItem32CSWarrants(Revisedregulatorycapitalruletreatment–CommonEquityTier1)ReportthecarryingamountofwarrantstoissuecommonstockasdefinedintheFRY‐9C,ScheduleHC,lineitem24andincludedinequitycapitalonthebalancesheet.
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LineItem33CSUSGInvestment(Revisedregulatorycapitalruletreatment–CommonEquityTier1)ReportthecarryingamountofwarrantsissuedtotheU.S.DepartmentofTreasurytopurchasecommonstockasdefinedintheFRY‐9C,ScheduleHC,lineitem24ofthereportinginstitutionthatisincludedinequitycapitalonthebalancesheetincludedintheFRY‐9C,ScheduleHC‐M,lineitem24(b).LineItem34CapitalInstrumentIssuedbySubsidiary(Revisedregulatorycapitalruletreatment–CommonEquityTier1)Reportcapitalinstrumentsissuedbyafullyconsolidatedsubsidiaryofthereportinginstitutiontoathirdpartyinvestorthatqualifyforinclusionincommonequitytier1capitalasdefinedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem4.Toqualifyforinclusionincommonequitytier1capital,thecapitalinstrumentsmustbeissuedbyadepositoryinstitutionoraforeignbankthatisaconsolidatedsubsidiaryofabankingorganization.LineItem35OtherCommonEquityTier1Instruments(Revisedregulatorycapitalruletreatment–CommonEquityTier1)Reportasdefinedintherevisedregulatorycapitalrule(July2013).LineItem36Non‐CumulativePerpetualPreferred(NCPP)(Revisedregulatorycapitalruletreatment–AdditionalTier1)ReporttheamountofnoncumulativeperpetualpreferredstockandrelatedsurplusincludedintheFRY‐9C,ScheduleHC,lineitem23,andanyothercapitalinstrumentandrelatedsurplusthatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserve.
LineItem37NCPPConvertible(Revisedregulatorycapitalruletreatment–AdditionalTier1)ReporttheamountofNCPPConvertiblesecuritiesandrelatedsurplusincludedintheFRY‐9C,ScheduleHC,lineitem23,thatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserve.
LineItem38MandatoryConvertiblePreferred(MCP)(Revisedregulatorycapitalruletreatment–AdditionalTier1)ReporttheamountofMandatoryConvertiblePreferred(MCP)securitiesandrelatedsurplusincludedintheFRY‐9C,ScheduleHC,lineitem23,thatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserve.
LineItem39MCPUSGPreferred(Revisedregulatorycapitalruletreatment–AdditionalTier1)ReporttheamountofmandatoryconvertiblepreferredsecuritiesissuedtotheU.S.DepartmentofTreasurybybankholdingcompaniesthatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserveincludedintheFRY‐9C,ScheduleHC,lineitem3andScheduleHC‐M,lineitem24(a).
LineItem40CapitalInstrumentIssuedbySubsidiary(Revisedregulatorycapitalruletreatment–AdditionalTier1)
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Reporttheamountoftier1minorityinterestnotincludedincommonequitytier1capitalthatisincludableattheconsolidatedlevelasdefinedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem22.Fortier1minorityinterest,thereisnorequirementthatthesubsidiarybeadepositoryinstitutionoraforeignbank.However,theinstrumentthatgivesrisetoadditionaltier1minorityinterestmustmeetallthecriteriaforadditionaltier1capitalinstrument.
LineItem41OtherAdditionalTier1Instruments(Revisedregulatorycapitalruletreatment–AdditionalTier1)Reporttheamountofallothercapitalinstruments,otherthanthoseincludedinlineitems36through40thatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserve. LineItem42CumulativePerpetualPreferred(CPP)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)ReporttheamountofCumulativePerpetualPreferredsecuritiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem43CPPTARPPreferred(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)ReporttheamountofCPPTARPPreferredsecuritiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem44MandatoryConvertiblePreferred(MCP)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)ReporttheamountofMandatoryConvertiblePreferredsecuritiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem45MCPUSGPreferred(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)ReporttheamountofMCPUSGPreferredsecuritiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.
LineItem46CumulativeDatedPreferred(TRUPS)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)ReporttheamountofCumulativeDatedPreferred(TRUPS)securitiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.
LineItem47USGPreferredTRUPS(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)
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ReporttheamountofUSGPreferred(TRUPS)securitiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.
LineItem48OtherNon‐qualifyingInstrumentsinTier1(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)Reporttheamountofallothercapitalinstrumentsotherthanthoseincludeinlineitems42through47thatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.
LineItem49SubordinatedDebt(Revisedregulatorycapitalruletreatment–Tier2)ReportsubordinateddebtinstrumentsthatsatisfyalleligibilitycriteriaundertherevisedregulatorycapitalrulesoftheFederalReserveandrelatedsurplusincludedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem27.Includeinstrumentsthatwere(i)issuedundertheSmallBusinessJobsActof2010,or,priortoOctober4,2010,undertheEmergencyEconomicStabilizationActof2008and(ii)wereincludedinthetier2capitalnonqualifyingcapitalinstruments(e.g.,TruPSandcumulativeperpetualpreferred)undertheFederalReserve’sgeneralrisk‐basedcapitalrules.
LineItem50CapitalInstrumentIssuedbySubsidiary(Revisedregulatorycapitalruletreatment–Tier2)Reporttheamountoftotalcapitalminorityinterestnotincludedintier1capital,asdefinedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem29.LineItem51OtherTier2Instruments(Revisedregulatorycapitalruletreatment–Tier2)Reportallothercapitalinstruments,otherthanthoseincludedinlineitems49and50,thatsatisfyalleligibilitycriteriaundertherevisedregulatorycapitalrulesoftheFederalReserveandrelatedsurplusincludedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem27.Inaddition,reporttier2capitalnon‐qualifyingcapitalinstruments(e.g.,TruPSandcumulativeperpetualpreferred)thathavebeenphased‐outoftier1capitalintheFRY‐9C,ScheduleHC‐R,PartI,lineitem21.
Foritems52through58,holdingcompaniesmayincludeinregulatorycapitaldebtorequityinstrumentsissuedpriortoSeptember12,2010,thatdonotmeetthecriteriaforadditionaltier1ortier2capitalinstrumentsin12CFR217.20oftherevisedregulatorycapitalrulesbutthatwereincludedintier1ortier2capitalrespectivelyasofSeptember12,2010(non‐qualifyingcapitalinstrumentsissuedpriortoSeptember12,2010)uptothepercentageoftheoutstandingprincipalamountofsuchnon‐qualifyingcapitalinstrumentsasofJanuary1,2014,inScheduleHC‐R,item21.
LineItem52CumulativePerpetualPreferred(CPP)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)ReporttheamountofCumulativePerpetualPreferredinstrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem53CPPTARPPreferred(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)
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ReporttheamountofCPPTARPPreferredinstrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem54MandatoryConvertiblePreferred(MCP)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)ReporttheamountofMandatoryConvertiblePreferred(MCP)instrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem55MCPUSGPreferred(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)ReporttheamountofCumulativePerpetualPreferredinstrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem56CumulativeDatedPreferred(TRUPS)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)ReporttheamountofCumulativeDatedPreferred(TRUPS)instrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem57USGPreferredTRUPS(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)ReporttheamountofCumulativePerpetualPreferredinstrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem58OtherNon‐qualifyingInstrumentsinTier2(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)Reporttheamountofallcapitalinstrumentsotherthantheonesincludedinlineitems52through57thatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.QuarterlyActivity‐Otherthanissuancesorrepurchases
LineItem59CommonStock(CS)(Revisedregulatorycapitalruletreatment–CommonEquityTier1)Report(1)"CommonStock"asdefinedintheFRY‐9C,ScheduleHC,lineitem24,provideditmeetsthecriteriaforcommonequitytier1capitalbasedontherevisedregulatorycapitalrulesoftheFederalReserve.Includecapitalinstrumentsissuedbymutualbankingorganizationsthatmeetthecriteriaforcommonequitytier1capital;(2)PLUS:"Surplus"asdefinedintheFRY‐9C,ScheduleHC,lineitem25;(3)PLUS:"Otherequitycapitalcomponents"asdefinedintheFRY‐9C,ScheduleHC,lineitem26(c)(onlywarrantsin(2)surplusshouldbesubtracted);and(4)LESS:"IssuancesassociatedwiththeU.S.DepartmentofTreasuryCapitalPurchaseProgram:WarrantstoPurchaseCommonStock"asdefinedintheFRY‐9C,ScheduleHC‐M,lineitem24(b).
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Line59shouldexcludeamountsreportedinline60asdescribedbelow.LineItem60CommonStock(CS)‐EmployeeStockCompensation(Revisedregulatorycapitalruletreatment–Tier1)ReportthecarryingamountofcommonstockasdefinedintheFRY‐9C,ScheduleHC,lineitem24issuedaspartofanemployeestockownershipplan(ESOP)andincludedinequitycapitalonthebalancesheet.Includeincreasesanddecreasesinadditionalpaidincapital(APIC)attributabletotheamortizationofemployeestockcompensationandanychangesinAPIC,treasuryorcommonstockasaresultoftheactualissuanceofcommonstockforemployeestockcompensation.LineItem61CSWarrants(Revisedregulatorycapitalruletreatment–CommonEquityTier1)ReportthecarryingamountofwarrantstoissuecommonstockasdefinedintheFRY‐9C,ScheduleHC,lineitem24andincludedinequitycapitalonthebalancesheet.LineItem62CSUSGInvestment(Revisedregulatorycapitalruletreatment–CommonEquityTier1)ReportthecarryingamountofwarrantsissuedtotheU.S.DepartmentofTreasurytopurchasecommonstockasdefinedintheFRY‐9C,ScheduleHC,lineitem24ofthereportinginstitutionthatisincludedinequitycapitalonthebalancesheetincludedintheFRY‐9C,ScheduleHC‐M,lineitem24(b)LineItem63CapitalInstrumentIssuedbySubsidiary(Revisedregulatorycapitalruletreatment–CommonEquityTier1)Reportcapitalinstrumentsissuedbyafullyconsolidatedsubsidiaryofthereportinginstitutiontoathirdpartyinvestorthatqualifyforinclusionincommonequitytier1capitalasdefinedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem4.Toqualifyforinclusionincommonequitytier1capital,thecapitalinstrumentsmustbeissuedbyadepositoryinstitutionoraforeignbankthatisaconsolidatedsubsidiaryofabankingorganization.LineItem64OtherCommonEquityTier1Instruments(Revisedregulatorycapitalruletreatment–CommonEquityTier1)Reportasdefinedintherevisedregulatorycapitalrule(July2013).LineItem65Non‐CumulativePerpetualPreferred(NCPP)(Revisedregulatorycapitalruletreatment–AdditionalTier1)ReporttheamountofnoncumulativeperpetualpreferredstockandrelatedsurplusincludedintheFRY‐9C,ScheduleHC,lineitem23,andanyothercapitalinstrumentandrelatedsurplusthatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserve.LineItem66NCPPConvertible(Revisedregulatorycapitalruletreatment–AdditionalTier1)ReporttheamountofNCPPConvertiblesecuritiesandrelatedsurplusincludedintheFRY‐9C,ScheduleHC,lineitem23,thatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserve.
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LineItem67MandatoryConvertiblePreferred(MCP)(Revisedregulatorycapitalruletreatment–AdditionalTier1)ReporttheamountofMandatoryConvertiblePreferred(MCP)securitiesandrelatedsurplusincludedintheFRY‐9C,ScheduleHC,lineitem23,thatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserve.LineItem68MCPUSGPreferred(Revisedregulatorycapitalruletreatment–AdditionalTier1)ReporttheamountofmandatoryconvertiblepreferredsecuritiesissuedtotheU.S.DepartmentofTreasurybybankholdingcompaniesthatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserveincludedintheFRY‐9C,ScheduleHC,lineitem3andScheduleHC‐M,lineitem24(a).LineItem69CapitalInstrumentIssuedbySubsidiary(Revisedregulatorycapitalruletreatment–AdditionalTier1)Reporttheamountoftier1minorityinterestnotincludedincommonequitytier1capitalthatisincludableattheconsolidatedlevelasdefinedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem22.Fortier1minorityinterest,thereisnorequirementthatthesubsidiarybeadepositoryinstitutionoraforeignbank.However,theinstrumentthatgivesrisetoadditionaltier1minorityinterestmustmeetallthecriteriaforadditionaltier1capitalinstrument.LineItem70OtherAdditionalTier1Instruments(Revisedregulatorycapitalruletreatment–AdditionalTier1)Reporttheamountofallothercapitalinstruments,otherthanthoseincludedinlineitems65through69thatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserve.LineItem71CumulativePerpetualPreferred(CPP)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)ReporttheamountofCumulativePerpetualPreferredsecuritiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem72CPPTARPPreferred(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)ReporttheamountofCPPTARPPreferredsecuritiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem73MandatoryConvertiblePreferred(MCP)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)ReporttheamountofMandatoryConvertiblePreferredsecuritiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem74MCPUSGPreferred(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)
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ReporttheamountofMCPUSGPreferredsecuritiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem75CumulativeDatedPreferred(TRUPS)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)ReporttheamountofCumulativeDatedPreferred(TRUPS)securitiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem76USGPreferredTRUPS(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)ReporttheamountofUSGPreferred(TRUPS)securitiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem77OtherNon‐qualifyingInstrumentsinTier1(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)Reporttheamountofallothercapitalinstrumentsotherthanthoseincludedinlineitems71through76thatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem78SubordinatedDebt(Revisedregulatorycapitalruletreatment–Tier2)ReportsubordinateddebtinstrumentsthatsatisfyalleligibilitycriteriaundertherevisedregulatorycapitalrulesoftheFederalReserveandrelatedsurplusincludedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem27.Includeinstrumentsthatwere(i)issuedundertheSmallBusinessJobsActof2010,or,priortoOctober4,2010,undertheEmergencyEconomicStabilizationActof2008and(ii)wereincludedinthetier2capitalnonqualifyingcapitalinstruments(e.g.,TruPSandcumulativeperpetualpreferred)undertheFederalReserve’sgeneralrisk‐basedcapitalrules.LineItem79CapitalInstrumentIssuedbySubsidiary(Revisedregulatorycapitalruletreatment–Tier2)Reporttheamountoftotalcapitalminorityinterestnotincludedintier1capital,asdefinedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem29.LineItem80OtherTier2Instruments(Revisedregulatorycapitalruletreatment–Tier2)Reportallothercapitalinstruments,otherthanthoseincludedinlineitems78and79,thatsatisfyalleligibilitycriteriaundertherevisedregulatorycapitalrulesoftheFederalReserveandrelatedsurplusincludedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem27.Inaddition,reporttier2capitalnon‐qualifyingcapitalinstruments(e.g.,TruPSandcumulativeperpetualpreferred)thathavebeenphased‐outoftier1capitalintheFRY‐9C,ScheduleHC‐R,PartI,lineitem21.Foritems81through87,holdingcompaniesmayincludeinregulatorycapitaldebtorequityinstrumentsissuedpriortoSeptember12,2010,thatdonotmeetthecriteriaforadditionaltier1ortier2capitalinstrumentsin12CFR217.20oftherevisedregulatorycapitalrulesbutthatwere
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includedintier1ortier2capitalrespectivelyasofSeptember12,2010(non‐qualifyingcapitalinstrumentsissuedpriortoSeptember12,2010)uptothepercentageoftheoutstandingprincipalamountofsuchnon‐qualifyingcapitalinstrumentsasofJanuary1,2014,inScheduleHC‐R,item21.LineItem81CumulativePerpetualPreferred(CPP)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)ReporttheamountofCumulativePerpetualPreferredinstrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem82CPPTARPPreferred(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)ReporttheamountofCPPTARPPreferredinstrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem83MandatoryConvertiblePreferred(MCP)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)ReporttheamountofMandatoryConvertiblePreferred(MCP)instrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem84MCPUSGPreferred(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)ReporttheamountofCumulativePerpetualPreferredinstrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem85CumulativeDatedPreferred(TRUPS)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)ReporttheamountofCumulativeDatedPreferred(TRUPS)instrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem86USGPreferredTRUPS(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)ReporttheamountofCumulativePerpetualPreferredinstrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.LineItem87OtherNon‐qualifyingInstrumentsinTier2(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)
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Reporttheamountofallcapitalinstrumentsotherthantheonesincludedinitems81through86thatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.CapitalBalances
LineItem88CommonStock(CS)(Revisedregulatorycapitalruletreatment–CommonEquityTier1)Fortheactualas‐ofdate,report(1)"CommonStock"asdefinedintheFRY‐9C,ScheduleHC,lineitem24,provideditmeetsthecriteriaforcommonequitytier1capitalbasedontherevisedregulatorycapitalrulesoftheFederalReserve.Includecapitalinstrumentsissuedbymutualbankingorganizationsthatmeetthecriteriaforcommonequitytier1capital;(2)PLUS:"Surplus"asdefinedintheFRY‐9C,ScheduleHC,lineitem25;(3)PLUS"Otherequitycapitalcomponents"asdefinedintheFRY‐9C,ScheduleHC,lineitem26(c)(onlywarrantsin(2)surplusshouldbesubtracted);and(4)LESS:"IssuancesassociatedwiththeU.S.DepartmentofTreasuryCapitalPurchaseProgram:WarrantstoPurchaseCommonStock"asdefinedintheFRY‐9C,ScheduleHC‐M,lineitem24(b).Line88shouldexcludeamountsreportedinline89asdescribedbelow.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items1,2,30,31,59,60andactualas‐ofdateitem88.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems1,2,30,31,59,60andthepriorprojectionperiod’sitem88.LineItem89CSWarrants(Revisedregulatorycapitalruletreatment–CommonEquityTier1)Fortheactualas‐ofdate,reportthecarryingamountofwarrantstoissuecommonstockasdefinedintheFRY‐9C,ScheduleHC,lineitem24andincludedinequitycapitalonthebalancesheet.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items3,32,61andactualas‐ofdateitem89.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems3,32,61andthepriorprojectionperiod’sitem89.LineItem90CSUSGInvestment(Revisedregulatorycapitalruletreatment–CommonEquityTier1)Fortheactualas‐ofdate,reportthecarryingamountofwarrantsissuedtotheU.S.DepartmentofTreasurytopurchasecommonstockasdefinedintheFRY‐9C,ScheduleHC,lineitem24ofthereportinginstitutionthatisincludedinequitycapitalonthebalancesheetincludedintheFRY‐9C,ScheduleHC‐M,lineitem24(b).ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items4,33,62,andactualas‐ofdateitem90.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems4,33,62andthepriorprojectionperiod’sitem90LineItem91CapitalInstrumentIssuedbySubsidiary(Revisedregulatorycapitalruletreatment–CommonEquityTier1)
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Fortheactualas‐ofdate,reportcapitalinstrumentsissuedbyafullyconsolidatedsubsidiaryofthereportinginstitutiontoathirdpartyinvestorthatqualifyforinclusionincommonequitytier1capitalasdefinedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem4).Toqualifyforinclusionincommonequitytier1capital,thecapitalinstrumentsmustbeissuedbyadepositoryinstitutionoraforeignbankthatisaconsolidatedsubsidiaryofabankingorganization.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items5,34,63andactualas‐ofdateitem91.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems5,34,63andthepriorprojectionperiod’sitem91.LineItem92OtherCommonEquityTier1Instruments(Revisedregulatorycapitalruletreatment–CommonEquityTier1)Fortheactualas‐ofdate,reportasdefinedintherevisedregulatorycapitalrule(July2013).ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items6,35,64andactualas‐ofdateitem92.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems6,35,64andthepriorprojectionperiod’sitem92.LineItem93Non‐CumulativePerpetualPreferred(NCPP)(Revisedregulatorycapitalruletreatment–AdditionalTier1)Fortheactualas‐ofdate,reporttheamountofnoncumulativeperpetualpreferredstockandrelatedsurplusincludedintheFRY‐9C,ScheduleHC,lineitem23,andanyothercapitalinstrumentandrelatedsurplusthatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserve.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items7,36,65andactualas‐ofdateitem93.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems7,36,65andthepriorprojectionperiod’sitem93.LineItem94NCPPConvertible(Revisedregulatorycapitalruletreatment–AdditionalTier1)Fortheactualas‐ofdate,reporttheamountofNCPPConvertiblesecuritiesandrelatedsurplusincludedintheFRY‐9C,ScheduleHC,lineitem23,thatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserve.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items8,37,66andactualas‐ofdateitem94.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems8,37,66andthepriorprojectionperiod’sitem94.LineItem95MandatoryConvertiblePreferred(MCP)(Revisedregulatorycapitalruletreatment–AdditionalTier1)Fortheactualas‐ofdate,reporttheamountofMandatoryConvertiblePreferred(MCP)securitiesandrelatedsurplusincludedintheFRY‐9C,ScheduleHC,lineitem23,thatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserve.
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ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items9,38,67andactualas‐ofdateitem95.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems9,38,67andthepriorprojectionperiod’sitem95.LineItem96MCPUSGPreferred(Revisedregulatorycapitalruletreatment–AdditionalTier1)Fortheactualas‐ofdate,reporttheamountofmandatoryconvertiblepreferredsecuritiesissuedtotheU.S.DepartmentofTreasurybybankholdingcompaniesthatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserveincludedintheFRY‐9C,ScheduleHC,lineitem3andScheduleHC‐M,lineitem24(a).ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items10,39,68andactualas‐ofdateitem96.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems10,39,68andthepriorprojectionperiod’sitem96.LineItem97CapitalInstrumentIssuedbySubsidiary(Revisedregulatorycapitalruletreatment–AdditionalTier1)Fortheactualas‐ofdate,reporttheamountoftier1minorityinterestnotincludedincommonequitytier1capitalthatisincludableattheconsolidatedlevelasdefinedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem22.Fortier1minorityinterest,thereisnorequirementthatthesubsidiarybeadepositoryinstitutionoraforeignbank.However,theinstrumentthatgivesrisetoadditionaltier1minorityinterestmustmeetallthecriteriaforadditionaltier1capitalinstrument.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items11,40,69andactualas‐ofdateitem97.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems11,40,69andthepriorprojectionperiod’sitem97.LineItem98OtherAdditionalTier1Instruments(Revisedregulatorycapitalruletreatment–AdditionalTier1)Fortheactualas‐ofdate,reporttheamountofallothercapitalinstruments,otherthanthoseincludedinlineitems93through97,thatsatisfyalltheadditionaltier1criteriain12CFR217.20(c)oftherevisedregulatorycapitalrulesoftheFederalReserve.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items12,41,70andactualas‐ofdateitem98.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems12,41,70andthepriorprojectionperiod’sitem98.LineItem99CumulativePerpetualPreferred(CPP)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)Fortheactualas‐ofdate,reporttheamountofCumulativePerpetualPreferredsecuritiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items13,42,71andactualas‐ofdateitem99.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems13,42,71andthepriorprojectionperiod’sitem99.
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LineItem100CPPTARPPreferred(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)Fortheactualas‐ofdate,reporttheamountofCPPTARPPreferredsecuritiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items14,43,72andactualas‐ofdateitem100.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems14,4372andthepriorprojectionperiod’sitem100.LineItem101MandatoryConvertiblePreferred(MCP)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)Fortheactualas‐ofdate,reporttheamountofMandatoryConvertiblePreferredsecuritiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items15,44,73andactualas‐ofdateitem101.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems15,44,73andthepriorprojectionperiod’sitem101.LineItem102MCPUSGPreferred(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)Fortheactualas‐ofdate,reporttheamountofMCPUSGPreferredsecuritiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items16,45,74andactualas‐ofdateitem102.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems16,45,74andthepriorprojectionperiod’sitem102.LineItem103CumulativeDatedPreferred(TRUPS)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)Fortheactualas‐ofdate,reporttheamountofCumulativeDatedPreferred(TRUPS)securitiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items17,46,75andactualas‐ofdateitem103.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems17,46,75andthepriorprojectionperiod’sitem103.LineItem104USGPreferredTRUPS(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)Fortheactualas‐ofdate, reporttheamountofUSGPreferred(TRUPS)securitiesthatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.
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ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items18,47,76andactualas‐ofdateitem104.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems18,47,76andthepriorprojectionperiod’sitem104.LineItem105OtherNon‐qualifyingInstrumentsinTier1(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier1)Fortheactualas‐ofdate,reporttheamountofallothercapitalinstrumentsotherthanthoseincludedinlineitems99through104thatwereincludedintier1capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem21)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items19,48,77andactualas‐ofdateitem105.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems19,48,77andthepriorprojectionperiod’sitem105.LineItem106SubordinatedDebt(Revisedregulatorycapitalruletreatment–Tier2)Fortheactualas‐ofdate,reportsubordinateddebtinstrumentsthatsatisfyalleligibilitycriteriaundertherevisedregulatorycapitalrulesoftheFederalReserveandrelatedsurplusincludedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem27.Includeinstrumentsthatwere(i)issuedundertheSmallBusinessJobsActof2010,or,priortoOctober4,2010,undertheEmergencyEconomicStabilizationActof2008and(ii)wereincludedinthetier2capitalnonqualifyingcapitalinstruments(e.g.,TruPSandcumulativeperpetualpreferred)undertheFederalReserve’sgeneralrisk‐basedcapitalrules.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items20,49,78andactualas‐ofdateitem106.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems20,49,78andthepriorprojectionperiod’sitem106.LineItem107CapitalInstrumentIssuedbySubsidiary(Revisedregulatorycapitalruletreatment–Tier2)Fortheactualas‐ofdate,reporttheamountoftotalcapitalminorityinterestnotincludedintier1capital,asdefinedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem29.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items21,50,79andactualas‐ofdateitem107.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems21,50,79andthepriorprojectionperiod’sitem107.LineItem108OtherTier2Instruments(Revisedregulatorycapitalruletreatment–Tier2)Fortheactualas‐ofdate,reportallothercapitalinstruments,otherthanthoseincludedinlineitems106and107,thatsatisfyalleligibilitycriteriaundertherevisedregulatorycapitalrulesoftheFederalReserveandrelatedsurplusincludedintheFRY‐9C,ScheduleHC‐R,PartI,lineitem27.Inaddition,reporttier2capitalnon‐qualifyingcapitalinstruments(e.g.,TruPSandcumulativeperpetualpreferred)thathavebeenphased‐outoftier1capitalintheFRY‐9C,ScheduleHC‐R,PartI,lineitem21.
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ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items22,51,80andactualas‐ofdateitem108.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems22,51,80andthepriorprojectionperiod’sitem108Foritems109through115,holdingcompaniesmayincludeinregulatorycapitaldebtorequityinstrumentsissuedpriortoSeptember12,2010,thatdonotmeetthecriteriaforadditionaltier1ortier2capitalinstrumentsin12CFR217.20oftherevisedregulatorycapitalrulesbutthatwereincludedintier1ortier2capitalrespectivelyasofSeptember12,2010(non‐qualifyingcapitalinstrumentsissuedpriortoSeptember12,2010)uptothepercentageoftheoutstandingprincipalamountofsuchnon‐qualifyingcapitalinstrumentsasofJanuary1,2014,inScheduleHC‐R,item21.LineItem109CumulativePerpetualPreferred(CPP)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)Fortheactualas‐ofdate,reporttheamountofCumulativePerpetualPreferredinstrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items23,52,81andactualas‐ofdateitem109.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems23,52,81andthepriorprojectionperiod’sitem109.LineItem110CPPTARPPreferred(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)Fortheactualas‐ofdate,reporttheamountofCPPTARPPreferredinstrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items24,53,82andactualas‐ofdateitem110.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems24,53,82andthepriorprojectionperiod’sitem110.LineItem111MandatoryConvertiblePreferred(MCP)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)Fortheactualas‐ofdate,reporttheamountofMandatoryConvertiblePreferred(MCP)instrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items25,54,83andactualas‐ofdateitem111.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems25,54,83andthepriorprojectionperiod’sitem111.LineItem112MCPUSGPreferred(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)Fortheactualas‐ofdate,reporttheamountofCumulativePerpetualPreferredinstrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.
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ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items26,55,84andactualas‐ofdateitem112.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems26,55,84andthepriorprojectionperiod’sitem112.LineItem113CumulativeDatedPreferred(TRUPS)(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)Fortheactualas‐ofdate,reporttheamountofCumulativeDatedPreferred(TRUPS)instrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items27,56,85andactualas‐ofdateitem113.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems27,56,85andthepriorprojectionperiod’sitem113.LineItem114USGPreferredTRUPS(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)Fortheactualas‐ofdate,reporttheamountofCumulativePerpetualPreferredinstrumentsthatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items28,57,86andactualas‐ofdateitem114.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems28,57,86andthepriorprojectionperiod’sitem114.LineItem115OtherNon‐qualifyingInstrumentsinTier2(Revisedregulatorycapitalruletreatment–Non‐qualifyingInstrumentinTier2)Fortheactualas‐ofdate,reporttheamountofallcapitalinstrumentsotherthantheonesincludedinlineitems109through114thatwereincludedintier2capital(FRY‐9C,ScheduleHC‐R,PartI,lineitem28)andoutstandingasofJanuary1,2014,andthataresubjecttophaseout.ForprojectionperiodPQ1,theitemiscalculatedasthesumofprojectionperiodPQ1items29,58,87andactualas‐ofdateitem115.ForprojectionperiodsPQ2throughPQ9,theitemiscalculatedasthesumofcurrentprojectionperioditems29,58,87andthepriorprojectionperiod’sitem115.
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ScheduleD—RegulatoryCapitalTransitionsFor the purposes of the Regulatory Capital Transitions Schedule, BHCsmust reflect the revisedregulatory capital rules on a fully phased‐in basis (e.g., BHCs should apply 100% of all capitaldeductions, not assuming the transition provisions for implementation of changes to thecapitalcompositionasintherevisedregulatorycapitalrule).Whereapplicable,BHCsshouldalsoreferencethemethodologydescriptionsoutlinedwithintheFRY‐9CScheduleHC‐R,PartIandpartII.Pleasenote, however, that numbers do not need to tie to the FR Y‐9C reports, given that the FR Y‐14Transitionsschedulerequirescalculationsonafullyphased‐inbasis.TheRegulatoryCapitalTransitionsFRY‐14Aannualschedulecollectsactual(historical)datafortheas‐ofdateandprojectedfourthquarterdataforfiveyears.AllprojectionsintheFRY‐14ARegulatoryCapitalTransitionsscheduleshouldbebasedundertheSupervisoryBaselinescenariothroughtheendofProjectedYear5onayear‐to‐datebasis(unlessotherwisespecified).Allforecastsmust be wel l ‐developedandwell‐documented,consistentwiththerelevantbaselinescenario,andinternallyconsistentwiththeBHC’splannedcapitalactions.BHCsshouldprovideprojectionsofcapitalcomposition,exceptionsbucketcalculation,risk‐weightedassets,andleverageexposuresthroughprojectedyear5eveniftheBHCanticipatescomplyingwiththeproposedfullyphased‐in7%CommonEquityTier1,8.5%Tier1capital,4%Tier1leverage,and3%supplementaryleveragetargetratios(inclusivethecapitalconservationbuffer,whereapplicable)plusanyapplicablesurchargeforsystemicallyimportantfinancialinstitutions(SIFIsurcharge)byanearlierdate.EachCCARCapitalPlanmustincludemanagement’sbestestimateofaBHC’slikelySIFIsurcharge.IntheprocessofassessingaBHC’stransitionpathtowardcompliancewiththeRevisedCapitalFramework,supervisorswillevaluatethemethodologyandassumptionsusedbyBHCsindeterminingtheSIFIsurcharge,andmayadjustsuchestimatesasnecessarywhenevaluatingthetransitionpath.SeeAppendixA:SupportingDocumentationformoredetailsabouttheassociatedinformationthatmustbesubmittedinadditiontothisreporttemplate.IntheeventthatacapitalplanresubmissionpromptsaBHChastosubmittheFRY‐14ARegulatoryCapitalTransitionsschedulewithadateotherthantheas‐ofdate,theBHCshouldtreatallcolumnslabeled“Actualin$Millionsasofdate”asbeingas‐ofthedatedictatedbythecapitalplanresubmission.ThePY1columnshouldbetheprojection1yearfromthecapitalplanresubmissionas‐ofdate,PY2shouldbetheprojection2yearsfromthecapitalplanresubmissionas‐ofdate,andsoforth.RelevantReferencesAllBHCsarerequiredtofollowthemethodologiesoutlinedintherevisedregulatorycapitalrule(78FederalRegister62018,JulyOctober11,2013),theupdatedmarketriskcapitalrule(78FederalRegister76521,December18,2013),andthesupplementaryfinalrule(September2014)forpurposesofcompletingtheRegulatoryCapitalTransitionsschedulesfortheentireforecastperiod.BHCsshouldreflecttherevisedregulatorycapitalframeworkonafullyphased‐inbasis.Linkstothesereferencedocumentsarelistedbelow:• Baselglobalsystemicallyimportantbanks:updatedassessmentmethodologyandthehigher
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lossabsorbencyrequirement(July2013):http://www.bis.org/publ/bcbs255.pdf• RevisedRegulatoryCapitalRule(78FederalRegister62018,October11,2013):
http://www.gpo.gov/fdsys/pkg/FR‐2013‐10‐11/pdf/2013‐21653.pdf• SupplementaryLeverageFinalRule(September2014):http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20140903b1.pdf UpdatedMarketRiskRule(December2013):
http://www.gpo.gov/fdsys/pkg/FR‐2013‐12‐18/pdf/2013‐29785.pdfCompletingtheScheduleAlldatashouldbeprovidedinthenon‐shadedcellsinallsub‐schedules;greyshadedcellsincludeembeddedformulasandwillbeautomaticallypopulated.AllBHCs,includingadvancedapproachesBHCsandnon‐advancedapproachesBHCsmustcompletethe“StandardizedRWA”sub‐scheduleforallreportingperiods.Forthepurposeofcompletingthe“StandardizedRWA”sub‐schedule,BHCsarerequiredtoreportcreditrisk‐weightedassetsusingthemethodologiesunderthestandardizedapproachoftherevisedregulatorycapitalrule.AdvancedapproachesBHCs,includingtheBHCsthatareconsideredmandatoryadvancedapproachesinstitutionsorthathaveopted‐involuntarilyas anadvancedapproaches institution,arealsorequired tocompletethe“AdvancedRWA”sub‐scheduleforallreportingperiods.Notethatalldatamustbecompletedonafullyphased‐inbasis.NotethatforpurposesofcompletingtheFRY‐14ARegulatoryCapitalTransitionsschedule,BHCsshouldnotassumefuturemodelapprovalintheRWAprojectionsforpositionsandmodelsthathavenotyetbeenapproved.BHCsthathavereceivedcomprehensiveriskmodelapprovalshouldbasetheirprojectionsonthecomprehensiveriskmeasureplusthesurchargefortheentireplanninghorizon.BHCsshouldnotassumethatthesurchargewillbereplacedbythefloorapproachinthescheduleoraspartofplannedactions.IfaBHCdoesnothaveanexposurerelevanttoanyparticularlineiteminthesub‐schedules(exceptforthePlannedActionsub‐schedule);itshouldenterzero(0)inthosecells.Inorderfortheembeddedformulastoautomaticallypopulatetheshadedcellsintheschedulewithcalculatednumbers,BHCsmustcompleteallunshadedcellsintheschedulewithavalue.Inaddition,BHCsshouldensurethattheversionofMicrosoftExcel they use to complete the schedule is set toautomatically calculate formulas.This is achieved bysetting“CalculationOptions”(undertheFormulasfunction)to“Automatic”withinMicrosoftExcel.D.1—CapitalCompositionThe“CapitalComposition”sub‐scheduleandthe“ExceptionsBucketCalculator”sub‐schedulecollectthedatanecessary to calculate the compositionof capital under the guidelines set forthby theRevisedRegulatoryCapitalRule.Pleaseprovidealldataonafullyphased‐inbasis(i.e.,notassuminganytransitionalorphase‐outarrangementsincludedintherevisedregulatorycapitalrule.
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CommonEquityTier1Lineitem1AOCIopt‐outelectionNon‐advancedapproachesBHCshavetheoptiontoselecteither1foropt‐out,or0foropt‐in.NotethattherearenotransitionprovisionsappliedCommonequitytier1capitalLineitem2Commonstockandrelatedsurplus(netoftreasurystockandunearnedemployeestockownershipplan(ESOP)shares ReportcommonsharesandtherelatedsurplusissuedbyBHCsthatmeetthecriteriaofthefinalrules.Thisshouldbenetoftreasurystockandotherinvestmentsinownsharestotheextentthatthesearealreadynotrecognizedonthebalancesheetundertherelevantaccountingstandards.ThislineitemshouldreflecttheimpactofsharerepurchasesorissuancesprojectedintheCCARforecasthorizon.Thislineshouldalsoreflectthenettingofanytreasurystock,unearnedESOPshares,andanyothercontra‐equitycomponents.Lineitem3Retainedearnings RetainedearningsreportedbyBHCs.Thisshouldreflecttheimpactofdividendpay‐outsprojectedintheCCARforecasthorizon.Lineitem4Accumulatedothercomprehensiveincome(AOCI)ReporttheamountofAOCIasreportedundergenerallyacceptedaccountingprinciples(GAAP)intheU.S.thatisconsistentwiththedefinitionsincludedinScheduleHC‐R,PartI.B.,item3,withnotransitionprovisions. Lineitem5Commonequitytier1minorityinterestincludableincommonequitytier1capital(reportthisonafullyphased‐inbasis)Reporttheaggregateamountofcommonequitytier1minorityinterestthatisconsistentwiththedefinitionsprovidedinScheduleHC‐R,PartI.B.,item4,withnotransitionprovisions. Commonequitytier1minorityinterestmeansthecommonequitytier1capitalofadepositoryinstitutionorforeignbankthatisaconsolidatedsubsidiaryoftheholdingcompanyandthatisnotownedbytheholdingcompany. Inaddition,thecapitalinstrumentsissuedbythesubsidiarymustmeetallofthecriteriaforcommonequitytier1capital(qualifyingcommonequitytier1capital). Lineitem6Commonequitytier1capitalbeforeadjustmentsanddeductionsThiscapturesthesumoflineitems2through5.
Commonequitytier1capital:adjustmentsanddeductions Lineitem7Goodwillnetofassociateddeferredtaxliabilities(DTLs)ReporttheamountofgoodwillthatisconsistentwiththedefinitionsprovidedinScheduleHC‐R,PartI.B.,item6,withnotransitionprovisions.Ifaholdingcompanyhassignificantinvestmentsinthecapitalofunconsolidatedfinancial
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institutionsintheformofcommonstock,theholdingcompanyshouldreportinthisitemgoodwillembeddedinthevaluationofasignificantinvestmentinthecapitalofanunconsolidatedfinancialinstitutionintheformofcommonstock(embeddedgoodwill).Suchdeductionofembeddedgoodwillwouldapplytoinvestmentsaccountedforundertheequitymethod.UnderGAAP,ifthereisadifferencebetweentheinitialcostbasisoftheinvestmentandtheamountofunderlyingequityinthenetassetsoftheinvestee,theresultingdifferenceshouldbeaccountedforasiftheinvesteewereaconsolidatedsubsidiary(whichmayincludeimputedgoodwill).Lineitem8Intangibleassets(otherthangoodwillandmortgageservicingassets(MSAs)),netofassociatedDTLsReportallintangibleassets(otherthangoodwillandMSAs)netofassociatedDTLs,includedinScheduleHC‐M,items12.band12.c,thatdonotqualifyforinclusionincommonequitytier1capitalundertheregulatorycapitalrules.Generally,allpurchasedcreditcardrelationships(PCCRs)andnon‐mortgageservicingrights,reportedinScheduleHC‐M,item12.b,andallotheridentifiableintangibles,reportedinScheduleHC‐M,item12.c,donotqualifyforinclusionincommonequitytier1capitalandshouldbeincludedinthisitem.Further,iftheholdingcompanyhasaDTLthatisspecificallyrelatedtoanintangibleasset(otherthanservicingassetsandPCCRs)acquiredinanontaxablepurchasebusinesscombinationthatitchoosestonetagainsttheintangibleassetforregulatorycapitalpurposes,theamountofdisallowedintangiblestobereportedinthisitemshouldbereducedbytheamountoftheassociatedDTL.However,aDTLthattheholdingcompanychoosestonetagainsttherelatedintangiblereportedinthisitemmaynotalsobenettedagainstDTAswhentheholdingcompanydeterminestheamountofDTAsthataredependentuponfuturetaxableincomeandcalculatesthemaximumallowableamountofsuchDTAsforregulatorycapitalpurposes.Lineitem9DeferredTaxAssets(DTAs)thatarisefromnetoperatinglossandtaxcreditcarryforwards,netofanyrelatedvaluationallowancesandnetofDTLsReporttheamountofDTAsthatarisefromnetoperatinglossandtaxcreditcarryforwards,netofanyrelatedvaluationallowancesandnetofDTLs.AOCI‐relatedadjustmentsIfItem1is“1”for“Yes”,completeitems10through14onlyforAOCIrelatedadjustments.Lineitem10Netunrealizedgains(losses)onavailable‐for‐salesecuritiesReporttheamountofnetunrealizedholdinggains(losses)onavailable‐for‐salesecurities,netofapplicabletaxes,thatisconsistentwiththedefinitionsprovidedinScheduleHC‐R,ScheduleI.B.,item9a,“Accumulatedothercomprehensiveincome,”Withnotransitionprovisions.Iftheamountisanetgain,reportitasapositivevalueinthisitem. Iftheamountisanetloss,reportitasanegativevalueinthisitem. Lineitem11Netunrealizedlossonavailable‐for‐salepreferredstockclassifiedasanequitysecurityunderGAAPandavailable‐for‐saleequityexposuresReportasapositivevaluenetunrealizedlossonavailable‐for‐salepreferredstockclassifiedasanequitysecurityunderGAAPandavailable‐for‐saleequityexposures,consistentwiththedefinitionsthatisincludedinScheduleHC‐R,ScheduleI.B.,item9b,withnotransitionprovisions.i
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Lineitem12Accumulatednetgains(losses)oncashflowhedgesReporttheamountofaccumulatednetgains(losses)oncashflowhedges,consistentwiththedefinitionsthatisincludedinScheduleHC‐R,ScheduleI.B.,item9c,“Accumulatedothercomprehensiveincome,”Withnotransitionprovisions.Iftheamountisanetgain,reportitasapositivevalueinthisitem. Iftheamountisanetloss,reportitasanegativevalueinthisitem.Lineitem13AmountsrecordedinAOCIattributedtodefinedbenefitpostretirementplansresultingfromtheinitialandsubsequentapplicationoftherelevantGAAPstandardsthatpertaintosuchplansReporttheamountsrecordedinAOCIandisconsistentwiththedefinitionsincludedinScheduleHC‐R,ScheduleI.B.,item9d,“Accumulatedothercomprehensiveincome,”withnotransitionprovisions,resultingfromtheinitialandsubsequentapplicationofASCSubtopic715‐20(formerlyFASBStatementNo.158,“Employers’AccountingforDefinedBenefitPensionandOtherPostretirementPlans”)todefinedbenefitpostretirementplansresultingfromtheinitialandsubsequentapplicationoftherelevantGAAPstandardsthatpertaintosuchplans.Lineitem14Netunrealizedgains(losses)onheld‐to‐maturitysecuritiesthatareincludedinAOCIReporttheamountofnetunrealizedgains(losses)thatarenotcredit‐relatedonheld‐to‐maturityecuritiesandareincludedinAOCI,consistentwiththedefinitionsasreportedinScheduleHC‐R,ScheduleI.B.,item9e,“Accumulatedothercomprehensiveincome,”withnotransitionprovisions.Iftheamountisanetgain,reportitasapositivevalue.Iftheamountisanetloss,reportitasanegativevalue.IfItem1is“0”for“No”,completeitem15onlyforAOCIrelatedadjustments.Lineitem15Accumulatednetgain(loss)oncashflowhedgesincludedinAOCI,netofapplicabletaxeffects,thatrelatetothehedgingofitemsthatarenotrecognizedatfairvalueonthebalancesheet.Reporttheamountofaccumulatednetgain(loss)oncashflowhedgesincludedinAOCI,netofapplicabletaxeffectsthatrelatetothehedgingofitemsnotrecognizedatfairvalueonthebalancesheet.Iftheamountisanetgain,reportitasapositivevalue.Iftheamountisanetloss,reportitasanegativevalue.Otherdeductionsfrom(additionsto)commonequitytier1capitalbeforethreshold‐baseddeductions:Lineitem16Unrealizednetgain(loss)relatedtochangesinthefairvalueofliabilitiesthatareduetochangesinowncreditriskReporttheamountofunrealizednetgain(loss)relatedtochangesinthefairvalueofliabilitiesthatareduetochangesintheholdingcompany’sowncreditrisk.Iftheamountisanetgain,reportitasapositivevalueinthisitem.Iftheamountisanetloss,reportitasanegativevalueinthisitem.Advancedapproachesholdingcompaniesonly:includethecreditspreadpremiumovertheriskfree
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rateforderivativesthatareliabilities.Lineitem17Allotherdeductionsfrom(additionsto)commonequitytier1capitalbeforethreshold‐baseddeductionsReporttheamountofotherdeductionsfrom(additionsto)commonequitytier1capitalthatarenotincludedinitems1through15,asdescribedbelow:
(1) After‐taxgain‐on‐saleinconnectionwithasecuritizationexposureIncludeanyafter‐taxgain‐on‐saleinconnectionwithasecuritizationexposure.Gain‐on‐salemeansanincreaseintheequitycapitalofaholdingcompanyresultingfromasecuritization(otherthananincreaseinequitycapitalresultingfromtheholdingcompany’sreceiptofcashinconnectionwiththesecuritizationorreportingofamortgageservicingassetonScheduleHC).
(2) Definedbenefitpensionfundassets,netofassociatedDTLsABHCmustdeductdefinedbenefitpensionfundassets,netofassociatedDTLs,heldbyaholdingcompany.WiththepriorapprovaloftheFederalReserve,thisdeductionisnotrequiredforanydefinedbenefitpensionfundnetassettotheextenttheholdingcompanyhasunrestrictedandunfetteredaccesstotheassetsinthatfund.
(3) Investmentsintheholdingcompany’sownsharestotheextentnotexcludedaspartoftreasurystock.IncludetheBHC’sinvestmentsin(includinganycontractualobligationtopurchase)itsowncommonstockinstruments,includingdirect,indirect,andsyntheticexposurestosuchinstruments(asdefinedintherevisedregulatorycapitalrules),totheextentsuchinstrumentsarenotexcludedaspartoftreasurystock.Forexample,ifaBHCalreadydeductsitsinvestmentinitsownshares(forexample,treasurystock)fromitscommonequitytier1capitalelements,itdoesnotneedtomakesuchdeductiontwice.Aholdingcompanymaydeductgrosslongpositionsnetofshortpositionsinthesameunderlyinginstrumentonlyiftheshortpositionsinvolvenocounterpartycreditrisk.Theholdingcompanymustlookthroughanyholdingsofindexsecuritiestodeductinvestmentsinitsowncapitalinstruments.Inaddition:(i) Grosslongpositionsininvestmentsinaholdingcompany’sownregulatorycapital
instrumentsresultingfromholdingsofindexsecuritiesmaybenettedagainstshortpositionsinthesameunderlyingindex;
(ii) Shortpositionsinindexsecuritiesthatarehedginglongcashorsyntheticpositionsmaybedecomposedtorecognizethehedge;and
(iii) Theportionoftheindexthatiscomposedofthesameunderlyingexposurethatisbeinghedgedmaybeusedtooffsetthelongpositionifboththeexposurebeinghedgedandtheshortpositionintheindexarecoveredpositionsunderthemarketriskcapitalrule,andthehedgeisdeemedeffectivebytheholdingcompany’sinternalcontrol
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processeswhichwouldhavebeenassessedbytheFederalReserve.
(4) Reciprocalcross‐holdingsinthecapitaloffinancialinstitutionsintheformofcommonstockIncludeinvestmentsinthecapitalofotherfinancialinstitutions(intheformofcommonstock)thattheholdingcompanyholdsreciprocally(thisisthecorrespondingdeductionapproach).Suchreciprocalcrossholdingsmayresultfromaformalorinformalarrangementtoswap,exchange,orotherwiseintendtoholdeachother’scapitalinstruments.
(5) EquityinvestmentsinfinancialsubsidiariesABHCmustdeducttheaggregateamountofitsoutstandingequityinvestment,includingretainedearnings,initsfinancialsubsidiaries(asdefinedin12CFR208.77)andmaynotconsolidatetheassetsandliabilitiesofafinancialsubsidiarywiththoseoftheparentinstitution.Nootherdeductionisrequiredfortheseinvestmentsinthecapitalinstrumentsoffinancialsubsidiaries.
(6) Amountofexpectedcreditlossthatexceedsitseligiblecreditreserves(Advancedapproachesinstitutionsthatexitparallelrunonly)Includetheamountofexpectedcreditlossthatexceedstheeligiblecreditreserves.
Lineitem18Non‐significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstockthatexceedthe10percentthresholdfornon‐significantinvestmentsABHChasanon‐significantinvestmentinthecapitalofanunconsolidatedfinancialinstitution(asdefinedintherevisedregulatorycapitalrules)ifitowns10percentorlessoftheissuedandoutstandingcommonsharesofthatinstitution.Reporttheamountofnon‐significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstockthat,intheaggregate,exceedthe10percentthresholdfornon‐significantinvestments,calculatedasdescribedbelow.TheBHCmayapplyassociatedDTLstothisdeduction.Lineitem19SubtotalThisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.Thisisthetotalofcommonequitytier1priortoadjustmentslessalloftheregulatoryadjustmentsanddeductions.Lineitem20Significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstock,netofDTLs,thatexceedthe10percentcommonequitytier1capitaldeductionthresholdThisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem21MSAs,netofassociatedDTLs,thatexceedthe10percentcommonequitytier1capitaldeductionthresholdThisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.
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Lineitem22DTAsarisingfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacks,netofrelatedvaluationallowancesandnetofDTLs,thatexceedthe10percentcommonequitytier1capitaldeductionthresholdThisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem23Amountofsignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstock;MSAs,netofassociatedDTLs;andDTAsarisingfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacks,netofrelatedvaluationallowancesandnetofDTLs;thatexceedsthe15percentcommonequitytier1capitaldeductionthresholdThisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem24Deductionsappliedtocommonequitytier1capitalduetoinsufficientamountsofadditionaltier1capitalandtier2capitaltocoverdeductionsReportthetotalamountofdeductionsrelatedtoreciprocalcrossholdings,non‐significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutions,andnon‐commonstocksignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsiftheholdingcompanydoesnothaveasufficientamountofadditionaltier1capitalandtier2capitaltocoverthesedeductions.Lineitem25Totaladjustmentsanddeductionsforcommonequitytier1capitalThisisthesumoflineitem20through24.Lineitem26CommonEquityTier1Thisisthesubtotaloflineitem19minuslineitem25.Lineitem27Additionaltier1capitalinstrumentsplusrelatedsurplusReporttheportionofnoncumulativeperpetualpreferredstockandrelatedsurplusasdefinedbyScheduleHC‐R,PartI.B.,item20,withzerotransitionprovisions,thatsatisfyallthecriteriaforadditionaltier1capitalintherevisedregulatorycapitalrulesoftheFederalReserve.Includeinstrumentsthatwere(i)issuedundertheSmallBusinessJob’sActof2010,or,priortoOctober4,2010,undertheEmergencyEconomicStabilizationActof2008and(ii)wereincludedinthetier1capitalundertheFederalReserve’sgeneralrisk‐basedcapitalrules(12CFRpart225,appendixA,and,ifapplicable,appendixE)(forexample,tier1instrumentsissuedundertheTARPprogramthataregrandfatheredpermanently).Alsoincludeadditionaltier1capitalinstrumentsissuedaspartofanESOP,providedthattherepurchaseofsuchinstrumentsisrequiredsolelybyvirtueofERISAforabankingorganizationthatisnotpublicly‐traded.Lineitem28Tier1minorityinterestnotincludedincommonequitytier1capital(reportonafullyphased‐inbasis)Similartoitem5,thiscapturesallqualifyingtier1minorityinterestincludableunderadditionaltier1capital.Lineitem29 Additionaltier1capitalbeforedeductionsThisisthesumoflineitems27and28.
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Lineitem30Additionaltier1capitaldeductionsReportadditionaltier1capitaldeductionsasthesumofthefollowingelements:
(1) Investmentsinownadditionaltier1capitalinstruments:Reporttheholdingcompany’sinvestmentsin(includinganycontractualobligationtopurchase)itsownadditionaltier1instruments,whetherhelddirectlyorindirectly.Aholdingcompanymaydeductgrosslongpositionsnetofshortpositionsinthesameunderlyinginstrumentonlyiftheshortpositionsinvolvenocounterpartyrisk.Theholdingcompanymustlookthroughanyholdingsofindexsecuritiestodeductinvestmentsinitsowncapitalinstruments.Inaddition:(i)Grosslongpositionsininvestmentsinaholdingcompany’sownregulatorycapital
instrumentsresultingfromholdingsofindexsecuritiesmaybenettedagainstshortpositionsinthesameindex;
(ii)Shortpositionsinindexsecuritiesthatarehedginglongcashorsyntheticpositionscanbedecomposedtorecognizethehedge;and
(iii)Theportionoftheindexthatiscomposedofthesameunderlyingexposurethatisbeinghedgedmaybeusedtooffsetthelongpositionifboththeexposurebeinghedgedandtheshortpositionintheindexarecoveredpositionsunderthemarketriskcapitalrule,andthehedgeisdeemedeffectivebytheholdingcompany’sinternalcontrolprocesses.
(2) Reciprocalcross‐holdingsinthecapitaloffinancialinstitutions.
Includeinvestmentsintheadditionaltier1capitalinstrumentsofotherfinancialinstitutionsthattheholdingcompanyholdsreciprocally,wheresuchreciprocalcrossholdingsresultfromaformalorinformalarrangementtoswap,exchange,orotherwiseintendtoholdeachother’scapitalinstruments.Iftheholdingcompanydoesnothaveasufficientamountofaspecificcomponentofcapitaltoeffecttherequireddeduction,theshortfallmustbedeductedfromthenexthigher(thatis,moresubordinated)componentofregulatorycapital.Forexample,ifaholdingcompanyisrequiredtodeductacertainamountfromadditionaltier1capitalanditdoesnothaveadditionaltier1capital,thenthedeductionshouldbefromcommonequitytier1capital.
(3) Non‐significantinvestmentsinadditionaltier1capitalofunconsolidatedfinancialinstitutionsthatexceedthe10percentthresholdfornon‐significantinvestments.Calculatethisamountasfollows:(i) Determinetheaggregateamountofnon‐significantinvestmentsinthecapitalof
unconsolidatedfinancialinstitutionsintheformofcommonstock,additionaltier1,andtier2capital.
(ii) Determinetheamountofnon‐significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofadditionaltier1capital.
(iii) Iftheamountin(i)isgreaterthanthe10percentthresholdfornon‐significantinvestmentsthenmultiplythedifferencebytheratioof(ii)over(i).
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(iv) Iftheamountin(i)islessthanthe10percentthresholdfornon‐significantinvestments,reportzero.
(4) Significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsnotintheform
ofcommonstocktobedeductedfromadditionaltier1capital.Reportthetotalamountofsignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofadditionaltier1capital.
(5) Otheradjustmentsanddeductions.Includeadjustmentsanddeductionsappliedtoadditionaltier1capitalduetoinsufficienttier2capitaltocoverdeductions(relatedtoreciprocalcrossholdings,non‐significantinvestmentsinthetier2capitalofunconsolidatedfinancialinstitutions,andsignificantinvestmentsinthetier2capitalofunconsolidatedfinancialinstitutions).
Lineitem31Additionaltier1capital(greaterofitem29minusitem30orzero)Thisitemisashadedcellandisderivedfromotheritemsintheschedule.Thisprovidesthetotalofadditionaltier1capital.Tier1CapitalLineitem32Tier1capital(sumofitems26and31)Thisitemisashadedcellandisderivedfromotheritemsintheschedule.Thisprovidesthetotalamountoftier1capital.Other(reflectallitemsonayear‐to‐datebasis)Lineitem33 IssuanceofCommonStock(IncludingConversionofCommonStock) Capturesthetotalissuanceofcommonstockandrelatedsurplusinthereportingperiodonacalendaryear‐to‐datebasis. ThisfigureforPY1andPY2shouldequalthesumof“Totalissuanceofcommonstock”reportedintheFRY‐14ASummarySchedule,Capitalsub‐schedulefortheapplicablereportingperiodsthatcorrespondontheSummaryschedule.Lineitem34 RepurchasesofCommonStock Capturesthetotalrepurchasesofcommonstockinthereportingperiodonacalendaryear‐to‐datebasis. ThisfigureforPY1andPY2shouldequalthesumof“Totalsharerepurchases”reportedintheFRY‐14ASummarySchedule,Capitalsub‐schedulefortheapplicablereportingperiodsthatcorrespondontheSummaryschedule.Lineitem35 NetIncome(Loss)AttributabletoBankHoldingCompany RefertoFRY‐9CinstructionsforScheduleHI‐A,item4andreportonacalendaryear‐to‐datebasis.Reportlossesasanegativevalue.ThisfigureforPY1andPY2shouldequalthesumof“Netincome(loss)attributabletoBHC”reportedintheFRY‐14ASummarySchedule,IncomeStatementsub‐schedulefortheapplicablereportingperiodsthatcorrespondontheSummaryschedule.
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Lineitem36 CashDividendsDeclaredonPreferredStockRefertoFRY‐9CinstructionsforScheduleHI‐A,item10andreportonacalendaryear‐to‐datebasis.ThisfigureforPY1andPY2shouldequalthesumof“Cashdividendsdeclaredonpreferredstock”reportedintheFRY‐14ASummarySchedule,Capitalsub‐schedulefortheapplicablereportingperiodsthatcorrespondontheSummaryschedule.Lineitem37 CashDividendsDeclaredonCommonStockRefertoFRY‐9CinstructionsforScheduleHI‐A,item11andreportonacalendaryear‐to‐datebasis.ThisfigureforPY1andPY2shouldequalthesumof“Cashdividendsdeclaredoncommonstock”reportedintheFRY‐14ASummarySchedule,Capitalsub‐schedulefortheapplicablereportingperiodsthatcorrespondontheSummaryschedule.Lineitem38 PreviouslyIssuedTier1CapitalInstruments(ExcludingMinorityInterest)thatwouldNoLongerQualify(pleasereport100%value) Report100%ofthevalueofpreviouslyissuedTier1capitalinstrumentsthatwillnolongerqualifyasTier1capitalaspertherevisedregulatorycapitalrule(includingperpetualpreferredstockandtrustpreferredsecuritiessubjecttophase‐outarrangements).Reportbalancesinfull,withoutreflectinganyphase‐outarrangementsincludedintherevisedregulatorycapitalrule.Lineitem39 PreviouslyIssuedTier1MinorityInterestthatWouldNoLongerQualify(PleaseReport100%Value)Report100%ofthevalueofpreviouslyissuedtier1minorityinterestthatwillnolongerqualifyastier1capitalaspertherevisedregulatorycapitalrule. Reportbalancesinfull,withoutreflectinganyphase‐outarrangementsincludedintherevisedregulatorycapitalrule.Lineitem40 DataCompletenessCheckIf"No",pleasecompleteallnon‐shadedcellsuntilallcellstotherightsay"Yes."Donotleavecellsblank;enter"0"ifnotapplicable.
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D.2—ExceptionBucketCalculatorTheExceptionBucketCalculator sub‐schedulecollects thedata necessary to calculate the itemsthatmayreceivelimitedrecognitioninCommonEquityTier1(i.e.,significantinvestmentsinthecommonsharesofunconsolidatedfinancialinstitutions,mortgageservicingassetsanddeferredtaxassetsarisingfromtemporarydifferences).These itemsmayberecognized inCommonEquityTier1upto10%oftheBHC’scommonequityonan individualbasis and15%onan aggregatedbasis after applicationof all regulatoryadjustments.SignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstockLineitem1 GrosssignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstockAggregateholdingsofcapitalinstrumentsrelevanttosignificantinvestmentsinthecapitalofunconsolidatedfinancialentities,includingdirect,indirectandsyntheticholdingsinboththebankingbookandtradingbook.Lineitem2 PermittedoffsettingshortpositionsinrelationtothespecificgrossholdingsincludedaboveOffsettingpositionsinthesameunderlyingexposurewherethematurityoftheshortpositioneithermatchesthematurityofthelongpositionorhasaresidualmaturityofatleastoneyear.Lineitem3 SignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstocknetofshortpositionsThisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem4 10percentcommonequitytier1deductionthreshold Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem5 Amounttobedeductedfromcommonequitytier1dueto10percentdeductionthreshold Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.MortgageservicingassetsLineitem6 TotalmortgageservicingassetsclassifiedasintangibleMortgageservicingassetsmayreceivelimitedrecognitionwhencalculatingcommonequitytier1,withrecognitiontypicallycappedat10%ofthebank’scommonequity(aftertheapplicationofallregulatoryadjustments).Lineitem7 Associateddeferredtaxliabilitieswhichwouldbeextinguishediftheintangiblebecomesimpairedorderecognizedundertherelevantaccountingstandards Theamountofmortgageservicingassetstobedeductedfromcommonequitytier1istobeoffsetbyanyassociateddeferredtaxliabilities,withrecognitioncappedat10%ofthebank’scommonequity
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tier1(aftertheapplicationofallregulatoryadjustments).Ifthebankchoosestonetitsdeferredtaxliabilitiesassociatedwithmortgageservicingassetsagainstdeferredtaxassets(inLine17oftheCapitalCompositionsub‐schedule),thosedeferredtaxliabilitiesshouldnotbedeductedagainhere.Lineitem8 Mortgageservicingassetsnetofrelateddeferredtaxliabilities Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem9 10percentcommonequitytier1deductionthreshold Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem10 Amounttobedeductedfromcommonequitytier1dueto10percentdeductionthresholdThisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.DeferredtaxassetsduetotemporarydifferencesLineitem11 DTAsarisingfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacks,netofrelatedvaluationallowancesandnetofDTLsNetdeferredtaxassetsarisingfromtemporarydifferencesmayreceivelimitedrecognitionincommonequitytier1,withrecognitioncappedat10%ofthebank’scommonequity(aftertheapplicationofallregulatoryadjustments).Lineitem12 10percentcommonequitytier1deductionthreshold Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem13 Amounttobedeductedfromcommonequitytier1dueto10percentdeductionthresholdThisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.Aggregateofitemssubjecttothe15%limit(significantinvestments,mortgageservicingassetsanddeferredtaxassetsarisingfromtemporarydifferences)Lineitem14 Sumofitems3,8,and11Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem15 15percentcommonequitytier1deductionthreshold(item19intheCapitalCompositiontabminusitem14,multipliedby17.65percent) Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem16 Sumofitems5,10,and13Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem17 Item14minusitem16Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.
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Lineitem18 Amounttobedeductedfromcommonequitytier1dueto15percentdeductionthreshold Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem19 DataCompletenessCheck If"No",pleasecompleteallnon‐shadedcellsuntilallcellstotherightsay"Yes." Donotleavecellsblank;enter“0”ifnotapplicable.
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D.3—AdvancedRisk‐WeightedAssetsAdvancedapproachesBHCs,includingBHCsthatareconsideredasmandatoryadvancedapproachesinstitutionsorthathaveopted‐involuntarilyasanadvancedapproachesinstitution,arerequiredtocompletethe“AdvancedRWA”sub‐schedule.AllBHCs,includingadvancedapproachesBHCsandnon‐advancedapproachesBHCsmustcompletethe“StandardizedRWA”sub‐schedule.Inthe“AdvancedRWA”sub‐schedule,BHCsshouldproviderisk‐weightedassetestimatesreflectingtherevisedregulatorycapitalrule(78FederalRegister62018,October11,2013)andtheupdatedmarketriskcapitalrule(78FederalRegister76521,December18,2013)releasedbytheU.S.bankingagencies.BHCsthataresubjecttomarketriskcapitalrequirementsattheasofdatearerequiredtocompletethemarketrisk‐weightedassetsectionwithinthesub‐schedule.Pleaserefertotherevisedregulatorycapitalrule(78FederalRegister62018,October11,2013)andtheupdatedmarketriskcapitalrule(78FederalRegister76521,December18,2013)releasedbytheU.S.bankingagenciesfordetailsoftherequirements.AdvancedapproachesBHCsthatareunabletoprovideadvancedapproachesriskweightedassetestimatesshouldsendformalwrittennotificationtotheFederalReserveandspecifytheaffectedportfolios,currentlimitationsthatprecludetheBHCfromprovidingadvancedapproachesRWAestimatesaswellasmanagement'splanforaddressingthoselimitations. [email protected].
MDRMcodeshavebeenincludedinthesub‐schedule(columnC)andcorrespondtothedefinitionsfortheFFIEC101lineitemswhereapplicable.AdvancedApproachesCreditRisk(IncludingCCRandnon‐tradingcreditrisk),with1.06scalingfactorwhereapplicable–ApplicabletoAdvancedApproachesBankingOrganizationsRisk‐weightedassetsshouldreflectthe1.06scalingfactortotheInternalRating‐BasedApproach(IRB)creditrisk‐weightedassetswhererelevant,unlessnotedotherwise.Lineitem1CreditRWA Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.ThisisthesumofScheduleD.3lineitems2,15,21,25,29,30and31.Lineitem2through30Various DefinitionoftheBHC’sprojectionsshouldcorrespondtothedefinitionsoutlinedbythecorrespondingMDRMcode(shownincolumnC)oftheFFIEC101reportpertherevisedregulatorycapitalrule(78FederalRegister62018,October11,2013).Lineitem2WholesaleExposuresThisitemisderivedasthesumofitems3through8.Lineitem3WholesaleExposures:Corporate
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Reporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem1columnGLineitem4WholesaleExposures:BankReporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem2columnGLineitem5WholesaleExposures:SovereignReporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem3columnGLineitem6WholesaleExposures:IPREReporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem4columnGLineitem7WholesaleExposures:HVCREReporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem5columnGLineitem8WholesaleExposures:CounterpartyCreditRiskThisitemisderivedasthesumofitems9through14.Lineitem9WholesaleExposures:CounterpartyCreditRisk(Eligiblemarginloans,repostyletransactionsoandOTCderivativeswithcross‐productnetting—EADadjustmentmethod)Reporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem6columnGLineitem10WholesaleExposures:CounterpartyCreditRiskRisk(Eligiblemarginloans,repostyletransactionsoandOTCderivativeswithcross‐productnetting—collateralreflectedinLGD)Reporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem7columnGLineitem11WholesaleExposures:CounterpartyCreditRisk(Eligiblemarginloans,repostyletransactions—nocross‐productnetting—EADadjustmentmethod)Reporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem7columnGLineitem12WholesaleExposures:CounterpartyCreditRisk(Eligiblemarginloans,repostyletransactions—nocross‐productnetting—collateralreflectedinLGD)Reporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem8columnG
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Lineitem13WholesaleExposures:CounterpartyCreditRisk(OTCderivative—nocross‐productnetting—EADadjustmentmethod)Reporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem9columnGLineitem14WholesaleExposures:CounterpartyCreditRisk(OTCderivatives—nocross‐productnetting—collateralreflectedinLGD)Reporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem10columnGLineitem15RetailExposuresThisitemisderivedasthesumofitems16through20.Lineitem16RetailExposures:Residentialmortgage—closed‐endfirstlienexposureReporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem12columnGLineitem17RetailExposures:Residentialmortgage—closed‐endjuniorlienexposureReporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem13columnGLineitem18RetailExposures:Residentialmortgage—revolvingexposuresReporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem14columnGLineitem19RetailExposures:QualifyingrevolvingexposuresReporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem15columnGLineitem20RetailExposures:OtherretailexposuresReporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem16columnGLineitem21SecuritizationExposuresThisitemisderivedasthesumofitems22through24.Lineitem22SecuritizationExposures:Subjecttosupervisoryformulaapproach(SFA)Reporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem17columnGLineitem23SecuritizationExposures:Subjecttosimplifiedsupervisoryformulaapproach(SSFA)Reporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem18columnG
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Lineitem24SecuritizationExposures:Subjectto1,250%risk‐weightReporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem19columnGLineitem25ClearedTransactionThisitemisderivedasthesumofitems26through28.Lineitem26ClearedTransaction:DerivativecontractsandnettingsetstoderivativesReporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem20columnGLineitem27ClearedTransaction:Repo‐styletransactionsReporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem21columnGLineitem28ClearedTransaction:DefaultfundcontributionsReporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem22columnGLineitem29EquityExposuresReporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem23,24,and25columnGLineitem30OtherAssetsReporttheamountthatisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem26,27,and28columnGLineitem31 CreditValuationAdjustment(CVA)CapitalCharge(Risk‐WeightedAssetEquivalent)Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.ThisisthesumofScheduleD.3lineitems32and35.Lineitem32 AdvancedCreditValuationAdjustment(CVA)Approach Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.ThisisthesumofScheduleD.3lineitems33and34.Theamountderivedisconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem31.bColumnG.Lineitem33 CreditValuationAdjustment(CVA)CapitalCharge(Risk‐WeightedAssetEquivalent);AdvancedCVAApproach:UnstressedValueatRisk(VaR)withMultipliersStand‐alone10‐dayvalue‐at‐risk(VaR)calculatedonthesetofcreditvaluationadjustments(CVAs)forallOver‐the‐counter(OTC)derivativescounterpartiestogetherwitheligiblecreditvaluationadjustment(CVA)hedges.Thereportedvalue‐at‐riskshouldconsistofbothgeneralandspecificcreditspreadrisksandisrestrictedtochangesinthecounterpartiescreditspreads.Thebankmustmultiplythereportedvalue‐at‐riskbythreetimes,consistentwiththeapproachusedincalculatingmarketriskcapitalcharge(three‐timemultiplier).The1.06scalingfactordoesnotapply.
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BHCshouldreport0ifitdoesnotusetheadvancedcreditvalueadjustment(CVA)approach.Lineitem34 CreditValuationAdjustment(CVA)CapitalCharge(Risk‐WeightedAssetEquivalent);AdvancedCVAApproach:StressedValueatRisk(VaR)withmultipliersStand‐alone10‐daystressedValue‐at‐risk(VaR)calculatedonthesetofcreditvaluationadjustments(CVAs)forallover‐the‐counter(OTC)derivativescounterpartiestogetherwitheligiblecreditvaluationadjustments(CVA)hedges.Thereportedvalue‐at‐riskshouldconsistofbothgeneralandspecificcreditspreadrisksandisrestrictedtochangesinthecounterpartiescreditspreads.Itshouldreflectthree‐timesmultiplier.The1.06scalingfactordoesnotapply.BHCshouldreport0ifitdoesnotusetheadvancedcreditvaluationadjustments(CVA)approach.Lineitem35 CreditValuationAdjustment(CVA)CapitalCharge(Risk‐WeightedAssetEquivalent):SimpleCVAApproach Risk‐weightedasset(RWA)equivalentusingthesimplecreditvaluationadjustment(CVA)approach.Reporttheamountconsistentwiththe definitionsprovidedinFFIEC101ScheduleBlineitem31.aColumnG.AdvancedApproachesOperationalRiskLineitem36 OperationalRWAReporttheamountconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBlineitem35ColumnGpertherevisedregulatorycapitalrule(78FederalRegister62018,October11,2013).MarketRiskLineitem37MarketRWAThisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.ThisisthesumofScheduleD.3lineitems38,39,40,41,46,49,and52.TheamountderivedisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBlineitem34ColumnG.Lineitem38 Value‐at‐risk(VaR)‐basedcapitalrequirementReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem4.Lineitem39StressedVaR‐basedcapitalrequirementReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem7.Lineitem40 IncrementalRiskCapitalCharge(IRC) Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem18.Lineitem41 CorrelationTradingReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem45.OnlyifaBHChasreceivedsupervisoryapproval ofitscomprehensiveriskmodeleffectivenessreporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem51.
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Lineitem42 CorrelationTrading:ComprehensiveRiskMeasurement(CRM),BeforeApplicationofSurcharge Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102,LineItem19.Lineitem43 CorrelationTrading:8%ofStandardizedMeasurementMethod(100%)forExposuresSubjecttoComprehensiveRiskMeasurement(CRM) Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.Thisis8%ofthemaxofScheduleD.3lineitems44and45andshouldequaltherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem39.Lineitem44 CorrelationTrading:StandardizedMeasurementMethod(100%)forExposuresSubjecttoComprehensiveRiskMeasurement(CRM)‐Netlong Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem27Lineitem45 CorrelationTrading;StandardizedMeasurementMethod(100%)forExposuresSubjecttoComprehensiveRiskMeasurement(CRM)‐NetShort Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem35.Lineitem46 Non‐modeledSecuritizationReporttherisk‐weightedassetamountconsistentwiththedefinitionsforFFIEC102LineItem13.Lineitem47SpecificRiskadd‐on(excludingsecuritizationandcorrelation)Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem48DebtReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem8. Lineitem49EquityReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem9.Lineitem50 OtherMarketRisk Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem54.Lineitem51 Assetssubjecttothegeneralrisk‐basedcapitalrequirementsDefinitionoftheBHC’sprojectionsshouldcorrespondtothedefinitionsoutlinedbythecorrespondingMDRMcode(shownincolumnC)oftheFFIEC101reportpertherevisedregulatorycapitalrule(78FederalRegister62018,October11,2013).Lineitem52 OtherRWA IftheBHCisunabletoassignRWAtooneoftheabovecategories,evenonabest‐effortsbasis,theyshouldbereportedinthisline. Lineitem53Excesseligiblecreditreservesnotincludedintier2capital
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Includeexcesseligiblecreditreservesnotincludedintier2capital,consistentwiththerevisedregulatorycapitalrule(78FederalRegister62018,October11,2013).DefinitionoftheBHC’sprojectionsshouldcorrespondtothedefinitionsoutlinedbythecorrespondingMDRMcode(shownincolumnC)oftheFFIEC101report.Lineitem54 TotalRisk‐WeightedAssets Thisitemisashadedcellandisderivedfromotheritemsintheschedule,noinputrequired.ThisisthesumofScheduleD.3lineitems1,36,37,51,and52,minusScheduleD.3lineitem53.Lineitem55DataCompletenessCheckThisitemisashadedcelltocheckthatallnonshadedcellshavebeencompleted.If"No"appears,pleasecompleteallnon‐shadedcellsuntilallcellstotherightsay"Yes."Donotleavecellsblank;enter"0"ifnotapplicable.Pleaseensurethat“Yes”appearsacrossallcells.
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D.4—StandardizedRisk‐WeightedAssetsAllBHCs,includingadvancedapproachesBHCsandnon‐advancedapproachesBHCsmustcomplete“StandardizedRWA”sub‐schedule. Inaddition,advancedapproachesBHCsarerequiredtocomplete“AdvancedRWA"sub‐scheduleduetothefloorrequirementpertheCollinsAmendmentunderSection171oftheDFA.Forthepurposeofcompletingthe“StandardizedRWA”sub‐schedule,BHCsarerequiredtoreportcreditrisk‐weightedassetsusingthemethodologiesinthestandardizedapproachoftherevisedregulatorycapitalrule(78FederalRegister62018,October11,2013).BHCsthataresubjecttomarketriskcapitalrequirementsattheasofdatearerequiredtocompletethemarketrisk‐weightedassetsectionwithinthesub‐schedule.However,ifaBHCprojectstomeetthetradingactivitythresholdthatwouldrequireittobesubjecttothemarketriskcapitalrequirementsduringtheforecastperiod,thentheBHCshouldcompletethemarketrisk‐weightedassetsectionwithinthesub‐schedule.Pleaserefertotherevisedregulatorycapitalrule(78FederalRegister62018,October11,2013)andtheupdatedmarketriskcapitalrule(78FederalRegister76521,December18,2013)fordetailsoftherequirements.Wherepossible,pleasereferencethedefinitionsonStandardizedRWAthatisprovidedinthedraftversionoftheHC‐R,PartII,onafullyphased‐inbasis.StandardizedApproachCreditRiskLineitem1CashandbalancesduefromdepositoryinstitutionsReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem1.SecuritiesLineitem2aHeld‐to‐maturity(Excludingsecuritization)Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem2a.Lineitem2bAvailable‐for‐sale(Excludingsecuritization)Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem2b.Lineitem3FederalfundssoldReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem3a.LoansandleasesonheldforsaleLineitem4aResidentialMortgageexposuresReporttherisk‐weightedassetamountconsistentwiththedefinitionfortheFRY‐9C,PartII,Lineitem4a.
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Lineitem4bHighVolatilityCommercialRealEstateReporttherisk‐weightedamountconsistentwiththedefinitionfortheFRY‐9C,HC‐R,PartII,Lineitem4b.Lineitem4cExposurespastdue90daysormoreonnonaccrualReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,Lineitem4c.Lineitem4dAllotherexposuresReporttherisk‐weightedassetamountconsistentwiththedefinitionfortheFRY‐9C,HC‐R,PartII,Lineitem4d.Loansandleases,netofunearnedincomeLineitem5aResidentialmortgageexposuresReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem5a.Lineitem5bHighVolatilityCommercialRealEstateReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem5b.Lineitem5cExposurespastdue90daysormoreonnonaccrualReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem5c.Lineitem5dAllotherexposuresReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem5d.Lineitem6Tradingassets(excludingsecuritizationsthatreceivestandardizedcharges)Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem7.Lineitem7aAllotherassetsReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem8.Lineitem7bSeparateaccountbank‐ownedlifeinsuranceReporttherisk‐weightedassetamountconsistentwiththedefinitionofY‐9C,HC‐R,PartII,LineItem8a.Lineitem7cDefaultfundcontributionstocentralcounterpartiesReporttherisk‐weightedassetamountconsistentwiththedefinitionofY‐9C,HC‐R,PartII,LineItem8b.
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On‐balancesheetSecuritizationexposuresLineitem8aHeld‐to‐maturityReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem9a.Lineitem8bAvailable‐for‐saleReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem9b.Lineitem8cTradingassetsthatthatreceivestandardizedchargesReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem9c.Lineitem8dAllotheron‐balancesheetsecuritizationexposuresReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem9d.Lineitem9Off‐balancesheetsecuritizationexposuresReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem10.Lineitem10 RWAforbalancesheetassetcategories(sumofitems1through8d)Thisitemisshadedandisderivedfromotheritemsintheschedule,noinputrequired.
DerivativesandOff‐BalanceSheetItemsLineitem11FinancialstandbylettersofcreditReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem12.Lineitem12PerformancestandbylettersofcreditandtransactionrelatedcontingentitemsReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem13.Lineitem13CommercialandsimilarlettersofcreditwithanoriginalmaturityofoneyearorlessReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem14.Lineitem14RetainedrecourseonsmallbusinessobligationssoldwithrecourseReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem15.Lineitem15Repo‐styletransactionsReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,
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HC‐R,PartII,LineItem16.Lineitem16Allotheroff‐balancesheetliabilitiesReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem17.Lineitem17aUnusedCommitments:Originalmaturityofoneyearorless,excludingABCPconduitsReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem18a.Lineitem17bUnusedCommitments:OriginalmaturityofoneyearorlesstoABCPReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem18b.Lineitem17cUnusedcommitments:OriginalmaturityexceedingoneyearReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem18c.Lineitem18UnconditionallycancelablecommitmentReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem19.Lineitem19Over‐the‐counterderivativesReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem20.Lineitem20CentrallyclearedderivativesReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem21.Lineitem21 Unsettledtransactions(failedtrades)Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem22.Lineitem22 RWAforAssets,Derivativesandoff‐balancesheetassetcategoriesThisitemisderivedasthesumofitems9through21.Lineitem23 RWA forpurposesofcalculating theallowance for loanand lease losses1.25percentthresholdReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem26.MarketRiskLineitem24 MarketRWAThisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.
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Lineitem25 Value‐at‐risk(VaR)‐basedcapitalrequirementReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem4.Lineitem26 StressedVaR‐basedcapitalrequirementReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem7.Lineitem27Incrementalriskcharge(IRC)Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem18.Lineitem28 CorrelationTradingReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem42.OnlyifaBHChasreceivedsupervisoryapprovalofitscomprehensiveriskmodeleffectivenessreporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem48.Lineitem29 CorrelationTrading:ComprehensiveRiskMeasurement(CRM),BeforeApplicationofSurchargeReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102,LineItem19.Lineitem30 CorrelationTrading:8%ofStandardizedMeasurementMethod(100%)forExposuresSubjecttoComprehensiveRiskMeasurement(CRM)Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Thisitemshouldequaltherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem37.Lineitem31 CorrelationTrading:StandardizedMeasurementMethod(100%)forExposuresSubjecttoComprehensiveRiskMeasurement(CRM)‐NetlongReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem26.Lineitem32 CorrelationTrading;StandardizedMeasurementMethod(100%)forExposuresSubjecttoComprehensiveRiskMeasurement(CRM)‐NetShortReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem34.Lineitem33 Non‐modeledSecuritizationReporttherisk‐weightedassetamountconsistentwiththedefinitionsforFFIEC102LineItem10.Lineitem34 Specificriskadd‐on(excludingsecuritizationandcorrelation)Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem35 DebtReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem8.Lineitem36 EquityReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem9.
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Lineitem37 OthermarketriskReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem54.OtherLineitem38ExcessallowanceforloanandleaselossesReporttheassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem29.
Lineitem39AllocatedtransferriskreserveReporttheassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem30.Lineitem40TotalRisk‐WeightedAssetsThisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired. Lineitem41DataCompletenessCheckThisitemisashadedcelltocheckthatallnonshadedcellshavebeencompleted.If"No"appears,pleasecompleteallnon‐shadedcellsuntilallcellstotherightsay"Yes."Donotleavecellsblank;enter"0"ifnotapplicable.Pleaseensurethat“Yes”appearsacrossallcells.
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D.5—LeverageExposureAllBHCsmustcompletetheportionofthesub‐schedulerelevantto“LeverageExposureforTier1LeverageRatio”(lines1‐4).AdvancedapproachesBHCsmustalsocompletetheportionofthesub‐schedulerelevantto“LeverageExposureforSupplementaryLeverageRatio”(lines5‐24).Theexposuremeasureforthetier1leverageratioisbaseduponmethodologyintherevisedregulatorycapitalrule.Theexposuremeasureforthesupplementaryleverageratiohasbeenrevisedfromthe2014CCARinstructionstoreflectthechangestothedefinitionofleverageexposure,perthefinalruleontheSupplementaryLeverageRatioissuedbythebankingagenciesonSeptember3,2014(finalrule).13Thefinalrulemodifiesthedefinitionof“totalleverageexposure,”whichisthedenominatorinthesupplementaryleverageratio,inamannerconsistentwiththerecentchangesagreedtobytheBaselCommitteeonBankingSupervisioninJanuary2014.Therevisionsinthefinalrulewouldapplytoalladvancedapproachesbankingorganizations.Consistentwiththefinalrule,anadvancedapproachesbankingorganizationshouldcalculateitssupplementaryleverageratioastheratioofitstier1capitaltototalleverageexposure.Theproposedrulewouldhaverequiredbankingorganizationstousedailyaveragestocalculatebothon‐andoff‐balancesheetitemsintotalleverageexposure.However,underthefinalrule,institutionsarerequiredtocalculatetotalleverageexposureasthemeanoftheon‐balancesheetassetscalculatedasofeachdayofthereportingquarter,plusthemeanoftheoff‐balancesheetexposurescalculatedasofthelastdayofeachofthemostrecentthreemonths,minustheapplicabledeductionsunderthe2013revisedcapitalrule.Forpurposesofcalculatingprojectionsforthesupplementaryleverageratiodenominator,BHCsthatareunabletocalculateaveragesbasedontheaveragesofdailyormonthlydatamayreportexposuresasofthequarterend.LeverageExposureforTier1LeverageRatio(applicabletoallBHCs)Lineitem1 Averagetotalconsolidatedassets Reportaveragetotalon‐balancesheetassetsasreportedintheFRY‐9C,ScheduleHC‐K,item5.Lineitem2 LESS:DeductionsfromCommonEquityTier1andAdditionalTier1Capital(reportasapositivenumber)Regulatorydeductionsfromcommonequitytier1andadditionaltier1capital. DeductionsshouldbecalculatedasdefinedintheFRY‐9C,ScheduleHC‐R,PartI.B.,item37.Lineitem3 LESS:OtherDeductionsfrom(Additionsto)AssetsforLeverageRatioPurposes(reportasapositivenumberifanetdeductionoranegativevalueifanetaddition)OtherdeductionsfromoradditionstoassetsforpurposesoftheleverageratioasdefinedintheFRY‐9C,ScheduleHC‐R,PartI.B.,item38.Lineitem4 TotalAssetsfortheLeverageRatio (item1lessthesumofitems2and3)Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired
13Seehttp://www.federalreserve.gov/newsevents/press/bcreg/bcreg20140903b1.pdf.
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LeverageExposureforSupplementaryLeverageRatio(applicabletoadvancedapproachesBHCsonly)Refertosection217.10(c)(4)(ii)(A)ofthefinalrule.Line item 5 On‐Balance Sheet Assets (excluding on‐balance sheet assets for repo‐styletransactionsandderivativeexposures,butincludingcashcollateralreceivedinderivativetransactions)On‐balancesheetassets(excludingon‐balancesheetassetsforrepo‐styletransactionsandderivativeexposures,butincludingforthequalifyingcashcollateralreceivedinderivativetransactions,inaccordancewithsection217.10(c)(4)(ii)(C)).Lineitem6LESS: Deductionsfromcommonequitytier1capitalandadditionaltier1capital(reportasapositivenumber)Regulatorydeductions from common equity tier1 and additional tier 1 capital, as applicable toadvanced‐approachesBHCspertherevisedcapitalrulesundersection217.22(a),(c),and(d)..Lineitem7Total On‐BalanceSheetExposures(excludingon‐balancesheetassetsforrepo‐styletransactionsandderivativeexposures,butincludingcashcollateralreceivedinderivativetransactions)(item5lessitem6)Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.DerivativeexposuresRefertosections217.10(c)(4)(ii)(B),(C),(D),or(I)ofthefinalruleasappropriate.Lineitem8Replacementcostforderivativeexposures(netofqualifyingcashvariationmargin).Report the total amount of the replacement cost for all derivative exposures, generallyconsistentwiththeUSGAAPbalancesheetnumbersforderivativeassets,andadjustedforcashvariationmarginthatdoesnotmeetthecriteriadescribedinsection217.10(c)(4)(ii)(C)ofthefinalrule.Lineitem9Add‐onamountsforpotentialfutureexposure(PFE)forderivativesexposuresReportthetotalamountofPFEforeachderivativecontract,includingforclearedtransactionsexceptasprovidedinsection217.10(c)(4)(ii)(I)ofthefinalrule,towhichthebankingorganizationisacounterparty(oreachsingle‐productnettingsetofsuchtransactions),asdescribedinsection34oftherevisedregulatorycapitalrule,butwithoutregardtosection217.34(b).Specifically,abankingorganizationmaynotusecashvariationmargintoreducethenetcurrentcreditexposureorthegrosscurrentcreditexposureincalculationofthenet‐to‐grossratio.Lineitem10Gross‐upforcashcollateralpostedifdeductedfromtheon‐balancesheetassets,exceptforcashvariationmarginReportcashcollateralpostedtoacounterpartyinaderivativetransactionifabankingorganizationoffsetsanegativemark‐to‐fairvalueofaderivativecontractbytheamountofcashcollateralpostedtothecounterpartyanddoesnotincludesuchcashcollateralinitson‐balancesheetassets(aspermittedundertheGAAPoffsetoption),butthepostedcashcollateraldoesnotmeetthefinalrule’srequirementsforcashvariationmargininsection217.10(c)(4)(ii)(C).
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Lineitem11LESS : Deductionsofreceivableassetsforcashvariationmarginpostedinderivativestransactions,ifincludedinon‐balancesheetassets(reportasapositivevalue)Reportthevalueofcashcollateralthatispostedtoacounterpartytoaderivativecontractandthathasbeenincludedonthebankingorganization’sbalancesheetasareceivableifthepostedcashcollateralsatisfiestherequirementsdescribedinsection217.10(c)(4)(ii)(C)ofthefinalrule.Ifnotapplicable,reportzero.Lineitem12LESS : ExemptedCCPlegofclient‐clearedtransactions(reportasapositivevalue)AclearingmemberbankingorganizationthatdoesnotguaranteetheperformanceofaCCPwithrespecttoatransactionclearedonbehalfofaclearingmemberclientmayexcludeitsexposuretotheCCPforpurposesofdeterminingitstotalleverageexposure(ifsuchexposureisincludedintheon‐balancesheetitems).AclearingmemberbankingorganizationthatguaranteestheperformanceofaCCPwithrespecttoatransactionclearedonbehalfofaclearingmemberclientmusttreatitsexposuretotheCCPasaderivativecontractforpurposesofdeterminingitstotalleverageexposure.Lineitem13EffectivenotionalprincipalamountofsoldcreditprotectionTheeffectivenotionalprincipalamount(thatis,theapparentorstatednotionalprincipalamountmultipliedbyanymultiplierinthederivativecontract)ofacreditderivative,orothersimilarinstrument,throughwhichthebankingorganizationprovidescreditprotection(forexample,creditdefaultswapsortotalreturnswapsthatreferenceinstrumentswithcreditrisk,suchasabond).Lineitem14LESS:EffectivenotionalprincipalamountoffsetsandPFEadjustmentsforsoldcreditprotection(reportasapositivevalue)Abankingorganizationmayreducetheeffectivenotionalprincipalamountofsoldcreditprotectionbyareductioninthemark‐to‐fairvalueofthesoldcreditprotectionifthereductionisrecognizedincommonequitytier1capital.Abankingorganizationmayfurtherreducetheeffectivenotionalprincipalamountofsoldcreditprotectionbytheeffectivenotionalprincipalamountofacreditderivativeorsimilarinstrumentthroughwhichthebankingorganizationhaspurchasedcreditprotectionfromathirdparty(purchasedcreditprotection)iftherequirementsofsection217.10(c)(4)(ii)(D)ofthefinalrulearesatisfied.Whenabankingorganizationreducestheeffectivenotionalprincipalamountofsoldcreditprotectionbypurchasedcreditprotectioninaccordancewithsection217.10(c)(4)(ii)(D)(1),thebankingorganizationmustreducetheeffectivenotionalprincipalamountofpurchasedcreditprotectionbytheamountofanyincreaseinthemark‐to‐fairvalueofthepurchasedcreditprotectionthatisrecognizedincommonequitytier1capital.Ifabankingorganizationpurchasescreditprotectionthroughatotalreturnswapandrecordsthenetpaymentsreceivedasnetincomebutdoesnotrecordoffsettingdeteriorationinthemark‐to‐fairvalueofthesoldcreditprotectiononthereferenceexposure(eitherthroughreductionsinfairvalueorbyadditionstoreserves)incommonequitytier1capital,thebankingorganizationmaynotreducetheeffectivenotionalprincipalamountofthesoldcreditprotection.AbankingorganizationmayalsoadjustPFEforsoldcreditprotectionasdescribedinsection217.10(c)(4)(ii)(B)ofthefinalrule,toavoiddouble‐countingofthenotionalamountsofthese
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exposures.Lineitem15Totalderivativeexposures (sumofitems8,9,10,and13,minusitems11,12,and14)Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.
Repo‐styletransactionsRefertosections(c)(4)(ii)(E),(F),or(G)ofthefinalruleasappropriate.Lineitem16On‐balancesheetassetsforrepo‐styletransactionsReporttheon‐balancesheetassetsforrepo‐styletransactions,exceptincludethegrossvalueofreceivablesforreverserepurchasetransactions.Excludefromthisitemthevalueofsecuritiesreceivedinasecurity‐for‐securityrepo‐styletransactionwherethesecuritieslenderhasnotsoldorre‐hypothecatedthesecuritiesreceived.Includeinthisitemthevalueofsecuritiessoldunderarepo‐stylearrangement.Lineitem17LESS : Reductionofthegrossvalueofreceivablesinreverserepurchasetransactionsbycashpayablesinrepurchasetransactionsundernettingagreements(reportasapositivevalue)Whereabankingorganizationactingasaprincipalhasmorethanonerepo‐styletransactionwiththesamecounterpartyandhasappliedtheGAAPoffsetforrepo‐styletransactions,reportthereductionofthegrossvalueofreceivablesinreverserepurchasetransactionsifthecriteriainsection217.10(c)(4)(ii)(E),(1)through(3)ofthefinalrulearesatisfied.Lineitem18Counterpartycreditriskforallrepo‐styletransactionsTodeterminethecounterpartyexposureforarepo‐styletransaction,includingatransactioninwhichabankingorganizationactsasanagentforacustomerandindemnifiesthecustomeragainstloss,thebankingorganizationwouldsubtractthefairvalueoftheinstruments,gold,andcashreceivedfromacounterpartyfromthefairvalueofanyinstruments,goldandcashlenttothecounterparty.Iftheresultingamountisgreaterthanzero,itwouldbeincludedintotalleverageexposure.Forrepo‐styletransactionsthatarenotsubjecttoaqualifyingmasternettingagreementorthatarenotclearedtransactions,thecounterpartyexposuremeasuremustbecalculatedonatransaction‐by‐transactionbasis.However,ifaqualifyingmasternettingagreementisinplace,orthetransactionisaclearedtransaction,thebankingorganizationcouldnetthetotalfairvalueofinstruments,gold,andcashlenttoacounterpartyagainstthetotalfairvalueofinstruments,goldandcashreceivedfromthecounterpartyforthosetransactions.Lineitem19Exposureforrepo‐styletransactionswhereabankingorganizationactsasanagentWhereabankingorganizationactsasagentforarepo‐styletransactionandprovidesaguarantee(indemnity)toacustomerwithregardtotheperformanceofthecustomer’scounterpartythatisgreaterthanthedifferencebetweenthefairvalueofthesecurityorcashlentandthefairvalueofthesecurityorcashborrowed,thebankingorganizationmustincludetheamountoftheguaranteethatisgreaterthanthisdifference.Lineitem20Totalexposuresforrepo‐styletransactions(sumofitems16,18,and19minusitem17)Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.
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Otheroff‐balancesheetexposuresRefertosection(c)(4)(ii)(H)ofthefinalrule.Lineitem21Off‐balancesheetexposuresatgrossnotionalamountsThenotionalamountofalloff‐balancesheetexposures(excludingoff‐balancesheetexposuresassociatedwithsecuritieslending,securitiesborrowing,reverserepurchasetransactions,andderivatives).Lineitem22LESS : Adjustmentsforconversiontocreditequivalentamounts(reportasapositivevalue)Thefinalruleretainsthe10percentCCFforunconditionallycancellablecommitments,butitwouldreplacetheuniform100percentCCFforotheroff‐balancesheetitemswiththeCCFsapplicableunderthestandardizedapproachforrisk‐weightedassetsinsection217.33oftherevisedregulatorycapitalrule.Lineitem23Off‐balancesheetexposures(item21lessitem22)Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem24TotalLeverageExposure(sumofitems7,15,20and23)Thisitemisashadedcellandisderivedfromotheritemsintheschedule;noinputrequired.DataCompletenessCheck
Lineitem25LeverageExposureforTier1LeverageRatio(applicabletoallBHCs)Checktoensuresub‐scheduleiscomplete. Pleaseensurethat“Yes”appearsacrossallcells.Lineitem26LeverageExposureforSupplementaryLeverageRatio(applicabletoadvancedapproachesinstitutionsonly)Thisitemisashadedcellandtocheckthatallnonshadedcellshavebeencompleted.If"No"appears,pleasecompleteallnon‐shadedcellsuntilallcellstotherightsay"Yes."Donotleavecellsblank;enter"0"ifnotapplicable.Pleaseensurethat“Yes”appearsacrossallcells.
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D.6—PlannedActionsTheFRY‐14APlannedActionsub‐schedulecollectsinformationonallmaterialplannedactionsthatmanagementintendstopursuetoaddresstherevisedregulatorycapitalrule.BHCsarerequiredtofactorthecombinedquantitativeimpactofallplannedactionsintotheprojectionsreportedonallotherrelevantsub‐schedulesoftheRegulatoryCapitalTransitionssubmission.Suchactionsmightinclude,butarenotlimitedto,theroll‐offorsaleofanexistingportfolio;development/implementationofrisk‐weightingmodels;dataremediationtofacilitatetheuseoflowerriskweightsforexistingexposures;theissuanceofregulatorycapitalinstruments;orotherstrategiccorporateactions.Planned actionsshould beattributabletoaspecificstrategyorportfolio;BHCsarenotexpectedtociteperiod‐over‐periodchangesinthebalancesofexposuresasaplannedactionunlessthosechangesareattributabletoaspecificandidentifiablestrategy(e.g.,citing“reductionincreditrisk‐weightedassets”wouldnotbeconsideredavalidplannedaction,butcitingsaleorrunoffofaparticularportfolio(whichwouldhavetheeffectofreducingcreditrisk‐weightedassets)wouldbeavalidplannedaction).Foreachreportingperiod,BHCsshouldreporttheincrementalquantitativeimpactofeachactionon:• Commonequitytier1capital• Tier1capital• RWA_Standardized RWA_Advanced• AverageTotalAssetsforLeverageCapitalPurposes(relevanttothetier1leverageratio;
tobecompletedbyallBHCs)• TotalLeverageExposurefortheSupplementaryLeverageRatio(tobecompletedby
advancedapproachesBHCsonly);and• Balancesheet.The quantitative impactofplanned actionssubmittedbyBHCs shouldrepresent the stand‐alone,incremental immediateimpact of the action relevant to the time period in which it isplanned to beexecuted.Forexample, ifaplannedactionwere forecasted to reduce theBHC’srisk‐weightedassetsby$200millionasofQ4inthecurrentyearandanadditional$100millionasofQ4ofthefollowingyear(foratotalreductionof$300million),theBHCshouldreport“(200)”forPY1,“(100)”forPY2,and“0”forsubsequentperiods.BHCsare required to factor the combinedquantitative impactofall plannedactions into theprojectionsreportedonallotherrelevantsub‐schedulesoftheRegulatoryCapitalTransitionssubmission.AdditionalInformationRequiredforEachPlannedActionInadditiontotheinformationprovidedwithinthePlannedActionsub‐schedule,BHCsarealsorequiredtosubmitadditionaldetailsofeachofitsplannedactions.Thisinformationshouldbeprovidedinaseparateattachment.ColumnInstructionsNotethatcertaincolumnsincludeanoptionof"other"inthedropdownlistthatcanbeusedifthelistedactioncannotbedescribedusingthelistedselections.
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ColumnB DescriptionBriefdescriptionoftheplannedaction.ColumnC ActionType Selectfromalistofavailableactionsprovidedintheschedule. BHCsshouldselectthetypeofactionthatbestdescribestheplannedaction.ColumnD ExposureType Selectfromalistofavailableexposuretypesprovidedintheschedule. BHCsshouldselectthetypeofexposurethatismostimpactedbytheplannedaction.ColumnE RWAType SelectionfromalistofavailableRWAexposuretypesprovidedintheschedule.ForplannedactionsthathaveanimpactonRWAs,theBHCshouldreportthetypeofRWA(i.e.,CounterpartyCredit,OtherCredit,Market,orOperational)thatismostimpactedbytheplannedaction.ColumnsF‐AUProjectedimpact(forperiodsPY1thoughPY6)on: CommonEquityTier1 Tier1 StandardizedRisk‐WeightedAssets(RWA)(impactontheRWAprojectionsshownon
StandardizedRWAsub‐schedule) AdvancedRWA(impactontheRWAprojectionsshownonAdvancedRWAsub‐schedule) AverageTotalAssetsforLeverageCapitalPurposes TotalLeverageExposureforSupplementaryLeverageRatio BalanceSheet Projectedincrementalimpactyear‐over‐yearontheBHC’scommonequitytier1capital,Tier1capital,risk‐weightedassets,leverageexposuresandbalancesheetin$Millionsasofyear‐end.ForPY1only,reporttheincrementalimpactprojectedbetweentheasofdateandfourthquarterperiodcorrespondingtoPY1.ColumnsF‐LPY1 Reporttheprojectedimpactatyear‐end(PY1)foreachofthesevencapitalandbalancesheetitemslistedabove.ColumnsM‐SPY2Reporttheprojectedimpactatyear‐end(PY2)foreachofthesevencapitalandbalancesheetitemslistedabove.ColumnsT‐ZPY3Reporttheprojectedimpactatyear‐end(PY3)foreachofthesevencapitalandbalancesheetitemslistedabove.ColumnsAA‐AGPY4Reporttheprojectedimpactatyear‐end(PY4)foreachofthesevencapitalandbalancesheetitemslistedabove.
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ColumnsAH‐ANPY5Reporttheprojectedimpactatyear‐end(PY5)foreachofthesevencapitalandbalancesheetitemslistedabove.ColumnsAO‐AUTotalTheseareshadedcells,noinputisrequired.Theseitemscapturetheprojectedcumulativeimpactofforeachofthesevencapitalandbalancesheetitemslistedabove.ColumnAVEnterthefilenameandpagenumberoftheseparatedocumentinwhichadetaileddescriptionisprovidedforeachplannedaction.
Pleasenote:
Totalimpactofplannedactionsisprovidedatthebottomofthesub‐schedule.Thisisauto‐calculatedandisthesummationofeachindividualcolumnalignedwiththeapplicablecategoryimpactfortherelevantreportingperiod.
Reportedchangesfrompriorperiodisthelastrowonthesub‐schedule.Thisfieldcapturesthechangebetweeneachreportingperiodonthechangeinimpactfortheapplicablecategory(e.g.,“CommonEquityTier1,”“Tier1capital,”etc).
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ScheduleE—OperationalRiskE.1—BHCOperationalRiskHistoricalCapital(BHCBaselineScenarioOnly)TheBHCOperationalRiskHistoricalCapitalsub‐schedulemustbecompletedbyrespondentsthataresubjecttotheadvancedapproachesruleorthatelecttoapplytheadvancedapproachesrule.BHCssubjecttotheBoard’sadvancedapproachesrisk‐basedcapitalrules(12CFRpart225,Appendix,G)mustsubmittheOperationalRiskHistoricalCapitalsub‐scheduleoftheFRY‐14AOperationalRiskSchedule.InstitutionsthatarerequiredtocompletetheHistoricalsub‐schedulemustalsocompletetheOperationalRiskScenarioInputsandProjectionsSub‐schedulewithintheSummarySchedule.WhencompletingtheHistoricalsub‐schedule,refertothedefinitionssectionoftheSummaryScheduleInstructionsforOperationalRisk.TheinstitutionshouldreporttheBHC'soperationalriskcapitalbyunit‐of‐measure(undiversifiedbasis)fromQ1ofthereportingyeartoQ3ofthereportingyear.Theunit‐of‐measureisthelevelatwhichtheBHC'squantificationmodelgeneratesaseparatedistributionforestimatingpotentialoperationallosses(e.g.,organizationalunit,operationallosseventtype,riskcategory,etc.).Theinstitutionmustcompletethissub‐schedulefortheBHCBaselineScenarioonly.E.2—BHCLegalReservesReportingTheBHCLegalReservesReportingsub‐schedulemustbecompletedbyallinstitutions.Foreachyear,reportthetotaldollarvaluesoftheinstitution’slegalreservebalance,representingthetotallegalreservebalancethatwasincludedontheinstitution’sfinancialstatementsfortheas‐ofdate.TheBHC’ssubmissionshouldcontainannuallegalreservebalancesforatleastfiveyearsthroughtothereportingquarter.Onavoluntarybasis,reportthetotaldollarvalueoftheinstitution’slegalreservespertainingtorepurchaselitigationwhichwasincludedontheinstitution’sfinancialstatementsaspartofthetotallegalreserveontheas‐ofdate.AlsopleaseindicatethesubsetofthisamountwhichisrelatedonlytocontractualRepresentationandWarranty(R&W)claims(excludinganyamountssetasidefordamages,penalties,fees,etc).
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ScheduleF–BusinessPlanChangesThisscheduleisusedtoestimatetheeffectofamaterialchangeinbusinessplanonaBHC’sasset,liability,andcapitalprojections.14Examplesofamaterialchangeinbusinessplancouldincludeaplannedmerger,changeinakeybusinessstrategy,asignificantinvestment,oradivestiture,providedthatthedivestiturehasbeencompletedorcontractuallyagreedtopriortothesubmissiondeadlineofFRY‐14A,ScheduleA.Divestituresplannedaspartofamergermustalsobecontractuallyagreedtopriortothesubmissiondeadline.BHCsthatincludeamaterialbusinessplanchangeintheircapitalplanmustreportthisschedule.RespondentsshouldrefertotheCCARinstructionsforagivenyearforadiscussionofmateriality.ScheduleFshouldonlybeusedtoreportmaterialbusinessplanchangesthatwillderivefromcontractualagreementswithanotherparty.Overallprojectionsofbalances,liabilities,andcapital,whichincludetheassumedeffectsofrun‐off,growth,andcontractualagreements,shouldbereportedintheFRY‐14ASummaryschedule.ScheduleFseekstoisolatetheprojectedeffectsofbusinessplanchangesfromoverallprojectionsoftheseitemsfortheBHCandfromprojectedgrowth.ThedatareportedinScheduleFreflectthequarter‐over‐quarterchangesinreportedSummaryscheduleitemsthatareattributabletobusinessplanchanges.Generally,BHCsshouldnotreportitemsonScheduleFastheyappearintheFRY‐14ASummaryschedule.Unlessinstructedotherwise,firmswithmaterialbusinessplanchangesareonlyrequiredtocompleteScheduleFforthesupervisorybaseline,supervisoryadverse,andsupervisoryseverelyadversescenarios.ScheduleFisanannualscheduleandneednotbecompletedforthemid‐cyclestresstest.ScheduleFmirrorsthestructureoftheFRY‐14ASummaryschedule.Usingthatstructure,foragivensupervisoryscenario,reportinScheduleFthedollaramountoftheincrementaleffectofamaterialchangeinbusinessplanonthebalancesheet,incomestatement,RWA,retailbalanceandlossprojections,andcapitalworksheetitemswhicharereportedontheY‐14ASummaryschedule.ThedatasubmittedinScheduleFshouldincludeonly“Day1”effectsofthebusinessplanchange.Any“Day2”projections,includingprofitandlossprojectionsfortheremainderofthequarterafterthebusinessplanchangetakesplace,shouldbeexcludedfromsubmitteddata.Inquartersinwhichnochangeinbusinessplanoccurs,reportzeroforallfields.Separatelyreportthisinformationforeachofthesupervisoryscenarios(SupervisoryBaseline,SupervisoryAdverse,andSupervisorySeverelyAdverse).BHCsshouldcompleteonesubmissionperscenario,withallexpectedbusinessplanchangesforagivenscenarioincludedinthesametemplate.IfaBHCreportsmorethanonebusinessplanchangeinanyquarteroftheprojectionhorizon,theFederalReservemayaskforadditionalinformation,whichcouldincludeamoregranularbreakdownofchangeinasset,liabilityandcapitalprojectionbyindividualbusinessplanchange.Thefollowingitems,whicharederivedbytheFederalReserveontheFRY‐14ASummaryschedule, 14 A BHC is required to include in its capital plan a discussion of any expected changes to the BHC’s business plan that are likely to have a material impact on the BHC’s capital adequacy or liquidity. See 12 CFR 225.8(e)(2)(iv). In this discussion, the BHC should consider not just the impacts of these expected changes, but also the potential adverse consequences should the actions not result in the planned changes—e.g., a merger plan falls through, a change in business strategy is not achieved, or there is a loss on the planned significant investment.
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cannotbederivedforbusinessplanchanges.BHCsshouldreporttheincrementaleffectofamaterialbusinessplanchangeontheseitemsdirectlyinScheduleF.Formoreinformationontheseitems,refertoScheduleA.1.aforIncomeStatementvariablesandScheduleA.1.d.1forCapitalWorksheetvariables.Summary,IncomeStatement(ScheduleA.1.a)
Item63,OtherLosses:GoodwillImpairment Item64,OtherLosses:ValuationAdjustmentforfirm’sowndebtunderfairvalueoption
(FVO) Item68,AllowanceforLoanandLeaseLosses:ALLLPriorQuarter Item117,Pre‐provisionnetrevenue:Netinterestincome Item118,Pre‐provisionnetrevenue:Noninterestincome Item119,Pre‐provisionnetrevenue:Noninterestexpense Item120,Pre‐provisionnetrevenue:Pre‐provisionnetrevenue Item126,Condensedincomestatement:Realizedgains(losses)onavailable‐for‐sale
securities,includingOTTI Item127,Condensedincomestatement:Realizedgains(losses)onheld‐to‐maturity
securities,includingOTTI Item136,RepurchaseReserve/LiabilityforMortgageRepsandWarranties:Reserve,prior
quarter Item137,Repurchasereserve/liabilityformortgagerepsandwarranties:Provisionsduring
thequarter Item138,Repurchasereserve/liabilityformortgagerepsandwarranties:Netcharges
duringthequarter
Summary,Capital(ScheduleA.1.d.1) Item1,ScheduleHI‐A—ChangesinBankHoldingCompanyEquityCapital:Totalbank
holdingcompanyequitycapitalmostrecentlyreportedfortheendofpreviousQUARTERBHCsshouldprovidesupportingdocumentationthatincludesanyinformationrelatingtoportfolioriskcharacteristicsthathasbeencollectedduringtheBHC’sduediligenceprocess.ThissupportingdocumentationshouldbeuploadedtotheIntraLinkscollaborationsiteandcategorizedas:SupportingDocumentFRY‐14A–SchF–BusPlanChangesIfaBHCreportsmorethanonebusinessplanchangeinanyquarteroftheprojectionhorizon,thenthetwobusinessplanchangesshouldbeincludedintheBHC’scapitalplan.Inthiscase,theFederalReservemayaskforadditionalinformation,whichcouldincludeamoregranularbreakdownofchangeinasset,liability,andcapitalprojectionbyindividualbusinessplanchange.Afirm’scapitalplanshouldincludecombiningproformafinancialstatementsifthefirmhasprojectedamerger,andshouldincludefairvalueadjustmentsappliedtoeachacquiredportfolioinordertoarriveatitsprojectedcarryvalueifthefirmhasprojectedanacquisition.ExampleofWhattoReport:Supposethat,asof4Q16(thedataasofdateforCCAR2017),aBHChasaUSfirstlienmortgageportfolioof$100millionwhichisprojectedtogrowby$5millionperquarterovertheplanninghorizon.Inthefirstquarteroftheplanninghorizon(1Q17forCCAR2017)theBHCcompletesadivestureofa$20millionportfolioandentersanagreementtoacquirea$40millionportfolio,estimatedtocloseinthefourthquarteroftheplanninghorizon(4Q17for
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CCAR2017).FurthersupposethatalloftheprojectionsmentionedabovecorrespondtoprojectionsundertheSupervisorySeverelyAdversescenario.OnitsFRY‐14ASummaryschedulefortheSupervisorySeverelyAdversescenario,theBHCwouldreporttheprojectedbalancesofitsUSfirstlienmortgageportfolioonItem1oftheRetailBalanceandLossProjectionsworksheet(RBLP)(MDRMnumberCPSRP381).ThesebalanceswouldcorrespondtocolumninExhibit1,below.TheBHCwouldalsoberequiredtosubmitaY‐14ABusinessPlanChangesscheduleforthesupervisoryscenarios.Inthatsubmission,fortheSupervisorySeverelyAdversescenario,theBHCwouldreportthedollaramountoftheeffectthattheacquisitionanddivestiturewouldhaveontheprojectedbalancesofitsUSfirstlienmortgageportfolioonItem1oftheRBLP(MDRMnumberCBPRP381).Thesebalanceswouldcorrespondtocolumn(4)inExhibit1,below.
Note:Column(3)ofexhibit1isnotexplicitlyreportedineithertheY‐14SummaryorBusinessPlanChangesschedules.Itisincludedinexhibit1forillustrationonly.ScheduleG–RetailRepurchaseExposuresThisRetailRepurchaseschedulecollectsdataonpointintimeexposuresofloanssoldbytheBHCthatmaybesubjecttorepurchaseriskduetobreachesofrepresentationsandwarrantiesmade
( 1 ) ( 2 ) ( 3 ) ( 4 )
Projection QuarterY‐14A Summary RBLP,
Line 1Portfolio Growth
FR Y‐14A BPC RBLP, Line
1
4Q15 100
1Q16 85 5 ‐20 <‐ Divestiture
2Q16 90 5 0
3Q16 95 5 0
4Q16 140 5 40 <‐ Acquisition
1Q17 145 5 0
2Q17 150 5 0
3Q17 155 5 0
4Q17 160 5 0
1Q18 165 5 0
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duringthesaleoftheloans,asdefinedintheFRY‐9C,ScheduleHC‐P,item6.ItalsocollectsdataonloansinsuredbytheUSGovernmentforwhichtheinsurancecoveragecouldbedeniedorindemnificationrequiredifloandefectsareidentified.ThisschedulehastwosectionsforinformationonloanssoldbytheBHCthatmaybesubjecttorepurchaserisk.Section1collectsloansforwhichtheoutstandingunpaidprincipalbalance(UPB)anddelinquencyinformationrequestedisavailable.Section2collectsloansforwhichtheoutstandingUPBordelinquencyinformationisincompleteornotavailable.DuetothemissingdataassociatedwithloansreportedinSection2,loansinthispopulationwillbetreatedwithconservativeassumptions.DatacollectedinSections1and2shouldbemutuallyexclusive.Thisscheduleistobesubmittedsemi‐annuallyandisduesevencalendardaysaftertheFRY‐9Cduedate(ontheFRY‐14Qsubmissiondate).TableInformation:InformationreportedinthisschedulewillbecollectedinTablesAthroughFandH.PleasereportinformationaggregatedbyVintageforeachtableandcorrespondingdatafieldsbelow.TheVintageofeachcolumnreferstothecalendaryearthattheloanwassold(i.e.,2004throughthecurrentyear).IncaseswherethedatamaynotbeavailablebyVintage,reportthedataintheUnallocatedcolumn.Loanssoldpriorto2004shouldbeexcludedfromalldatafields.ItisexpectedthatuseoftheUnallocatedcolumnwillbeverylimited.AnyloanssolddatareportedintheUnallocatedcolumnwillbetreatedwithconservativeassumptionsbytheFederalReserve.IfOutstandingBalanceandDelinquencyinformationisavailablebutRealizedNetCreditLossesisnotknown,theBHCshouldreportintablesA.1throughFtheavailableinformationandprovideanexplanationastowhycreditlossinformationisnotknown.Ifnoinformationorincompleteinformationonthecreditperformanceoftheloanssoldwithrepurchaseagreementsandwarranties,theBHCshouldreportintablesA.2throughF“BHCUnabletoReportOutstandingUPBorDelinquencyInformation”toreportOriginalUPBandProjectedLossesinformation.ReportintablesA.2throughFtheOriginalUPBandProjectedFutureLossesofassetssoldwithservicingreleasedwheretheBHCisunabletoreportOutstandingUPBandCredit.Loansthathavebeensold,repurchasedandthensoldagainshouldbereportedinthemostrecentyearofsale.RowVariableInformation:Forrowvariablesdescribedinsections1and2withthenoteExcludingExemptPopulation,thedatasubmittedshouldexcludeanyloansforwhichtheBHChasnoriskofrepurchaseliabilitybecauseofsettlementorpreviousrepurchase.OnlyfinalizedsettlementsshouldbeconsideredExempt;anyloanssubjecttoapendingsettlementshouldbeincludedonthissub‐schedule.Loanspaidinfullarenotpartoftheexemptpopulationunlesstheysatisfythedefinedexemptioncriteria.WhenaddressingexclusionsthatmayexistinanysettlementagreementBHCsshouldisolatethepopulationofloansforwhichmaterialexclusionsexistandreporttheseas‘loanswithremainingliability’onTableH.Intheeventthatasettlementhaseliminatedthevastmajorityofthe
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contractualrepresentationandwarrantliabilityforcertainloans,theseshouldbecategorizedasexemptonTablesA‐F.However,firmsshouldprovidedetailsonsettlementexclusionsthatmayexistforthosesettledpopulationsinTableHandinthesupportingdocumentation,includingspecificsofanyfinalizedsettlements(exposuresandtimeframescoveredbythesesettlementsandthedatethesettlementswerefinalized).Thefirmshouldalsoexplainanymaterialchangesinhistoricalvintageexposurecomparedtoprioryear.ExamplesofExemptPopulation:TheexemptpopulationincludesallloansforwhichtheBHCdoesnothavecontractualrepresentationandwarrantyliability.SuchloansshouldbeexcludedforrowvariablesdescribedwiththenoteExcludingExemptPopulation.Examplesoftheexemptpopulationincludethefollowing:
o Loansforwhichafinaljudgmenthasbeenenteredorfinalsettlementhasbeenreached15.LoanssubjecttofinalizedsettlementsshouldbereportedonTableHandshouldbeexemptonTablesA‐F.AnyresidualliabilityonsettledloansshouldbereportedinTableHinloanswithremainingliability.SettledloansreportedinTableHshouldremainintheOriginalUPBofTablesA‐F,butshouldbeexcludedfromOriginalUPB(ExcludingExemptPopulation).
o Loansthathavebeenrepurchased.o FHAloansoriginatedbyCorrespondentsthatHUDhasapprovedasmortgageewith
designatedunderwritingauthority(TableC).o LoanswhereservicingwasacquiredunderaBifurcationagreementwithFannieMaeor
FreddieMac(TablesA,B)o Securitizationswithnon‐USmortgagecollateral(TablesD,E)o LoansforwhichtheBHC’scontractualrepresentationandwarrantyliabilityhasbeen
terminatedbythestatuteoflimitations,andnotollingagreementisinplace(TablesD,E).ExamplesofNon‐ExemptPopulation:Thenon‐exemptpopulationincludesallloanswheretheBHChascontractualrepresentationandwarrantyliability.TheseloansshouldbereportedinTablesA‐F.Examplesofthenon‐exemptpopulationincludethefollowing:
o Loanssubjecttoapendinglitigation(includingappeals)orongoingsettlementnegotiations.Thisincludesanysettlementswhichhavenotyetbeenpaid.BHCsmayreportanyreservesforpendingsettlementsonScheduleE–OperationalRisk(E.2—BHCLegalReservesReporting).
o Loanswithcuredorrescindedrepurchaserequests.o Loanspaidinfullunlesstheysatisfytheexemptioncriteriadefinedabove.o USDAunderwrittenloans(TableC).
TablesAthroughF:ForTablesAthroughF,datawillberepresentedintwosections.Section1:BHCABLETOREPORTOUTSTANDINGUPBANDDELINQUENCYINFORMATIONREQUESTEDTherowvariablesforSection1identifiedinTablesAthroughFshouldbecompletedusingthefollowingcategories:
15Forthesepurposes,ajudgmentisfinalwhenthecourtofcompetentjurisdictionhasenteredjudgmentandanyavailableappellaterightshavebeenexhaustedorwaived.Asettlementisfinalwhenanyrequiredpaymenthasbeenmadeandanyassociatedlitigationclaimshavebeenwithdrawn.
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OriginalUPB:ReporttheoriginalUPBofalloftheloans,includingclosedloans.OriginalUPB(ExcludingExemptPopulation):ReporttheoriginalUPBoftheloans,includingclosedloansbutexcludingtheexemptpopulation.OutstandingUPB(ExcludingExemptPopulation):ReporttheoutstandingUPBasofthereportingdate,excludingtheexemptpopulation.DelinquencyStatusasofthereportingdate(ExcludingExemptPopulation):Reportthedataasofthereportingdate,excludingtheexemptpopulationasdefinedabove.Thetablecollectsdelinquencycategoriesasdefinedabove.ThesumofthefourdelinquencycategorieslistedbelowshouldequaltheoutstandingUPBreportedforthatage.AspartofSection1forTablesAthroughF,whenreportingtherowvariableforthisitem,thefollowingdelinquencycategorieswillbeutilized:
o Current:TheUPBofloanslessthan30dayspastdueo Pastdue30to89days:TheUPBofloans30‐89dayspastdueo Pastdue90to179days:TheUPBofloans90‐179dayspastdueo Pastdue180+days:TheUPBofallloansthatare180daysormorepastdueandhavenot
yetbeenfullycharged‐offNetCreditLossRealizedto‐date(ExcludingExemptPopulation):Reportcumulativenetcreditlossesrealizedbyinvestorsintheloansthroughtheas‐ofdate,excludingtheexemptpopulationasdefinedabove.Cumulativenetcreditlossesaredefinedascumulativecollaterallossincurredtodate.RefertotheFRY‐9C,ScheduleHC‐P,item6forafurtherdefinitionof"creditloss".RepurchaseRequestsOutstanding(ExcludingExemptPopulation):ReportRepurchaseRequestsOutstanding,whichisthetotalUPBoftheloanswhichtheinvestorhasrequestedarepurchaseoftheloanorindemnificationforanylossesbutaresolutionhadnotbeenreachedas‐ofthereportingdate.Notethatthisvariableisbydefinitionexclusiveoftheexemptpopulationasdefinedabove.Lossto‐dateDuetoDeniedInsuranceand/orIndemnification(applicabletoTableC.1only):ReportlossesrealizedthroughthereportingdateduetoinsuranceclaimsdeniedbytheUSGovernmentduetoanidentifieddefectontheloaninquestion.AlsoincludeanylossesincurredduetoindemnificationagreementsthatwereestablishedwiththeUSGovernmentonloanswithidentifieddefects.Section2:BHCUNABLETOREPORTOUTSTANDINGUPBORDELINQUENCYINFORMATIONREQUESTEDTherowvariablesforSection2identifiedinTablesAthroughFshouldbecompletedusingthefollowingcategories:OriginalUPB:ReporttheoriginalUPBofalloftheloans,includingclosedloans.
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OriginalUPB(ExcludingExemptPopulation):ReporttheoriginalUPBoftheloans,includingclosedloansbutexcludingtheexemptpopulation.OutstandingUPB(ExcludingExemptPopulation):ReporttheoutstandingUPBasofthereportingdate,excludingtheexemptpopulation.DatacollectedinSections1and2shouldbemutuallyexclusive.TableInstructionsTablesA—LoansSoldtoFannieMae(FNMA)TablesB—LoansSoldtoFreddieMac(FHLMC)TablesC—LoansInsuredbytheUSGovernmentLoansinsuredbytheUSGovernmentincludeloansinsuredbytheFederalHousingAdministration(FHA)ortheFarmersHomeAdministration(FmHA)orguaranteedbytheVeteransAdministration(VA)thatbackGovernmentNationalMortgageAssociation(GNMA)securities,i.e.,‘‘GNMAloans.”IncludeallloansinsuredbytheUSGovernmentincludingthoseonbalancesheet(includinganyGNMAbuyoutsoron‐balancesheetFHAexposures)orsoldintoaGNMAsecurity.TablesD—LoansSecuritizedwithMonolineInsuranceIncludeloanspackagedintoasecuritizationandwrappedwithmonolineinsurance.Ifitcannotbeidentifiedwhetheragivenloanismonolineinsured,includetheloaninthiscategory.TablesE—LoansSecuritizedwithoutMonolineInsuranceIncludeloanspackagedintoasecuritizationbutnotwrappedwithmonolineinsurance;TablesF—WholeLoansSoldIncludeloanssoldaswholeloanstopartiesotherthanFannieMaeorFreddieMac,evenifthewholeloansweresubsequentlysoldtoFannieMaeorFreddieMac.TableH—SoldLoansSubjecttoCompletedSettlements16IncludeoriginalUPBofloanssubjecttocompletedsettlements,byvintageandinvestor.Onlyincludeloanssubject tosettlements finalizedonorbefore the ‘asof’date. Loansreported inScheduleHshould be reported as exempt on Tables A‐F. Any loans subject to a pending settlement or asettlementoccurringafterthe‘asof’dateshouldnotbeincludedinTableHandshouldbeincludedinTablesA‐F.TableHandTablesA‐Fshouldbemutuallyexclusive.PleasebifurcatetheOriginalUPBofsettlementexposuresonTableHintoloanswithnoremainingcontractualrepresentationandwarranty (R&W) liability and loanswith remaining R&W liability. Please also indicate the totalsettlementdollarspaidbyinvestortype,aswellasthesubsetoftotalsettlementdollarspaidthatisdirectlyrelatedtocontractualR&Wclaims(excludinganypenalties,fees,damages,etc).
16CompletedSettlementsaredefinedassettlementsforwhichfinaljudgmenthasbeenenteredorfinalsettlementhasbeenreached.Ajudgmentisfinalwhenthecourtofcompetentjurisdictionhasenteredjudgmentandanyavailableappellaterightshavebeenexhaustedorwaived.Asettlementisfinalwhenanyrequiredpaymenthasbeenmadeandanyassociatedlitigationclaimshavebeenwithdrawn.
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AppendixA:SupportingDocumentationThisappendixsetsforthrequirementsandsupervisoryexpectationsrelatedtosupportingdocumentationforallBHCssubjecttotheY‐14reportingrequirements.ThisdocumentisprimarilyfocusedonhelpingtoensurethatBHCssubjecttoY‐14reportingrequirementsprovideaccurateandcomprehensiveinformationfortheirY‐14reports.Incertaincases,thisdocumentdescribesadditionalexpectationsforcertaincapitalplanningpracticestohelpsupportBHCs’Y‐14reporting.However,thisdocumentisnotintendedtodescribethefullsetofexpectationsforcapitalplanning.ThefullsetofcapitalplanningexpectationshavebeenconsolidatedintwoFederalReservetwosupervisoryletters,SRLetters15‐18and15‐19,issuedinDecember2015.Importantly,thosetwoSRlettersclarifythatthecapitalplanningexpectationsforLISCCandLargelargeandComplexcomplexFirmsfirms(asdefinedinthoseletters)arehigherthantheexpectationsforLargelargeandNoncomplexnoncomplexFirmsfirms(asdefinedinthoseletters).17ABHCshouldrefertoSRLetter15‐18orSRLetter15‐19,asapplicable,forthecapitalplanningexpectationsapplicabletothatBHC(dependingontheBHC’ssizeandcomplexity),asthisdocumentappliestoallBHCssubjecttoY‐14reportinganddoesnotdifferentiatebetweenLargelargeandComplexcomplexvsversusLlargeandNnoncomplexFfirms.TotheextentthatthisappendixreferencesexpectationsthatmaynotapplicabletoaLlargeandNnoncomplexFfirmpursuanttoSRLetter15‐19,aLlargeandNnoncomplexfirmwillnotbeheldtothoseexpectationsbutshouldinsteadrefertotheexpectationsinSRLetter15‐19.ScheduleA–SummaryForeachpartoftheSummarySchedule,BHCsmustsubmitsupportingdocumentationthatclearlydescribesthemethodologyusedtoproducetheBHC’sprojections.Thesupportingdocumentationshouldincludethefollowing:PoliciesandProceduresBHCsshouldsubmitallpoliciesandproceduresrelatedtothecapitaladequacyprocess,includingtheBHC’smodelrisk‐managementpolicies.ThemodelriskmanagementpoliciesshouldprovidetheBHC’sgeneralframeworkformodeldevelopment,implementationanduse;modelvalidation,andgovernancepoliciesandcontrols(consistentwithsupervisoryguidanceonmodelriskmanagement),includingoversightbyspecifyingcriteriaandcontrolsacrossvariousstagesofthemodellifecycle(Identification;Inventory/Tracking;DevelopmentandDocumentation;IndependentValidation;ApprovalforImplementation;Ongoingmonitoring;ModelRetirement).DocumentationofRiskMeasurementPracticesCapitalplansubmissionsshouldincludedocumentationofkeyriskidentificationandmeasurementpracticessupportingtheBHC‐widestresstestingrequiredinthecapitalplans.BHCsubmissionsshouldalsoincludeinternaldocumentationdescribingtheBHC’sframeworkfordevelopment,calibration,estimation,validation,oversight,andescalationofkeyriskidentificationand
17SRLetter15‐18setsforthcapitalplanningexpectationsforBHCsthataresubjecttotheFederalReserve’sLargeInstitutionSupervisoryCoordinatingCommittee(LISCC)frameworkandBHCswithtotalconsolidatedassetswithtotalconsolidatedassetsof$250billionormoreorconsolidatedtotalon‐balancesheetexposureof$10billionormore(definedasaLargeandComplexFirm).SRLetter15‐19setsforthcapitalplanningexpectationsforBHCsthathavetotalconsolidatedassetsofatleast$50billionbutlessthan$250billion,haveconsolidatedtotalon‐balancesheetexposureoflessthan$10billion,andarenototherwisesubjecttotheLISCCframework(definedasaLargeandNoncomplexFirm).
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measurementpractices.Asnotedabove,anassessmentoftherobustnessofthesepracticesisacriticalaspectofthesupervisoryassessmentofcapitalplanningprocessesasoutlinedinSR15‐18and15‐19.ModelandMethodologyInventoryMappingtoFRY‐14ABHCsshouldsubmitaninventoryofallmodelsandmethodologiesusedtoestimatelosses,revenues,expenses,balances,andrisk‐weightedassets(RWAs)andthestatusofvalidation/independentreviewforeach.TheinventoryshouldincludemappingthatclearlyconveysthemethodologyusedforeachFRY‐14Aproductlineundereachstressscenario.MethodologyDocumentationBHCsshouldincludeintheircapitalplansubmissionsthoroughdocumentationthatdescribesandmakestransparentkeymethodologiesandassumptionsforperformingstresstestingontheirportfolios.ThisdocumentationshoulddescribehowtheBHCtranslatedthemacroeconomicfactors(ormarketshockfortheTradingandCounterpartyRisksections)associatedwiththescenariointotheBHC’sprojectionsandtechnicaldetailsofanyunderlyingstatisticalmethodsused,includinginformationonmodelvalidationandindependentreview.Wherejudgmentisanessentialpartoftheprojection,themethodologydocumentationshoulddemonstratetherationaleandmagnitude,aswellastheprocessinvolvedtoensureconsistencyofprojectionswithscenarioconditions.Methodologydocumentationshouldinclude,ataminimum,thefollowingdocuments:
MethodologyandProcessOverviewBHCsshouldprovidedocumentationthatdescribeskeymethodologies,processes,andassumptionsforperformingstresstestingontheBHC’sportfolios,business,andperformancedrivers.Documentationshouldclearlydescribethemodel‐developmentprocess,thederivationofoutcomes,andvalidationprocedures,aswellasassumptionsconcerningtheevolutionofbalancesheetandRWAsunderthescenarios,changingbusinessstrategies,andotherimpactstoaBHC’sriskprofile.Supportingdocumentationshouldclearlydescribeanyknownmodelweaknessesandhowsuchinformationisfactoredintothecapitalplan.
ModelTechnicalDocumentsBHCsshouldsubmitmodeltechnicaldocumentationforkeymodelsusedtoperformingstresstestingontheBHC’sportfolios.Thedocumentationshouldinclude:
o Adescriptionofthemodelmethodology;o Anexplanationofthetheory,logic,anddesignunderlyingthemodelmethodology
andsupportfrompublishedresearchandsoundindustrypractice;o Adiscussionofhistoricaldatasetconstruction,includingdatasources,adjustments
tothedataset,anddocumentationvalidatingtheuseofanyexternaldata;o Therationaleforportfoliosegmentationandadiscussiononhowaparticular
methodologyandmodelcapturesthekeycharacteristicsandtheuniqueriskdriversofeachportfoliosegment;
o Adescriptionofmodelselectionandspecification,variablechoice,andestimationmethodology,includingthestatisticalresultsusedtoarriveattheselectedmodel;
o Ananalysisofthemodeloutput,includingthecongruenceofinputswiththeassumedeconomicscenario,thejustificationofanyqualitativeadjustment,alongwiththestatisticalanalysisusedtosupportthemodeloutput;and
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o Amodelinventorylogspecifying,ataminimum,themodel’sversion,thedateofmodelapproval,thedateofitslastrevision,itsintendeduse,thenameofitsmodelowneranddeveloper,themodel’spriority,thedateofthemodel’slastindependentvalidation,andthedateofthemodel’snextexpectedindependentvalidation.
Ifthird‐partymodelsareused,thedocumentationshoulddescribehowthemodelwasconstructed,validated,andanyknownlimitationsofthemodel.Documentationshouldclearlydescribeassumptionsconcerningnewgrowthandchangestocreditpolicy.Supportingdocumentationshouldtransparentlydescribeinternalgovernancearoundthedevelopmentofcomprehensivecapitalplans.Documentationshoulddemonstratethatseniormanagementhasprovidedtheboardofdirectorswithsufficientinformationtofacilitatetheboard’sfullunderstandingofthestresstestingusedbythefirmforcapitalplanningpurposes.
ModelValidationandIndependentReview
ModelsemployedbyBHCs(eitherdevelopedinternallyorsuppliedbyavendor)shouldbeindependentlyvalidatedorotherwisereviewedinlinewithmodelriskmanagementexpectationspresentedinexistingsupervisoryguidance,includingSupervisoryLetterSR11‐7.Institutionsshouldprovidemodelvalidationdocumentationonthefollowingelements:conceptualsoundness,inputs,transparency,implementation,reporting,modelrobustnessandlimitations,useofexpertjudgment,exceptionreports,outcomesanalysis(backtestingand/orbenchmarking)andqualitativeadjustments.ValidationdocumentationshouldincludetheBHC’sassessmentofthevulnerabilityoftheirmodelstoerror,anunderstandingofanyoftheirotherlimitations,andconsiderationoftherisktotheBHCshouldestimatesbasedonthosemodelsprovemateriallyinaccurate.Specifically,validationreviewsshouldexaminetheefficacyofmodeluseinbothbasecaseandstressscenarios.Whiletheuseofexistingriskmeasurementmodelsandprocessesprovidesausefulreferencepointforconsideringstressscenariopotentiallossestimates,validationeffortsshouldconsiderwhethertheseprocessesgenerateoutputsthatarerelevantinastressfulscenariooriftheuseofmodelsshouldbesupplementedwithotherdataelementsandalternativemethodologies.Totheextentavailable,theaboveitemsshouldalsobeprovidedforanyvendorsuppliedmodelsusedbytheBHC,alongwithanythirdpartyvalidationdocumentationavailableforthevendorsuppliedmodel.
AuditReportsBHCsshouldsubmitauditreportsfromtheirinternalauditofthecapitaladequacyprocessincludingreviewsofthemodelsandmethodologiesusedintheprocess.(See“CapitalPlanningatLargeBankHoldingCompanies:SupervisoryExpectationsandCurrentRangeofPractice”).
ResultsFinalizationandChallengeMaterialsBHCsshouldensurethattheyhavesoundprocessesforreview,challengeandaggregationofestimatesusedintheircapitalplanningprocesses.BHCsshouldsubmitdocumentationprovidingtransparencyintothereview,challenge,andaggregationprocessesandthefinalizationofresults.
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Withinthismethodologydocumentation,BHCsshouldprovidecrediblesupportforallassumptionsusedtoderivelossestimates,includingassumptionsrelatedtothecomponentsofloss,severityofloss,andanyknownweaknessesinthetranslationofassumptionsintolossestimates.BHCsshoulddemonstratethattheseassumptionsareclearlyconditionedonthestatedmacroeconomicscenario,areconsistentwithstatedbusinessstrategies,andreflectthecompetitiveenvironmentofeachbusinessline.Iffirm‐specificassumptions(otherthanbroadmacroeconomicassumptions)areused,alsodescribetheseassumptionsandhowtheyrelatetoreportedprojections.IftheBHCmodelsrelyuponhistoricalrelationships,providethehistoricaldataandclearlydescribewhytheserelationshipsareexpectedtobemaintainedineachscenario.Theimpactofassumptionsconcerningnewgrowthorchangestocreditpolicyonforecastedlossestimatesrelativetohistoricalperformanceshouldbeclearlydocumented.Whilejudgmentisanessentialpartofriskmeasurementandriskmanagement,includingforlossforecasting,BHCsshouldnotbeover‐reliantonjudgmenttopreparetheirlossestimationswithoutprovidingdocumentationorevidenceoftransparencyanddisciplinearoundtheprocess.BHCsshouldadequatelysupporttheirjudgmentsandshouldensurethatjudgmentsareinlinewithscenarioconditions.BHCsshouldbeconsistentlyconservativeintheassumptionstheymaketoarriveatlossrates.Whereappropriate,documentationshouldquantifytheimpactofqualitativeadjustmentsfrommodeledoutput.Furthermore,withinthismethodologydocumentation,BHCsshouldincludeathoroughdiscussionofanymaterialdeviationsfromtheinstructionsandhowthematerialityofsuchdeviationswasdecidedupon.AdditionalinformationtobeincludedinthemethodologydocumentationisdescribedinmoredetailinsectionsA.2–A.10below.ConsolidatedProFormaFinancialsMethodologyBHCsshouldsubmitdocumentationthatdescribes(1)howthevariousbalancesheetandincomestatementlineitemsweredevelopedandreported,(2)thespecificassumptionsusedtocalculateregulatorycapital,includingadiscussionofanyproposedcapitaldistributions,and(3)anyotherinformationnecessarytounderstandtheBHC’scapitalcalculations(e.g.,calculationsrelatedtotheprojectionsofthedeferredtaxassetorservicingassetsthatmaybedisallowedforregulatorycapitalpurposes).AdditionalinformationtobeprovidedaspartofthisdocumentationisoutlinedinsectionA.1belowfortheFRY‐14AIncomeStatement,BalanceSheet,andCapitalsub‐schedules.GovernanceBHCsshouldincludeintheirsubmissionsupportingdocumentationthattransparentlydescribesinternalgovernancearoundthedevelopmentofstresstestingmodelsandmethodologies,anddiscusshowthestresstestingmethodologieshavebeenimplementedintheBHC’sexistingfirm‐wideriskmanagementpractices.Furthermore,documentationshouldincludeadiscussionofthestresstestingoutcomesintermsofthenatureoftheportfolioandthemodeledscenario.TheBHCshoulddemonstratethatseniormanagementprovidedtheboardofdirectorswithsufficientinformationtofacilitatetheboard’sfullunderstandingofthestresstestingusedbythefirmforcapitalplanningpurposesandallowfortheappropriatelevelofchallengeofassumptionsandoutcomes.
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A.1–IncomeStatement,BalanceSheet,andCapitalIncomeStatement,BalanceSheet,andCapitalSub‐schedulesHCsshouldsubmitsupportingdocumentationthatclearlydescribesthemethodologiesusedtomaketheloss,reservechange,andrevenueprojectionsthatunderlietheproformaprojectionsofequitycapital.BHCsmaysubmitseparatedocumentsfordifferentmodels/methodologies.EachBHCshouldincludeinitssupportingdocumentationacleardescriptionofhowthevariousbalancesheetandincomestatementlineitemswerereported.Provideinformationonthespecificassumptionsusedtocalculateregulatorycapital,includingadiscussionofanyproposedcapitaldistributions.Whenappropriate,clearlystateassumptionsrelatedtothecorporatetaxrateandtheevolutionofthedeferredtaxassets.InsituationswheretheBHCchoosesnottoprojectcomponentsofthebalancesheet,thosecomponentsshouldbeheldconstantatthelastcurrentlevelandtheBHCshouldexplainwhythezerodeltaassumptionisappropriateinthegivenscenario.BHCsshouldsubmitanyotherinformationanddocumentationnecessarytosupportorunderstanditscapitalcalculations.Forexample,aBHCcouldshowthecalculationsrelatedtotheprojectionsofthedeferredtaxassetorservicingassetsthatmaybedisallowedforregulatorycapitalpurposes.Whereapplicable,BHCsshouldlinktheadditionalsupportingdocumentationtotheSummaryMemoofCapitalMethodologyandAssumptionsandtheCapitalsub‐schedule.IntraLinksInstructions:WhenuploadingthesupportingdocumentationtotheIntraLinkscollaborationsite,supportingdocumentsforthisspecificareashouldbecategorizedasfollowsusingthemetadatatagsprovided:
SupportingMaterialsConsolidatedProFormaFinancialsMethodologyGeneralIfaBHCsubmitsseparatedocumentsfordifferentmodelsand/ormethodologies,pleaseidentifythemodeland/ormethodologyintheCommentfield.A.2–RetailHCsshouldsubmitseparatedocumentationfortheirRetail‐relatedprojections.ABHCmaysubmitseparatedocumentsfordifferentmodelsand/ormethodologies.Documentationshouldbesubmittedforallaspectsoftheretailportfolio,includingpurchasedcreditimpairedloansandmortgagerepurchaserisk.Mortgagerepurchasedocumentationshouldincludedescriptionsofallimportantassumptionsmadeineachscenario,including,butnotlimitedto,assumptionsaboutlegalprocessoutcomesandcounterpartybehavior.Allretaildocumentationshouldincludedocumentationofassumptions,governance,validationandindependentreviewasoutlinedintheSupportingDocumentationsectionoftheOverview.IntraLinksInstructions:WhenuploadingthesupportingdocumentationtotheIntraLinkscollaborationsite,supportingdocumentsforthisspecificareashouldbecategorizedasoneofthefollowingthreedocumenttypes(definedintheCCAR2016SummaryInstructionsandGuidance)usingthemetadatatagsprovided:
SupportingMaterialsMethodologyandProcessOverviewRetail
SupportingMaterialsMethodologyTechnicalDocumentRetail
SupportingMaterialsModelValidationRetail
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Ifarespondentsubmitsseparatedocumentsfordifferentmodelsand/ormethodologies,pleaseidentifythemodeland/ormethodologyintheCommentfieldA.3–WholesaleBHCsshouldsubmitseparatedocumentationfortheirWholesale(CorporateandCRE)loanbalancesandlossprojections.ABHCmaysubmitseparatedocumentsfordifferentmodelsand/ormethodologies.BHCsshouldincludesupportingdocumentationthatdescribesthekeymethodologiesandassumptionsforperformingstresstestingoneachwholesaleportfolio.Documentationshouldincludeanindexofdocumentssubmitted,ageneraloverviewdocumentprovidingabroadsummaryofthestresstestingmethodologiesutilized,anddetailedsupportingdocumentationthatclearlydescribethemodeldevelopmentprocess,thederivationofoutcomes,andvalidationproceduresasoutlinedbelow.Themethodologies’formulaicspecification,assumptions,numericaltechniques,andapproximationsshouldbeexplainedindetailwithparticularattentiontoboththeirmeritsandlimitations.Specifically,documentationshouldinclude:
• Discussionofhistoricaldatasetconstruction,includingdatasources,adjustmentstothedataset,anddocumentationvalidatingtheuseofanyexternaldata.
• Timeperiodofmodelcalibration.• Rationaleforportfoliosegmentationandadiscussiononhowaparticularmethodologyand
modelcapturesthekeycharacteristicsandtheuniqueriskdriversofeachportfoliosegment.
• Adescriptionofhowthelossestimatesappropriatelycapturetheseverityofthemacroeconomicscenario,reflectingbothindustryandborrowercharacteristics.Documentationshouldincludeajustificationforexplanatoryvariablesselected,includingcoefficientsfromstatisticalmodels,measuresoftheirstatisticalsignificance,andqualitativeassessmentswhereappropriate.Whererelevant,descriptivestatistics,includingtheirmean,median,minimum,maximum,andstandarddeviationshouldbeoutlined.
• Step‐by‐stepexamplesoflosscalculation,includingatransparentbreakdownofallcomponentsofforecastedloss(i.e.,probabilityofdefault,severityofloss,exposureatdefault)andhoweachcomponentisadjustedforthegivenmacroeconomicscenario.
• Discussionofhowlossesweredistributedtoeachquarterintheforecastedperiodasitrelatestochangesinthemacroeconomicfactorswithinthemodeledscenario.
• Qualitativeorquantitativeadjustmenttomainmodeloutput.Firmsshouldperformpre‐adjustment/post‐adjustmentlossanalysisandsupplythatanalysisformaterialdisparity.
WherethecurrenttotalbalancesinthewholesalelineitemsdonottiedirectlytothecorrespondingcategoryontheFRY‐9C,BHCsshouldprovideareconciliationwhichaccountsforallwholesalebalances.Totheextentthatlossprojectionlineitemsincludetheconsolidationofvariousloanportfolioswhichhavedifferentriskcharacteristics,supportingdocumentationshouldbreakouttherelevantsub‐portfoliolosses.Furthermore,BHCsshouldprovidesupportingdocumentationandforecastsforanywholesaleloanportfoliosacquiredafterthebeginningquarterofthestressscenarioand/orforloanscoveredbylosssharingagreementswiththeFDIC.
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IntraLinksInstructions:WhenuploadingthesupportingdocumentationtotheIntraLinkscollaborationsite,supportingdocumentsforthisspecificareashouldbecategorizedasoneofthefollowingthreedocumenttypes(definedintheCCAR2016SummaryInstructionsandGuidance)usingthemetadatatagsprovided:
SupportingMaterialsMethodologyandProcessOverviewWholesale
SupportingMaterialsMethodologyTechnicalDocumentWholesale
SupportingMaterialsModelValidationWholesale
Ifarespondentsubmitsseparatedocumentsfordifferentmodelsand/ormethodologies,pleaseidentifythemodeland/ormethodologyintheCommentfield.
A.4–LoansHeldforSaleandLoansAccountedforUndertheFairValueOptionBHCsshouldsubmitseparatedocumentationfortheirFairValueOptionandHeldforSaleretailandwholesaleloans.Arespondentmaysubmitseparatedocumentsfordifferentmodelsand/ormethodologies.Thedocumentationshouldinclude:• TotallossandoutstandingfairmarketvaluebalancessegmentedbyCommercial/Wholesale,
CommercialRealEstateandRetailalongwithexplanationastothemaindriversoflossforeachcategorynotedabove.
• Pleasedocumenttheamountoffundedandnon‐fundedcommitmentsforwholesaleloansandforretailloanspleaseincludetheaverageamountofloansthathadbeenrejectedorwereinnotinconformancewithagencystandards.
• Anattestationtocompleteness:describetheprocessandgovernance&oversightforensuringthefullsetofpositionswereaccountedforandincluded,
• Documentationshouldclearlymakenoteofinstanceswheredifferentmethodologieswereusedacrossdifferentbusinesslineswithlikeassets,
• Documentationshouldmakenotewherejudgmentwasusedindefiningandallocatingexposure,
• Whereshockswereusedthatdifferedfromprescribedshocks,• Documentapproachandassetcoverageundertheseapproaches,• Describeanyadditionalbroadeningorsimplificationofthescenariodonetogettherequisite
amountofgranularityneededtoruntoscenario,• ScenariodesignandchoiceforBHCscenarioandmethodofapplicationcomparedtotheFRB
scenario.IntraLinksInstructions:WhenuploadingthesupportingdocumentationtotheIntraLinkscollaborationsite,supportingdocumentsforthisspecificareashouldbecategorizedasoneofthefollowingthreedocumenttypes(definedintheCCAR2016SummaryInstructionsandGuidance)usingthemetadatatagsprovided:
SupportingMaterialsMethodologyandProcessOverviewWholesaleorRetail
SupportingMaterialsMethodologyTechnicalDocumentWholesaleorRetail
SupportingMaterialsModelValidationWholesaleorRetail
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Ifarespondentsubmitsseparatedocumentsfordifferentmodelsand/ormethodologies,pleaseidentifythemodeland/ormethodologyintheCommentfield.
A.5–AFS/HTMSecuritiesSupportingdocumentationshouldclearlyaddressestheOTTIandOCImethodologiesusedbyBHCstocompletetheFRY‐14ASummaryschedule.Thedocumentationshould,ataminimum,addressthequestionsoutlinedbelowbymajorproduct/portfoliotype(e.g.,non‐agencyresidentialmortgage‐backedsecurities(RMBS),commercialmortgage‐backedsecurities(CMBS),autoasset‐backedsecurities(ABS),corporatebonds,etc.).ProjectedOTTIforAFSSecuritiesandHTMSecuritiesbyCUSIPOTTIMethodology
• Describethemodel/methodologyusedtodevelopstressedOTTIlosses.Pleasestatewhetheravendororproprietarymodelwasused.
• Ifavendormodelwasused,pleaseprovidethenameofthevendormodel.Ifavendormodelwasused,hastheBHCperformedanindependentreviewofthevendormodel?
• Whatdatasource(s)wasusedtoestimatethemodel?• Whatwerethekeyinputs/variablesandhowwerethesedetermined?(e.g.,howwere
default,severity,andotherelementsdetermined?Whatwerethekeyinputsindeterminingdefault,severity,andotherelements?Whatwerethekeyassumptionsandhowweretheseassumptionsdetermined?)
• Ifusingacashflowmodel,wasavendororproprietarymodelused?Ifusingavendormodel,pleaseprovidethenameofthevendorandmodel.
• Howdidthemodel/methodology(whethervendororproprietary)incorporatemacroeconomicassumptions?
• Ifrelevant,howweremacroeconomicassumptions(asprescribedunderthesupervisorystressscenario)usedtodetermineprojectedcollateraldefaultandseverity?
• Wereallsecuritiesreviewedforimpairment?Ifnot,describetherationale,decisionrule,orfilteringprocess.
• IfthethresholdfordeterminingOTTIonstructuredproductswasbasedonalosscoveragemultiple,describethemultipleused.
• IfOTTIwasestimatedformultiplequarters,describetheprocessfordeterminingOTTIineachperiodoftheforecasttimehorizon.
• IstheBHCusingshortcutsorrulesofthumbtorecognizetheOTTIchargesforthisanalysisorgoingthroughtheBHC’snormalprocessforrecognizingOTTIcharges?Ifusingshortcutsorrulesofthumb,statehowthisprocessdiffersfromthenormalprocessforrecognizingOTTIcharges.
FairMarketValueDetermination
• Ifmorethanonethird‐partyvendorisusedastheprincipalpricingsourceforagivensecurity,whatarethecriteriafordeterminingthefinalprice?(e.g.,isamean,median,weightingschemeorhigh/lowpricetaken?)Isthereahierarchyofsources?Ifappropriate,describeresponsesbymajorproductorportfoliotype(e.g.,non‐agencyRMBS,CMBS,ConsumerABS).
• Ifaninternalmodelisusedastheprincipalpricingsourceforagivensecurity,areprices(fromaninternallycreatedmodel)comparedwiththirdpartyvendorprices?Ifso,which
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vendorsareused?Ifpricesarenotcomparedwiththirdpartyvendors,statethereason.Ifappropriate,describeresponsesbymajorproduct/portfoliotype(e.g.,non‐agencyRMBS,CMBS,ConsumerABS.).
• Describeanyadditionaladjustmentsmadetopricesdeterminedbyinternalmodel(s)and/orthirdparties.Howistheultimatepricedetermined?
• Ifaninternalmodelisusedastheprincipalpricingsourceforagivensecurity,whataretheprimarymarketpricingvariablesusedforfairvalueestimation?
• DescribebrieflytheBHC’spricevalidationandverificationprocess.ProvidereadilyavailabledocumentationrelatedtotheBHC’spricevalidationandverificationprocess.
ProjectedOCIandFairMarketValueforAFSSecurities
Describethemodel/methodologyusedtodevelopstressedOCIlosses.Ifappropriate,describeresponsesbymajorproductorportfoliotype(e.g.,non‐agencyRMBS,CMBS,ConsumerABS).StatewhetherthesamemodelwasusedtoderiveOTTIlosses.Ifnot,detailthespecificmodel/methodologyandrationaleforutilizingadifferentmodel.
Detailifavendororproprietarymodelwasused.Ifavendormodelwasused,providethenameofthevendormodel.Ifavendormodelwasused,hastheBHCperformedanindependentreviewofthevendormodel?
Whatdatasource(s)wasusedtoestimatethemodel? Whatwerethekeyinputs/variablesandhowwerethesedetermined?(e.g.,howwerefairvaluelosses,andotherelementsdetermined?)WhatwerethekeyinputsindeterminingOCIlossandhowweretheydetermined?
Ifusingacashflowmodel,wasavendororproprietarymodelused?Ifusingavendormodel,pleaseprovidethenameofthevendorandmodel.
Howdidthemodel/methodology(whethervendororproprietary)incorporatemacroeconomicassumptions?Howweremacroeconomicassumptions(asprescribedunderthesupervisorystressscenario)usedtodetermineprojectedOCI?
WereallsecuritiesreviewedforOCI?Ifnot,describetherationale,decisionrule,orfilteringprocess.IfOCIwasestimatedformultiplequarters,describetheprocessfordeterminingOCIineachperiodoftheforecasttimehorizon.
IstheBHCusingshortcutsorrulesofthumbtorecognizetheOCIchargesforthisanalysisorgoingthroughtheBHC’snormalprocessforrecognizingOCIcharges?Ifusingshortcutsorrulesofthumb,statehowthisprocessdiffersfromthenormalprocessforrecognizingOCIcharges.
IntraLinks Instructions: When uploading the supporting documentation to the IntraLinkscollaborationsite,supportingdocumentsforthisspecificareashouldbecategorizedasoneofthefollowingthreedocumenttypes(definedintheCCAR2016SummaryInstructionsandGuidance)usingthemetadatatagsprovided:
SupportingMaterialsMethodologyandProcessOverviewSecurities
SupportingMaterialsMethodologyTechnicalDocumentSecurities
SupportingMaterialsModelValidationSecurities
Ifarespondentsubmitsseparatedocumentsfordifferentmodelsand/ormethodologies,pleaseidentifythemodeland/ormethodologyintheCommentfield.
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A.6–Trading
• DocumentationshouldincludesupportingdetailsexplainingthemaindriversandattributionoflossfortheoveralltradingandMTMlossestimate,andforeachrespectiveprimaryrisk/businessunitareadetailsonthelossattributionbytheprimaryriskfactors.
• Documentationshouldprovideacompleteandtechnicaldefinitionofsecondandhigherorderriskfactors(crossgamma,vanna,etc.)anddescribethemethodsundertakenbythefirmtoestimatethecrossgammaandhigherordereffects.
Estimatethecontributiontototallossesfromhigher‐orderrisks.• Describetheevolutionofriskpereachriskareatwoweeksbeforeandafterthesubmission
date,i.e.makenoteofpositionsthatmayexpireorterminatewithinthistimeframethatsignificantlyaltersariskprofile.
• Describetheprocessandgovernance&oversightforensuringthefullsetofpositionswereaccountedforandincludedandalsopleasemakenoteofdifferencesintheproductsand/orexposuresincludedintheFRY‐14Qvs.theFRY‐14A.
• Adetailedandtechnicaldescriptionofmodelingmethods(includingpricingmodels)used, Documentationshouldclearlymakenoteofinstanceswheredifferent
methodologieswereusedacrossdifferentbusinesslineswithlikeassets. Documentapproach(fullrevaluationvs.gridbasedapproach,e.g.)andasset
coverageundertheseapproaches, Pleaseidentifythoseproductsorexposureswherethefirmusedmodelsor
systemsthatwereoutsideofthenormalroutinestresstestingframeworkfortheFRBstressscenarioandindicateiftheywerereviewedorvalidatedbyanindependentModelReviewfunction.
• Thedecision‐makingusedforallocatingexposuresaccordingtoriskarea.Documentationshouldmakenotewherejudgmentwasusedindefiningandallocatingexposurepereachriskarea.
• Whereshockswereusedthatdifferedfromprescribedshock• Describeanyadditionalbroadeningorsimplificationofthescenariodonetogetthe
requisiteamountofgranularityneededtoruntoscenario,• ScenariodesignandchoiceforBHCscenarioandmethodofapplicationcomparedtothe
FRBscenario.
IntraLinks Instructions: When uploading the supporting documentation to the IntraLinkscollaborationsite,supportingdocumentsforthisspecificareashouldbecategorizedasoneofthefollowingthreedocumenttypes(definedintheCCAR2016SummaryInstructionsandGuidance)usingthemetadatatagsprovided:
SupportingMaterialsMethodologyandProcessOverviewTrading
SupportingMaterialsMethodologyTechnicalDocumentTrading
SupportingMaterialsModelValidationTrading
Ifarespondentsubmitsseparatedocumentsfordifferentmodelsand/ormethodologies,pleaseidentifythemodeland/ormethodologyintheCommentfield.
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A.7–CounterpartyCreditRiskThedocumentationshouldincludeadetaileddescriptionofthemethodologiesusedtoestimateTradingIDR,CVA,andCCRIDRlossesunderthestressscenarioaswellasmethodologiesusedtoproducethedataintheFR_Y‐14A_CCRschedule.Allinformationrelevantforsupervisorstounderstandtheapproachshouldbeincluded.AnydifferencesbetweentheBHCandtheFRscenariosinmethodology,positioncapture,orothermaterialelementsofthelossmodelingapproachshouldbeclearlydescribed.Aspartofthedetailedmethodologydocument,BHCsshouldprovideanExecutiveSummarythatgivesanoverviewofeachmodelandanswerseachofthequestionsbelow.IfoneofthequestionsbelowisnotfullyaddressedintheExecutiveSummary,citethepagenumber(s)ofthemethodologydocumentthatfullyaddressesthequestion.InadditiontotheExecutiveSummary,thereshouldbeasectionofthemethodologydocumentdevotedtoanydivergencefromtheinstructionstotheCounterpartyRiskSub‐scheduleortheFR_Y‐14ASchedule.Usethissectiontoexplainanydatathatismissingornotprovidedasrequested.Thissectionshouldalsobeusedtodescribewhereandhowjudgmentwasusedtointerpretaninstruction.
1. Dataandsystemsa. Whatproducttypesareincludedandexcluded?Specifically,commentonwhether
equitiesareexcludedandwhattypesofsecuritizedproducts,ifany,areexcluded.Commentonthematerialityofanyexclusions.
b. Arethereanyissuertypeexclusions?Commentonthematerialityofanyexclusions.c. Arethereanyexposuremeasurementortradecapturelimitationsimpactingthe
TradingIDRlossestimateinItem1ontheCounterpartyRiskSub‐scheduleintheSUMMARY_SCHEDULEorthedataprovidedinSub‐schedulesCorporateCredit‐Advanced,CorporateCredit‐EM,SovereignCredit,CreditCorrelation,IDR‐CorporateCredit,orIDR‐JumpToDefaultintheFR_Y‐14Q_TRADINGSchedule?Ifso,makesuretoelaborateinthedocumentation,particularlywheretheselimitationsunderstatelosses.
d. ArethereanydiscrepanciesinpositioncapturebetweentheMVandNotionalsreportedinSub‐schedulesCorporateCredit‐Advanced,CorporateCredit‐EM,SovereignCredit,CreditCorrelation,orIDR‐CorporateCreditintheFR_Y‐14Q_TRADINGSchedule?Ifso,elaborateonthediscrepanciesinthedocumentation.
e. Areanyindexorstructuredexposuresdecomposed/unbundledintosinglenameexposuresontheIDRCorpCreditorIDRJumptoDefaultSub‐schedulesintheFR_Y‐14Q_TRADINGSchedule?Ifso,provideadescriptionoftheexposuresthataredecomposedandthemethodologyused.
f. WhattypesofCVAhedgesareincludedintheFR_Y‐14Q_TRADINGScheduleandItem10ontheTradingSub‐scheduleoftheSUMMARY_SCHEDULE(e.g.,marketriskhedges,counterpartyriskhedges)?Which,ifany,ofthesehedgesareexcludedfromtheTradingIDRlossestimates(Item1ontheCounterpartyRiskSub‐scheduleoftheSUMMARY_SCHEDULE)?ConfirmthathedgesmodeledinTradingIDRareexcluded
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fromCCRIDR.2. PDmethodology
a. Howistheseverityofdefaultrisktreated?IsastressedexpectedPDused,orisitanoutcomeinthetailofthedefaultdistribution?Ifanoutcomeinthetailisused,whatisthetailpercentile?
b. Howisdefaultriskrepresentedoverthehorizonofthestresstest?Isacumulativetwo‐yearPDoraone‐yearPDusedasamodelinput?Howismigrationriskcaptured?
c. WhatdatasourcesandrelatedtimeperiodsareusedtogeneratetheassumptionsonstressedexpectedPDorthedefaultdistribution?Inthedocumentation,provideabreakdownofPDs(e.g.,byrating,assetcategory).ProvidestressedPDsifastressedPDisused,orprovidePDinputsifanoutcomeinthetailisused.
3. Correlationassumptionsa. WhatcorrelationassumptionsareusedintheTradingIDRmodels?
4. LGDmethodologyb. DothemodelsassumeastaticLGDorastochasticLGDwithanon‐zerorecovery
ratevolatility?i. IfastaticLGDisused,werethemeanLGDsstressed?Whatdatasourcesand
relatedtimeperiodswereusedtodeterminetheLGDs?Inthemethodologydocumentation,providetherelevantbreakdownofLGDsusedinthemodel(e.g.,byratings,assetcategory).
ii. IfastochasticLGDisused,elaborateontheassumptionsgeneratingthestochasticLGDinthedocumentation,includingassumptionsontheLGDmeanandvolatilityandrationaleformodelingchoices.
5. Liquidityhorizona. Whatliquidityhorizonassumptionsareused?
6. Exposureatdefault(EAD)a. WhatExposureatDefault(EAD)isusedforTradingIDR?Forexample,isthe
calculationbasedonactualissuerexposures,stressedexposures,amixofboth,orsomethingelse?Ifexposuresarestressed,pleaseexplainhowtheexposureswerestressed.
7. Treatmentofgainsa. AreanygainsbeingreflectedintheTradingIDRcalculations?Ifso,elaborateinthe
documentationhowgainsaretreated.CVA1. Divergencefrominstructions
a. IntheFR_Y‐14A_CCRorSummarySchedules,isliability‐sideCVA(i.e.,DVA)includedinanyelementofthesubmission?Ifso,elaborateinthedocumentation.
b. IntheFR_Y‐14A_CCRorSummarySchedules,isbilateralCVAincludedinanyelementofthesubmission(i.e.,CVAwherethecounterpartydefaultprobabilitiesareconditionalonthesurvivaloftheBHC)?Ifso,elaborateinthedocumentation.
c. IsthereanyplacewhereCVAdataisreportednetofhedgesontheFR_Y_14A_CCRScheduleorItem2ontheCounterpartyRiskSub‐scheduleintheSUMMARY_SCHEDULE?
d. IncalculatingStressedNetCEinSub‐schedules1a,1b,1c,1d,and1einFR_Y‐14A_CCR,arethereanyoccasionswhereitisassumedadditionalcollateralhasbeencollectedaftertheshock?Ifso,elaborateinthedocumentation.
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e. ArethereanycounterpartiesforwhichyourfirmdidnotfullyimplementtheFRspecificationfortheEEprofilesonSub‐schedules2aand2bintheFR_Y‐14A_CCR?Ifso,elaborateinthedocumentation.
2. Dataandsystems:Inthedocumentation,clearlyidentify,describe,andcommentonthematerialityofanyexclusionsthatprevent100%captureofcounterpartiesortrades.Ataminimum,addressthequestionsbelowandelaborateinthedocumentationwhereappropriate.
a. AreanycounterpartiesonSub‐schedule1aofFR_Y‐14A_CCRexcludedfromSub‐schedule2a?Wherespecificcounterpartiesarereportedastop200counterpartiesononeSub‐scheduleoftheSchedule,butarenotlistedonothertop200Sub‐schedules,listthesecounterpartiesinthedocumentationbynameandprovideareasonfortheirexclusion.
b. AreanycounterpartiesexcludedfromtheunstressedorstressedaggregatedatareportedinSub‐schedules1e,2b,or3bofFR_Y‐14A_CCRorthelossesreportedintheSUMMARY_SCHEDULESUMMARY_SCHEDULE(Item2intheCounterpartyRiskSub‐schedule)?Inthedocumentation,elaborateonthenature,materiality,andrationalefortheseexclusions.
c. Dotheexpectedexposure(EE)profiles,CDSspreads,PDs,LGDs,discountfactors,asprovidedonFR_Y‐14A_CCRSchedule(Sub‐schedules2aand2b),comefromthesamesystemsasthatusedforthecalculationofCVAlossesasprovidedintheSUMMARY_SCHEDULE(Item2intheCounterpartyRiskSub‐schedule)?Ifnot,elaborateinthedocumentation.
d. ForunstressedandstressedCVAreportedintheFR_Y‐14A_CCRSchedule,whichcounterparties,counterpartytypes,ortradetypesarecalculatedofflineorusingseparatemethodologies?Whyaretheycalculatedofflineorwithadifferentmethodology?Elaborateinthedocumentation.
e. Areanyadd‐onsusedtocalculatestressedCVAintheFR_Y‐14A_CCRSchedule?Elaborateregardingthenatureandrationaleforeachtypeofadd‐oninthedocumentation.
f. Arethereanyadditional/offlineCVAreservesarereportedinSub‐schedule1eintheFR_Y‐14A_CCRSchedule?Ifso,elaborateaboutthenatureofthesereservesinthedocumentation.Explainwhatcounterparties,counterpartytypes,ortradetypesareincluded,whyaretheycalculatedasreserves,andhowtheyarestressed.
g. ArethereanyexposuremeasurementorproductcapturelimitationsimpactingthelossestimateinItem2ontheCounterpartyRiskSub‐scheduleintheSUMMARY_SCHEDULE?Ifso,makesuretoelaborateinthedocumentation,particularlywheretheselimitationsunderstatelosses.
h. Doesthefirmconductareconciliationbetweenthesumofitems15(a)inScheduleHC‐LoftheFRY‐9CandtheaggregateunstressedGrossCEonSub‐schedule1eoftheFRY‐14A_CCRSchedule?NotethatthefiguresintheFRY‐9Carecalled"netcurrentcreditexposure",asthe"net"referstocounterpartynetting.
i. IncalculatingCVAlossesforbothFRScenarios,iftherearelargediscrepanciesbetweenwhatisreportedinFRY‐14QschedulesL.1a‐1dandscheduleL.2,provideaquantitativeandqualitativeexplanationforthedifferences.
j. Areallsensitivities/slidesprovidedasrequested?IfslidesarenotprovidedasrequestedintheFR_Y‐14A_CCRSchedule,elaborateinthedocumentationwhytheyaremissingornotprovidedcorrectly.
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k. Arethesensitivities/slidesprovidedinSub‐schedule4ofFR_Y‐14A_CCRsourcedfromthesamecalculationengineandsystemsasusedforthefirm'slossestimates(Item2intheCounterpartyRiskSub‐scheduleintheSUMMARY_SCHEDULE)?Ifnot,elaborateinthedocumentation.
l. Elaborateonhowsensitivities/slidesinSub‐schedule4ofFR_Y‐14A_CCRweredeterminedtobematerial.Whatqualifiesariskfactorasimmaterial?
3. LGDmethodologya. FortheLGDusedtocalculatePD,aremarketimpliedrecoveryratesused?If
not,elaborateonthesourceoftheLGDassumptioninthemethodologydocumentation.
b. Isthesamerecovery/LGDusedintheCVAcalculationasisusedtocalculatePDsfromtheCDSspread?Ifnot,inthedocumentationprovideadetailedrationaleandbackupdatatosupporttheuseofadifferentLGD,andprovidethesourceoftheLGDusedtocalculateCVA.
4. Exposureatdefault(EAD)a. WhatMarginPeriodofRisk(MPOR)assumptionsareusedforunstressedand
stressedCVA?b. ArecollateralvaluesstressedinthenumbersreportedintheFR_Y_14A_CCR
ScheduleorItems2or3ontheCounterpartyRiskSub‐scheduleintheSUMMARY_SCHEDULE?Ifso,elaborateonthestressassumptionsapplied.
c. IntheFR_Y‐14A_CCRonSub‐schedules2aand2b,fortheBHCspecification,aredowngradetriggersmodeledintheexposureprofiles?
5. Applicationofshocksa. AretheshocksappliedtoCVA(forcalculatingItem2intheCounterpartyRisk
Sub‐scheduleintheSUMMARY_SCHEDULEaswellastheStressedfiguresreportedinFR_Y‐14A_CCR)thesameasthoseappliedtotheTradingBook(Item10intheTradingSub‐scheduleintheSUMMARY_SCHEDULE)?Wheretheyaredifferent,orwhereshocksapplieddivergefromtheFRshockscenario,elaborateinthedocumentation.
b. HavethemodelsforCVAbeenvalidated?Ifnot,elaborateonthereviewprocess,ifany.
CCRIDR
1.Dataandsystemsa.Arethereanyexposuremeasurementorproductcapturelimitationsimpactingthe
lossestimateinItem3ontheCounterpartyRiskSub‐scheduleintheSUMMARY_SCHEDULE?Ifso,makesuretoelaborateinthedocumentation,particularlywheretheselimitationsunderstatelosses.
b.WhattypesofCVAhedgesareincludedinCCRIDR?ConfirmthathedgesmodeledinCCRIDRwereexcludedfromTradingIDR.
2.PDmethodologya.Howistheseverityofdefaultrisktreated?IsastressedexpectedPDused,orisit
anoutcomeinthetailofthedefaultdistribution?Ifanoutcomeinthetailisused,whatisthetailpercentile?
b.Howisdefaultriskrepresentedoverthehorizonofthestresstest?Isacumulativetwo‐yearPDoraone‐yearPDusedasamodelinput?Howismigrationriskcaptured?
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c. WhatdatasourcesandrelatedtimeperiodsareusedtogeneratetheassumptionsonstressedexpectedPDorthedefaultdistribution?Inthedocumentation,provideabreakdownofPDs(e.g.,byrating,counterpartytype).ProvidestressedPDsifastressedPDisused,orprovidePDinputsifanoutcomeinthetailisused.
3.Correlationassumptionsa.WhatcorrelationassumptionsareusedintheCCRIDRmodels?
4.LGDmethodologya.DothemodelsassumeastaticLGDorastochasticLGDwithanon‐zerorecovery
ratevolatility?b.IfastaticLGDisused,arethemeanLGDsstressed?Whatdatasourcesandrelated
timeperiodsareusedtodeterminetheLGDs?Inthemethodologydocumentation,providetherelevantbreakdownofLGDsusedinthemodel(e.g.,byratings,counterpartytype).
c. IfastochasticLGDisused,elaborateontheassumptionsgeneratingthestochasticLGDinthedocumentation,includingassumptionsontheLGDmeanandvolatilityandrationaleformodelingchoices.
5.Liquidityhorizona.Whatliquidityhorizonassumptionsareused?
6.Exposureatdefault(EAD)a. ProvideanoverviewofhowEADismodeledforCCRIDR.b. AreanydowngradetriggersassumedintheCCRIDRmodel?Ifso,elaborateinthe
documentation.c. WhatMarginPeriodofRisk(MPOR)assumptionsaremodeledinCCRIDR?
7.Treatmentofgainsa.AreanygainsbeingreflectedintheCCRIDRcalculations?Ifso,elaboratein
thedocumentationhowgainsaretreated.OtherCCRLosses
a. DataandSystemsa. WhattypesofCCRlossesareincludedinthe"OtherCCRLosses"Counterparty
RiskSub‐scheduleoftheSUMMARY_SCHEDULE?Whatarethelossamountsforeachmajorcategoryof"OtherCCRLosses"?Foranymateriallosses,discussthemethodologyandrationaleinthedocumentation.
IntraLinksInstructions:WhenuploadingthesupportingdocumentationtotheIntraLinkscollaborationsite,supportingdocumentsforthisspecificareashouldbecategorizedasoneofthefollowingthreedocumenttypes(definedintheCCAR2016SummaryInstructionsandGuidance)usingthemetadatatagsprovided:
SupportingMaterialsMethodologyandProcessOverviewCounterparty
SupportingMaterialsMethodologyTechnicalDocumentCounterparty
SupportingMaterialsModelValidationCounterparty
Ifarespondentsubmitsseparatedocumentsfordifferentmodelsand/ormethodologies,pleaseidentifythemodeland/ormethodologyintheCommentfield.
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A.8–OperationalRiskThereportinginstitutionshouldprovideanysupportinginformationincludingstatisticalresults,data,summarytables,andadditionaldescriptionsinaseparatedocumentandcrossreferencethedocumenttotherespectivequestion/item.BHCsmaysubmitseparatedocumentsfordifferentmodelsand/ormethodologies.DocumentationGenerally,aBHCshouldhaverobustinternalcontrolsgoverningitsoperationalrisklossprojectionmethodologyandprocesscomponents,includingsufficientdocumentation,modelvalidationandindependentreview.Supportingdocumentationshouldcoverallmodels,lossandresourceforecastingmethodologiesandprocesses.Adequatedocumentationincludescomprehensiveandclearpoliciesandprocedures.Formodels,adequatedocumentationincludesspecificdelineationofallkeyassumptionsforprojectingoperationallossesundereachscenario,adescriptionoftheunderlyingoperationalriskdatausedtodetermineprojectedlossesandtheapproachfortranslatingthedataintolossprojections.Ifabudgetingprocesswasused,theBHCshoulddescribethebudgetingprocessandprovidespecificdetailonhowoperationallossesareestimated.Adequatedocumentationincludesarticulatingthemodels’vulnerabilitytoerror,andestimatesofanerror’simpactshouldparameterspecificationsproveinaccurate.DocumentationofallmodelsshouldclearlyidentifytheexactstatisticalprocessemployedbytheBHCincluding:
1. Howthecurrentsetofexplanatoryfactorswaschosen,whatvariablesweretestedandthendiscarded,andhowoftenthesetofpossibleexplanatoryfactorsisreviewedand,ifappropriate,revised;
2. Ifapplicable,descriptionofworktheBHChasdonetoassessrelationshipsbetweenmacroeconomicfactorsandoperationalrisklosses,includingrelationshipsthatwerefoundtohavethehighestlevelofdependency,asummaryofstatisticalresults,andhowtheseresultswereincorporatedintheestimates;
3. Adiscussionofhowpendinglitigationandreservesforlitigationwereincorporatedintooperationallossprojectionsforallrequestedscenarios;
4. Adetailed,transparent,andcredibledescriptionofthefoundation,approach,andprocessformakingmanagementadjustmentstomodeledresults;
5. Adescriptionofthemethodologyforallocatinganoperationallossamounttoaparticularquarter;
6. Anexplanationsummarizingthereasonablenessofresults,howtheydifferfromexpectations,andwhattheBHCdoeswhentheresultsaredeemed"unreasonable";
7. Adescriptionofinternalcontrolsthatensuretheintegrityofreportedresultsandthatallmaterialchangestotheprocessanditscomponentsareappropriatelyreviewedandapproved.BHCsshouldensurethatchangecontrolprinciplesapplytoforecastingmodelsusedinthestressscenarioanalysisprogram,includingprocessesthatrelyonmanagementjudgment;
8. Anassessmentofhoweffectiveoraccuratethemodelis;9. Identificationofpossibledrawbacksandlimitationsoftheselectedapproach.
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IntraLinksInstructions:WhenuploadingthesupportingdocumentationtotheIntraLinkscollaborationsite,supportingdocumentsforthisspecificareashouldbecategorizedasoneofthefollowingthreedocumenttypes(definedintheCCAR2016SummaryInstructionsandGuidance)usingthemetadatatagsprovided:
SupportingMaterialsMethodologyandProcessOverviewOperationalRisk
SupportingMaterialsMethodologyTechnicalDocumentOperationalRisk
SupportingMaterialsModelValidationOperationalRisk
Ifarespondentsubmitsseparatedocumentsfordifferentmodelsand/ormethodologies,pleaseidentifythemodeland/ormethodologyintheCommentfield.
A.9–Pre‐ProvisionNetRevenue(PPNR)EachmethodologicalmemoshouldclearlydescribehowaBHCapproachedthePPNRprojectionprocessandtranslatedmacro‐economicfactorsintothereportedprojections.Separatedocumentsmaybesubmittedfordifferentmodelsand/ormethodologies.ProjectedOutcomes
1)Provideanexplanationsummarizingthereasonablenessofprojectedoutcomesrelativetothestatedmacroeconomicscenario,businessprofile,aswellasregulatoryandcompetitiveenvironment.Especiallyinthemoreadversescenario(s),includesubstantialsupportingevidenceforPPNRestimatesmateriallyexceedingrecentlyrealizedvalues.
2)BHCsshoulddiscusslinkagesbetweenPPNRprojectionsandthebalancesheetaswellasotherexposureassumptionsusedforrelatedlossprojections.
3) Include discussionof PPNRoutcomes by component (i.e. Net Interest Income, NonInterestIncome,andNonInterestExpense)andbymajorsourceofeachcomponent(e.g. by major balance/rate category, type of revenue/expense, and/or businessactivity).
4)ConsiderationshouldbegiventohowchangesinregulationwillimpacttheBHC’srevenuesandexpensesovertheprojectionperiod.Thememoshouldincludeasectionthataddresseshowrecentorpendingregulatorychangeshaveimpactedprojectedfiguresandbusinessstrategiesandinwhichlineitemstheseadjustmentsarereflected.
ModelsandMethodology
1)ThedocumentationshouldincludeafulllistofallmodelsandparametersusedtogenerateprojectionsofPPNRcomponentsforCCARpurposesandwhetherthesemodelsarealsousedaspartofotherexistingprocesses(e.g.thebusiness‐as‐usualbudgetingandforecastingprocess).Whereexistingprocessesareleveraged,discusshowthesearedeemedappropriateforstresstestingpurposes,includinganymodificationsthatwerenecessarytofitastressfulscenario.Alsodiscussthoseitemsthatareparticularlychallengingtoprojectandidentifylimitationsandweaknessesintheprocess.
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2)Thoroughdiscussionofuseofmanagement/expertjudgment,includinginformationaboutrationaleandprocessinvolvedintranslationofmacroeconomicscenariovariablesintoprojectionsofvariousPPNRcomponentsshouldbeprovided. Whereacombinationofamodeledapproachandmanagementjudgmentwasusedtoprojectanitem,quantifytheimpactofqualitativeadjustmentstomodeledoutput.
3)ProvidesupportforallkeyassumptionsusedtoderivePPNRestimates,withafocusonthelinkoftheseassumptionstoprojectedoutcomesandwhethertheassumptionsareconsistentwiththestatedmacroeconomicscenario,regulatoryandcompetitiveenvironmentaswellasbusinessstrategiesforeachofmajorbusinessactivities.Documenttheimpactofassumptionsconcerningnewgrowth,divestituresorothersubstantialchangesinbusinessprofileonPPNRestimates. Incaseswherethereisahighdegreeofuncertaintysurroundingassumptions,discussandreferencesensitivityofprojectionstotheseassumptions. Alsoensurethatallrelevantmacro‐economicfactorsusedforPPNRprojectionsarealsoreportedonthefirmsubmittedScenarioSchedule.
4)Inadditiontobroadmacro‐economicassumptionsthatwillguidetheexercise,itisexpectedthatmorespecificassumptionswillbeusedbyBHCsinprojectionsofPPNR,includingmacro‐economicfactorsotherthanthoseprovidedbytheFederalReserveSystemaswellasBHCspecificassumptions.Suchassumptionsandtheirlinktoreportedfigures,standardizedand/orBHCbusinesssegmentsandlinesshouldbediscussedinthemethodologymemo.
5)Wherehistoricalrelationshipsarereliedupon(e.g.ratiosofcompensationexpensetototalrevenues),BHCsareexpectedtodocumentthehistoricaldatausedanddescribewhytheserelationshipsareexpectedtoholdtrueineachscenario,particularlyunderadverseconditions.
6)Projectingfuturebusinessoutcomesinevitablyreliesontheidentificationofkeyrelationshipsbetweenbusinessmetricsandotherexplanatoryvariables.KeylimitationsanddifficultiesencounteredbytheBHCintheprocesstomodeltheserelationshipsshouldbeidentifiedanddiscussedinthememo.
7)HighlightchangesinvariousaspectsofBHC’sPPNRforecastingmodelsandmethodology,primarilyfocusingonthechangesthatoccurredsincethelastCCARsubmission.
ProjectionsGovernanceandData
1)BHCsareaskedtodescribegovernanceaspectsforthePPNRprojectionsdevelopment.Thisincludesbutisnotlimitedtoadescriptionof:
a.Therolesofvariousbusinesslinesandmanagementteamsinvolvedintheprocessb.Howtheprojectionsaregenerated.Particularattentionshouldbegiventohowthe
BHCensuresthatassumptionsareconsistentacrossdifferentbusinesslineprojections,howassumptionsaretranslatedintoprojectionsofrevenueandexpenses,andtheprocessofaggregatingandreportingtheresults.
c. Seniormanagement’sinvolvementoftheprocessandtheprocessinwhichtheassumptionsarevettedandchallenged.
Alsonotewhetherestablishedpoliciesandproceduresareinplacerelatedtothisprocess.2)Alsoincludeaseparatesectiondevotedtoanydivergencefromtheinstructionsin
completingthePPNRsub‐schedulesintheFRY‐14AandFRY‐14QSchedules.Usethissectiontoexplainanydatathatismissingornotprovidedasrequested.Usethis
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sectiontodiscussmajorinstanceswherejudgmentwasusedtointerpretPPNRinstructions.
3)DiscussgeneraldatavalidationandreconciliationpracticeshereastheypertaintoFRY‐14Q/Asubmissions. PPNRisdefinedasthesumofnetinterestincomeandnon‐interestincomenetofnon‐interestexpense,withcomponentsexpectedtoreconcilewiththosereportedintheFRY‐9Cwhenadjustedforcertainitems(see“CommonlyUsedTermsandAbbreviations”sectionofFRY14‐Q/APPNRinstructionsforguidanceforsuchitems).BHCsareencouragedtoincludeinformationallowingconfirmationthatthedatawerereportedperthePPNRdefinition.DocumentationshoulddiscussconsistencyofagivenschedulewiththeBHC’sexternalreportingandinternalreportingandforecasting. Provideadescriptionofbroadly‐definedtypesofbusinessmodelscurrentlyused(e.g.Asset/Liability,Relationship,BusinessProduct/Services/ActivityasdefinedornamedbytheBHC). ProvidereconciliationbetweenBHCreportingusedtomanageandforecastoperationsandastandardizedbusinesssegment/lineviewrequiredforFRY‐14Areporting.NoteifallocationmethodologieswereusedwhenprovidingdataforPPNRsub‐schedulesinFRY‐14A/QSchedules.
4)HighlightchangesinvariousaspectsofBHC’sPPNRforecastinggovernanceanddata,primarilyfocusingonthechangesthatoccurredsincethelastCCARsubmission.
Other1)BHCs are alsoexpected toaddress itemsrequested in the SupportingDocumentation
portion of theOverview section (beginning on page 4) as applicable to PPNR if notalreadyaddressedperPPNRdocumentationsguidanceasstatedabove.
2)OthersectionsoftheFRY‐14AandFRY‐14QPPNRInstructionsrequestadditionalinformationandsupportingdocumentation.Pleaseensurethattheseitemsarealsoreferencedanddescribedinthismemo. Forexample,includeadiscussionofsmall/medium/largebusinesssegmentation,asnotedinsection“B.PPNRProjectionsSub‐schedule.”
3)BHCsareencouragedtosubmitanyotherinformationanddocumentation(includingdataseries)thatwouldsupportoftheBHC’sPPNRprojections.OneexampleofsuchinformationwouldbeidentificationanddiscussionofmajordeviationsofBHChistoricalperformancefromforecastedfigures,focusingonthelastfourquartersandnotingitemsthattheBHCregardsasnon‐recurringand/ornon‐core.Whereapplicable,itwouldbeusefultoreferencethisadditionalsupportinginformationinthememooutlinedabove
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IntraLinksInstructions:WhenuploadingthesupportingdocumentationtotheIntraLinkscollaborationsite,supportingdocumentsforthisspecificareashouldbecategorizedasoneofthefollowingthreedocumenttypes(definedintheCCAR2016SummaryInstructionsandGuidance)usingthemetadatatagsprovided:
SupportingMaterialsMethodologyandProcessOverviewPPNR/BalanceSheet
SupportingMaterialsMethodologyTechnicalDocumentPPNR/BalanceSheet
SupportingMaterialsModelValidationPPNR/BalanceSheet
Ifarespondentsubmitsseparatedocumentsfordifferentmodelsand/ormethodologies,pleaseidentifythemodeland/ormethodologyasoneofthefollowingtypesintheCommentfield:
1. Netinterestincomeandbankingbookbalances,2. Tradingandinvestmentbankingrevenueandrelatedbalances,and3. Allothernon‐interestincome,non‐interestexpense,andotherbalances.
A.10–MSRProjectionDocumentationSupportingdocumentationshouldaddressthequestionsoutlinedbelow.1.ModelsandMethodologies• Describethemodelsandrelatedsubmodelsthatwereusedtocompletethesubmission,and
pleasestatewhetherthemodelisathird‐partyvendororproprietarymodel.oIncome/Expense/ValuationEngineoPrepaymentModeloDefaultModeloDelinquencyModeloHedgingSimulation
• Ifavendormodelwasused,pleaseprovidethenameofthevendormodel.Ifavendormodelwasused,hastheBHCperformedanindependentreviewofthevendormodel?
• Hasthemodelundergonerigorousmodelvalidation,withresultsreviewedindependentlyofthebusinessline?
• Hasanyperformancetestingbeenconductedonthemodel?Ifso,whattypeofperformancetestinghasbeenconducted?
• Whatdatasourceswereusedtocalibrateeachmodel?• Whatwerethekeyinputs/variablesandhowwerethesedetermined?• Howdidthemodel(whethervendororproprietary)incorporatemacroeconomicassumptions?
2.Assumptions• Foreachquarter,whatnewloancapitalizationsandamortizationsareassumedoverboththe
baselineandsupervisorystressscenarios?• Howwerethenewloancapitalizationforecastassumptionsdeveloped?• Whatexcessspreadassumptionsweremadewithrespecttonewloancapitalizationsin
eachscenarioandhowwasthisassumptionderived(e.g.,historicalbuy‐up/buy‐downgrids,etc.)?
• HowwereHARPassumptions,ifany,estimated?• Whatmarketshareisassumed,anddoesthischangewithinthestressscenario?
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• DoesthesubmissionincludeanyMSRsalesorpurchasesunderthesupervisorystress?Ifyes,pleaseprovidedetail.
• Whatisthecompositionoftheunderlyingportfolioofloansservicedforotherswithrespecttothefollowing,andhowdoesthiscompositionchange(ifatall)duringthesupervisorystressscenario?
i.Loantypeii.Geographicalregioniii.FICOscore
• Howweremacroeconomicassumptionsasprescribedunderthesupervisorybaselineandstressscenariosusedtodeterminetherespectiveprojectedloanprepayment,delinquency,anddefaultexperienceforeachquarter?
• Howweremacroeconomicassumptionsthatwerenotprescribedunderthesupervisorybaselineandstressscenarios(forexample,interestratevolatility,optionadjustedspreads,primarytosecondaryspreads)usedtodeterminetherespectiveprojectedloanprepayment,delinquency,anddefaultexperienceforeachquarter?
• Whatarethevoluntaryprepaymentspeeds(e.g.,conditionalprepaymentrates(CPRs)associatedwithrefinancing)assumedforeachquarterintherespectivebaselineandsupervisorystressscenarios?Donotincludeconstantdefaultrates(CDRs).
• Whatarethefactorsthatdriveorexplainthelevelandtrendinprepaymentspeedsthroughtheninequartersoverthebaselineandsupervisorystressscenarios?
• Whatarethedefaultratesassumedforeachquarterintherespectivebaselineandsupervisorystressscenarios?
• Whatarethefactorsthatdriveorexplainthelevelandtrendindefaultratesthroughtheninequartersoverthebaselineandsupervisorystressscenarios?
• Howweretheassumptionsregardingcostofservicewithrespecttoboththebaselineandstressedscenariosderived?
• Wasinflationincorporatedintotheprojection?• Whatistheservicingcoststructureonaperloanbasisonabaseandincrementalbasisforeach
levelofdelinquency?Whataretheforeclosurecostsperloan?• Doesthecoststructureperloanstaythesamethroughouttheninequarterswiththenumberof
delinquentloanschanging,ordobothchange?• Whatforeclosuretimeframesareusedinthebaselinescenario?Dotheselengthenorcontract
inthesupervisorystress?• Islatefeeincomeincludedinthesubmission?
• Ifso,whatistheBHC’sactuallatefeeincomestructure,aswellaswaiverpolicyifapplicable?
• Whatisthelatefeeincomeassumedinthebaselineandstressscenarios?• Isitassumedthatlatefeesare100%collectableinthestressscenario?
• Areearningsonescrowandotherbalancesincludedinthesubmission?• Ifyes,howarethebalancesforecasted,andwhatisthecreditingrate?
• Iscosttofinanceadvancestoinvestorsrelatingtodelinquentloansincorporatedinthesubmission?
• Ifyes,howistheborrowingratedetermined?
3.HedgingandRebalancing• AreMSRhedgesassumedtoberebalancedorrolled‐overatanytimeduringtheninequarter
CCARhorizon?Howoftenarehedgesassumedtoberebalancedorrolled‐over?Whatisthetimingofsuchrebalancingorroll‐overtrades?
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• Whatarethehedgerebalancingand/orroll‐overrulesappliedduringthebaselineandstressscenarios?
• Arethehedgerebalancingand/orroll‐overrulesappliedinthebaselineandstressscenariosconsistentwiththefirm’sriskappetitestatementandBoard/managementapprovedlimitstructure?
• Towhatdegreedoeshedgeeffectivenessdeclineinthestressscenarios?Howwasthisestimated?
• Howistheimpactofhedginginstrumentbid‐askspreadscapturedinthesubmission?Towhatdegreedoesthebid‐askspreadwideninthestressscenario?Howwasthisestimated?
• Howdoesthefirmaccountfortheliquidityriskfromconcentratedhedgepositions?• Whatisassumedregardingcollateralrequirements?• WhatarethecurrentrisktolerancelimitswithrespecttoMSRhedging
IntraLinksInstructions:WhenuploadingthesupportingdocumentationtotheIntraLinkscollaborationsite,supportingdocumentsforthisspecificareashouldbecategorizedasoneofthefollowingthreedocumenttypes(definedintheCCAR2016SummaryInstructionsandGuidance)usingthemetadatatagsprovided:
SupportingMaterialsMethodologyandProcessOverviewPPNR/BalanceSheet
SupportingMaterialsMethodologyTechnicalDocumentPPNR/BalanceSheet
SupportingMaterialsModelValidationPPNR/BalanceSheet
IntheCommentfield,pleaseidentifythedocumentas“MSR”.
A.11DocumentingConsiderationofCertainOff‐BalanceSheetRisksSupportingdocumentationshouldclearlyhighlighthoweachinstitution(i)identifiedunconsolidatedentities and sponsored products to which the Firm has potential exposure, (ii) evaluated thoseentities/sponsoredproductsunderstressedscenarioconditions,and(iii)projectedandreportedany associated financial losses – whether in the form of non‐contractual support or reflectedelsewhereinPPNR(e.g.,foregonerevenue).
1. Identification:Thesubmissionshouldincludeacompleteinventoryofalloff‐balancesheetentities and sponsored products. Those assessed collectively may be aggregated for thepurposes of reporting the information requested below, except that all investmentmanagementproductsthatseektomaintainastablenetassetvalue(NAV)shouldbelistedseparately.Pleaseinclude,ataminimum,thefollowinginformationrelatedtounconsolidatedentities/sponsoredproducts:
o Product category. For example, Asset‐Backed Commercial Paper conduits, RealEstate Investment Trusts, Hedge Funds, SEC‐registeredmutual funds, CollectiveInvestmentFunds,etc.
o Totalassetsbyproductorcategory(forthosethatareaggregated).o Revenuesearnedbyproductorcategoryforthemostrecentfourquartersandadescriptionofthenatureofsuchrevenues.
o Productnameand/oruniqueidentifierforthoselistedseparatelyo For stableNAV funds only, the regulatory framework bywhich each product isoffered.Forexample,InvestmentCompanyActof1940,Rule12CFR9.18,etc.
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Each firm should also include a brief description of the process utilized to develop theinventory.
2. EvaluationMethodology:Clearlydescribethemethodologythatwasappliedtotheinventoryinordertodeterminetheunconsolidatedentities/sponsoredproductsforwhichthereisapotentialfornon‐contractualsupport,forexamplebasedonclientexpectations.Thisshouldincludeeventhoseentities/sponsoredproductswhichthefirmmaychoosenottosupportbut such adecision could lead to lost revenues and/orother costs. Indicate the resultingdecisionforeachproductorcategory.
3. Determination ofRelated Losses: For each unconsolidated entity / sponsored product forwhichitwasdeterminedthataclientexpectationofnon‐contractualsupportmayexist:
a) Describetheexpectedimpactofmacroeconomicand/oridiosyncraticstressfactorstotheseentities/sponsoredproducts.
This might include, but is not limited to, market value shocks, increasedredemptionactivity,rolloverrisk,counterparty‐default‐relatedlosses,etc.
Critical assumptions such as assumed counterparty LGD rates, velocity ofredemptionsamidstress,andnatureofmarketshocksshouldbehighlighted.
b) Describe thedecision framework applied indeterminingwhethernon‐contractualsupportwouldbeprovidedandincludeadiscussionoftheidentifiedcosts/benefitsrelatedtoeachdecisionbymajorcategoryand/orproduct.
c) Quantifyandprovidecalculationsofanyrelatedfinanciallossesexpectedtobeborneby the firm either in the form of non‐contractual support or lost revenues andlegal/operationalcostsandproviderelatedcalculationsofthoselosses.
This should include both direct impacts (e.g., product closure and/orpotential litigation costs) and indirect (i.e., second‐order) impacts, such aslost revenue in other products that results from client attrition, where adecisiontonotsupporthasbeenapplied.
d) Clearly indicate the line items within the Y‐14A summary schedule where suchprojectedfinanciallosseshavebeenrecorded.
ScheduleB–ScenarioNosupportingdocumentationisrequiredforthisschedule.ScheduleC–RegulatoryCapitalInstrumentsNosupportingdocumentationisrequiredforthisschedule.ScheduleD–RegulatoryCapitalTransitionsAdditionalInformationRequiredforSIFISurchargeInNovember2011,theBaselCommitteeonBankingSupervision(BCBS)publisheditsmethodologyforassessinganadditionallossabsorbencyrequirementforglobalsystemicallyimportantbanks(SIFIsurcharge)thateffectivelyservesasanextensionofthecapitalconservationbuffer.AspartoftheFRY‐14Afiling,eachBHCmustsubmitaseparatedocumentthatincludesmanagement’sbestestimateofthelikelySIFIsurchargethatwouldbeassessedunderthismethodology,alongwithanexplanationofassumptionusedwhendeterminingtheestimate.AnyBHCnotcurrentlydesignatedasaglobalsystemicallyimportantfinancialinstitution(G‐SIFI)shouldinclude
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aSIFIsurchargeassessmentifmanagementexpectschangestoitsbusinessmodelthatwouldpotentiallyleadtotheBHC’sdesignationasaG‐SIFI.SupervisorswillevaluatethemethodologyandassumptionsusedbyBHCsindeterminingtheSIFIsurcharge,andmayadjustsuchestimatesasnecessarywhenevaluatingtheRevisedCapitalFrameworktransitionpath.IntraLinksInstructions:WhenuploadingthesupportingdocumentationtotheIntraLinkscollaborationsite,supportingdocumentsforthisspecificareashouldbecategorizedasoneofthefollowingthreedocumenttypes(definedintheCCAR2016SummaryInstructionsandGuidance)usingthemetadatatagsprovided:
SupportingMaterialsMethodologyandProcessOverviewRegulatoryCapital
SupportingMaterialsMethodologyTechnicalDocumentRegulatoryCapital
SupportingMaterialsModelValidationRegulatoryCapital
IntheCommentfield,pleaseidentifythedocumentas“SIFIsurcharge”.
NotethatifthisinformationisalreadyincludedtheBHC’sCCARCapitalPlan,thentheBHChastheoptionofsimplyincludingtextthatclearlydescribeslocationofthisinformation(e.g.filename,documentpagenumber,sectiontitle,etc.).IftheBHCusesthisoption,thedocumentshouldstillusethenamingconventiondescribedabove.AdditionalInformationRequiredforEachPlannedAction(TiedtoSub‐schedule6)forFRY‐14AsubmissionBHCsarerequiredtoprovideadetaileddescriptionofeachplannedactioninaseparateattachment(s).Thedescriptionofeachplannedactionshouldinclude:
DiscussionofhoweachplannedactionalignswiththeBHC’slongtermbusinessstrategyandriskappetiteonagoingconcernsbasis;
Assessmentofeachplannedaction’simpactontheBHC’scapitalandfundingneeds,earnings,andoverallriskprofile;
Assessmentofmarketconditionsandmarketcapacityaroundeachplannedaction(e.g.,plannedsalesizeandtheavailabilityandappetiteofbuyersandotherpotentialsellers);
Assessmentofanypotentialexecutionriskstoeachplannedaction(e.g.,contractual,accountingorstructurallimitations).Theestimationofexecutionriskshouldbewelldocumentedforeachplannedactionthataretooccur;
DiscussionofanyrecenttransactionsconductedeitherbytheBHCorbyotherinstitutionsthatwoulddemonstrateorsupporttheBHC’sabilitytoexecuteeachplannedactionatthelevelofimpactprojected.
IntraLinksInstructions:WhenuploadingthesupportingdocumentationtotheIntraLinkscollaborationsite,supportingdocumentsforthisspecificareashouldbecategorizedasfollowsusingthemetadatatagsprovided:
SupportingMaterialsMethodologyandProcessOverviewRegulatoryCapital
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IntheCommentfield,pleaseidentifythedocumentas“PlannedCapitalAction”andincludetheappropriate“Action#”incolumnAofthePlannedActionsSub‐schedule.Includedbelowareexamplesofothersupportingdocumentationwhichshouldbeincludedalongwiththedescriptionofeachplannedaction:
Detailedinformationonplannedsalessuchasriskprofileandsizeofthepositions,indicativetermsheetsandcontracts;potentialbuyerinformation;currentmarkedtomarket(MTM),supportfortheexecutionprice;potentialassociatedloans,financing,orliquiditycreditsupportarrangements;potentialbuybackcommitments;andimpactonanyoffsettingpositions.Ifsimilarrecenttransactionshavetakenplace,BHCsshouldprovideinformationasapointofreference.BHCsshouldalsodescribeanychallengesthatmaybeencounteredinexecutingthesale.
Detailedinformationonplannedunwinds,suchasriskprofileandsizeofthepositions,profitandloss(P&L)impactatexecutionorinthefuture;fundingimplications;impactonanyoffsettingpositions;andtriggerofconsolidationoron‐boardingoftheunderlyingassets.
Detailedinformationonplannedrun‐offs,suchasriskprofileandsizeofthepositions,impactonanyoffsettingpositions;detailsontrades;andmaturitydates.
Detailedinformationonplannedhedging,suchasindicativetermsheetsandcontracts;P&Limpactatexecutionorduringlifeofthehedges;andimpactoncounterpartycreditRWA.
Detailedinformationonchangestorisk‐weightedassetscalculationmethodologies,suchaswhichdataorparameterswouldbechanged,whetherthefirmhassubmittedmodelapplicationtoitssupervisors,andremainingworktobecompletedandexpectedcompletiondate.
Detailedinformationonexpandeduseofclearinghouses,suchastypesofproductstobeclearedandcentralcounterpartiestobeused.
BHCsshouldalsoprovidedetailedinformationonanyalternativeRegulatoryCapitalTransitionsactionplansintheeventthefirmfallsshortofthetargetsoutlinedintheCapitalPlan,andtriggereventsthatwouldresultinaneedtopursueanyalternativeactionplans.IntraLinksInstructions:WhenuploadingthesupportingdocumentationtotheIntraLinkscollaborationsite,supportingdocumentsforthisspecificareashouldbecategorizedasfollowsusingthemetadatatagsprovided:
SupportingMaterialsMethodologyandProcessOverviewRegulatoryCapital
IntheCommentfield,pleaseidentifythedocumentas“RegulatoryCapitalTransitionsactionplan”.ScheduleE–OperationalRiskNosupportingdocumentationisrequiredforthisschedule.