RISK EXPOSURE DATA (RED) FORMS & INSTRUCTIONS

Fixed-rate mortgages

Adjustable-rate non-teaser mortgages

Adjustable-rate teaser mortgages

Other fixed-rate real-estate loans

Other adjustable-rate real-estate loans

Fixed-rate commercial loans

Adjustable-rate commercial loans

Fixed-rate consumer loans

Adjustable-rate consumer loans

Fixed-rate mortgage-servicing rights

Adjustable-rate mortgage-servicing rights

Money-market assets

Fixed-rate, fixed-maturity deposits

Variable-rate, fixed-maturity deposits

Non-maturity deposits

Other liabilities

Commitments to buy, sell or originate mortgages

Construction loans in process

Interest-rate swaps

Interest-rate swaptions

Interest-rate caps, floors, and collars

Interest-rate options

Interest-rate futures and forwards

Interest-rate futures options

Self-valued instruments

Loan memoranda

Structured advance

A Note on Weighted-Average Calculations

A Note on Standard Interest Rate Indexes

A Note on Real Collateral Types

Weighted-Average Coupon (WAC)

Weighted-Average Fees

Weighted-Average Maturity

Pooling of accounts into aggregated positions for reporting purposes frequently requires a "weighted-average" calculation. In such cases, Schedule RED uses a balance-weighted approach, so that accounts with large dollar balances have a proportionate effect on the overall average. The weighted-average rule is most frequently applied to interest rates, and to maturities (or other time horizons). However, it can also applies to a variety of other attributes, including for example, rate-reset frequencies, LTVs, and credit ratings.

Note that details of the weighted-average computations may vary for certain instruments. For further guidance, see the instrument-specific sections of the instructions.

The WAC is the average interest rate for an aggregated group of asset, liability, or OBS accounts. You weight the coupon of each individual instrument in the group by its outstanding dollar balance, as a proportion of the total dollar balances of the group. Unless otherwise stated in the reporting instructions for a specific instrument, use the following general guidelines:

Express the interest rates for all assets as annual simple interest rates (coupon rates for securities and contract rates for loans).
Express the interest rates for all liabilities as annual percentage yields (APYs).
For mortgage loans that others service, report the contract rate of the loan. Do not subtract the servicing fee.
For fixed-rate mortgage-backed securities, report the pass-through rate. The pass-through rate is the net interest rate passed through to the holder of a mortgage pass-through security. This is the rate after deducting servicing, management, and guarantee fees from the gross coupon of the mortgages underlying the security.
Express all WACs as a percentage to two decimal places (in other words, to the nearest basis point). For instance: 7.54.

FRM WAC Example:
The following example illustrates how to calculate the WAC of a portfolio of 30-year, single-family fixed-rate mortgages. The coupons are between 6.26 percent and 6.50 percent. You have three mortgages with outstanding balances totaling $350,000. The mortgages have outstanding balances and coupons of $100,000 at 6.44 percent, $110,000 at 6.28 percent, and $140,000 at 6.35 percent. Calculate the WAC for this portfolio of $350,000 as follows:

WAC = [$100,000 (6.44%) + $110,000 (6.28%) + $140,000 (6.35%)] / $350,000 = 6.35%

ARM Margin Example:
The following example illustrates how to calculate the weighted-average margin of ARM loans and securities. You have a portfolio containing an adjustable-rate, single-family, first mortgage loan and a mortgage security backed by adjustable-rate, single-family, first mortgage loans. Both use the one-year Treasury rate as an index. The loan and the security each have an outstanding balance of $100,000. The loan has a gross margin of 225 basis points. The loans backing the security have a gross margin of 225 basis points. You receive a pass-through rate of the one-year Treasury plus 175. The guarantee and servicing fees amount to 50 basis points. Use the security’s net margin of 175 basis points to calculate the weighted-average margin.

Weighted-Average Margin = [$100,000 (225) + $100,000 (175)] / $200,000 = 200 basis points

Mortgage Servicing Fee Example:
You have a servicing portfolio consisting of the following three fixed-rate loans, each with a current outstanding balance of $100,000.

You purchased the rights to service a GNMA security with a pass-through rate of 8 percent, and a WAC on the underlying mortgages of 8.5 percent. Although the difference between the pass-through rate and the WAC is 50 basis points, GNMA receives six basis points for its guarantee fee and you retain 44 basis points. You should use 44 basis points when you calculate the weighted-average servicing fee.
You originated a mortgage with a coupon of 8.5 percent and sold it on the secondary market to yield 7.5. You should include the full one hundred 100-basis point fee when you calculate the weighted-average servicing spread.
You own the servicing rights on an 8.6 percent mortgage with a servicing fee of 45 basis points; however, you contracted with a subservicer to service the loan for 30 basis points. You should use the remaining 15-basis point fee you retain in calculating the weighted-average servicing spread. Because another savings association subservices this loan, you should include it in the number of loans on CMR423.

Calculate the weighted-average servicing fee for these three loans as follows:

Weighted-Average Servicing Fee = [$100,000 (44bp) + $100,000 (100bp) + $100,000 (15bp)] / $300,000 = 53 bp

The weighted-average rule also applies to aggregate maturities, including weighted-average remaining maturity (WARM), original maturity, time to full amortization, and time to next reset, among others. The weighted-average maturity is the average remaining maturity, in months, for a group of assets or liabilities. You weight the maturity of each individual asset or liability by taking its outstanding dollar balance, as a proportion of the total dollar balances of the group. Unless otherwise stated in the reporting instructions for a specific instrument, use the following general guidelines:

Round values to the nearest month. Perform rounding after you complete the calculation.
Loans that have matured but still have a principal balance outstanding should be included in calculating the WARM if they are less than 90 days past due. Assign such loans a remaining maturity of one month. Do not include such loans if more than 90 days past due.
For loans made under open-end lines of credit, calculate maturity as if the borrower will repay the existing loan balance by making the minimum payments required by the repayment schedule.
For demand loans, either adjustable- or fixed-rate, that pay interest only and have no definite maturity, use one month when calculating the WARM.

Consumer Loan Maturity Example:
The following example illustrates how to calculate the weighted-average remaining maturity for fixed-rate consumer loans. You have three fixed-rate consumer loans with total outstanding balances of $40,000. Two are auto loans with respective outstanding balances and remaining maturities of $10,000 for 48 months, and $1,000 for 12 months. The third is a mobile home loan with an outstanding balance of $29,000 and a remaining term of 120 months. Calculate the WARM for your fixed-rate consumer loans as follows:

WARM = [$10,000 (48 mos.) + $1,000 (12 mos.) + $29,000 (120 mos.)] / $40,000 = 99.3 months = 99 months (rounded to the nearest month)

Balloon Mortgage Maturity Example:
For balloon mortgages, use the number of months until payment of the balloon. The following example illustrates how to calculate the WARM for balloon mortgages. You have two balloon mortgages, each with an outstanding balance of $100,000. The first mortgage amortizes over 240 months, but the entire remaining principal is due as a balloon in 60 months. The second mortgage amortizes over 360 months, but has a balloon payment in 84 months. The WARM for your balloon mortgages would be 72 months.

WARM = [$100,000 (60 mos.) + $100,000 (84 mos.)] / $200,000 = 72 months.

ARM Time to Next Reset Example:
You have two ARMs indexed to the one-year Constant Maturity Treasury (CMT) yield. One has a balance of $50,000 and two months until next payment reset. The other has a balance of $150,000 with ten months until next payment reset. You would report eight months as the weighted-average time until next payment reset:

Weighted-Average Time Until Next Payment Reset = [$50,000 (2 mos.) + $150,000 (10 mos.)] / $200,000 = 8 months

Adjustable-rate contracts (for example, ARMs, variable-rate deposits, and interest-rate options) are typically tied to a standard underlying benchmark interest rate. The OTS NPV model recognizes the following set of benchmark rates as the basis for adjustable interest rates:

1-month LIBOR
3-month LIBOR
6-month LIBOR
1-year LIBOR
3-month Treasury
6-month Treasury
1-year CM Treasury
2-year CM Treasury
3-year CM Treasury
5-year CM Treasury
7-year CM Treasury
10-year CM Treasury
1-year FHLB advance rate
2-year FHLB advance rate
3-year FHLB advance rate
4-year FHLB advance rate
5-year FHLB advance rate
3-month fixed-rate CD rate
6-month fixed-rate CD rate
1-year fixed-rate CD rate
5-year fixed-rate CD rate
11th district 1-month COFI
Fannie-Mae LAMA
Prime rate
Freddie/Fannie 30-year FRM commitment rate
National avg. contract rate for purchase of previously occupied homes
Fed funds rate
Lender's own cost of funds
Federal cost-of-funds index
Fixed rate
Rate adjusted at lender's discretion
Any other index

Certiain loan contracts (for example, commercial loans) may be collateralized by real property. The OTS NPV model recognizes the following types of real collateral:

Not secured by real property.
One-family dwellings in detached or semi-detached structures.
Individual permanently financed units in a condominium, cooperative, or timesharing arrangement where the owner of each unit has an undivided proportional interest in the underlying real estate and common elements of the structure.
Structures consisting of two- to four-dwelling units.
Fraternity or sorority houses offering sleeping accommodations.
Living accommodations for students or staff of a college or hospital.
Retirement homes with sleeping and eating accommodations that are not condominiums or cooperatives.
Mobile home parks.
Hospitals.
Nursing homes.
Churches.
Stores.
Other commercial property.
Properties used for farming.
Loans to acquire and develop land.
Loans for developed building lots.
Loans for unimproved land.
Construction loans secured by single-family, multifamily, or nonresidential properties, or loans to developers secured by land where the developer is constructing any of these properties.

Type	Balance	Coupon	OrigMaturity	RemMaturity	Amortization	LTV	BorrRating	BorrRatingType	Location

Aggregation Rule: Mortgages and MBS that match simultaneously on *all* of the following criteria can be aggregated together and reported as a single position:

Mortgage and MBS:
- 30-year mortgage loans
- 30-year MBS backed by conventional mortgages
- 30-year MBS backed by FHA or VA mortgages
- 15-year mortgage loans
- 15-year MBS
- Balloon mortgage loans
- Balloon MBS
Coupon buckets (in quarter-point increments, as follows):
- 0.00 to 0.25%
- 0.26 to 0.50%
- 0.51 to 0.75%
- 0.76 to 1.00%
- etc.
[IF SUBMITTED] Borrower credit rating type
[IF SUBMITTED] 5-digit zip code

Mortgages or MBS that differ in any of the above criteria cannot be aggregated together into the same position.
NOTE: These are maximum aggregation criteria. At the reporting institution's discretion, additional bucket boundaries can be added (as long as they do not replace the boundaries stated here), or raw, account-level position attributes can be reported.

Type

Report whether the loan is a mortgage or a mortgage-backed security (MBS).

Balance

Report the dollar balance of the position.

Coupon

Report the weighted-average coupon rate, as described in the note on Weighted Average Calculations.

Original maturity

Report the weighted average original maturity, as described in the note on Weighted Average Calculations.

Remaining maturity

Report the weighted-average remaining maturity, as described in the note on Weighted Average Calculations. For loans made under open-end lines of credit, calculate maturity as if the borrower will repay the existing loan balance by making the minimum payments required by the repayment schedule. For demand loans, either adjustable- or fixed-rate, that pay interest only and have no definite maturity, use one month when calculating the WARM.

Original amortization

Report the weighted-average time until full amortization, as described in the note on Weighted Average Calculations.

LTV

[OPTIONAL] State as a percent, the ratio of loan to collateral value at the inception of the loan. The LTV should be adjusted to reflect private mortgage insurance, if applicable.

Borrower credit rating

[OPTIONAL] Indicate the numerical credit rating (e.g., FICO score) of the borrower.

Rating type

[OPTIONAL] The rate code should be one of the following:

Equifax
Experian
Fair-Isaacs (FICO)
TransUnion
Other (thrift-defined) scoring system
Not rated

Location code

[OPTIONAL] The location code (the 5-digit zip code) of the property collateralizing or underlying the mortgage.

Type	Balance	OrigMaturity	RemMaturity	RateIndex	LagIndex	Margin	ResetFreq	TimeToReset	LifeCap	PeriodCap

PeriodFloor	LTV	BorrRating	BorrRatingType	Location

Aggregation Rule: Mortgages and MBS that match simultaneously on *all* of the following criteria can be aggregated together and reported as a single position:

Loan type
- Adjustable-rate mortgage loan
- Adjustable-rate MBS
Rate index type (Treasury, COFI, etc.)
Index lag indicator
- Current market index
- Lagging market index
Margin coupon buckets (in 25 bp increments, as follows; note that negatives spreads are allowed):
- ...
- -0.50 to -0.26%
- -0.25 to -0.01%
- 0.00 to 0.25%
- 0.26 to 0.50%
- 0.51 to 0.75%
- 0.76 to 1.00%
- etc.
Coupon reset frequency (months)
Distance to lifetime cap (in 100 bp increments, as follows)
- uncapped
- within 0 to 100 bp of lifetime cap
- within 101 to 200 bp of lifetime cap
- within 201 to 300 bp of lifetime cap
- within 301 to 400 bp of lifetime cap
- etc.
Periodic cap and floor detail
- Subject to periodic rate caps, but not floors
- Subject to periodic rate floors, but not caps
- Subject to both periodic rate floors and caps
- Subject to neither periodic rate caps nor floors
[IF SUBMITTED] Borrower credit rating type
[IF SUBMITTED] 5-digit zip code

Mortgages or MBS that differ in any of the above criteria cannot be aggregated together into the same reported position.
NOTE: These are maximum aggregation criteria. At the reporting institution's discretion, additional bucket boundaries can be added (as long as they do not replace the boundaries stated here), or raw, account-level position attributes can be reported.

Type

Report whether the loan is a mortgage or a mortgage-backed security (MBS).

Balance

Report the dollar balance of the position.

Original maturity

Report the weighted average original maturity, as described in the note on Weighted Average Calculations.

Remaining maturity

Rate index

The rate index should be one of the standard benchmark indexes listed in the note on Standard Interest Rate Indexes

Lagged index

Indicate whether the rate index used is lagged (True) or current (False) index.

Margin

The margin of an adjustable-rate loan or deposit is the amount added to the index rate to derive the fully indexed coupon rate. If you have adjustable-rate loans or deposits where you determine the coupon by multiplying an index by some factor, you should calculate an additive margin each quarter. Do this by subtracting the value of the index from the fully indexed coupon rate. Report all weighted-average margins in basis points. When you calculate weighted-average margins for mortgage securities and asset-backed securities, use the net margin for securities. Do not include servicing and guarantee fees. For loans serviced by others, use the gross margin. Do not subtract the servicing fee. For details on specific types of loans, see the relevant section of the instructions. See the Note on Weighted Average Calculations for an example of weighted-average margin calculations.

Reset frequency

Report the coupon reset frequency, in months. For loans with accrual rates and payments that reset at different frequencies, report the reset frequency of the accrual rate. If the loans in question reset with varying frequencies, calculate a weighted-average reset frequency in the same manner as the WARM.

Time to next reset

Report the weighted-average number of months until the next payment reset for the position, as described in the note on Weighted Average Calculations. The date of the next payment reset of an ARM is the date that the new payment is due to you. Do not use the date the loan begins to accrue at the new interest rate. Calculate this item in the same manner as the WARM; use the number of months until next payment reset for each loan or mortgage security instead of the remaining maturity. For ARMs with accrual rates and payments that reset at different frequencies (for example, one-month COFI ARMs), be careful to use the months to next payment reset, not months to the next reset of the accrual rate.

Lifetime cap

For AR loans that have lifetime interest-rate caps, report the weighted average of those caps, in basis points, as described in the note on Weighted Average Calculations. For each loan or security, weight its lifetime cap by the outstanding dollar balance of the loan or security as a proportion of the total dollar balance.

Periodic rate cap

For ARMs that have periodic interest-rate caps, report the weighted average of those caps for each category, in basis points, as described in the note on Weighted Average Calculations. Except as noted below, express the periodic rate cap as the maximum amount that the coupon may increase at each rate reset, in basis points; for example, as 100 basis points. For each loan or security, weight its periodic cap by the outstanding dollar balance of the loan or security as a proportion of the total dollar balance.

For ARMs whose coupons reset more than once a year, use the number of basis points that the coupon may increase in one year, rather than at each reset, to calculate the weighted-average periodic rate cap. For example, for a lagging index ARM whose coupon resets every six months and that can change by no more than 100 basis points at each reset, use 200 basis points in calculating the weighted-average periodic rate cap.

Periodic rate floor

For ARMs that have periodic interest-rate floors, report the weighted average of those floors for each category, in basis points, as described in the note on Weighted Average Calculations. Except as noted below, express the periodic rate floor as the maximum amount that the coupon may decrease at each rate reset, in basis points; for example, as 100 basis points. For each loan or security, weight its periodic floor by the outstanding dollar balance of the loan or security as a proportion of the total dollar balance.

For ARMs whose coupons reset more than once a year, use the number of basis points that the coupon may decrease in one year, rather than at each reset, to calculate the weighted-average periodic rate floor. For example, for a lagging index ARM whose coupon resets every six months and that can change by no more than 100 basis points at each reset, use 200 basis points in calculating the weighted-average periodic rate floor.

LTV

[OPTIONAL] State as a percent, the ratio of loan to collateral value at the inception of the loan. The LTV should be adjusted to reflect private mortgage insurance, if applicable.

Borrower credit rating

[OPTIONAL] Indicate the numerical credit rating (e.g., FICO score) of the borrower.

Rating type

[OPTIONAL] The rate code should be one of the following:

Equifax
Experian
Fair-Isaacs (FICO)
TransUnion
Other (thrift-defined) scoring system
Not rated

Location code

[OPTIONAL] The location code (the 5-digit zip code) of the property collateralizing or underlying the mortgage.

Type	Balance	OrigMaturity	RemMaturity	RateIndex	LagIndex	Margin	ResetFreq	TimeToReset	TeaseRate	LifeCap

PeriodCap	PeriodFloor	LTV	BorrRating	BorrRatingType	Location

Aggregation Rule: Mortgages and MBS that match simultaneously on *all* of the following criteria can be aggregated together and reported as a single position:

Loan type
- Adjustable-rate mortgage loan
- Adjustable-rate MBS
Rate index type (Treasury, COFI, etc.)
Index lag indicator
- Current market index
- Lagging market index
Margin coupon buckets (in 25 bp increments, as follows; note that negatives spreads are allowed):
- ...
- -0.50 to -0.26%
- -0.25 to -0.01%
- 0.00 to 0.25%
- 0.26 to 0.50%
- 0.51 to 0.75%
- 0.76 to 1.00%
- etc.
Coupon reset frequency (months)
Distance to lifetime cap (in 100 bp increments, as follows)
- uncapped
- within 0 to 100 bp of lifetime cap
- within 101 to 200 bp of lifetime cap
- within 201 to 300 bp of lifetime cap
- within 301 to 400 bp of lifetime cap
- etc.
Periodic cap and floor detail
- Subject to periodic rate caps, but not floors
- Subject to periodic rate floors, but not caps
- Subject to both periodic rate floors and caps
- Subject to neither periodic rate caps nor floors
[IF SUBMITTED] Borrower credit rating type
[IF SUBMITTED] 5-digit zip code

Type

Report whether the loan is a mortgage or a mortgage-backed security (MBS).

Balance

Report the dollar balance of the position.

Original maturity

Report the weighted average original maturity, as described in the note on Weighted Average Calculations.

Remaining maturity

Rate index

The rate index should be one of the standard benchmark indexes listed in the note on Standard Interest Rate Indexes

Lagged index

Indicate whether the rate index used is lagged (True) or current (False) index.

Margin

Reset frequency

Time to next reset

Teaser rate

Report the weighted average teaser rate, in percentage points, as described in the note on Weighted Average Calculations. Use coupon rates for mortgage loans and pass-through rates for mortgage securities. For loans serviced by others, use the contract rate of the loans. Do not subtract the servicing fee.

Lifetime cap

Periodic rate cap

Periodic rate floor

LTV

[OPTIONAL] State as a percent, the ratio of loan to collateral value at the inception of the loan. The LTV should be adjusted to reflect private mortgage insurance, if applicable.

Borrower credit rating

[OPTIONAL] Indicate the numerical credit rating (e.g., FICO score) of the borrower.

Rating type

[OPTIONAL] The rate code should be one of the following:

Equifax
Experian
Fair-Isaacs (FICO)
TransUnion
Other (thrift-defined) scoring system
Not rated

Location code

[OPTIONAL] The location code (the 5-digit zip code) of the property collateralizing or underlying the mortgage.

Type	Balance	Coupon	OrigMaturity	RemMaturity	Amortization	REsecured	LTV	BorrRating	BorrRatingType	Location

Aggregation Rule: Loans and MBS that match simultaneously on *all* of the following criteria can be aggregated together and reported as a single position:

Mortgage and MBS:
- Fixed-rate balloon multifamily loan or MBS
- Fixed-rate fully amortizing multifamily loan or MBS
- Fixed-rate second-mortgage loan
- Fixed-rate land/construction loan
Coupon buckets (in quarter-point increments, as follows):
- 0.00 to 0.25%
- 0.26 to 0.50%
- 0.51 to 0.75%
- 0.76 to 1.00%
- etc.
[IF SUBMITTED] Borrower credit rating type
[IF SUBMITTED] 5-digit zip code

Loans or MBS that differ in *any* of the above criteria cannot be aggregated together into the same position.
NOTE: These are maximum aggregation criteria. At the reporting institution's discretion, additional bucket boundaries can be added (as long as they do not replace the boundaries stated here), or raw, account-level position attributes can be reported.

Type

Indicate which of the following types is being reported:

Multifamily / non-residential
Construction / land
Second mortgages

Balance

Report the dollar balance of the position.

Coupon

Report the weighted-average coupon rate, as described in the note on Weighted Average Calculations.

Original maturity

Report the weighted average original maturity, as described in the note on Weighted Average Calculations.

Remaining maturity

Original amortization

Report the weighted-average time until full amortization, as described in the note on Weighted Average Calculations.

Real-estate secured

Indicate the forms of collateral securing the loan, from the list given in the Note on Real Collateral Types.

LTV

[OPTIONAL] State as a percent, the ratio of loan to collateral value at the inception of the loan. The LTV should be adjusted to reflect private mortgage insurance, if applicable.

Borrower credit rating

[OPTIONAL] Indicate the numerical credit rating (e.g., FICO score) of the borrower.

Rating type

[OPTIONAL] The rate code should be one of the following:

Equifax
Experian
Fair-Isaacs (FICO)
TransUnion
Other (thrift-defined) scoring system
Not rated

Location code

[OPTIONAL] The location code (the 5-digit zip code) of the property collateralizing or underlying the mortgage.

Type	Balance	OrigMaturity	RemMaturity	RateIndex	Margin	ResetFreq	TimeToReset	LifeCap	LifeFloor	REsecured

LTV	BorrRating	BorrRatingType	Location

Aggregation Rule: Loans and MBS that match simultaneously on *all* of the following criteria can be aggregated together and reported as a single position:

Loan type
- Adjustable-rate balloon multifamily loan or MBS
- Adjustable-rate fully amortizing multifamily loan or MBS
- Adjustable-rate second-mortgage loan
- Adjustable-rate land/construction loan
Rate index type (Treasury, COFI, etc.)
Margin coupon buckets (in 25 bp increments, as follows; note that negatives spreads are allowed):
- ...
- -0.50 to -0.26%
- -0.25 to -0.01%
- 0.00 to 0.25%
- 0.26 to 0.50%
- 0.51 to 0.75%
- 0.76 to 1.00%
- etc.
Distance to lifetime cap (in 100 bp increments, as follows)
- uncapped
- within 0 to 100 bp of lifetime cap
- within 101 to 200 bp of lifetime cap
- within 201 to 300 bp of lifetime cap
- within 301 to 400 bp of lifetime cap
- etc.
[IF SUBMITTED] Borrower credit rating type
[IF SUBMITTED] 5-digit zip code

Loans or MBS that differ in *any* of the above criteria cannot be aggregated together into the same reported position.
NOTE: These are maximum aggregation criteria. At the reporting institution's discretion, additional bucket boundaries can be added (as long as they do not replace the boundaries stated here), or raw, account-level position attributes can be reported.

Type

Indicate which of the following types is being reported:

Multifamily / non-residential
Construction / land
Second mortgages

Balance

Report the dollar balance of the position.

Original maturity

Report the weighted average original maturity, as described in the note on Weighted Average Calculations.

Remaining maturity

Rate index

The rate index should be one of the standard benchmark indexes listed in the note on Standard Interest Rate Indexes

Margin

Reset frequency

Time to reset

Lifetime cap

Lifetime floor

For AR loans that have lifetime interest-rate floors, report the weighted average of those floors, in basis points. Calculate this item in the same manner as described for the WAC in the general instructions to Schedule CMR. For each loan or security, weight its lifetime floor by the outstanding dollar balance of the loan or security as a proportion of the total dollar balance.

Real-estate secured

Indicate the forms of collateral securing the loan, from the list given in the Note on Real Collateral Types.

LTV

[OPTIONAL] State as a percent, the ratio of loan to collateral value at the inception of the loan. The LTV should be adjusted to reflect private mortgage insurance, if applicable.

Borrower credit rating

[OPTIONAL] Indicate the numerical credit rating (e.g., FICO score) of the borrower.

Rating type

[OPTIONAL] The rate code should be one of the following:

Equifax
Experian
Fair-Isaacs (FICO)
TransUnion
Other (thrift-defined) scoring system
Not rated

Location code

[OPTIONAL] The location code (the 5-digit zip code) of the property collateralizing or underlying the mortgage.

Balance	Coupon	OrigMaturity	RemMaturity	Amortization	REsecured	SNC	ApprVal	LoanRating	LoanRatingType	CreditLine

Aggregation Rule: All fixed-rate commercial loans can be aggregated together as a single position
NOTE: These are maximum aggregation criteria. At the reporting institution's discretion, additional bucket boundaries can be added (as long as they do not replace the boundaries stated here), or raw, account-level position attributes can be reported.

Balance

Report the dollar balance of the position.

Coupon

Report the weighted-average coupon rate, as described in the note on Weighted Average Calculations.

Original maturity

Report the weighted average original maturity, as described in the note on Weighted Average Calculations.

Remaining maturity

Original amortization

Report the weighted-average time until full amortization, as described in the note on Weighted Average Calculations.

Real-estate secured

Indicate the forms of collateral securing the loan, from the list given in the Note on Real Collateral Types.

SNC

[OPTIONAL] Indicate whether the loans are syndicate through the Shared National Credit program of the Fed/FDIC/OCC.

Appraised valuation

[OPTIONAL] Report the appraised value, in dollars, of the collateral property at the time of origination.

Credit rating of the loan

[OPTIONAL] Provide the third-party credit rating of the loan, if available; else leave blank.

Credit rating type

[OPTIONAL] The rating type should be one of the following:

Duff & Phelps
Fitch
Moody's
Standard & Poor's
Other (thrift-defined) scoring system
Not rated

Credit line

[OPTIONAL] Indicate whether the loan has the form of a line of credit, or whether the funds have been disbursed to the borrower.

Balance	OrigMaturity	RemMaturity	RateIndex	Margin	ResetFreq	TimeToReset	LifeCap	LifeFloor	REsecured	SNC

ApprVal	LoanRating	LoanRatingType	CreditLine

Aggregation Rule: Adjustable-rate commercial loans that match simultaneously on *all* of the following criteria can be aggregated together and reported as a single position:

Rate index type (Treasury, COFI, etc.)

Adjustable-rate commercial loans that differ in *any* of the above criteria cannot be aggregated together into the same reported position.
NOTE: These are maximum aggregation criteria. At the reporting institution's discretion, additional bucket boundaries can be added (as long as they do not replace the boundaries stated here), or raw, account-level position attributes can be reported.

Balance

Report the dollar balance of the position.

Original maturity

Report the weighted average original maturity, as described in the note on Weighted Average Calculations.

Remaining maturity

Rate index

The rate index should be one of the standard benchmark indexes listed in the note on Standard Interest Rate Indexes

Margin

Reset frequency

Time to reset

Lifetime cap

Lifetime floor

Real-estate secured

Indicate the forms of collateral securing the loan, from the list given in the Note on Real Collateral Types.

SNC

[OPTIONAL] Indicate whether the loans are syndicate through the Shared National Credit program of the Fed/FDIC/OCC.

Appraised valuation

[OPTIONAL] Report the appraised value, in dollars, of the collateral property at the time of origination.

Credit rating of the loan

[OPTIONAL] Provide the third-party credit rating of the loan, if available; else leave blank.

Credit rating type

[OPTIONAL] The rating type should be one of the following:

Duff & Phelps
Fitch
Moody's
Standard & Poor's
Other (thrift-defined) scoring system
Not rated

Credit line

[OPTIONAL] Indicate whether the loan has the form of a line of credit, or whether the funds have been disbursed to the borrower.

Balance	Coupon	OrigMaturity	RemMaturity	Amortization	REsecured	LTV	BorrRating	BorrRatingType	Location	CreditLine

NewBalances	NewBalCoupon

Aggregation Rule: Fixed-rate consumer loans that match simultaneously on *all* the following criteria can be aggregated together as a single position:

[IF SUBMITTED] Borrower credit rating type
[IF SUBMITTED] 5-digit zip code

Adjustable-rate consumer loans that differ in *any* of the above criteria cannot be aggregated together into the same reported position.
NOTE: These are maximum aggregation criteria. At the reporting institution's discretion, additional bucket boundaries can be added (as long as they do not replace the boundaries stated here), or raw, account-level position attributes can be reported.

Balance

Report the dollar balance of the position.

Coupon

Report the weighted-average coupon rate, as described in the note on Weighted Average Calculations.

Original maturity

Report the weighted average original maturity, as described in the note on Weighted Average Calculations.

Remaining maturity

Original amortization

Report the weighted-average time until full amortization, as described in the note on Weighted Average Calculations.

Real-estate secured

Indicate the forms of collateral securing the loan, from the list given in the Note on Real Collateral Types.

LTV

[OPTIONAL] State as a percent, the ratio of loan to collateral value at the inception of the loan. The LTV should be adjusted to reflect private mortgage insurance, if applicable.

Borrower credit rating

[OPTIONAL] Indicate the numerical credit rating (e.g., FICO score) of the borrower.

Rating type

[OPTIONAL] The rate code should be one of the following:

Equifax
Experian
Fair-Isaacs (FICO)
TransUnion
Other (thrift-defined) scoring system
Not rated

Location code

[OPTIONAL] The location code (the 5-digit zip code) of the property collateralizing or underlying the mortgage.

Credit line

[OPTIONAL] Indicate whether the loan has the form of a line of credit, or whether the funds have been disbursed to the borrower.

New balances

Report end-of-quarter balances in accounts where holders had no accounts of the same type with you at the end of the prior quarter. (I.e., account holders are not rolling over pre-existing accounts.)

WAC on new balances

Report the weighted average coupon on new accounts, as described in the note on Weighted Average Calculations.

Balance	OrigMaturity	RemMaturity	RateIndex	Margin	ResetFreq	TimeToReset	LifeCap	LifeFloor	NewBalances	NewBalCoupon

REsecured	LTV	BorrRating	BorrRatingType	Location	CreditLine

Aggregation Rule: Adjustable-rate consumer loans that match simultaneously on *all* of the following criteria can be aggregated together and reported as a single position:

Rate index type (Treasury, COFI, etc.)
[IF SUBMITTED] Borrower credit rating type
[IF SUBMITTED] 5-digit zip code

Balance

Report the dollar balance of the position.

Original maturity

Report the weighted average original maturity, as described in the note on Weighted Average Calculations.

Remaining maturity

Rate index

The rate index should be one of the standard benchmark indexes listed in the note on Standard Interest Rate Indexes

Margin

Reset frequency

Time to reset

Lifetime cap

Lifetime floor

New balances

Report end-of-quarter balances in accounts where holders had no accounts of the same type with you at the end of the prior quarter. (I.e., account holders are not rolling over pre-existing accounts.)

WAC on new balances

Report the weighted average coupon on new accounts, as described in the note on Weighted Average Calculations.

Real-estate secured

Indicate the forms of collateral securing the loan, from the list given in the Note on Real Collateral Types.

LTV

[OPTIONAL] State as a percent, the ratio of loan to collateral value at the inception of the loan. The LTV should be adjusted to reflect private mortgage insurance, if applicable.

Borrower credit rating

[OPTIONAL] Indicate the numerical credit rating (e.g., FICO score) of the borrower.

Rating type

[OPTIONAL] The rate code should be one of the following:

Equifax
Experian
Fair-Isaacs (FICO)
TransUnion
Other (thrift-defined) scoring system
Not rated

Location code

[OPTIONAL] The location code (the 5-digit zip code) of the property collateralizing or underlying the mortgage.

Credit line

[OPTIONAL] Indicate whether the loan has the form of a line of credit, or whether the funds have been disbursed to the borrower.

Type	Balance	Coupon	OrigMaturity	RemMaturity	ServiceFee	Subserviced	FHAVA	Conventional

Aggregation Rule: Fixed-rate mortgage servicing rights that match simultaneously on *all* of the following criteria can be aggregated together and reported as a single position:

Type:
- Fixed rate service right on loans serviced for others
- Fixed rate service right on loans serviced by others
Coupon buckets (in quarter-point increments, as follows):
- 0.00 to 0.25%
- 0.26 to 0.50%
- 0.51 to 0.75%
- 0.76 to 1.00%
- etc.

Fixed-rate mortgage servicing rights that differ in *any* of the above criteria cannot be aggregated together into the same position.
NOTE: These are maximum aggregation criteria. At the reporting institution's discretion, additional bucket boundaries can be added (as long as they do not replace the boundaries stated here), or raw, account-level position attributes can be reported.

Type

Indicate whether servicing is by this institution for others, or by others for this institution.

Balance

Report the dollar balance of the position.

Coupon

Report the weighted-average coupon rate, as described in the note on Weighted Average Calculations.

Original maturity

Report the weighted average original maturity, as described in the note on Weighted Average Calculations.

Remaining maturity

Service fee

Report the weighted-average net servicing fee you retain, in basis points, as described in the note on Weighted Average Calculations. The mortgage servicing fee is the spread you retain. This is the difference between the weighted-average note rate on the mortgages being serviced and the rate of interest passed on to the owner of the mortgages, less any payments to third parties such guarantors, master servicers, and subservicers.

Number sub-serviced

Report the number of loans among those reported here for which the reporting thrift own the servicing rights, but has contracted servicing out to a subservicer.

Number FHA / VA

Report the number of FHA and VA loans among those reported here.

Number conventional

Report the number of conventional loans among those reported here.

Type	Balance	OrigMaturity	RemMaturity	RateIndex	Margin	ServiceFee	Subserviced	FHAVA	Conventional

Aggregation Rule: Adjustable-rate mortgage servicing rights that match simultaneously on *all* of the following criteria can be aggregated together and reported as a single position:

Type
- Adjustable-rate servicing on loans service for others
- Adjustable-rate servicing on loans service by others
Rate index type (Treasury, COFI, etc.)
Margin coupon buckets (in 25 bp increments, as follows; note that negatives spreads are allowed):
- ...
- -0.50 to -0.26%
- -0.25 to -0.01%
- 0.00 to 0.25%
- 0.26 to 0.50%
- 0.51 to 0.75%
- 0.76 to 1.00%
- etc.
Index lag indicator
- Current market index
- Lagging market index
Coupon reset frequency (months)

Adjustable-rate mortgage servicing rights that differ in *any* of the above criteria cannot be aggregated together into the same reported position.
NOTE: These are maximum aggregation criteria. At the reporting institution's discretion, additional bucket boundaries can be added (as long as they do not replace the boundaries stated here), or raw, account-level position attributes can be reported.

Type

Indicate whether servicing is by this institution for others, or by others for this institution.

Balance

Report the dollar balance of the position.

Original maturity

Report the weighted average original maturity, as described in the note on Weighted Average Calculations.

Remaining maturity

Rate index

The rate index should be one of the standard benchmark indexes listed in the note on Standard Interest Rate Indexes

Margin

Service fee

Number sub-serviced

Report the number of loans among those reported here for which the reporting thrift own the servicing rights, but has contracted servicing out to a subservicer.

Number FHA / VA

Report the number of FHA and VA loans among those reported here.

Number conventional

Report the number of conventional loans among those reported here.

Aggregation Rule: Money-market assets that match simultaneously on *all* of the following criteria can be aggregated together and reported as a single position:

Position type
- Cash / non-interest deposits, overnight Fed funds, overnight repos
- Equity securities and non-mortgage mutual funds subject to SFAS 115
- Mortgage mutual funds subject to SFAS 115
- Zero-coupon securities
- Gov’t and agency securities
- Term Fed funds / term repos / interest-earning deposits
- Munis / mortgage-backed bonds / corporate securities / commercial paper
- Real estate held for investment
- Equity securities not subject to SFAS 115
- Repossessed assets
- Office premises and equipment
- Servicing assets / IO strip receivables / certain other instruments
- Miscellaneous I assets
- Miscellaneous II assets

NOTE: These are maximum aggregation criteria. At the reporting institution's discretion, additional bucket boundaries can be added (as long as they do not replace the boundaries stated here), or raw, account-level position attributes can be reported.

Type

Indicate which of the following types is being reported:

Cash / non-interest deposits, overnight Fed funds, overnight repos
Equity securities and non-mortgage mutual funds subject to SFAS 115
Mortgage mutual funds subject to SFAS 115
Zero-coupon securities
Gov’t and agency securities
Term Fed funds / term repos / interest-earning deposits
Munis / mortgage-backed bonds / corporate securities / commercial paper
Real estate held for investment
Equity securities not subject to SFAS 115
Repossessed assets
Office premises and equipment
Servicing assets / IO strip receivables / certain other instruments
Miscellaneous I assets
Miscellaneous II assets

Balance

Report the dollar balance of the position.

Coupon

Report the weighted-average coupon rate, as described in the note on Weighted Average Calculations.

Original maturity

Report the weighted average original maturity, as described in the note on Weighted Average Calculations.

Remaining maturity

Rate index

The rate index should be one of the standard benchmark indexes listed in the note on Standard Interest Rate Indexes

Reset frequency

Type	Balance	Coupon	OrigMaturity	RemMaturity	EarlyWD	EarlyWDPenalty	EarlyWDBalances	Brokered	NewBalances

Aggregation Rule: Fixed-rate, fixed-maturity deposits that match simultaneously on *all* of the following criteria can be aggregated together and reported as a single position:

Deposit type
- Vanilla deposits
- Fixed-rate FHLB advances
- Fixed-rate redeemable preferred stock
- Fixed-rate subordinated debt
- Other fixed-rate borrowings
Original maturity (in 12-month buckets, measured to the nearest month)
- 0-12 months (report as 6 months)
- 13-24 months (report as 18 months)
- 25-36 months (report as 30 months)
- 37-48 months (report as 42 months)
- 49-60 months (report as 54 months)
- etc.
Remaining maturity buckets (measured to the nearest month, in quarterly buckets for the first year, and annual thereafter)
- 0-3 months
- 4-6 months
- 7-9 months
- 10-12 months
- 13-24 months
- 25-36 months
- 37-48 months
- etc.
Coupon buckets (in quarter-point increments, as follows):
- 0.00 to 0.25%
- 0.26 to 0.50%
- 0.51 to 0.75%
- 0.76 to 1.00%
- etc.

Fixed-rate, fixed-maturity deposits that differ in *any* of the above criteria cannot be aggregated together into the same position.
NOTE: These are maximum aggregation criteria. At the reporting institution's discretion, additional bucket boundaries can be added (as long as they do not replace the boundaries stated here), or raw, account-level position attributes can be reported.

Type

Indicate which of the following types is being reported:

Vanilla deposits
Fixed-rate FHLB advances
Fixed-rate redeemable preferred stock
Fixed-rate subordinated debt
Other fixed-rate borrowings

Balance

Report the dollar balance of the position.

Coupon

Report the weighted-average coupon rate, as described in the note on Weighted Average Calculations.

Original maturity

Report the weighted average original maturity, as described in the note on Weighted Average Calculations.

Remaining maturity

Early withdrawals

Report the dollar balances of CDs that meet both of the following criteria:

Subject to early withdrawal penalties.
Withdrawn before their contractual maturity during the quarter.

Report balances withdrawn before maturity according to what the remaining maturity of those balances would have been at the quarter’s end had they not been withdrawn.

Early withdrawal penalty

Report the weighted-average EWP in months of foregone interest for each year (or fraction of a year) of contractual maturity, as described in the note on Weighted Average Calculations. Report to two decimal places. Report these for each original maturity column.

EWP = (Penalty in dollars) x 12 months per year / (dollar interest paid over remaining maturity)

Example: You aggregate three different product balances into a one position:

$125,000 of various CDs, $100,000 of which are CDs with an EWP of 1.12 month’s interest.
$225,000 in various CDs, all of which are CDs with an EWP requiring forfeiture of 1.98 months’ interest.
$250,000 in various CDs, all of which are CDs with an EWP requiring forfeiture of 1.98 months’ interest.

You would calculate the weighted-average EWP:

EWP = [$100,000 (1.12 mos.) + $475,000 (1.98 mos.)] / $575,000 = 1.83 months.

Balances with penalty

For the balances reported in each original maturity column, determine the portion subject to early withdrawal penalties (EWPs) stated in months of forgone interest. Report these balances for each original maturity column. Do not include CDs having EWPs stated differently (flat penalty, market-related penalty).

Example: You aggregate balances for three different product lines for a given reported position:

$125,000 of various CDs, $100,000 of which are CDs with an EWP of 1.12 month’s interest.
$225,000 in various CDs, $200,000 of which are CDs with an EWP requiring forfeiture of 1.98 months’ interest.
$250,000 in various CDs, all of which are CDs with an EWP requiring forfeiture of 1.98 months’ interest.

You would report $550,000 (= $100,000+$200,000 + $250,000).

Brokered

For the total CD balances reported, report the portion that are brokered deposits. The term brokered deposit, defined in 12 CFR § 337.6, refers to funds obtained, directly or indirectly, by or through any deposit broker.

Example: You report balances for three product lines as a single aggregate position: $125,000, $225,000, and $250,000. Of the three product balances, $50,000, $25,000, and $35,000, respectively, are in brokered accounts. You would report $110,000 (= $50,000 + $25,000 + $35,000).

New balances

Report end-of-quarter balances in accounts where holders had no accounts of the same type with you at the end of the prior quarter. (I.e., account holders are not rolling over pre-existing accounts.)

Aggregation Rule: Variable-rate, fixed-maturity deposits that match simultaneously on *all* of the following criteria can be aggregated together and reported as a single position:

Deposit type
- Certificates of deposit
- Variable-rate FHLB advances
- Commercial bank loans
- Repurchase agreements
- Retail repurchase agreements
- Commercial paper issued
- Variable-rate subordinated debt
- Variable-rate redeemable preferred stock
- Other variable-rate borrowings
Rate index type (Treasury, COFI, etc.)
Margin coupon buckets (in 25 bp increments, as follows; note that negatives spreads are allowed):
- ...
- -0.50 to -0.26%
- -0.25 to -0.01%
- 0.00 to 0.25%
- 0.26 to 0.50%
- 0.51 to 0.75%
- 0.76 to 1.00%
- etc.
Remaining maturity buckets (measured to the nearest month, in quarterly buckets for the first year, and annual thereafter)
- 0-3 months
- 4-6 months
- 7-9 months
- 10-12 months
- 13-24 months
- 25-36 months
- 37-48 months
- etc.

Variable-rate, fixed-maturity deposits that differ in *any* of the above criteria cannot be aggregated together into the same reported position.
NOTE: These are maximum aggregation criteria. At the reporting institution's discretion, additional bucket boundaries can be added (as long as they do not replace the boundaries stated here), or raw, account-level position attributes can be reported.

Type

Indicate which of the following types is being reported:

Certificates of deposit
Variable-rate FHLB advances
Commercial bank loans
Repurchase agreements
Retail repurchase agreements
Commercial paper issued
Variable-rate subordinated debt
Variable-rate redeemable preferred stock
Other variable-rate borrowings

Balance

Report the dollar balance of the position.

Rate index

The rate index should be one of the standard benchmark indexes listed in the note on Standard Interest Rate Indexes

Margin

Reset frequency

Time to next reset

Remaining maturity

Type	Balance	Coupon	NewBalances

Aggregation Rule: Non-maturity deposits that match simultaneously on *all* of the following criteria can be aggregated together and reported as a single position:

Deposit type
- Transaction accounts
- MMDAs
- Passbooks
- Non-interest, non-maturity deposits
- Escrows for mortgages in portfolio
- Escrows for mortgages serviced by others
- Other escrows

Non-maturity deposits that differ in *any* of the above criteria cannot be aggregated together into the same reported position.
NOTE: These are maximum aggregation criteria. At the reporting institution's discretion, additional bucket boundaries can be added (as long as they do not replace the boundaries stated here), or raw, account-level position attributes can be reported.

Type

Indicate which of the following types is being reported:

Transaction accounts
MMDAs
Passbooks
Non-interest, non-maturity deposits
Escrows for mortgages in portfolio
Escrows for mortgages serviced by others
Other escrows

Balance

Report the dollar balance of the position.

Coupon

Report the weighted-average coupon rate, as described in the note on Weighted Average Calculations.

New balances

Report end-of-quarter balances in accounts where holders had no accounts of the same type with you at the end of the prior quarter. (I.e., account holders are not rolling over pre-existing accounts.)

Type	Balance

Aggregation Rule: Other liabilities that match simultaneously on *all* of the following criteria can be aggregated together and reported as a single position:

Liability type
- CMOs issued
- Miscellaneous I liabilities
- Miscellaneous II liabilities
- Minority interest in consolidated subsidiaries
- Equity capital

Other liabilities that differ in *any* of the above criteria cannot be aggregated together into the same reported position.
NOTE: These are maximum aggregation criteria. At the reporting institution's discretion, additional bucket boundaries can be added (as long as they do not replace the boundaries stated here), or raw, account-level position attributes can be reported.

Type

Indicate which of the following types is being reported:

Unamortized yield adjustments on deposits and borrowings
CMOs issued
Miscellaneous I liabilities
Miscellaneous II liabilities
Minority interest in consolidated subsidiaries
Equity capital

Balance

Report the dollar balance of the position.

Type	Notional	BuySellOrig	UnderlyingType	MaturityHorizon	Coupon	Expiry	MortSubtype	MDPSubtype	LongShortFirm	PctClosedPrior

Aggregation Rule: Mortgage commitments and construction loans in process that match simultaneously on *all* of the following criteria can be aggregated together and reported as a single position:

Type:
- Optional commitments
- Firm commitments
Buy/sell/originate type:
- Commitments to buy
- Commitments to sell
- Commitments to originate
- Not a commitment (includes loans in process)
Underlying type:
- COFI ARM loans
- Treasury ARM loans
- LIBOR ARM loans
- Balloon mortgage loans
- 2-step mortgage loans
- FRM loans
- Other mortgage loans
- Non-mortgage assets
- Core deposits
- Other liabilities
Mortgage subtype:
- Mortgage, servicing retained
- Mortgage, servicing released
- Mortgage (including originations)
- Mortgage-backed security (MBS)
- Mortgage derivative product (MDP)
- Non-mortgage
MDP subtype:
- Low-risk, floating-rate MDP
- Low-risk, fixed-rate MDP
- High-risk, floating-rate MDP
- High-risk, fixed-rate MDP
- Low-risk MDP
- High-risk MDP
- Non-MDP
Long/short optional commitment indicator:
- Long an optional commitment
- Short an optional commitment
- Not an optional commitment

Mortgage commitments and construction loans in process that differ in *any* of the above criteria cannot be aggregated together into the same position.
NOTE: These are maximum aggregation criteria. At the reporting institution's discretion, additional bucket boundaries can be added (as long as they do not replace the boundaries stated here), or raw, account-level position attributes can be reported.

Type

Indicate which of the following types is being reported:

Optional commitments
Firm commitments

Notional amount

Report the notional principal amount underlying the contract. Note: For any commitments to purchase, sell, or originate mortgages or non-mortgage assets or liabilities, report the dollar amount of commitments outstanding. For optional commitments to originate rate-locked loans that have yet to receive credit approval, deduct an amount representing expected credit denials, but do not adjust the reported amount for fallout of approved loans.

Buy, sell, or originate

Indicate which of the following types is being reported:

Commitments to buy
Commitments to sell
Commitments to originate

Underlying type

Indicate which of the following types is the instrument underlying the commitment:

COFI ARM loans
Treasury ARM loans
LIBOR ARM loans
Balloon mortgage loans
2-step mortgage loans
FRM loans
Other mortgage loans
Non-mortgage assets
Core deposits
Other liabilities

Maturity horizon

Indicate the time horizon, in months, that describes the instrument underlying the commitment:

For ARMs, indicate the weighted average number of months between resets for the underlying loans
For FRMs, indicate the weighted average number of months to maturity for the underlying loans. For balloon loans, use the loan maturity, not the amortization period.

Coupon

Report the weighted-average coupon rate, as described in the note on Weighted Average Calculations.

Expiry

Indicate the time, in months, until the expiration of the commitment. For instruments without an expiration, leave blank.

Mortgage subtype

Indicate which of the following mortgage subtypes describes the instrument underlying the commitment:

Mortgage, servicing retained
Mortgage, servicing released
Mortgage (including originations)
Mortgage-backed security (MBS)
Mortgage derivative product (MDP)
Non-mortgage

MDP subtype

Indicate which of the following MDP subtypes describes the instrument underlying the commitment:

Low-risk, floating-rate MDP
Low-risk, fixed-rate MDP
High-risk, floating-rate MDP
High-risk, fixed-rate MDP
Low-risk MDP
High-risk MDP
Non-MDP

Long, short, or firm (non-optional)

Indicate whether the reporting thrift is long or short an optional commitment. For firm commitments, leave blank.

Percent closed in prior quarter

For optional commitments, report the percentage (by dollar balances) of optional commitments outstanding as of the end of the previous quarter that closed during the quarter.

Balance	Coupon	OrigMaturity	RemMaturity

Aggregation Rule: Construction loans in process that match simultaneously on *all* of the following criteria can be aggregated together and reported as a single position:

Coupon buckets (in quarter-point increments, as follows):
- 0.00 to 0.25%
- 0.26 to 0.50%
- 0.51 to 0.75%
- 0.76 to 1.00%
- etc.

Construction loans in process that differ in *any* of the above criteria cannot be aggregated together into the same position.
NOTE: These are maximum aggregation criteria. At the reporting institution's discretion, additional bucket boundaries can be added (as long as they do not replace the boundaries stated here), or raw, account-level position attributes can be reported.

Balance

Report the dollar balance of the position.

Coupon

Report the weighted-average coupon rate, as described in the note on Weighted Average Calculations.

Original maturity

Report the weighted average original maturity, as described in the note on Weighted Average Calculations.

Remaining maturity

Type	Notional	SwapStart	SwapEnd	Coupon	PayRateIndex	RecvRateIndex	Margin	AmortSwap

Aggregation Rule: All swap contracts should be reported individually.
NOTE: These are maximum aggregation criteria.

Type

Indicate which of the following types underlies the option being reported:

Fixed-for-floating swap
Floating-for-fixed swap
Basis swap
Fixed-for-floating mortgage swap
Floating-for-fixed mortgage swap

Notional amount

Swap start

Report the number of months until the effective date of the swap -- that is, the date that interest for the first payment of the swap agreement begins to accrue.

Swap end

Report the number of months remaining until the maturity date of the swap -- that is, the date of the last payment of the swap agreement. For a mortgage swap, use the maturity date of the underlying pool of mortgages, not the date the agreement terminates.

Fixed coupon

Report the weighted-average coupon rate, as described in the note on Weighted Average Calculations.

Pay rate index

The rate index should be one of the standard benchmark indexes listed in the note on Standard Interest Rate Indexes

Receive rate index

The rate index should be one of the standard benchmark indexes listed in the note on Standard Interest Rate Indexes

Margin

Amortizing swap

Indicate whether the swap is amortizing.

Type	Notional	SwapStart	SwapEnd	Coupon	PayRateIndex	RecvRateIndex	Margin	AmortSwap	EuroAmer	PutCall

Strike	LongShort	Expiry

Aggregation Rule: All swaption contracts should be reported individually.
NOTE: These are maximum aggregation criteria.

Type

Indicate which of the following types underlies the option being reported:

Fixed-for-floating swap
Floating-for-fixed swap
Basis swap
Fixed-for-floating mortgage swap
Floating-for-fixed mortgage swap

Notional amount

Swap start

Report the number of months until the effective date of the swap -- that is, the date that interest for the first payment of the swap agreement begins to accrue.

Swap end

Fixed coupon

Report the weighted-average coupon rate, as described in the note on Weighted Average Calculations.

Pay rate index

The rate index should be one of the standard benchmark indexes listed in the note on Standard Interest Rate Indexes

Receive rate index

The rate index should be one of the standard benchmark indexes listed in the note on Standard Interest Rate Indexes

Margin

Amort. swap

Indicate whether the swap is amortizing.

European or American

Indicate whether a European or American option is being reported.

Put or call

Indicate whether a put or call is being reported.

Strike price

Indicate the strike price of the option.

Long or short

Indicate whether the reporting institution owns or has sold the instrument.

Expiry date

Indicate the time till maturity of the contract (e.g., option expiry or futures delivery). For options on futures, use the expiration date of the option.

Aggregation Rule: All cap and floor contracts should be reported individually. Interest rate collars should be broken out and reported as separate cap and floor positions.
NOTE: These are maximum aggregation criteria.

Type

Indicate whether a cap or floor is being reported. Interest rate collars should be split into their separate cap and floor components, and listed separately.

Notional amount

Cap / floor start date

Report the number of months until the effective date of the cap (the first exercise date of the cap).

Cap / floor end date

Report the number of months until the maturity date of the agreement -- that is, the month of the last payment date of the cap.

Rate index

The rate index should be one of the standard benchmark indexes listed in the note on Standard Interest Rate Indexes

Long or short

Indicate whether the reporting institution owns or has sold the instrument.

Strike price

Indicate the strike price of the option.

Aggregation Rule: All option contracts should be reported individually.
NOTE: These are maximum aggregation criteria.

Put or call

Indicate whether a put or call is being reported.

Notional amount

Rate index

The rate index should be one of the standard benchmark indexes listed in the note on Standard Interest Rate Indexes

European or American

Indicate whether a European or American option is being reported.

Strike price

Indicate the strike price of the option.

Long or short

Indicate whether the reporting institution owns or has sold the instrument.

Expiry date

Indicate the time till maturity of the contract (e.g., option expiry or futures delivery). For options on futures, use the expiration date of the option.

Type	Notional	Expiry	UnderlyingType	LongShort

Aggregation Rule: All futures or forward contracts should be reported individually.
NOTE: These are maximum aggregation criteria.

Type

Indicate whether a futures or forward contract is being reported.

Notional amount

Delivery date

Indicate the time till maturity of the contract (e.g., option expiry or futures delivery). For options on futures, use the expiration date of the option.

Underlying code

Indicate which of the following securities represents the underlying for the futures contract:

30-day interest rate
3-month Treasury bill
2-year Treasury note
5-year Treasury note
10-year Treasury note
Treasury bond
1-month LIBOR
3-month Eurodollar
3-year Swap
5-year Swap

Long or short

Indicate whether the reporting institution owns or has sold the instrument.

Type	Notional	Expiry	UnderlyingType	EuroAmer	Strike	LongShort	Expiry

Aggregation Rule: All futures options contracts should be reported individually.
NOTE: These are maximum aggregation criteria.

Type

Indicate which of the following types underlies the option being reported:

Fixed-for-floating swap
Floating-for-fixed swap
Basis swap
Fixed-for-floating mortgage swap
Floating-for-fixed mortgage swap

Notional amount

Delivery date

Indicate the time till maturity of the contract (e.g., option expiry or futures delivery). For options on futures, use the expiration date of the option.

Underlying code

Indicate which of the following securities represents the underlying for the futures contract:

30-day interest rate
3-month Treasury bill
2-year Treasury note
5-year Treasury note
10-year Treasury note
Treasury bond
1-month LIBOR
3-month Eurodollar
3-year Swap
5-year Swap

European or American

Indicate whether a European or American option is being reported.

Strike price

Indicate the strike price of the option.

Long or short

Indicate whether the reporting institution owns or has sold the instrument.

Expiry date

Indicate the time till maturity of the contract (e.g., option expiry or futures delivery). For options on futures, use the expiration date of the option.

Type	Balance	CUSIP	ScenarioID	ScenarioVal

Aggregation Rule: Self-valued instruments that match simultaneously on *all* of the following criteria can be aggregated together and reported as a single position:

Type:
- Complex securities, other than mortgage derivative securities
- Mortgage derivative securities held, including:
  - Standard CMO
  - Super-floater CMO
  - Inverse floater CMO
  - Super-PO CMO
  - Other CMO
  - CMO residual
  - Interest-only MBS
  - Principal-only MBS
- Collateralized mortgage obligations issued
- Terms and conditions of variable-rate, fixed-maturity certificates of deposit
- Terms and conditions of other variable-rate, fixed-maturity borrowings
- Terms and conditions of variable-rate, fixed-maturity FHLB advances, other than those reported below
- FHLB putable advance.
- FHLB convertible advance.
- FHLB callable advance.
- FHLB periodic floor floating rate advance.
- Other FHLB structured advances
- Other structured borrowings
- Other financial derivatives and OBS positions without a contract code

Self-valued instruments that differ in *any* of the above criteria cannot be aggregated together into the same position.
NOTE: These are maximum aggregation criteria. At the reporting institution's discretion, additional bucket boundaries can be added (as long as they do not replace the boundaries stated here), or raw, account-level position attributes can be reported.

Type

Indicate which of the following types is being reported:

Complex securities, other than mortgage derivative securities
Mortgage derivative securities held, including:
- Standard CMO
- Super-floater CMO
- Inverse floater CMO
- Super-PO CMO
- Other CMO
- CMO residual
- Interest-only MBS
- Principal-only MBS
Collateralized mortgage obligations issued
Terms and conditions of variable-rate, fixed-maturity certificates of deposit
Terms and conditions of other variable-rate, fixed-maturity borrowings
Terms and conditions of variable-rate, fixed-maturity FHLB advances, other than those reported below
FHLB putable advance.
FHLB convertible advance.
FHLB callable advance.
FHLB periodic floor floating rate advance.
Other FHLB structured advances
Other structured borrowings
Other financial derivatives and OBS positions without a contract code

Balance

Report the outstanding balance for the position. For zero-coupon instruments, report the recorded investment, which is the amortized value of the investment.

CUSIP

Report the CUSIP number for the instrument.

Scenario ID

Report the scenario identifier, which should be one of the following:

Parallel downward yield-curve shift of 400bp.
Parallel downward yield-curve shift of 300bp.
Parallel downward yield-curve shift of 200bp.
Parallel downward yield-curve shift of 100bp.
Base case (no interest-rate shift)
Parallel upward yield-curve shift of 100bp.
Parallel upward yield-curve shift of 200bp.
Parallel upward yield-curve shift of 300bp.
Parallel upward yield-curve shift of 400bp.

Value in this scenario

Report the estimate of the market value of the position in the relevant interest rate scenario.

Type	Warehouse	NonPerf	AccIntRec	AdvTaxIns	UnamortYldAdj	ValAllow	UnrealGain

Aggregation Rule: Loans that match simultaneously on *all* of the following criteria can be aggregated together and reported as a single position:

Instrument type:
- Fixed-rate mortgages
- Adjustable-rate non-teaser mortgages
- Adjustable-rate teaser mortgages
- Other fixed-rate real-estate loans
- Other adjustable real-estate loans
- Fixed-rate commercial loans
- Adjustable-rate commercial loans
- Fixed-rate consumer loans
- Adjustable-rate consumer loans
- Money-market assets

Loans that differ in *any* of the above criteria cannot be aggregated together into the same position.
NOTE: These are maximum aggregation criteria. At the reporting institution's discretion, additional bucket boundaries can be added (as long as they do not replace the boundaries stated here), or raw, account-level position attributes can be reported.

Type

Indicate which of the following types is being reported:

Fixed-rate mortgages
Adjustable-rate non-teaser mortgages
Adjustable-rate teaser mortgages
Other fixed-rate real-estate loans
Other adjustable real-estate loans
Fixed-rate commercial loans
Adjustable-rate commercial loans
Fixed-rate consumer loans
Adjustable-rate consumer loans
Money-market assets

Warehouse

Report the dollar balance of those loans that are 90 days or more past due and nonaccrual on a consolidated basis.

Non-performing

Report the accrued interest receivable on the position.

Accrued interest receivable

Report amounts you paid by on behalf of borrowers for taxes and insurance on loans. This field primarily contains negative balances in tax and insurance escrows for loans you own. Do not include:

Credit balances. Report on SC783, Escrows.
Advances for taxes and insurance on loans and participations serviced for others.
Advances for taxes and insurance on capitalized loans.

Advance for taxes and insurance

Report the net amount of unamortized premiums and discounts related to balances on these loans.

Unamortized yield adjustment

Report general and specific valuation allowances established to recognize credit losses for these loans.

Valuation allowance

Report, on a consolidated basis, gross unrealized gains (losses) on loans held for sale, available-for-sale securities, and trading securities. Also report the unamortized deferred gains and losses on hedging transactions closed prior to adoption of SFAS No. 133, and the accumulated gain or loss (change in fair value) on the asset attributable to the designated risk being hedged on a qualifying fair value hedge under SFAS No. 133.

Unrealized gain (loss)

OrigMaturity

RemMaturity

Type	Balance	Coupon	OrigMaturity	RemMaturity	ExerStruct	FirstExer	LastExer	ExerFreq	Strike

Aggregation Rule: All structured FHLB advances should be reported individually. Structured advances that are not one of the types defined below should be self-valued, and reported elswhere.

Type

The type should be one of the following:

Putable
Callable
Convertible
Floor

Other types should be self-valued and reported elsewhere

Balance

Report the dollar balance of the position.

Coupon

Report the weighted-average coupon rate, as described in the note on Weighted Average Calculations.

Original maturity

Report the weighted average original maturity, as described in the note on Weighted Average Calculations.

Remaining maturity

Exercise structure

The type should be one of the following:

European
Bermudan

First exercise date

Indicate the time in months until the first exercise date on the advance.

Last Exercise date

Indicate the time in months until the last exercise date on the advance (for European options, this should be identical to the first exercise date).

Exercise date frequency

Indicate the frequency of exercise dates between the first and last (for European options, report zero).

Strike price

Indicate the strike price of the option.