Expanded Risk-Based Approach Implementation Workbench

Revised Standardized Approach Implementation Workbench

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Bank of Ted

A mock $600B Category III bank with a deliberately mixed portfolio. The workbook traces capital, RWA schedules, final ratios, and disclosure outputs as one calculation package.

Total Assets$600.0B

CET1 Capital$52.4B

Tier 1 Capital$58.0B

Total Capital$67.0B

Total RWA$456.7B

CET1 Ratio11.5%

Tier 1 Ratio12.7%

Total Capital Ratio14.7%

Open a step when you want the schedule math; keep it collapsed when you just need the bank-level roll-forward.

Step 01

Scope and Category Resolution

Inputs

Total Assets$600.0B

GSIB StatusNo

Cross-Jurisdictional Activity$40.0B

Formula

Category IGSIB = NoFail

Category IIAssets >= $700B or $100B + $75B CJAFail

Category IIIAssets >= $250BPass

Output

Regulatory Category = Category III Carry forward into AOCI transition and capital treatment.

References

Current proposal12 CFR 252.512 CFR 217.2Tailoring FAQ

The 2019 tailoring framework establishes the ordered Category I-IV hierarchy.
12 CFR 252.5 is the operative classifier for the domestic Bank of Ted scenario.
FR Y-9C and FR Y-15 supply the official metrics used in the branch tests.
The 2019 applicability-threshold rule makes category status capital-relevant.

Step 02

Capital Definition and AOCI Transition

Inputs carried into this step

Common Stock and Surplus, Retained Earnings, Accumulated Other Comprehensive Income, Additional Tier 1 Capital, Tier 2 Capital

Workbook math

Worked directly from the mock dataset

12 CFR 252.5 12 CFR 217.2 FR Y-9C Current proposal

Bank Profile and Capital Starting Point

A mock $600B Category III bank with a mixed asset portfolio spanning the major capital and RWA lanes.

Inputs

Total Assets $600.0B Mock total consolidated assets

Regulatory Category Category III domestic banking organization Resolved from the sourced Bank of Ted category profile

Common Stock and Surplus $36.0B Common stock and surplus

Retained Earnings $17.4B Retained earnings

Accumulated Other Comprehensive Income $-4.0B Negative AOCI carried into the transition example

Mortgage Servicing Assets $5.0B MSAs tracked but not deducted under the proposal

Additional Tier 1 Capital $5.6B Qualifying Additional Tier 1 instruments

Tier 2 Capital $9.0B Qualifying Tier 2 capital

Formula

Transition AOCI deduction = transition AOCI adjustment amount x transition AOCI percentage.
CET1 capital = common stock and surplus + retained earnings - transition AOCI deduction.
Tier 1 capital = CET1 capital + Additional Tier 1 capital.
Total capital = Tier 1 capital + Tier 2 capital.

Output

Transition AOCI Adjustment Amount $4.0B Baseline transition adjustment amount

Common Equity Tier 1 Capital $52.4B CET1 after AOCI transition and deduction assumptions

Tier 1 Capital $58.0B CET1 plus Additional Tier 1

Total Capital $67.0B Tier 1 plus Tier 2

Step 03

Residential Mortgage Treatment

Inputs carried into this step

Exposure Amount, Extension of Credit Amount, Property Value at Origination, Lien Position, Combined Lien Treatment Flag, Owner Occupied Flag, Private Mortgage Insurance Flag, Private Mortgage Insurance Amount

Workbook math

Worked directly from the mock dataset

Current proposal FR Y-9C 12 CFR 217.10

Prime Owner-Occupied Residential Mortgage

Owner-occupied mortgage schedule shown as LTV buckets that roll back to the Bank of Ted residential mortgage subtotal.

Inputs

Exposure Amount $110.0B Prime owner-occupied first-lien portfolio

Extension of Credit Amount $110.0B Combined extension of credit

Property Value at Origination $131.0B Aggregate origination property value across the prime branch schedule

Lien Position First-lien plus junior-lien position with no intervening lien Shows why the combined-lien branch applies

Combined Lien Treatment Flag Yes No intervening lien; junior liens combined

Owner Occupied Flag Yes Primary residence profile

Private Mortgage Insurance Flag Yes Tracked but excluded from LTV adjustment

Private Mortgage Insurance Amount $6.0B Private mortgage insurance support amount

Formula

For each bucket, LTV ratio = extension of credit / property value at origination.
For each bucket, mortgage RWA = exposure balance x proposal mortgage risk weight.
Prime branch RWA subtotal = sum of the bucket-level RWA amounts.

Output

LTV Ratio 84.0% Weighted aggregate LTV across the prime mortgage bucket schedule

Risk Weight 44.5% Weighted-average risk weight across the prime branch schedule

Risk-Weighted Asset Amount $49.0B Prime mortgage RWA

Prime mortgage LTV bucket schedule

LTV bucket	Exposure / extension of credit	Property value at origination	LTV	Risk weight	RWA
60% < LTV <= 80%	$40.0B	$53.3B	75.0%	35%	$14.0B
80% < LTV <= 90%	$35.0B	$41.2B	85.0%	45%	$15.75B
90% < LTV <= 100%	$35.0B	$36.8B	95.0%	55%	$19.25B
Total prime branch	$110.0B	$131.0B	84.0%	44.5% weighted avg	$49.0B

PMI amount of $6.0B is tracked for implementation, but the proposal still calculates LTV as extension of credit divided by property value at origination without a PMI adjustment.

Non-Owner-Occupied Junior-Lien Residential Mortgage

Standard-table residential mortgage schedule for a non-owner-occupied standalone junior-lien mix.

Inputs

Exposure Amount $18.0B Non-owner-occupied and standalone junior-lien residential mortgage portfolio

Extension of Credit Amount $18.0B Combined extension of credit

Property Value at Origination $22.5B Aggregate origination value across the junior-lien branch

Lien Position Standalone junior-lien position Separate junior-lien treatment branch

Combined Lien Treatment Flag No Not combined with a first lien

Owner Occupied Flag No Non-owner-occupied collateral

Private Mortgage Insurance Flag No No PMI support

Private Mortgage Insurance Amount 0 No PMI amount in this branch

Formula

For each bucket, LTV ratio = extension of credit / property value at origination.
For each bucket, mortgage RWA = exposure balance x proposal mortgage risk weight.
Branch RWA subtotal = sum of the bucket-level RWA amounts.

Output

LTV Ratio 80.0% Weighted aggregate LTV across the junior-lien branch

Risk Weight 40.0% Weighted-average standard-table risk weight across the branch

Risk-Weighted Asset Amount $7.2B Junior-lien standard-table residential mortgage RWA

Non-owner-occupied / junior-lien LTV bucket schedule

LTV bucket	Exposure / extension of credit	Property value at origination	LTV	Risk weight	RWA
50% < LTV <= 60%	$6.0B	$10.0B	60.0%	30%	$1.8B
60% < LTV <= 80%	$6.0B	$8.0B	75.0%	35%	$2.1B
80% < LTV <= 90%	$6.0B	$4.5B	133.3% combined constraint proxy	55%	$3.3B
Junior-lien branch	$18.0B	$22.5B	80.0% weighted avg	40.0% weighted avg	$7.2B

Non-owner-occupied and standalone junior-lien mix in the standard mortgage table.

Cash-Flow-Dependent Residential Mortgage

Cash-flow-dependent mortgage schedule with its own LTV buckets and subtotal.

Inputs

Exposure Amount $50.0B Investor and cash-flow-dependent mortgage portfolio

Extension of Credit Amount $50.0B Outstanding credit balance

Property Value at Origination $46.5B Aggregate origination value across the cash-flow-dependent schedule

Cash Flow Dependency Indicator Yes Repayment depends on property cash flows

Formula

Cash-flow dependency routes the exposure into the more punitive residential mortgage table.
For each bucket, LTV ratio = extension of credit / property value at origination.
Cash-flow-dependent branch RWA subtotal = sum of the bucket-level RWA amounts.

Output

LTV Ratio 107.4% Weighted aggregate LTV across the cash-flow-dependent branch schedule

Risk Weight 120.0% Weighted-average cash-flow-dependent risk weight across the branch schedule

Risk-Weighted Asset Amount $60.0B Cash-flow-dependent mortgage RWA

Cash-flow-dependent mortgage LTV bucket schedule

LTV bucket	Exposure / extension of credit	Property value at origination	LTV	Risk weight	RWA
80% < LTV <= 90%	$10.0B	$11.8B	85.0%	100%	$10.0B
90% < LTV <= 100%	$15.0B	$15.8B	95.0%	120%	$18.0B
LTV > 100%	$25.0B	$19.6B	127.4%	128%	$32.0B
Total cash-flow branch	$50.0B	$46.5B	107.4%	120.0% weighted avg	$60.0B

Cash-flow-dependent mortgage subtotal before residential roll-up.

Step 04

Corporate and Other Assets

Inputs carried into this step

Exposure Amount

Workbook math

Worked directly from the mock dataset

Current proposal FR Y-9C 12 CFR 217.10

Corporate Lending and Other Assets

On-balance-sheet corporate and other-assets schedule.

Inputs

Exposure Amount $253.0B Corporate loan portfolio

Exposure Amount $23.0B Residual other-assets bucket

Formula

Corporate RWA = corporate exposure balance x 95%.
Other-assets RWA = other-assets balance x 90%.
Combined RWA = corporate RWA + other-assets RWA.

Output

Risk Weight 95.0% Proposal corporate risk weight

Risk Weight 90.0% Proposal other-assets risk weight

Risk-Weighted Asset Amount $261.0B Combined corporate and other-assets RWA

Corporate exposure mix

On-balance-sheet bucket	Mock balance	Proposal risk weight	RWA
Corporate exposures	$253.0B	95%	$240.35B

Other-assets schedule

On-balance-sheet bucket	Mock balance	Proposal risk weight	RWA
Residual other-assets bucket	$23.0B	90%	$20.67B

Corporate and other-assets outputs recombine here before the total standardized RWA roll-up.

Step 05

Off-Balance Sheet Commitments

Inputs carried into this step

Commitment Type, Highest Total Drawn Amount Over Prior 24 Months, Current Drawn Amount, Unconditionally Cancelable Flag

Workbook math

Worked directly from the mock dataset

Current proposal FR Y-9C 12 CFR 217.10

Off-Balance Sheet Commitments

Commercial commitment schedule — flat 40% CCF regardless of maturity per § ll.112(b)(3).

Inputs

Commitment Type Commercial commitments Portfolio of unfunded commercial commitments

Exposure Amount $20.0B Contractual off-balance sheet component

Unconditionally Cancelable Flag No Portfolio is not unconditionally cancelable

Formula

Off-balance sheet exposure amount = off-balance sheet component x applicable conversion factor (flat 40% per § ll.112(b)(3)).
Commercial commitment RWA = EAD x underlying obligor risk weight (see sub-asset-class breakouts for the obligor mix).

Output

Conversion Factor 40.0% Proposal commitment CCF regardless of maturity

Exposure Amount $8.0B $20.0B x 40%

Risk-Weighted Asset Amount $4.20B Blended obligor RW: 0.5B sov @0% + 1.5B bank @30% + 5.0B IG corp @65% + 1.0B CRE multifamily @50%

Commercial commitment schedule

Instrument	Base amount	CCF	Exposure amount	Risk weight	RWA
Commercial commitments	$20.0B	40%	$8.0B	obligor mix	$4.20B

Performance Standby Letter of Credit

Performance standby letter of credit schedule.

Inputs

Commitment Type Performance standby letter of credit Performance standby branch within off-balance-sheet exposures

Exposure Amount $3.0B Contractual performance standby amount

Unconditionally Cancelable Flag No Standby is legally binding

Formula

Performance standby exposure amount = contractual amount x 50% conversion factor (§ ll.112(b)(2)).
Performance standby RWA = EAD x underlying obligor risk weight (IG corporate beneficiary).

Output

Conversion Factor 50.0% Performance standby CCF per § ll.112(b)(2)

Exposure Amount $1.5B $3.0B x 50%

Risk-Weighted Asset Amount $0.975B $1.5B x 65% IG corporate RW

Performance standby schedule

Instrument	Base amount	CCF	Exposure amount	Risk weight	RWA
Performance standby letter of credit	$3.0B	50%	$1.5B	65%	$0.975B

Kept separate from financial standby letters because the conversion-factor treatment differs.

Financial Standby Letter of Credit

Financial standby letter of credit schedule.

Inputs

Commitment Type Financial standby letter of credit Financial standby branch within off-balance-sheet exposures

Exposure Amount $2.0B Contractual financial standby amount

Unconditionally Cancelable Flag No Standby is legally binding

Formula

Financial standby exposure amount = contractual amount x 100% conversion factor (direct credit substitute).
Financial standby RWA = EAD x underlying obligor risk weight (mix of IG and non-IG corporate).

Output

Conversion Factor 100.0% Direct credit substitute (100% CCF)

Exposure Amount $2.0B $2.0B x 100%

Risk-Weighted Asset Amount $1.475B Blended obligor RW: 1.5B IG corp @65% + 0.5B non-IG corp @100%

Financial standby schedule

Instrument	Base amount	CCF	Exposure amount	Risk weight	RWA
Financial standby letter of credit	$2.0B	100%	$2.0B	obligor mix	$1.475B

Distinct CCF treatment for this branch.

Commitment With No Preset Limit

No-preset-limit lookback schedule.

Inputs

Commitment Type Commitment with no preset limit No-pre-set-limit commitment branch

Highest Total Drawn Amount Over Prior 24 Months $12.0B Highest total drawn amount over the prior 24 months

Current Drawn Amount $7.0B Current drawn amount subtracted from the 24-month high-water mark

Unconditionally Cancelable Flag No Line is not unconditionally cancelable

Formula

Undrawn exposure proxy = highest total drawn amount over the lookback period - current drawn amount.
No-preset-limit exposure amount = undrawn exposure proxy x applicable conversion factor.
No-preset-limit RWA = converted exposure amount x applicable risk weight.

Output

Conversion Factor 40.0% Applicable non-cancelable commitment CCF

Exposure Amount $2.0B Undrawn proxy amount x CCF

Risk-Weighted Asset Amount $1.585B Blended obligor RW: 0.4B IG corp @65% + 0.5B non-IG corp @100% + 1.1B reg retail @75%

No preset limit schedule

Instrument	Highest drawn amount	Current drawn amount	Undrawn proxy	CCF	Exposure amount	Risk weight	RWA
Commitment with no preset limit	$12.0B	$7.0B	$5.0B	40%	$2.0B	obligor mix	$1.585B

The proposal derives the undrawn proxy from the 24-month high-water mark less the current drawn amount, then applies the applicable commitment CCF.

Unconditionally Cancelable Commitment

Under the proposal's Revised Standardized Approach, UCC commitments receive a 10% CCF per § ll.112(a)(4) — a change from the 0% CCF under the current Standardized rule at 12 CFR 217.33. The mock portfolio is predominantly credit-card lines.

Inputs

Commitment Type Unconditionally cancelable commitment UCC branch (predominantly credit-card lines)

Exposure Amount $25.0B Contractual amount of the cancelable line portfolio

Unconditionally Cancelable Flag Yes Bank may cancel the line unconditionally

Formula

Unconditionally cancelable commitment exposure amount = contractual amount x 10% conversion factor (§ ll.112(a)(4)).
UCC RWA = EAD x underlying obligor risk weight (regulatory retail under § ll.111(g)(1)(i)).

Output

Conversion Factor 10.0% 10% UCC CCF per § ll.112(a)(4) (proposal RSA)

Exposure Amount $2.5B $25.0B x 10%

Risk-Weighted Asset Amount $1.875B $2.5B x 75% regulatory retail RW

Unconditionally cancelable commitment schedule

Instrument branch	Base amount	CCF	Exposure amount	RW	RWA
Unconditionally cancelable credit-card / retail lines	$25.0B	10%	$2.5B	75%	$1.875B

Asset-Based Loan / Borrowing-Base Revolver

Committed ABL revolver capped by an eligible-collateral borrowing base. Because the facility has an express contractual maximum (the borrowing base), it is treated as an ordinary commitment under § ll.112(b)(3) - 40% CCF on the committed-but-undrawn amount - not a no-preset-limit line.

Inputs

Commitment amount$10.0BMaximum lender obligation under the credit agreement

Borrowing-base cap (current)$8.0BEligible-collateral-based availability under the borrowing base

Current drawn amount$4.0BOutstanding revolver balance

Undrawn committed amount$4.0Bmin(commitment, borrowing base) - current drawn = $8.0B - $4.0B

Unconditionally Cancelable FlagNoLender is contractually committed up to the borrowing base

Formula

Undrawn committed amount = min(commitment, borrowing base) - current drawn amount.
Off-balance sheet exposure amount = undrawn committed amount x 40% conversion factor.
ABL revolver RWA = EAD x 65% IG corporate risk weight.

Output

Conversion Factor40.0%Standard commitment CCF (contractual borrowing-base cap exists)

Exposure Amount$1.6B$4.0B x 40%

Risk-Weighted Asset Amount$1.04B$1.6B x 65% IG corporate RW

ABL revolver schedule

Instrument	Commitment	Borrowing base	Current drawn	Undrawn committed	CCF	Exposure amount	RW	RWA
Asset-based loan / borrowing-base revolver	$10.0B	$8.0B	$4.0B	$4.0B	40%	$1.6B	65%	$1.04B

Contractual borrowing-base cap is an express maximum, so the facility is a standard commitment (not a no-preset-limit line under § ll.112(a)(5)).

Sub-asset-class breakouts

OBS RWA across underlying obligor classes (mirrors the Step 03 asset-class breakout pattern)

Sub-asset-class RWA tiles below reuse the underlying-obligor risk weights from Step 03 and apply them to the OBS EAD from the product-branch math above. Per-class RWAs reconcile to the OBS subtotal of $11.2B.

Sovereign OBS RW 0% · EAD $0.5B · RWA $0.00B

U.S. government / agency commitments and standby LCs (re-uses the Step 03 sovereign card). Rule band: Table 1 to § ll.111.

Branch	EAD	RW	RWA
Commercial commitments - sovereign-guaranteed share (post-40% CCF EAD)	$0.5B	0%	$0.00B
Sovereign OBS RWA	$0.5B	-	$0.00B

Citations: § ll.112(a)-(b) (CCFs); § ll.111(a) (sovereign RW); 12 CFR 217.32(a).

Bank OBS RW 30% · EAD $1.5B · RWA $0.45B

Bank-counterparty LCs and committed lines for Grade A bank obligors. Rule band: Table 2 to § ll.111.

Branch	EAD	RW	RWA
Commercial commitments - bank-counterparty share (post-40% CCF EAD)	$1.5B	30%	$0.45B
Bank OBS RWA	$1.5B	-	$0.45B

Citations: § ll.112(a)-(b) (CCFs); § ll.111(d) (bank RW); 12 CFR 217.32(d).

Investment-grade corporate OBS RW 65% · EAD $10.0B · RWA $6.50B

Bulk of commercial commitments, the ABL revolver, and standby LCs whose obligors meet the § ll.111(h)(1) investment-grade determination. Rule band: § ll.111(h).

Branch	EAD	RW	RWA
Commercial commitments (40% CCF) - IG corp share	$5.0B	65%	$3.25B
ABL / borrowing-base revolver - IG corp obligor	$1.6B	65%	$1.04B
Performance standby LCs - IG corp	$1.5B	65%	$0.975B
Financial standby LCs - IG corp share	$1.5B	65%	$0.975B
No-preset-limit commitments - IG corp share	$0.4B	65%	$0.26B
IG corporate OBS RWA	$10.0B	-	$6.50B

Citations: § ll.112(a)-(b) (CCFs); § ll.111(h) (corporate RW); 12 CFR 217.32(f).

Non-investment-grade corporate OBS RW 100% · EAD $1.0B · RWA $1.00B

General corporate obligors that do not meet the § ll.111(h)(1) IG criteria.

Branch	EAD	RW	RWA
Financial standby LCs - non-IG corp share (post-100% CCF EAD)	$0.5B	100%	$0.50B
No-preset-limit commitments - non-IG corp share (post-40% CCF EAD)	$0.5B	100%	$0.50B
Non-IG corporate OBS RWA	$1.0B	-	$1.00B

Citations: § ll.112(a)-(b) (CCFs); § ll.111(h) (general corporate RW); 12 CFR 217.32(f).

Regulatory retail / credit card OBS RW 75% · EAD $3.6B · RWA $2.70B

Predominantly unconditionally-cancelable credit card lines and small-business revolvers meeting § ll.111(g)(1)(i). The 10% UCC CCF under the proposal is what makes this branch non-zero (the current rule sets UCC at 0%).

Branch	EAD	RW	RWA
UCC credit-card lines (post-10% CCF EAD)	$2.5B	75%	$1.875B
No-preset-limit retail lines (post-40% CCF EAD)	$1.1B	75%	$0.825B
Regulatory retail OBS RWA	$3.6B	-	$2.70B

Citations: § ll.112(a)(4) (10% UCC CCF); § ll.112(b)(3) (40% commitment CCF); § ll.111(g)(1)(i) (regulatory retail RW).

Commercial real estate OBS RW 50% · EAD $1.0B · RWA $0.50B

Multifamily take-out / construction commitments treated as statutory multifamily exposures (re-uses the Step 03 CRE card). Rule band: § ll.111(f)(1).

Branch	EAD	RW	RWA
Commercial commitments - multifamily take-out (post-40% CCF EAD)	$1.0B	50%	$0.50B
Commercial real estate OBS RWA	$1.0B	-	$0.50B

Citations: § ll.112(b)(3) (40% commitment CCF); § ll.111(f)(1) (statutory multifamily RW).

Branch × sub-asset class reconciliation ($B)

Branch	Sov	Bank	IG corp	Non-IG corp	Reg retail	CRE	Branch EAD	Branch RWA
Commercial commitments (40% CCF)	0.5	1.5	5.0	0	0	1.0	8.0	4.20
ABL / borrowing-base revolver	0	0	1.6	0	0	0	1.6	1.04
Performance standby LCs (50% CCF)	0	0	1.5	0	0	0	1.5	0.975
Financial standby LCs (100% CCF)	0	0	1.5	0.5	0	0	2.0	1.475
No-preset-limit (40% on proxy)	0	0	0.4	0.5	1.1	0	2.0	1.585
UCC (10% CCF)	0	0	0	0	2.5	0	2.5	1.875
Sub-asset class EAD · RWA	0.5 · 0.00	1.5 · 0.45	10.0 · 6.50	1.0 · 1.00	3.6 · 2.70	1.0 · 0.50	17.6	11.15

Row totals = product-branch RWAs above; column totals = sub-asset-class card RWAs. Sum of branch RWAs = sum of sub-asset class RWAs = $11.15B (~$11.2B), which carries into the Step 07 credit-RWA roll-up.

Step 06

Credit Risk Mitigation

Inputs carried into this step

Credit Risk Mitigant, Collateral Fair Value, Collateral Haircut, Maturity Mismatch Adjustment

Workbook math

Worked directly from the mock dataset

Current proposal 12 CFR 217.10

Credit Risk Mitigation Loan

Collateral-type CRM schedule showing how cash, sovereign securities, corporate bonds, and equity collateral are haircut and maturity-matched before the protected and unprotected portions are rolled back together.

Inputs

Credit Risk Mitigant Mixed eligible financial collateral Eligible collateral recognized under the simple / haircut framework

Collateral Fair Value $11.0B Total fair value of pledged collateral across all pledged collateral types

Collateral Haircut 3.8% Weighted-average collateral haircut across the pledged collateral schedule

Maturity Mismatch Adjustment 96.2% Weighted-average maturity mismatch factor across the pledged collateral schedule

Formula

For each pledged collateral type, discounted collateral value = collateral fair value x (1 - collateral haircut).
For each pledged collateral type, protected amount = discounted collateral value x maturity mismatch adjustment.
Protected exposure amount = sum of the collateral-type protected amounts.
Unprotected exposure amount = total secured exposure - protected exposure amount.

Output

Discounted Collateral Value $10.6B Collateral fair value after collateral-type haircuts

Protected Exposure Amount $10.2B Haircut-adjusted collateral after maturity mismatch treatment

Unprotected Exposure Amount $9.8B Residual from a 20B secured exposure

Risk-Weighted Asset Amount $11.4B Illustrative mitigated RWA after the collateral split

Collateral-type haircut and maturity-match schedule

Pledged collateral type	Fair value	Haircut	Discounted collateral value	Maturity match	Protected amount
Cash on deposit	$4.00B	0.0%	$4.00B	100.0%	$4.00B
U.S. Treasury securities	$3.50B	2.0%	$3.43B	100.0%	$3.43B
Investment-grade corporate bonds	$2.50B	8.0%	$2.30B	90.0%	$2.07B
Publicly traded equity collateral	$1.00B	15.0%	$0.85B	80.0%	$0.68B
Total pledged collateral	$11.00B	3.8% weighted avg	$10.58B	96.2% weighted avg	$10.18B

This is the core CRM mechanic: each collateral type takes its own haircut, then the maturity match reduces the amount of protection that can actually be recognized.

Protected and unprotected CRM summary

CRM summary component	Mock amount	Calculation	Result
Total secured exposure	$20.00B	-	Starting exposure
Protected exposure amount	$10.18B	Sum of collateral-type protected amounts	Protected branch
Unprotected exposure amount	$9.82B	$20.00B - $10.18B	Residual branch
Illustrative protected-branch RWA	$2.07B	$10.18B x blended substituted treatment	Protected RWA
Illustrative unprotected-branch RWA	$9.33B	$9.82B x 95.0%	Residual RWA
Combined CRM subtotal	-	-	$11.40B

Protected and unprotected branches after haircut and maturity-match adjustments.

Guarantee / Unfunded Credit Protection CRM Branch

Guarantor-type CRM schedule showing how sovereign, bank, and corporate guarantees are maturity-matched and then carried into the protected and residual exposure split.

Inputs

Credit Risk Mitigant Mixed eligible guarantees Recognized unfunded credit protection across multiple guarantor types

Maturity Mismatch Adjustment 92.0% Weighted-average guarantee mismatch factor across the guarantor schedule

Formula

For each guarantor type, protected amount = eligible guarantee amount x maturity mismatch adjustment.
Protected-branch RWA = protected amount x substituted guarantor risk weight.
Unprotected amount = total exposure - protected amount.
Calculate protected and unprotected portions separately before recombining the RWA result.

Output

Protected Exposure Amount $7.4B Protected portion after applying the guarantee and mismatch factor

Unprotected Exposure Amount $4.6B Residual exposure not covered by the guarantee

Risk-Weighted Asset Amount $6.0B Illustrative combined RWA for protected and unprotected portions

Guarantor-type protection schedule

Guarantor type	Guaranteed amount	Maturity match	Protected amount	Substituted risk weight	Protected-branch RWA
Sovereign guarantee	$3.00B	100.0%	$3.00B	20.0%	$0.60B
Investment-grade bank guarantee	$2.50B	95.0%	$2.38B	50.0%	$1.19B
Investment-grade corporate guarantee	$2.50B	79.2%	$1.98B	85.0%	$1.682B
Protected subtotal	$8.00B	92.0% weighted avg	$7.36B	-	$3.472B

Guarantor-specific maturity-match and substituted risk-weight treatment.

Guarantee CRM summary

Guarantee CRM component	Mock amount	Calculation	Result
Total protected-asset candidate	$12.00B	-	Starting exposure
Protected exposure amount	$7.36B	Sum of guarantor-type protected amounts	Protected branch
Unprotected exposure amount	$4.64B	$12.00B - $7.36B	Residual branch
Protected-branch RWA	$3.472B	Sum of substituted guarantor RWA	Protected RWA
Unprotected-branch RWA	$2.560B	$4.64B x 55.2% blended residual treatment	Residual RWA
Guarantee CRM subtotal	-	-	$6.032B

The branch stays split long enough to show the benefit of the guarantor substitution before the residual exposure is recombined into one CRM subtotal.

Step 07

Derivative Counterparty Exposure

Inputs carried into this step

Derivative Counterparty Classification, SA-CCR Replacement Cost, SA-CCR Potential Future Exposure, SA-CCR Multiplier (Alpha)

Workbook math

Worked directly from the mock dataset

Current proposal 12 CFR 217.10

Derivative Counterparty Exposure via SA-CCR

Uses a mixed derivative portfolio so SA-CCR can be traced netting-set by netting-set before the carried-forward derivative subtotal is summarized.

Inputs

Derivative Counterparty Classification Mixed counterparty set Portfolio includes investment-grade bank, non-investment-grade corporate, and sovereign-style counterparty examples

SA-CCR Replacement Cost $3.0B Aggregate replacement cost across the derivative mix

SA-CCR Potential Future Exposure $5.6B Aggregate potential future exposure add-on across the derivative mix

SA-CCR Multiplier (Alpha) 140.0% Illustrative SA-CCR multiplier (alpha)

Derivative Counterparty Risk Weight 100.0% Weighted-average counterparty treatment across the mix

Formula

SA-CCR exposure amount = alpha x (replacement cost + potential future exposure).
Derivative RWA = derivative exposure amount x derivative counterparty risk weight.

Output

Derivative Exposure Amount $12.0B SA-CCR exposure amount

Risk-Weighted Asset Amount $12.0B Derivative exposure amount x counterparty risk weight

SA-CCR netting-set schedule

Derivative set	Counterparty mix	Replacement cost	Potential future exposure	Alpha	SA-CCR exposure amount	Risk weight	RWA
Interest rate swaps	Investment-grade bank	$1.0B	$1.9B	140.0%	$4.0B	100%	$4.0B
FX forwards	Non-investment-grade corporate	$1.2B	$2.4B	140.0%	$5.0B	100%	$5.0B
Purchased credit protection / CDS	Sovereign-style counterparty	$0.8B	$1.3B	140.0%	$3.0B	100%	$3.0B
Derivative subtotal	-	$3.0B	$5.6B	-	$12.0B	-	$12.0B

This mirrors the mortgage LTV schedules: each netting set shows its own SA-CCR build, then the rows tie into the consolidated derivative subtotal carried forward by Bank of Ted.

Collateralized SA-CCR Netting Set

Mock collateralized derivative branch that keeps replacement cost, potential future exposure, collateral recognition, and final SA-CCR exposure amount visible together.

Inputs

Derivative Counterparty Classification Collateralized investment-grade bank netting set Variation margin recognized in the netting set

SA-CCR Replacement Cost $1.5B Replacement cost net of recognized collateral

SA-CCR Potential Future Exposure $2.1B Potential future exposure add-on after diversification effects

SA-CCR Multiplier (Alpha) 140.0% Illustrative SA-CCR multiplier (alpha)

Derivative Counterparty Risk Weight 20.0% Illustrative counterparty weight for the collateralized branch

Formula

Collateralized SA-CCR exposure amount = alpha x (replacement cost + potential future exposure).
Collateralized derivative RWA = derivative exposure amount x counterparty risk weight.

Output

Derivative Exposure Amount $5.0B Collateralized SA-CCR exposure amount

Risk-Weighted Asset Amount $1.0B Collateralized derivative RWA

Collateralized SA-CCR schedule

Netting-set component	Mock amount	Calculation	Result
Replacement cost after variation margin	$1.5B	-	Net replacement cost
Potential future exposure	$2.1B	-	Add-on amount
Alpha	140.0%	1.4 x ($1.5B + $2.1B)	$5.0B exposure amount
Counterparty risk weight	20.0%	$5.0B x 20.0%	$1.0B RWA
Collateralized SA-CCR subtotal	-	$5.0B	$1.0B

Step 08

Equity Exposures

Inputs carried into this step

Equity Exposure Amount, Equity Exposure Type

Workbook math

Worked directly from the mock dataset

Current proposal 12 CFR 217.10

Equity Exposure and Equity Commitment Branch

Equity schedule with direct equity and equity commitment rows.

Inputs

Equity Exposure Amount $1.5B Mock equity position exposure amount

Equity Exposure Type Conditional commitment to acquire an equity exposure Branch chosen to show the equity commitment treatment

Formula

Identify the equity exposure or equity commitment branch first.
Assign the applicable equity treatment to the mock exposure amount.
Equity RWA = equity exposure amount x assigned equity treatment.

Output

Risk Weight 3.28 Weighted-average equity treatment across direct and commitment rows

Risk-Weighted Asset Amount $5.0B Equity exposure amount x assigned equity treatment

Equity exposure schedule

Equity bucket	Mock exposure amount	Assigned treatment	Risk weight	RWA
Direct publicly traded equity exposure	$1.0B	Direct equity treatment	250%	$2.5B
Conditional commitment to acquire equity	$0.526B	Equity commitment treatment	475%	$2.5B
Equity subtotal	$1.526B	-	-	$5.0B

Direct equity and commitment rows before total equity RWA is carried forward.

Non-Public Equity Exposure

Non-public equity exposure schedule.

Inputs

Equity Exposure Amount 750,000,000 Direct non-public equity exposure amount

Equity Exposure Type Direct non-public equity exposure Separate direct-equity branch

Formula

Identify the direct non-public equity branch first.
Apply the assigned non-public equity treatment to the exposure amount.
Equity RWA = equity exposure amount x assigned treatment.

Output

Risk Weight 4.00 Illustrative non-public equity treatment

Risk-Weighted Asset Amount $3.0B Non-public equity RWA

Non-public equity schedule

Equity bucket	Mock exposure amount	Assigned treatment	Risk weight	RWA
Direct non-public equity exposure	$0.75B	Direct non-public equity treatment	400%	$3.0B

Step 09

Securitization Framework

Inputs carried into this step

Securitization Exposure Amount, Attachment Point A, Detachment Point D, Reserve Account Amount, Servicer Cash Advance Facility

Workbook math

Worked directly from the mock dataset

Current proposal 12 CFR 217.10

Senior NPL Securitization

Forces the favorable senior NPL branch when the nonrefundable discount test is satisfied.

Inputs

Unpaid Principal Balance $16.0B Underlying pool UPB

Nonrefundable Purchase Price Discount $8.8B 55 percent of UPB

After-Tax Gain-on-Sale 600,000,000 Portion of the gain-on-sale retained as an input to the deduction analysis

CEIO Strip 800,000,000 Credit-enhancing interest-only strip not constituting after-tax gain-on-sale

Attachment Point A 55.0% Effective first-loss absorption

Detachment Point D 100.0% Senior tranche detachment

Formula

If the nonrefundable purchase price discount is >= 50 percent of UPB and the exposure is senior, the example applies the 100 percent treatment.
Securitization RWA = exposure amount x assigned securitization risk weight.

Output

Risk Weight 100.0% Illustrative 100 percent senior NPL treatment

Risk-Weighted Asset Amount $8.0B Senior NPL securitization RWA

Senior NPL discount test

Senior NPL test component	Mock amount	Calculation	Result
Underlying pool UPB	$16.0B	-	Reference denominator
Nonrefundable purchase price discount	$8.8B	$8.8B / $16.0B	55.0%
Senior tranche exposure amount	$8.0B	-	Exposure carried into favorable branch
Assigned senior NPL risk weight	100%	-	Final weight
Senior NPL RWA	$8.0B	$8.0B x 100%	$8.0B

Because the discount test exceeds 50 percent and the tranche is senior, the mock branch stays in the favorable senior NPL treatment before rolling into total securitization RWA.

Senior Securitization Look-Through Approach

Adds the look-through branch for a qualifying senior securitization exposure where the bank knows the underlying exposures.

Inputs

Securitization Exposure Amount $6.0B Mock senior securitization exposure amount

Look-Through Eligibility Flag Yes The exposure qualifies for the look-through approach

Formula

Confirm the exposure is a qualifying senior securitization exposure and the underlying exposures are known.
Look-through risk weight = weighted-average risk weight of the underlying exposures, subject to the rule's minimum.
Securitization RWA = securitization exposure amount x look-through risk weight.

Output

Look-Through Weighted-Average Risk Weight 68.75% Weighted-average risk weight of underlying exposures: ($0.875B + $1.900B + $1.350B) / $6.0B

Risk Weight 68.75% Look-through risk weight applied to the qualifying senior exposure

Risk-Weighted Asset Amount $4.125B $6.0B x 68.75% look-through senior securitization RWA

Look-through underlying mix

Underlying bucket	Mock balance	Underlying risk weight	Weighted contribution
Prime residential mortgage assets	$2.5B	35%	$0.875B
Corporate assets	$2.0B	95%	$1.900B
Other assets	$1.5B	90%	$1.350B
Weighted-average look-through result	$6.0B	68.75%	$4.125B

The weighted contributions sum to $4.125B / $6.0B = 68.75 percent average, which is the risk weight carried into the senior look-through branch for the $6.0B securitization exposure.

Citations: prime residential mortgage 35% per Table III.1 to 12 CFR 217.32 (60% < LTV ≤ 80%, not cash-flow-dependent; preamble pp. 008, 039); corporate exposures 95% per 12 CFR 217.32(f) as revised by the NPR (preamble p. 010); "other assets" 90% per 12 CFR 217.32(l) as revised (preamble pp. 010, 039, 042).

Look-through RWA summary

Senior look-through output	Mock exposure amount	Risk weight	RWA
Qualifying senior securitization exposure	$6.0B	68.75%	$4.125B

This row carries the weighted-average look-through result into the securitization subtotal used later in the Bank of Ted workflow.

Non-Senior SEC-SA Securitization

Forces the SEC-SA branch with A, D, W, Ka, Kg, KSEC-SA, and the risk-weight floor.

Inputs

Reserve Account Amount 500,000,000 Reserve account included in underlying exposure set

Servicer Cash Advance Facility 300,000,000 Supporting facility in the structure

Attachment Point A 40.0% Illustrative attachment point

Detachment Point D 75.0% Illustrative detachment point

W Parameter 65.0% Illustrative delinquency parameter

Ka Parameter 8.0% Illustrative Ka

Kg Parameter 6.0% Illustrative Kg

Formula

KSEC-SA is generated from A, D, W, Ka, and Kg.
Final securitization risk weight cannot fall below the applicable risk-weight floor.
Securitization RWA = exposure amount x final securitization risk weight.

Output

KSEC-SA 12.0% Illustrative SEC-SA intermediate result

Risk Weight Floor 15.0% Standard securitization floor example

Risk Weight 150.0% Illustrative post-floor risk weight

Risk-Weighted Asset Amount $7.5B Non-senior securitization RWA

SEC-SA parameter schedule

SEC-SA component	Mock value	Role in branch
Attachment point A	40.0%	Structural lower bound
Detachment point D	75.0%	Structural upper bound
W parameter	65.0%	Delinquency / pool performance input
Ka parameter	8.0%	Underlying capital measure
Kg parameter	6.0%	Alternative underlying capital measure
Reserve account amount	$0.5B	Structural support input
Servicer cash advance facility	$0.3B	Supporting facility input
Derived KSEC-SA	12.0%	-

SEC-SA intermediate inputs and derived result.

SEC-SA floor and RWA summary

SEC-SA output	Mock exposure amount	Result
KSEC-SA output	12.0%	Intermediate branch result
Risk-weight floor	15.0%	Minimum branch floor
Final securitization risk weight	150.0%	Applied post-floor weight
Exposure amount carried into branch	$5.0B	RWA denominator for this branch
SEC-SA subtotal	-	$7.5B

The mock branch keeps both the intermediate result and the floor visible so the final 150 percent risk weight is auditable.

Credit Risk Mitigation for a Securitization Exposure

Shows the hedged and unhedged portions of a securitization exposure when recognized credit protection is applied.

Inputs

Securitization Exposure Amount $5.0B Mock securitization exposure before CRM

Credit Risk Mitigant Eligible credit derivative Recognized CRM instrument applied to the hedged portion

Securitization CRM Protection Amount $2.0B Protection amount on the hedged portion

Maturity Mismatch Adjustment 90.0% Illustrative mismatch factor

Formula

Protected securitization amount = protection amount x maturity mismatch adjustment.
Unprotected securitization amount = total securitization exposure - protected amount.
Calculate capital requirements for the hedged and unhedged portions separately before recombining the result.

Output

Protected Exposure Amount $1.8B Protected hedged portion after maturity mismatch adjustment

Unprotected Exposure Amount $3.2B Residual unhedged securitization exposure

Risk-Weighted Asset Amount $4.6B Combined hedged and unhedged securitization RWA

Securitization CRM split

CRM component	Mock amount	Calculation	Result
Total securitization exposure	$5.0B	-	Starting branch amount
Recognized protection amount	$2.0B	-	Hedged portion before mismatch
Maturity mismatch adjustment	90.0%	$2.0B x 90.0%	$1.8B protected
Residual unprotected amount	-	$5.0B - $1.8B	$3.2B unprotected
Protected + unprotected recombined	-	-	$5.0B

Protected and unprotected portions before recombination.

Securitization CRM RWA summary

CRM branch output	Mock amount	Illustrative treatment	RWA
Protected portion	$1.8B	Protected securitization treatment	$1.4B
Unprotected portion	$3.2B	Residual securitization treatment	$3.2B
Securitization CRM subtotal	$5.0B	-	$4.6B

These illustrative protected and residual outputs recombine into the carried-forward securitization CRM subtotal.

Senior Securitization Defaulting Back to SEC-SA

Mock senior securitization that cannot use look-through because the underlying exposures are not sufficiently known, so the branch falls back to SEC-SA.

Inputs

Securitization Exposure Amount $4.5B Senior securitization exposure amount

Look-Through Eligibility Flag No Underlying exposure information is not sufficient for the look-through branch

Attachment Point A 22.0% Illustrative attachment point

Detachment Point D 68.0% Illustrative detachment point

W Parameter 58.0% Illustrative delinquency parameter

Ka Parameter 7.0% Illustrative Ka

Kg Parameter 5.0% Illustrative Kg

Formula

When the senior securitization is not eligible for look-through, fall back to SEC-SA.
Compute KSEC-SA from A, D, W, Ka, and Kg, then compare to the applicable floor.
Securitization RWA = exposure amount x final fallback SEC-SA risk weight.

Output

KSEC-SA 10.0% Illustrative fallback SEC-SA intermediate result

Risk Weight Floor 15.0% Illustrative securitization floor

Risk Weight 125.0% Illustrative fallback final risk weight

Risk-Weighted Asset Amount $5.6B Fallback SEC-SA RWA

Senior fallback SEC-SA schedule

Fallback SEC-SA component	Mock value	Role in branch
Look-through eligibility	No	Forces fallback to SEC-SA
Attachment point A	22.0%	Structural input
Detachment point D	68.0%	Structural input
W parameter	58.0%	Delinquency / pool performance input
Ka parameter	7.0%	Underlying capital measure
Kg parameter	5.0%	Alternative underlying capital measure
Derived KSEC-SA	10.0%	Fallback intermediate result
Risk-weight floor	15.0%	Applied floor check
Fallback SEC-SA subtotal	$4.5B x 125.0%	$5.625B

Step 10

Disclosure and Final Roll-Up

Inputs carried into this step

CET1 Ratio, Tier 1 Capital Ratio, Total Capital Ratio, Public Disclosure Requirement

Workbook math

Worked directly from the mock dataset

Current proposal 12 CFR 217.10

Disclosure and Final Roll-Up

Aggregates the mock workflow outputs into bank-level RWA and capital ratios, then highlights the public disclosure output.

Inputs

Public Disclosure Requirement Enhanced public disclosure package Output disclosure artifact

Formula

Total standardized RWA = sum of residential mortgage, corporate, equity, off-balance sheet, derivative, CRM, securitization, and disclosure-linked RWA branches.
CET1 ratio = CET1 capital / total standardized RWA.
Tier 1 ratio = Tier 1 capital / total standardized RWA.
Total capital ratio = total capital / total standardized RWA.

Output

Risk-Weighted Asset Amount $456.7B Aggregate RWA across the mock scenario set (Off-balance-sheet subtotal $11.2B per Step 04 OBS reconciliation; Securitization $29.85B reflects the corrected Senior Look-Through result)

CET1 Ratio 11.5% $52.4B / $456.7B

Tier 1 Capital Ratio 12.7% $58.0B / $456.7B

Total Capital Ratio 14.7% $67.0B / $456.7B

Bank of Ted standardized RWA roll-up

RWA family	Mock RWA subtotal
Residential mortgage	$116.2B
Corporate and other assets	$261.023B
Off-balance sheet	$11.2B
Credit risk mitigation	$17.432B
Derivatives / SA-CCR	$13.0B
Equity exposures	$8.0B
Securitization	$29.85B
Total standardized RWA	$456.7B

Family subtotals equal the consolidated denominator used for the capital ratios. The Off-balance-sheet line ($11.2B) is the Step 04 OBS subtotal carried through from the branch × sub-asset class reconciliation.

Capital ratio roll-up

Ratio	Numerator	Denominator	Result
CET1 ratio	$52.4B	$456.7B	11.5%
Tier 1 ratio	$58.0B	$456.7B	12.7%
Total capital ratio	$67.0B	$456.7B	14.7%

Capital approach

Field	Family	Calculation Role	Branch Scope	Usage Mode	Used In	Derived From	Feeds Outputs	Rule Support	Jump
Bank Profile	Scope and Applicability	Branch Flag	Branch Selector	Used In Calculation	Path A: Category III or IV Covered Banking OrganizationPath B: Category I or II / Not This Proposal Lane	-	Applicability flag	II. Definition of Capital (5)	Jump to Bank of Ted Workflow
Bank Profile	Scope and Applicability	Shared Input	Shared Core	Used In Calculation	Path A: Category III or IV Covered Banking OrganizationPath B: Category I or II / Not This Proposal Lane	-	Scope classification	I. Introduction and Overview (3)	Jump to Bank of Ted Workflow
Bank Roll-Up	Disclosure and Final Roll-Up	Final Output	Outputs	Used In Calculation	Path A: Denominator Roll-Up and Final RatiosPath B: Disclosure Outputs	Capital numeratorTotal Standardized RWA	Public Disclosure Requirement	II. Definition of Capital (4)	Jump to Bank of Ted Workflow
Bank Roll-Up	Disclosure and Final Roll-Up	Final Output	Outputs	Used In Calculation	Path A: Denominator Roll-Up and Final RatiosPath B: Disclosure Outputs	Capital numeratorTotal Standardized RWA	Public Disclosure Requirement	II. Definition of Capital (4)	Jump to Bank of Ted Workflow
Bank Roll-Up	Disclosure and Final Roll-Up	Final Output	Outputs	Used In Calculation	Path A: Denominator Roll-Up and Final RatiosPath B: Disclosure Outputs	Capital numeratorTotal Standardized RWA	Public Disclosure Requirement	II. Definition of Capital (4)	Jump to Bank of Ted Workflow
Capital Definition	Capital Definition and AOCI Transition	Shared Input	Shared Core	Used In Calculation	Path A: Category-Sensitive AOCI TransitionPath B: CET1, Tier 1, and Total Capital Build	-	AOCI capital adjustment	B. Recognition of Accumulated Other Comprehensive Income for Category III and IV Banking Organizations (5)	Jump to Bank of Ted Workflow
Capital Definition	Capital Definition and AOCI Transition	Shared Input	Shared Core	Used In Calculation	Path A: Category-Sensitive AOCI TransitionPath B: CET1, Tier 1, and Total Capital Build	-	Capital ratios	II. Definition of Capital (4)	Jump to Bank of Ted Workflow
Capital Definition	Capital Definition and AOCI Transition	Shared Input	Shared Core	Used In Calculation	Path A: Category-Sensitive AOCI TransitionPath B: CET1, Tier 1, and Total Capital Build	-	Capital deduction logic	E. Securitization Framework (21)	Jump to Bank of Ted Workflow
Capital Definition	Capital Definition and AOCI Transition	Shared Input	Shared Core	Used In Calculation	Path A: Category-Sensitive AOCI TransitionPath B: CET1, Tier 1, and Total Capital Build	-	Capital deduction logic	E. Securitization Framework (21)	Jump to Bank of Ted Workflow
Capital Definition	Capital Definition and AOCI Transition	Final Output	Outputs	Used In Calculation	Path A: Category-Sensitive AOCI TransitionPath B: CET1, Tier 1, and Total Capital Build	-	Capital ratios	II. Definition of Capital (4)	Jump to Bank of Ted Workflow
Capital Definition	Capital Definition and AOCI Transition	Shared Input	Shared Core	Used In Calculation	Path A: Category-Sensitive AOCI TransitionPath B: CET1, Tier 1, and Total Capital Build	-	CET1 build	II. Definition of Capital (4)	Jump to Bank of Ted Workflow
Capital Definition	Capital Definition and AOCI Transition	Shared Input	Shared Core	Used In Calculation	Path A: Category-Sensitive AOCI TransitionPath B: CET1, Tier 1, and Total Capital Build	-	Capital deduction logic	A. Removal of the Mortgage Servicing Asset Deduction (4)	Jump to Bank of Ted Workflow
Capital Definition	Capital Definition and AOCI Transition	Shared Input	Shared Core	Used In Calculation	Path A: Category-Sensitive AOCI TransitionPath B: CET1, Tier 1, and Total Capital Build	-	CET1 build	II. Definition of Capital (4)	Jump to Bank of Ted Workflow
Capital Definition	Capital Definition and AOCI Transition	Final Output	Outputs	Used In Calculation	Path A: Category-Sensitive AOCI TransitionPath B: CET1, Tier 1, and Total Capital Build	-	Capital ratios	II. Definition of Capital (4)	Jump to Bank of Ted Workflow
Capital Definition	Capital Definition and AOCI Transition	Shared Input	Shared Core	Used In Calculation	Path A: Category-Sensitive AOCI TransitionPath B: CET1, Tier 1, and Total Capital Build	-	Capital ratios	B. Allowance for Loan and Lease Losses Definition (61)	Jump to Bank of Ted Workflow
Capital Definition	Capital Definition and AOCI Transition	Final Output	Outputs	Used In Calculation	Path A: Category-Sensitive AOCI TransitionPath B: CET1, Tier 1, and Total Capital Build	-	Capital ratios	F. Providing Accountability Through Transparency Act of 2023 (69)	Jump to Bank of Ted Workflow
Capital Definition	Capital Definition and AOCI Transition	Derived Metric	Branch Paths	Used In Calculation	Path A: Category-Sensitive AOCI TransitionPath B: CET1, Tier 1, and Total Capital Build	-	Transition adjustment	F. Providing Accountability Through Transparency Act of 2023 (69)	Jump to Bank of Ted Workflow
Capital Definition	Capital Definition and AOCI Transition	Shared Input	Shared Core	Used In Calculation	Path A: Category-Sensitive AOCI TransitionPath B: CET1, Tier 1, and Total Capital Build	-	Transition adjustment	F. Providing Accountability Through Transparency Act of 2023 (69)	Jump to Bank of Ted Workflow
Credit Risk Mitigation	Credit Risk Mitigation	Shared Input	Shared Core	Used In Calculation	Path A: Protected Exposure AmountPath B: Unprotected Residual Exposure	-	Discounted collateral value	D. Credit Risk Mitigation (13)	Jump to Bank of Ted Workflow
Credit Risk Mitigation	Credit Risk Mitigation	Shared Input	Shared Core	Used In Calculation	Path A: Protected Exposure AmountPath B: Unprotected Residual Exposure	-	Discounted collateral value	D. Credit Risk Mitigation (13)	Jump to Bank of Ted Workflow
Credit Risk Mitigation	Credit Risk Mitigation	Branch Flag	Branch Selector	Used In Calculation	Path A: Protected Exposure AmountPath B: Unprotected Residual Exposure	-	Protected / unprotected split	D. Credit Risk Mitigation (13)	Jump to Bank of Ted Workflow
Credit Risk Mitigation	Credit Risk Mitigation	Derived Metric	Branch Paths	Used In Calculation	Path A: Protected Exposure AmountPath B: Unprotected Residual Exposure	-	Protected / unprotected split	D. Credit Risk Mitigation (13)	Jump to Bank of Ted Workflow
Credit Risk Mitigation	Credit Risk Mitigation	Final Output	Outputs	Used In Calculation	Path A: Protected Exposure AmountPath B: Unprotected Residual Exposure	-	Protected / unprotected split	F. Providing Accountability Through Transparency Act of 2023 (69)	Jump to Bank of Ted Workflow
Credit Risk Mitigation	Credit Risk Mitigation	Derived Metric	Branch Paths	Used In Calculation	Path A: Protected Exposure AmountPath B: Unprotected Residual Exposure	-	CRM RWA	D. Credit Risk Mitigation (13)	Jump to Bank of Ted Workflow
Credit Risk Mitigation	Credit Risk Mitigation	Derived Metric	Branch Paths	Used In Calculation	Path A: Protected Exposure AmountPath B: Unprotected Residual Exposure	-	CRM RWA	F. Providing Accountability Through Transparency Act of 2023 (69)	Jump to Bank of Ted Workflow
Derivative Contracts	Derivative Counterparty Exposure	Branch Flag	Branch Selector	Used In Calculation	Path A: SA-CCR Derivative Counterparty Exposure	-	Derivative RWA	C. Derivative Contracts (13)	Jump to Bank of Ted Workflow
Derivative Contracts	Derivative Counterparty Exposure	Shared Input	Shared Core	Used In Calculation	Path A: SA-CCR Derivative Counterparty Exposure	-	Derivative RWA	C. Derivative Contracts (13)	Jump to Bank of Ted Workflow
Derivative Contracts	Derivative Counterparty Exposure	Derived Metric	Branch Paths	Used In Calculation	Path A: SA-CCR Derivative Counterparty Exposure	SA-CCR Replacement CostSA-CCR Potential Future ExposureSA-CCR Multiplier (Alpha)	Derivative Counterparty Risk WeightRisk-Weighted Asset Amount	C. Derivative Contracts (13)	Jump to Bank of Ted Workflow
Derivative Contracts	Derivative Counterparty Exposure	Shared Input	Shared Core	Used In Calculation	Path A: SA-CCR Derivative Counterparty Exposure	-	Derivative Exposure Amount	C. Derivative Contracts (13)	Jump to Bank of Ted Workflow
Derivative Contracts	Derivative Counterparty Exposure	Shared Input	Shared Core	Used In Calculation	Path A: SA-CCR Derivative Counterparty Exposure	-	Derivative Exposure Amount	C. Derivative Contracts (13)	Jump to Bank of Ted Workflow
Derivative Contracts	Derivative Counterparty Exposure	Shared Input	Shared Core	Used In Calculation	Path A: SA-CCR Derivative Counterparty Exposure	-	Derivative Exposure Amount	C. Derivative Contracts (13)	Jump to Bank of Ted Workflow
Disclosure	Disclosure and Final Roll-Up	Final Output	Outputs	Used In Calculation	Path A: Denominator Roll-Up and Final RatiosPath B: Disclosure Outputs	-	Disclosure package	IV. Disclosure Requirements (33)	Jump to Bank of Ted Workflow
Equity Exposures	Equity Exposures	Shared Input	Shared Core	Used In Calculation	Path A: Equity Exposure or Equity Commitment	-	Equity RWA	A. General Risk Weight Treatment (120)	Jump to Bank of Ted Workflow
Equity Exposures	Equity Exposures	Branch Flag	Branch Selector	Used In Calculation	Path A: Equity Exposure or Equity Commitment	-	Equity RWA	B. Off-Balance Sheet Exposures (120)	Jump to Bank of Ted Workflow
Off-Balance Sheet	Off-Balance Sheet Commitments	Branch Flag	Branch Selector	Used In Calculation	Path A: Commitment with Stated Contractual MaximumPath B: No Preset Limit / Cancelability Branch	-	Off-balance sheet exposure amount	B. Off-Balance Sheet Exposures (11)	Jump to Bank of Ted Workflow
Off-Balance Sheet	Off-Balance Sheet Commitments	Intermediate Result	Branch Paths	Used In Calculation	Path A: Commitment with Stated Contractual MaximumPath B: No Preset Limit / Cancelability Branch	-	Off-balance sheet exposure amount	B. Off-Balance Sheet Exposures (11)	Jump to Bank of Ted Workflow
Off-Balance Sheet	Off-Balance Sheet Commitments	Shared Input	Shared Core	Used In Calculation	Path A: Commitment with Stated Contractual MaximumPath B: No Preset Limit / Cancelability Branch	-	Committed but undrawn amount	B. Off-Balance Sheet Exposures (43)	Jump to Bank of Ted Workflow
Off-Balance Sheet	Off-Balance Sheet Commitments	Shared Input	Shared Core	Used In Calculation	Path A: Commitment with Stated Contractual MaximumPath B: No Preset Limit / Cancelability Branch	-	Committed but undrawn amount	B. Off-Balance Sheet Exposures (43)	Jump to Bank of Ted Workflow
Off-Balance Sheet	Off-Balance Sheet Commitments	Branch Flag	Branch Selector	Used In Calculation	Path A: Commitment with Stated Contractual MaximumPath B: No Preset Limit / Cancelability Branch	-	Off-balance sheet exposure amount	B. Off-Balance Sheet Exposures (11)	Jump to Bank of Ted Workflow
Residential Real Estate	Residential Mortgage Exposures	Branch Flag	Branch Selector	Used In Calculation	Path A: Not Dependent on Cash Flows of the Real EstatePath B: Dependent on Cash Flows of the Real Estate	-	Mortgage risk weight assignment	III. Calculation of Risk-Weighted Assets Under the Standardized Approach (6)	Jump to Bank of Ted Workflow
Residential Real Estate	Residential Mortgage Exposures	Branch Flag	Branch Selector	Used In Calculation	Shared CorePath A: Not Dependent on Cash Flows of the Real Estate	-	Mortgage RWA	III. Calculation of Risk-Weighted Assets Under the Standardized Approach (6)	Jump to Bank of Ted Workflow
Residential Real Estate	Residential Mortgage Exposures	Shared Input	Shared Core	Used In Calculation	Shared CorePath A: Not Dependent on Cash Flows of the Real Estate	-	Mortgage RWA	III. Calculation of Risk-Weighted Assets Under the Standardized Approach, A. General Risk Weight Treatment, I. Introduction and Overview (6)	Jump to Bank of Ted Workflow
Residential Real Estate	Residential Mortgage Exposures	Shared Input	Shared Core	Used In Calculation	Shared CorePath A: Not Dependent on Cash Flows of the Real Estate	-	LTV ratio	III. Calculation of Risk-Weighted Assets Under the Standardized Approach (6)	Jump to Bank of Ted Workflow
Residential Real Estate	Residential Mortgage Exposures	Derived Metric	Branch Paths	Used In Calculation	Path A: Not Dependent on Cash Flows of the Real EstatePath B: Dependent on Cash Flows of the Real Estate	Extension of Credit AmountProperty Value at Origination	Risk WeightRisk-Weighted Asset Amount	III. Calculation of Risk-Weighted Assets Under the Standardized Approach (6)	Jump to Bank of Ted Workflow
Residential Real Estate	Residential Mortgage Exposures	Shared Input	Shared Core	Used In Calculation	Shared CorePath A: Not Dependent on Cash Flows of the Real Estate	-	Mortgage RWA	III. Calculation of Risk-Weighted Assets Under the Standardized Approach (6)	Jump to Bank of Ted Workflow
Residential Real Estate	Residential Mortgage Exposures	Shared Input	Shared Core	Used In Calculation	Shared CorePath A: Not Dependent on Cash Flows of the Real Estate	-	Mortgage risk weight assignment	III. Calculation of Risk-Weighted Assets Under the Standardized Approach (6)	Jump to Bank of Ted Workflow
Residential Real Estate	Residential Mortgage Exposures	Shared Input	Shared Core	Excluded From This Calculation	Shared CorePath A: Not Dependent on Cash Flows of the Real EstatePath B: Dependent on Cash Flows of the Real Estate	Private Mortgage Insurance Flag	Documentation and audit trail for residential mortgage implementation	III. Calculation of Risk-Weighted Assets Under the Standardized Approach (6)	Jump to Bank of Ted Workflow
Residential Real Estate	Residential Mortgage Exposures	Shared Input	Shared Core	Excluded From This Calculation	Shared CorePath A: Not Dependent on Cash Flows of the Real EstatePath B: Dependent on Cash Flows of the Real Estate	-	Mortgage branch documentationLTV exclusion audit trail	III. Calculation of Risk-Weighted Assets Under the Standardized Approach (6)	Jump to Bank of Ted Workflow
Residential Real Estate	Residential Mortgage Exposures	Shared Input	Shared Core	Used In Calculation	Shared CorePath A: Not Dependent on Cash Flows of the Real Estate	-	LTV ratio	III. Calculation of Risk-Weighted Assets Under the Standardized Approach (6)	Jump to Bank of Ted Workflow
Residential Real Estate	Residential Mortgage Exposures	Intermediate Result	Branch Paths	Used In Calculation	Path A: Not Dependent on Cash Flows of the Real EstatePath B: Dependent on Cash Flows of the Real Estate	Branch selectorLTV Ratio or class-specific lookup inputs	Risk-Weighted Asset AmountTotal Standardized RWA	A. General Risk Weight Treatment, I. Introduction and Overview, E. Securitization Framework (6)	Jump to Bank of Ted Workflow
Residential Real Estate	Residential Mortgage Exposures	Final Output	Outputs	Used In Calculation	Path A: Not Dependent on Cash Flows of the Real EstatePath B: Dependent on Cash Flows of the Real Estate	Exposure AmountRisk Weight	Total Standardized RWA	A. General Risk Weight Treatment, F. Providing Accountability Through Transparency Act of 2023, III. Calculation of Risk-Weighted Assets Under the Standardized Approach (6)	Jump to Bank of Ted Workflow
Securitization	Securitization	Shared Input	Shared Core	Used In Calculation	Path A: Senior NPL SecuritizationPath B: Look-Through for a Senior Securitization ExposurePath C: SEC-SA and Floor ApplicationPath D: Credit Risk Mitigation for a Securitization Exposure	-	SEC-SA risk weight	E. Securitization Framework (21)	Jump to Bank of Ted Workflow
Securitization	Securitization	Shared Input	Shared Core	Used In Calculation	Path A: Senior NPL SecuritizationPath B: Look-Through for a Senior Securitization ExposurePath C: SEC-SA and Floor ApplicationPath D: Credit Risk Mitigation for a Securitization Exposure	-	SEC-SA risk weight	E. Securitization Framework (21)	Jump to Bank of Ted Workflow
Securitization	Securitization	Derived Metric	Branch Paths	Used In Calculation	Path A: Senior NPL SecuritizationPath B: Look-Through for a Senior Securitization ExposurePath C: SEC-SA and Floor ApplicationPath D: Credit Risk Mitigation for a Securitization Exposure	-	SEC-SA risk weight	E. Securitization Framework (21)	Jump to Bank of Ted Workflow
Securitization	Securitization	Shared Input	Shared Core	Used In Calculation	Path A: Senior NPL SecuritizationPath B: Look-Through for a Senior Securitization ExposurePath C: SEC-SA and Floor ApplicationPath D: Credit Risk Mitigation for a Securitization Exposure	-	SEC-SA risk weight	E. Securitization Framework (21)	Jump to Bank of Ted Workflow
Securitization	Securitization	Shared Input	Shared Core	Used In Calculation	Path A: Senior NPL SecuritizationPath B: Look-Through for a Senior Securitization ExposurePath C: SEC-SA and Floor ApplicationPath D: Credit Risk Mitigation for a Securitization Exposure	-	SEC-SA risk weight	E. Securitization Framework (21)	Jump to Bank of Ted Workflow
Securitization	Securitization	Branch Flag	Branch Selector	Used In Calculation	Path A: Senior NPL SecuritizationPath B: Look-Through for a Senior Securitization ExposurePath C: SEC-SA and Floor ApplicationPath D: Credit Risk Mitigation for a Securitization Exposure	-	Securitization risk weight	E. Securitization Framework (120)	Jump to Bank of Ted Workflow
Securitization	Securitization	Derived Metric	Branch Paths	Used In Calculation	Path A: Senior NPL SecuritizationPath B: Look-Through for a Senior Securitization ExposurePath C: SEC-SA and Floor ApplicationPath D: Credit Risk Mitigation for a Securitization Exposure	Look-Through Eligibility FlagUnderlying exposure risk weights	Risk WeightRisk-Weighted Asset Amount	E. Securitization Framework (120)	Jump to Bank of Ted Workflow
Securitization	Securitization	Shared Input	Shared Core	Used In Calculation	Path A: Senior NPL SecuritizationPath B: Look-Through for a Senior Securitization ExposurePath C: SEC-SA and Floor ApplicationPath D: Credit Risk Mitigation for a Securitization Exposure	-	NPL securitization treatment	E. Securitization Framework (21)	Jump to Bank of Ted Workflow
Securitization	Securitization	Shared Input	Shared Core	Used In Calculation	Path A: Senior NPL SecuritizationPath B: Look-Through for a Senior Securitization ExposurePath C: SEC-SA and Floor ApplicationPath D: Credit Risk Mitigation for a Securitization Exposure	-	SEC-SA inputs	E. Securitization Framework (21)	Jump to Bank of Ted Workflow
Securitization	Securitization	Intermediate Result	Branch Paths	Used In Calculation	Path A: Senior NPL SecuritizationPath B: Look-Through for a Senior Securitization ExposurePath C: SEC-SA and Floor ApplicationPath D: Credit Risk Mitigation for a Securitization Exposure	-	SEC-SA risk weight	E. Securitization Framework (21)	Jump to Bank of Ted Workflow
Securitization	Securitization	Shared Input	Shared Core	Used In Calculation	Path A: Senior NPL SecuritizationPath B: Look-Through for a Senior Securitization ExposurePath C: SEC-SA and Floor ApplicationPath D: Credit Risk Mitigation for a Securitization Exposure	-	Protected / unprotected securitization split	E. Securitization Framework (120)	Jump to Bank of Ted Workflow
Securitization	Securitization	Shared Input	Shared Core	Used In Calculation	Path A: Senior NPL SecuritizationPath B: Look-Through for a Senior Securitization ExposurePath C: SEC-SA and Floor ApplicationPath D: Credit Risk Mitigation for a Securitization Exposure	-	Securitization RWA	E. Securitization Framework (21)	Jump to Bank of Ted Workflow
Securitization	Securitization	Shared Input	Shared Core	Used In Calculation	Path A: Senior NPL SecuritizationPath B: Look-Through for a Senior Securitization ExposurePath C: SEC-SA and Floor ApplicationPath D: Credit Risk Mitigation for a Securitization Exposure	-	SEC-SA inputs	E. Securitization Framework (21)	Jump to Bank of Ted Workflow
Securitization	Securitization	Shared Input	Shared Core	Used In Calculation	Path A: Senior NPL SecuritizationPath B: Look-Through for a Senior Securitization ExposurePath C: SEC-SA and Floor ApplicationPath D: Credit Risk Mitigation for a Securitization Exposure	-	NPL securitization treatment	F. Providing Accountability Through Transparency Act of 2023 (69)	Jump to Bank of Ted Workflow
Securitization	Securitization	Shared Input	Shared Core	Used In Calculation	Path A: Senior NPL SecuritizationPath B: Look-Through for a Senior Securitization ExposurePath C: SEC-SA and Floor ApplicationPath D: Credit Risk Mitigation for a Securitization Exposure	-	SEC-SA risk weight	E. Securitization Framework (21)	Jump to Bank of Ted Workflow