Joint Press Release

March 19, 2026

Special Collection Aggregate Release

Overview of Expanded Total Risk-Weighted Assets and Regulatory Capital

PART 1 -- Expanded Total Risk-Weighted Assets

Dollar amounts in thousands

Risk-weighted Assets Amount
1. Credit risk 10,294,200,000
a. General credit risk exposures*, cleared transactions, prefunded default fund contributions, and unsettled transactions 9,746,500,000
b. Transactions that fail the minimum haircut floor 266,600,000
c. Securitization exposures 281,100,000
2. Equity exposures 919,200,000
3. Operational risk 2,081,700,000
4. Market risk   
a. Standardized market risk-weighted assets 759,300,000
b. Models-based market risk-weighted assets (including positions calculated under the sensitivities-based method) 500,800,000
5. Credit valuation adjustment (CVA) risk 244,800,000
6. Excess allowance for AACL 37,700,000
7. Allocated transfer risk reserve  
8. Sum of items 1, 2, 3, 4.a or 4.b, and 5 minus items 6 and 7** 14,106,200,000
9. Output floor 10,222,200,000
10. Expanded total risk-weighted assets 14,219,500,000

* Excluding transactions that fail the minimum haircut floor

** Institutions using the models based-approach for measuring market risk would include item 4.b. Institutions that do not use the models based-approach would include item 4.a.

PART 2 -- Regulatory Capital

Dollar amounts in thousands

Risk-weighted Assets Amount
1. Common equity tier 1 capital  
2. Tier 1 capital  
3. Total capital  

General credit risk exposures, cleared transactions, prefunded default fund contributions, and unsettled transactions (excluding transactions that fail the minimum haircut floor)

Part 1 -- On-balance sheet exposures by risk weight category

Dollar amounts in thousands

Item Credit equivalent amount distributed by risk weight RWA of exposures subject to currency mismatch Total risk-weighted Assets
Total credit exposures 0% 2% 4% 20% 40% 45% 50% 55% 60% 65% 70% 75% 80% 85% 90% 95% 100% 110% 125% 130% 150% 250% 1250%
1. Sovereign exposures   
a. Exposures to the U.S. government 3,217,500,000.00 3,114,800,000.00                                                
b. Exposures to non-U.S. sovereign entities 989,700,000.00 927,600,000.00           10,400,000.00                   16,100,000.00                
2. Exposures to certain supranational entities and multilateral development banks (MDBs) 49,500,000.00 49,500,000.00                                                
3. Exposures to government-sponsored enterprises (GSEs) 1,526,300,000.00       1,424,600,000.00                                         285,700,000.00
4. Bank exposures   
a. Exposures to U.S. depository institutions or credit unions 91,600,000.00         65,400,000.00             4,300,000.00                 1,200,000.00       37,800,000.00
b. Exposures to foreign banks 207,400,000.00         167,400,000.00   5,400,000.00         17,900,000.00         9,300,000.00       4,400,000.00       99,500,000.00
c. Foreign bank exposures that are self-liquidating, trade-related contingent items                                                    
5. Exposures to public sector entities (PSEs)   
a. Exposures to U.S. PSEs 288,700,000.00       154,800,000.00     125,900,000.00                   1,000,000.00               94,900,000.00
b. Exposures to foreign PSEs               1,600,000.00                                   12,100,000.00
6. Real estate exposures   
a. Statutory multifamily mortgages 73,600,000.00             73,200,000.00                                    
b. Pre-sold construction loans                                                    
c. High volatility commercial real estate (HVCRE) exposures 10,900,000.00                                         10,900,000.00       16,300,000.00
d. Acquisition, development, or construction (ADC) exposures that are not HVCRE exposures 130,100,000.00                                 128,200,000.00               130,500,000.00
e. Regulatory residential real estate: not dependent on the cash flows generated by the real estate 1,491,200,000.00         319,700,000.00 209,500,000.00 730,700,000.00   92,300,000.00   34,200,000.00       9,700,000.00   75,000,000.00               755,500,000.00
M.1.a. Memo item: Of which: Regulatory residential real estate, secured by principal residence 738,300,000.00         146,000,000.00 100,600,000.00 379,400,000.00   44,300,000.00   11,200,000.00       1,600,000.00   48,400,000.00               379,000,000.00
M.1.b. Memo item: Of which: Regulatory residential real estate, not dependent on cash flows, not secured by principal residence 88,400,000.00         17,800,000.00 14,600,000.00 51,000,000.00                   1,500,000.00               43,000,000.00
f. Regulatory residential real estate: dependent on the cash flows generated by the real estate 48,500,000.00             17,400,000.00 9,100,000.00   16,800,000.00     900,000.00     600,000.00         1,600,000.00       33,400,000.00
M.2.a. Memo item: Of which: Regulatory residential real estate, less than 25% dependent on cash flows                                                    
M.2.b. Memo item: Of which: Regulatory residential real estate, less than 50% dependent on cash flows                                                    
g. Regulatory commercial real estate: not dependent on the cash flows generated by the real estate 167,500,000.00                 69,800,000.00 1,300,000.00             83,800,000.00               136,400,000.00
h. Regulatory commercial real estate: dependent on the cash flows generated by the real estate 515,300,000.00                     283,100,000.00       146,300,000.00     58,300,000.00     10,800,000.00       411,700,000.00
M.3.a. Memo item: Of which: Regulatory commercial real estate, less than 25% dependent on cash flows                                                    
M.3.b. Memo item: Of which: Regulatory commercial real estate, less than 50% dependent on cash flows                                                    
i. Other real estate exposures 101,800,000.00                                 91,300,000.00       10,100,000.00       106,600,000.00
7. Retail exposures 1,944,400,000.00               226,600,000.00           1,567,100,000.00       64,200,000.00     23,600,000.00       1,605,200,000.00
8. Corporate exposures   
Corporate exposures 2,668,800,000.00             5,200,000.00     510,000,000.00             1,967,300,000.00     11,600,000.00 39,500,000.00       2,391,600,000.00
a. Of which: Project finance exposures 15,700,000.00                                 3,700,000.00     11,600,000.00         18,900,000.00
9. Other assets 979,700,000.00 348,200,000.00     46,800,000.00                         485,400,000.00               705,700,000.00
10. Insurance assets                                                    
11. Total on-balance sheet credit risk exposures and RWA (post CCF and post CRM) for general credit risk 14,551,000,000.00 4,566,300,000.00     1,918,300,000.00 553,900,000.00 209,500,000.00 976,100,000.00 235,600,000.00 162,100,000.00 530,300,000.00 317,300,000.00 24,700,000.00 900,000.00 1,567,100,000.00 156,000,000.00 600,000.00 2,904,300,000.00 122,500,000.00   11,600,000.00 121,200,000.00       6,919,600,000.00
Memo Item 4: Special Mortgage Programs

Dollar amounts in thousands

Item Amount
M.4. Does the firm participate in or have its own loan programs aimed at benefiting the public by expanding homeownership to historically underserved or low-to-moderate income borrowers?  
M.4.a. If so, briefly describe the eligibility criteria and risk mitigation features  
M.4.b. Originations under special mortgage programs 15,000,000.00
M.4.c. Exposures to special mortgage programs 130,300,000.00
Additional Memo Items for On-Balance Sheet Exposures (M.5 - M.9)

Dollar amounts in thousands

Item Total credit exposures RWA
M.5. Mortgage exposures with private mortgage insurance 25,300,000.00  
M.6. Corporate exposures, investment grade rated with 100% risk weight 751,500,000.00  
M.6.a. Of which: Corporate exposures, investment grade rated fund exposures with 100% risk weight 153,800,000.00  
M.7. Small-and-medium sized enterprise exposures with 100% risk weight 119,700,000.00  
M.8. Corporate exposures to financial institutions 200,300,000.00 120,000,000.00
M.9. Self-liquidating trade-contingent exposures with maturities of three to six months    
Part 2 -- Derivatives, Off-Balance Sheet Items, and Other Items Subject to Risk-Weighting

Dollar amounts in thousands

Item Face, notional, exposure, or other amount CCF Credit equivalent amount Credit equivalent amount distributed by risk weight RWA of exposures subject to other risk-weighting approaches Total risk-weighted Assets
0.0% 2% 4% 40% 45% 50% 55% 60% 65% 70% 75% 80% 85% 90% 95% 100% 110% 125% 130% 150% 250% 625% 937.5% 1250%
12. Unconditionally cancelable commitments 5,400,900,000.00   540,100,000.00 1,000,000.00     5,500,000.00 1,700,000.00 4,400,000.00 213,300,000.00 900,000.00 2,800,000.00 100,000.00     263,900,000.00 200,000.00 0.00 41,400,000.00 1,400,000.00 0.00   800,000.00           395,000,000.00
13. Commitments (that are not unconditionally cancelable) 3,311,100,000.00   1,324,500,000.00       66,300,000.00 200,000.00 18,400,000.00   1,600,000.00 451,000,000.00 6,200,000.00     9,700,000.00 2,400,000.00   664,000,000.00 11,100,000.00   3,800,000.00 6,500,000.00         6,000,000.00 1,072,000,000.00
14. Self-liquidating trade letters of credit with an original maturity of one year or less 13,900,000.00           400,000.00         800,000.00             500,000.00                    
15. Transaction-related contingent items, including performance bonds, bid bonds, warranties, and performance standby letters of credit 41,200,000.00   20,600,000.00 500,000.00     2,900,000.00         6,800,000.00   400,000.00         8,700,000.00 100,000.00               100,000.00 15,500,000.00
16. Note issuance facilities and revolving underwriting facilities                                                          
17. Guarantees 42,900,000.00   42,900,000.00           18,100,000.00     900,000.00             17,600,000.00                   32,000,000.00
18. Repo-style transactions     605,900,000.00 81,700,000.00 93,300,000.00   84,100,000.00   9,900,000.00     55,300,000.00   9,600,000.00         255,600,000.00       5,800,000.00         6,500,000.00 361,700,000.00
19. Credit-enhancing representations and warranties that are not securitization exposures                                                          
20. Off-balance sheet securities lending transactions                                                          
21. Off-balance sheet securities borrowing transactions                                                          
22. Financial standby letters of credit 225,900,000.00   225,900,000.00 2,700,000.00     25,200,000.00   15,600,000.00     50,500,000.00   5,900,000.00         91,900,000.00 1,700,000.00     1,300,000.00         6,400,000.00 160,100,000.00
23. Forward agreements                                                          
24. Over-the-counter derivative transactions     1,004,400,000.00 76,000,000.00     225,800,000.00   9,800,000.00     202,700,000.00   17,400,000.00         364,600,000.00                 7,800,000.00 704,600,000.00
25. Centrally cleared derivative transactions     450,000,000.00   406,800,000.00 7,000,000.00                         14,600,000.00                   25,200,000.00
26. Pre-funded default fund contributions to central counterparties 42,700,000.00                                                        
27. Unsettled transactions 14,800,000.00     12,300,000.00                             1,600,000.00     0.00     100,000.00   500,000.00   8,600,000.00
28. Total Exposures and RWAs for Derivatives, Off-Balance Sheet Items, and Other Items Subject to Risk-Weighting (post CCF and CRM)       202,400,000.00 521,300,000.00 7,500,000.00 416,300,000.00 1,800,000.00 76,400,000.00 209,800,000.00 2,800,000.00 773,100,000.00 8,600,000.00 36,700,000.00   243,700,000.00 2,900,000.00   1,433,800,000.00 13,600,000.00 0.00 4,300,000.00 17,500,000.00   100,000.00 0.00 500,000.00 36,700,000.00 2,826,900,000.00
Memo Items for Derivatives, Off-Balance Sheet Items, and Other Items Subject to Risk-Weighting (M.10 - M.15)

Dollar amounts in thousands

Item Credit equivalent amount RWA
M.10. Corporate exposures, investment grade rated with 100% risk weight 503,500,000.00  
M.10.a. Of which: Corporate exposures, investment grade rated fund exposures with 100% risk weight 132,100,000.00  
M.11. Small-and-medium enterprise exposures with 100% risk weight 46,400,000.00  
M.12. Corporate exposures to financial institutions: credit risk exposures and associated risk-weighted assets   459,800,000.00
M.13. RWA Impact (current exposure methodology vs standardized approach for counterparty-credit risk)    
M.14. RWA Impact (internal models methodology vs standardized approach for counterparty-credit risk)   -158,900,000.00
M.15. RWA impact of changes to repo-style transactions, eligible margin loans, and netting sets of such transactions exposure calculation   71,200,000.00

Transactions that Fail the Minimum Haircut Floor

Part 1: For All Transactions For the Consolidated Bank Holding Company
Using Table 1 and 2 (transactions that do not meet the minimum requirements)

Dollar amounts in thousands

Item % of transactions that do not meet the minimum haircut floor (H<f) Sum of collateral lent Sum of collateral received Weighted Average of H Weighted average of f % of U.S. Sovereign instruments received as collateral % of G10 instruments received as collateral % of All other sovereign instruments received as collateral RWA under the Standardized Approach RWA under the Advanced Approaches RWA under the proposal
Eligible Margin Loans   
In-scope Transactions   
1.0 Transactions in netting sets - Cash lent   65,500,000.00 113,000,000.00           19,100,000.00 7,200,000.00  
2.0 Transactions not in netting sets - Cash lent                      
3.0 Transactions in netting sets - Securities lent                     47,100,000.00
4.0 Transactions not in netting sets - Securities lent                      
Out of Scope Transactions   
5.0 Out of scope transactions - cleared                      
6.0 Out of scope transactions - banks                      
7.0 Out of scope transactions - nonbank regulated   84,900,000.00                  
8.0 Out of scope transactions - nonfinancial   8,000,000.00 6,700,000.00           1,100,000.00 1,500,000.00 1,600,000.00
9.0 Out of scope transactions - securities borrowing                      
10.0 Out of scope transactions - sovereign collateral                      
Repo-Style Transactions   
In-scope Transactions   
11.0 Transactions in netting sets - Cash lent 8.4               8,100,000.00 3,200,000.00 117,100,000.00
12.0 Transactions not in netting sets - Cash lent                 300,000.00 200,000.00  
13.0 Transactions in netting sets - Securities lent   209,300,000.00 205,100,000.00           17,900,000.00 5,800,000.00  
14.0 Transactions not in netting sets - Securities lent                      
Out of Scope Transactions   
15.0 Out of scope transactions - cleared   1,357,700,000.00 1,323,200,000.00           5,700,000.00   10,400,000.00
16.0 Out of scope transactions - banks   505,000,000.00 493,700,000.00           17,000,000.00 9,300,000.00 30,300,000.00
17.0 Out of scope transactions - nonbank regulated   720,300,000.00 702,400,000.00           86,600,000.00 13,200,000.00 90,100,000.00
18.0 Out of scope transactions - nonfinancial   791,200,000.00 746,100,000.00           65,800,000.00   85,400,000.00
19.0 Out of scope transactions - securities borrowing   275,400,000.00 258,400,000.00           48,200,000.00 4,700,000.00 58,200,000.00
20.0 Out of scope transactions - sovereign collateral                      
21.0 All other collateralized transactions                      
Using Table 1 and 3 (transactions that do not meet the minimum requirements)

Dollar amounts in thousands

Item % of transactions that do not meet the minimum haircut floor (H<f) Weighted Average of H Weighted average of f % of U.S. Sovereign instruments received as collateral % of G10 instruments received as collateral % of All other sovereign instruments received as collateral RWA under the proposal (using hypothetical haircuts for sovereign instruments)
1.0 Transactions in netting sets - Cash lent              
3.0 Transactions in netting sets - Securities lent             49,600,000.00
8.0 Out of scope transactions - nonfinancial              
11.0 Transactions in netting sets - Cash lent             212,300,000.00
15.0 Out of scope transactions - cleared             13,700,000.00
16.0 Out of scope transactions - banks             39,200,000.00
17.0 Out of scope transactions - nonbank regulated             94,300,000.00
18.0 Out of scope transactions - nonfinancial             97,800,000.00
Part 2: To be filled out for the 30 largest netting sets or all netting sets above $100mm in gross exposures, whichever is fewer

Dollar amounts in thousands

Netting Set Counterparty Type Is counterparty unregulated financial institution (Y/N) Loan Type (Cash lent or Securities lent) To be calculated using Table 1 and 2 To be calculated using Table 1 and 3
Does the transaction meet the minimum haircut floor (H<f)? Sum of collateral lent Sum of collateral received Portfolio Haircut (H) Portfolio Haircut Floor (f) % of U.S. Sovereign instruments received as collateral % of G10 instruments received as collateral % of All other sovereign instruments received as collateral RWA under current Standardized approach RWA under the proposal Does the transaction meet the minimum haircut floor (H<f)? Sum of Collateral Lent Sum of Collateral Received Portfolio Haircut (H) Portfolio Haircut Floor (f) % of U.S. Sovereign instruments received as collateral % of G10 instruments received as collateral % of All other sovereign instruments received as collateral RWA under the proposal (using hypothetical haircuts for sovereign instruments)
1                                            
2                                            
3                                            
4                                            
5                                            
6                                            
7                                            
8                                            
9                                            
10                                            
11                                            
12                                            
13                                            
14                                            
15                                            
16                                            
17                                            
18                                            
19                                            
20                                            
21                                            
22                                            
23                                            
24                                            
25                                            
26                                            
27                                            
28                                            
29                                            
30                                            

Securitization exposures

PART 1 - Reporting institution acting as originator/sponsor

Dollar amounts in thousands

Item Exposure amounts (by risk weight bands) RWA pre-cap RWA post-cap Total
≤20% >20% to ≤50% >50% to ≤100% >100% to <1250% 12.5 SEC-SA Other SEC-SA Other
1. Total exposures 104,400,000.00 23,300,000.00 31,600,000.00 8,700,000.00   61,700,000.00   66,200,000.00   66,200,000.00
2. Traditional securitization                    
2.a. Of which securitization that is not a resecuritization           51,800,000.00   50,800,000.00   50,800,000.00
2.a.i. Of which retail underlying           9,900,000.00   9,700,000.00   9,700,000.00
2.a.ii. Of which wholesale underlying 101,200,000.00 20,900,000.00 9,300,000.00 5,700,000.00   42,200,000.00   41,200,000.00   41,200,000.00
2.b. Of which re-securitization                    
3. Synthetic securitization                    
3.a. Of which securitization that is not a resecuritization                    
3.a.i. Of which retail underlying                    
3.a.ii. Of which wholesale underlying                    
3.b. Of which re-securitization                    
Memo Items   
M.1 NPL securitizations                    
M.2 Investment firms treated as securitizations                    
PART 2 - Reporting institution acting as investor

Dollar amounts in thousands

Item Exposure amounts (by risk weight bands) RWA pre-cap RWA post-cap Total
≤20% >20% to ≤50% >50% to ≤100% >100% to <1250% 12.5 SEC-SA Other SEC-SA Other
1. Total exposures 553,100,000.00 138,100,000.00 67,800,000.00 18,100,000.00 300,000.00 219,900,000.00   206,700,000.00   214,400,000.00
2. Traditional securitization                    
2.a. Of which securitization that is not a resecuritization           218,300,000.00   201,800,000.00   209,500,000.00
2.a.i. Of which retail underlying                    
2.a.ii. Of which wholesale underlying 409,800,000.00 54,100,000.00 27,800,000.00 12,300,000.00   127,100,000.00   116,700,000.00   123,400,000.00
2.b. Of which re-securitization       0.00            
3. Synthetic securitization                    
3.a. Of which securitization that is not a resecuritization                    
3.a.i. Of which retail underlying                    
3.a.ii. Of which wholesale underlying                    
3.b. Of which re-securitization                    
Memo Items   
M.1 NPL securitizations                    
M.2 Investment firms treated as securitizations                    

This section contains two additional memo items that provide supplementary RWA calculations under alternative scenarios: (1) Securitization RWA calculated under a p-factor of 0.5, and (2) Securitization RWA with application of a 20% risk-weight floor. These metrics allow for comparison of RWA under different regulatory approaches. Dollar amounts in thousands.

Additional Memo Items

Dollar amounts in thousands

Item Amount
M.1 Securitization RWA under p-factor of 0.5 184,400,000.00
M.2 Securitization RWA with application of a 20% risk-weight floor 311,000,000.00

Equity Exposures

Part 1 -- On-balance sheet exposures

Dollar amounts in thousands

Equity Exposures by type Adjusted carrying value Allocation by Risk-Weight Category Application of Other Risk-Weighting Approaches Total Risk-Weighted Assets Amount for Equity Exposures
0% 20% 100% 250% 400% 1250%
1. Sovereigns 25,300,000 25,300,000              
2. Certain supranational entities and multilateral development banks (MDBs)                  
3. Government-sponsored enterprises (GSEs) 4,300,000                
4. Public sector entities (PSEs) 9,000,000   9,000,000           1,800,000
5. Community development investments and small business investment companies                  
5.a. Community development investments under section 24 (Eleventh) of the National Bank Act 101,600,000     101,600,000         101,600,000
5.b. Small business investment companies 2,300,000     2,300,000         2,300,000
6. Publicly traded                  
7. Significant investments in the capital of unconsolidated financial institutions in the form of common stock 12,700,000       12,700,000       31,700,000
8. Exposures that hedge equity exposures to significant investments in the capital of unconsolidated financial institutions in the form of common stock                  
9. Non-publicly traded 114,400,000         114,400,000     457,500,000
10. Investment firms                  
11. Total on-balance sheet equity exposures and RWAs under the ESRWA 283,600,000   11,100,000 100,000,000 24,400,000 112,500,000     634,400,000
Equity Exposures to Investment Funds

Dollar amounts in thousands

Equity Exposures by type Adjusted carrying value Allocation by Risk-Weight Category Application of Other Risk-Weighting Approaches Total Risk-Weighted Assets Amount for Equity Exposures
0% 20% 100% 250% 400% 1250%
12. Investment funds using the full look-through approach 103,000,000               87,600,000
12.a. Of which: Stable value protection 9,200,000             8,500,000 5,600,000
12.b. Of which: Investment funds with underlying securitizations                 6,700,000
12.c. Of which: Investment funds held by another investment fund 4,200,000             4,800,000 5,200,000
13. Investment funds using the alternative modified look-through approach 13,800,000               28,600,000
13.a. Of which: Stable value protection                  
13.b. Of which: Investment funds with underlying securitizations                 500,000
13.c. Of which: Investment funds held by another investment fund                  
14. Other equity exposures to investment funds 700,000           700,000   9,200,000
14.a. Of which: Stable value protection                  
15. Total adjusted carrying value and RWAs for equity exposures to investment funds 118,100,000             100,700,000 125,300,000
16. Total adjusted carrying values and RWAs for on-balance sheet equity exposures 401,800,000   10,800,000 89,300,000 17,200,000 100,500,000   100,600,000 763,500,000
Part 2 -- Off-balance sheet exposures

Dollar amounts in thousands

Off-Balance Sheet Exposure by Type Effective notional principal amount of the exposure Credit conversion factor Adjusted carrying value Allocation by Risk-Weight Category Application of Other Risk-Weighting Approaches Total Risk-Weighted Assets Amount for Equity Exposures
0% 10% 100% 250% 400% 1250%
17. Unconditional commitments to acquire an equity exposure 5,100,000   7,500,000     2,600,000   3,000,000     23,200,000
18. Conditional commitments to acquire an equity exposure                     30,600,000
19. Off-balance sheet component of equity exposures that are not an equity commitments                     101,900,000
20. Total off-balance sheet equity exposures and RWAs 65,100,000   38,500,000     4,700,000   15,700,000 300,000 2,000,000 155,700,000
Memo Items

Dollar amounts in thousands

Memo Items Total Exposure
M.1 Equity exposures to tax equity financing transactions, non-publicly traded equity (item 9) 55,000,000
M.1.a Of which: Equity exposures to low-income housing tax credit 11,300,000
M.2 Equity exposures currently subject to the equity framework that would be market risk covered positions 15,000,000

Operational Risk

Part 1 - Historical losses

Dollar amounts in thousands

PART 1 - Historical losses T T-1 T-2 T-3 T-4 T-5 T-6 T-7 T-8 T-9 Ten-year moving average
1. Total amount of operational losses (no recoveries and no exclusions) 18,300,000 13,900,000 18,700,000 16,800,000 15,100,000 16,000,000 18,600,000 24,800,000 35,600,000 53,800,000 23,200,000
2. Total amount of recoveries 2,000,000 1,100,000 1,100,000     1,200,000 1,800,000 1,100,000 1,000,000   1,600,000
3. Of which, insurance recoveries 100,000 100,000 200,000 200,000   0 300,000   200,000 500,000 200,000
4. Total amount of operational losses net of recoveries (no exclusions) 16,300,000 12,800,000 17,600,000 14,800,000 12,600,000 14,800,000 16,800,000 23,700,000 34,600,000 51,300,000 21,500,000
5. Total amount of operational losses net of recoveries and accounting for estimated operational losses due to a merger or acquisition.                      
Memo item: Total amount of operational losses the firm plans to ask for exclusion   
Memo item values           600,000         1,400,000
Part 2 - Business Indicator and subcomponents

Dollar amounts in thousands

Business indicator and its subcomponents T T-1 T-2
1. Interest, lease and dividend component 326,300,000    
a. Total interest income 762,400,000 429,300,000 456,300,000
b. Total interest expense 314,000,000 68,400,000 113,100,000
c. Interest earning assets 18,259,800,000 17,892,000,000 17,111,400,000
d. Dividend income 5,100,000 4,400,000 4,400,000
2. Services component 366,200,000    
a. Fee and commission income 298,000,000 323,400,000 296,700,000
b. Fee and commission expense 85,800,000 81,800,000 70,400,000
c. Other operating income 25,800,000 28,100,000 32,700,000
d. Other operating expense 52,900,000 45,600,000 45,500,000
3. Financial component 100,500,000    
a. Trading revenue 97,000,000 61,300,000 76,900,000
b. Net profit or loss on assets and liabilities not held for trading -4,600,000   16,700,000
4. Business indicator 793,000,000    
Part 3 - Minimum required operational risk capital

Dollar amounts in thousands

PART 3 - Minimum required operational risk capital Amount
1. Business indicator component 127,900,000
2. Internal loss multiplier 1.3
3. Operational risk capital requirement 166,500,000
4. Risk-weighted assets for operational risk 2,081,700,000

Market Risk

Part 1 - Standardized capital requirement for market risk

Dollar amounts in thousands

Sensitivities-based Method Capital Requirement Model-Ineligible Trading Desks All Trading Desks
Delta Vega Curvature Total Delta Vega Curvature Total
1. Interest rate risk 1,300,000 700,000     2,300,000      
2. Credit spread risk for non-securitizations 6,300,000 100,000     9,500,000 100,000 1,000,000  
3. Credit spread risk for securitizations non-correlation trading positions (non-CTP) 800,000       800,000      
4. Credit spread risk for correlation trading positions         600,000      
5. Equity risk 1,700,000 500,000     4,600,000 2,100,000 1,700,000  
6. Commodity risk         1,900,000 700,000    
7. Foreign exchange risk 600,000       2,100,000 500,000 500,000  
8. Total delta, vega, and curvature capital requirement for each respective column (Total items 1 through 7) 12,100,000       21,900,000 7,700,000 5,300,000  
9. Total sensitivities-based method capital requirement       16,100,000       35,000,000
Standardized default risk and capital requirements

Dollar amounts in thousands

Standardized default risk capital requirement Model-Ineligible Trading Desks All Trading Desks
10. Standardized default risk capital requirement:    
a. Non-securitization debt and equity positions 6,600,000 13,100,000
b. Securitization positions non-CTP 4,800,000 5,500,000
c. Correlation trading positions 2,800,000 2,800,000
d. Total standardized default risk capital requirement 14,200,000 21,300,000
11. Residual risk add-on components:    
b. Gross effective notional amount of instruments subject to 0.1% risk weight 778,600,000 1,941,100,000
c. Residual risk add-on 900,000 3,500,000
12. Standardized approach capital requirement 30,300,000 58,900,000
15. Standardized capital requirement   59,200,000
Part 2 - Models-based capital requirement for market risk

Dollar amounts in thousands

Internal Models Approach Most recent observation Average of the immediately preceding 60 business days High Low Number of backtesting exceptions
4. Equity risk 1,200,000        
6. Commodity risk 500,000        
7. Constrained expected-shortfall-based (ES-based) measure, IMCC(Ci) 8,600,000        
8. Capital measure for modellable risk factors (IMCC) 5,900,000        
9. Capital measure for non-modellable risk factors (Stressed Expected Shortfall, SES) 8,900,000        
14. Standardized approach capital requirement for market risk covered positions on model-ineligible trading desks (SAu) 18,200,000        
Model-based measure for market risk

Dollar amounts in thousands

Model-based measure for market risk Amount
19. Model-based capital requirement for market risk (IMATotal) 40,200,000
Part 3 - Market risk-weighted assets

Dollar amounts in thousands

Market risk-weighted assets Amount
1. Standardized market risk-weighted assets 747,100,000
2. Models-based market risk-weighted assets 503,500,000
Memoranda - Correlation scenarios

Dollar amounts in thousands

Memoranda Low Correlation Medium Correlation High Correlation
1. Total sensitivities-based method capital requirement under high, medium, and low correlation scenarios 28,200,000 27,600,000 26,700,000
Memoranda - Total notional amount of market risk covered positions

Dollar amounts in thousands

Total Notional Amount of Market Risk Covered Positions Amount
2. Total Notional Amount of Market Risk Covered Positions  
f. Other market risk covered positions 147,626,300,000
Memoranda - Standardized default risk capital requirement (without offsetting)

Dollar amounts in thousands

Standardized default risk capital requirement (without offsetting by matching maturity) Model-Ineligible Trading Desks Model-Eligible Trading Desks All Trading Desks
3. Standardized default risk capital requirement (without offsetting by matching maturity):      
a. Non-securitization debt and equity positions 7,900,000 10,100,000 18,100,000
b. Securitization positions non-CTP 4,600,000   5,300,000
c. Correlation trading positions 2,800,000   2,800,000
d. Total standardized default risk capital requirement 15,200,000 10,300,000 26,100,000
Memoranda - Standalone sensitivities-based method for Treasury obligations

Dollar amounts in thousands

Standalone sensitivities-based method capital requirements for direct Treasury obligations and associated derivatives Model-Ineligible Trading Desks All Trading Desks
Delta Vega Curvature Total Delta Vega Curvature Total
4. Standalone sensitivities-based method capital requirements for direct Treasury obligations and associated derivatives:                
a. Interest rate risk   0            
Memoranda - Additional non-modellable risk factor information

Dollar amounts in thousands

Additional non-modellable risk factor information Capital requirement ∑(SES_k^2) ∑(ISES_i^2)
5. Additional non-modellable risk factor information      
SES; of which:      
Interest rate non-modellable risk factors   160,000,000,000  
Credit spread non-modellable risk factors (columns C and D for non-idiosyncratic SES)     40,000,000,000
Equity non-modellable risk factors (columns C and D for non-idiosyncratic SES) 1,500,000    
Commodity non-modellable risk factors   10,000,000,000  
Foreign exchange non-modellable risk factors 1,100,000    
CVA risk

Dollar amounts in thousands

CVA risk Capital Requirement RWA
Delta Risk Vega Risk Total
1. BA-CVA, of which:        
a. Systematic component of Kunhedged     20,200,000  
b. Idiosyncratic component of Kunhedged     3,600,000  
c. Kunhedged        
d. Khedged     10,400,000  
2. SA-CVA, of which:        
a. Interest rates 500,000 1,400,000    
b. Foreign exchange 300,000 900,000    
c. Counterparty credit spread 8,300,000      
d. Reference credit spread        
e. Equity 100,000 100,000    
f. Commodity 400,000 100,000    
3. Total:        

GSIB Memo Items

Part I - to be completed by all Holding Companies and Combined U.S. Operations

Dollar amounts in thousands

Part I Holding Company Combined U.S. Operations (to be completed by Foreign Banking Organizations only)
1. Foreign derivative claims on a guarantor basis 412,800,000 54,200,000
Part II - to be completed by Foreign Banking Organizations only

Dollar amounts in thousands

Part II Intermediate Holding Company Combined U.S. Operations
1. a. FBO adjusted foreign derivative claims on a guarantor basis 7,400,000 40,200,000
2. FBO adjusted foreign liabilities on an immediate-counterparty basis, excluding derivative liabilities 67,400,000 119,400,000
3. FBO adjusted foreign derivative liabilities on an immediate-counterparty basis 2,000,000  
Part III - to be completed by Category I Holding Companies only

Dollar amounts in thousands

Part III Holding Company
4. OTC derivative contracts cleared through a central counterparty 187,288,200,000
5. Over-the-counter (OTC) derivative contracts with other financial institutions that have a net positive fair value  
a. Net positive fair value 149,500,000
b. Potential future exposure 652,500,000
6. Over-the-counter (OTC) derivative contracts with other financial institutions that have a net negative fair value  
a. Net negative fair value 118,200,000
b. Potential future exposure 304,700,000
7. Certificates of deposit 491,600,000
8. Total intra-financial system assets 1,887,600,000
9. Total intra-financial system liabilities 1,851,300,000
10. Item 5.a 71,200,000
11. Item 6.a 107,600,000

 

Last Update: March 19, 2026