Auditor Firm ID

  
auditor judgment, and specialized skills and knowledge as well as experience in the industry. This assessment encompassed the evaluation of the various components of the collective ACLL methodology, including the methods and models used to estimate the PD, LGD, and EAD and certain key assumptions and inputs for the Company’s quantitative and qualitative components. Key assumptions and inputs for consumer loans included loan delinquencies, certain credit indicators, reasonable and supportable forecast periods, expected life as well as economic factors, including unemployment rates, gross domestic product (GDP) and housing prices, which are considered in the model. For corporate loans, key assumptions and inputs included risk ratings, reasonable and supportable forecasts, credit conversion factor for unfunded lending commitments, and economic factors, including GDP and unemployment rates considered in the model. Key assumptions and inputs for the qualitative component for both consumer and corporate loan portfolios included the likelihood and severity of a downside scenario and consideration of uncertainties due to idiosyncratic events as a result of the COVID-19 pandemic. The assessment also included an evaluation of the conceptual soundness and performance of the PD, LGD, and EAD models. In addition, auditor judgment was required to evaluate the sufficiency of audit evidence obtained.The following are the primary procedures we performed to address this critical audit matter. We evaluated the design and tested the operating effectiveness of certain internal controls related to the Company’s measurement of the collective ACLL estimate, including controls over the:  
•approval of the collective ACLL methodologies•determination of the key assumptions and inputs used to estimate the quantitative and qualitative components of the collective ACLL•performance monitoring of the PD, LGD, and EAD models.  
We evaluated the Company’s process to develop the collective ACLL estimate by testing certain sources of data and assumptions that the Company used and considered the relevance and reliability of such data and assumptions. In addition, we involved credit risk professionals with specialized skills and knowledge, who assisted in:  
•reviewing the Company’s collective ACLL methodologies and key assumptions for compliance with U.S. generally accepted accounting principles•assessing the conceptual soundness and performance testing of the PD, LGD, and EAD models by inspecting the model documentation to determine whether the models are suitable for their intended use•evaluating judgments made by the Company relative to the development and performance monitoring testing of the PD, LGD, and EAD models by comparing them to relevant Company-specific metrics•assessing the economic forecast scenarios through comparison to publicly available forecasts•evaluating the methodologies used to develop certain economic forecast scenarios by comparing them to relevant industry practices•testing corporate loan risk ratings for a selection of borrowers by evaluating the financial performance of the borrower, sources of repayment, and any relevant guarantees or underlying collateral•evaluating the methodologies used in determining the qualitative components and the effect of those components on the collective ACLL compared with relevant credit risk factors and consistency with credit trends.  
We also assessed the sufficiency of the audit evidence obtained related to the collective ACLL by evaluating the:  
•cumulative results of the audit procedures•qualitative aspects of the Company’s accounting practices•potential bias in the accounting estimates.  
  
  
  
/s/ KPMG LLP)We have served as the Company’s auditor since 1969.  
New York, New York (PCAOB ID # 185)February 25, 2022  
  
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