FDIC Template 2 FDIC DFAST Y-14A: Counterparty Credit Risk / CVA Data Su

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Overview

CCR Cover Sheet
CCR Instructions to firms
CCR Data dictionary
1a) CP CVA by top 200 CVA
1b) CP CVA by top 20 Stressed
1c) CP CVA by top 20 Net CE
1d) CP CVA by top 20 Gross CE
1e) Agg CVA by ratings
2a) EE profile by CP
2b) EE profile by ratings
3a) Credit quality by CP
3b) Credit quality by ratings
4) CVA sensitivities

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Sheet 1: CCR Cover Sheet

FDIC DFAST Y-14A: Counterparty Credit Risk / CVA Data Submission Cover Sheet
See tabs "CCR Data Dictionary" and "CCR Instructions to firms" for additional guidance on completing these worksheets.
Covered Banks should complete all relevant cells in the corresponding worksheets, including this cover page. Data should be reported in millions of dollars.
Bank Name:
Certificate Number:
Submission Date:
Data as of Date:
Version
When Received:		1/30/21 7:59 AM

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Sheet 2: CCR Instructions to firms

FDIC DFAST Y-14A: CCR data schedule - Instructions

Data format:

Provide the output that meets the criteria outlined below.

Future time buckets (tabs 2a and 2b): The level of granularity of future revaluation time buckets should be at the level used to calculate CVA at the covered bank, and should be as granular as available.

Data format: Provide the data in the format used in this schedule.

1) Readability. Data must be in machine readable format. Tabs 1a, 1b, 1c, and 1d provide data at the counterparty level (unit of observation = counterparty). Tab 2a provides all available data at the counterparty + tenor bucket level (unit of observation = counterparty + tenor bucket). Tab 3a provides data at the counterparty level for each date of market data inputs used.

2) Mergeability. Unique identifiers must be consistent across tabs. In particular, it must be possible to merge tabs 1a, 2a, and 3a on the variables Counterparty Name, Counterparty ID and industry. If any counterparty IDs are missing from tab 2a, provide an explanation.

Counterparty identification: All counterparties must have a unique counterparty identifier. In addition, the name of the counterparty should be provided. As discussed above, other unique identifiers may be required depending on the form of the data provided.

Tab Notes to the CCR Schedule

Use this tab(s) to submit voluntarily any additional information (e.g., data) that gives clarity on the portfolio. More than one additional tab may be provided.

If the covered bank elects to provide additional data, this should include an explanation of the additional data and why it is provided. If the data links to data in other tabs of the CCR schedule, then a clear data identifier must be provided such that tabs may be merged if necessary (see mergeability details above).

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Sheet 3: CCR Data dictionary

FDIC DFAST Y-14A:CCR Data dictionary
TAB	DATA FIELD	DESCRIPTION / DEFINITION
All tabs: Counterparty identifiers - These must be consistent across tabs in order to enable linking.	Counterparty	Generally speaking, a “counterparty” should be defined at the level at which the covered bank calculates credit valuation adjustment (CVA). For many counterparties, all netting sets within the parent company will be a single counterparty; however if there are different market spreads attached to different legal entities, those should be considered separate counterparties.
	Counterparty name	Counterparty name should be a recognizable name rather than a code.
	Counterparty ID	Counterparty identifier.
	Netting set ID (optional)	This field is optional. Netting sets should map to ISDA master aggreements.
	Sub-netting set ID (optional)	This field is optional. Used if your covered bank calculates CVA below the netting set level.
	Industry	Use the industries that are provided in the drop down menu in each of the relevant tabs, which are broken down into the following categories: 1. Dealers and non-dealer banks 2. Financial guarantors / monolines 3. SPVs 4. Other financials 5. Non-financial corporates 6. Sovereigns 7. Local authorities 8. Other
1) CVA Ratings data in tab 1e) should be the sum of the specific data field (e.g., Net CE, CVA) by internal ratings category and whether the netting set is collateralized or not.	Gross CE	Gross CE (sometimes referred to as the replacement cost or current credit exposure) is the fair value of a derivative contract when that fair value is positive. Gross CE is zero when the fair value is negative or zero. For purposes of this schedule, Gross CE to an individual counterparty should be derived as follows: Determine whether a legally enforceable bilateral netting agreement is in place between the reporting covered bank and the counterparty. If such an agreement is in place, the fair values of all applicable derivative contracts with that counterparty that are included in the scope of the netting agreement are netted to a single amount, which may be positive, negative, or zero. Report Gross CE when the fair value is positive, report it as a zero when the fair value is negative or zero.
	Stressed Gross CE	The full revaluation of Gross CE under stressed conditions.
	Net CE	The sum of positive Gross CE netting agreements for a given counterparty less the value of collateral posted by the counterparty to secure those trades. Net CE should be reported after counterparty netting and after collateral. Net CE should reflect any excess collateral posted by the covered bank to the counterparty.
	Stressed Net CE	The full revaluation of Net CE under stressed conditions. Hold collateral constant; assume no additional collection of collateral.
	CVA	The balance of all credit valuation adjustments (CVA), gross of hedges, for asset-side, unilateral CVA. Report CVA as a positive value. CVA is an adjustment made to the market or fair value of derivatives receivables to take into account the credit risk of a counterparty. This is different from "Net CVA", which would be equivalent to CVA less debt valuation adjustment (DVA). Provide an explanation for counterparties where this does not hold (e.g., adjustments).
	Stressed CVA	The full revaluation of asset-side CVA under stressed conditions. Stressed CVA should incorporate the full revaluation of exposure, probability of default (PD), and loss given default (LGD) under stressed conditions.
	CSA in place?	Indication of whether at least one of the netting sets comprising this counterparty has a legally enforceable collateral agreement, for example, Credit Support Annex (CSA), in place. "Y" for yes, "N" for no.
	% Gross CE with CSAs	Percentage of Gross CE that is associated with netting sets that have a legally enforceable collateral agreement in place. For example, if there are two netting sets, one collateralized and one not, with equal Gross CEs in both netting sets, fill in 50%.
	Collateralized counterparty	A collateralized counterparty is a counterparty with at least one netting set with a legally enforceable collateral agreement in place.
	Internal Rating	The reporting covered bank's internal rating of the counterparty.
	External Rating	The external rating associated with the counterparty's internal rating, not the external rating associated with the specific counterparty. Provide an external rating from a Nationally Recognized Statistical Rating Organization (NRSRO).
	Collateralized netting set	Netting sets with a CSA agreement in place.
2) EE profile	Tenor bucket in years	The time provided should be as granular as possible. Use years as the unit. For example, if the time is 6 months, the covered bank should report “0.5” not “6”. Tenor buckets are defined as the time between time t and time t-1. Therefore if the value provided is one year, and the previous time provided is 6 months, the tenor bucket over which marginal (forward) probabilities of default is calculated would be from 6 months to one year. Typically expected exposure (EE) will be calculated at time t (the endpoint of the tenor bucket). If not, clarify if the value provided corresponds to a midpoint during the tenor bucket, an average, or some other value. The level of granularity of future revaluation time buckets should be at the level used to calculate CVA at the covered bank, and the data provided should be as granular as available.
	EE - Covered Bank specification	The (unstressed) Expected Exposure (EE) metric used to calculate CVA for each tenor bucket. Along each simulation path, the exposure at time t used to estimate EE(t) should be non-negative; if any exposures along a simulation path calculated at time t are negative, these should be set to 0 before calculating the expected value. The EE reference point refers to the end-point of the time bucket between time t and t-1. A time bucket is considered the time between time t and time t-1. Indicate in separate methodology notes if another approach is used (e.g., average over time bucket, mid- point, etc.). EE (unstressed) calculated using the Covered Bank's own specification.
	Marginal PD	Value provided should be the interpolated marginal PD for each time bucket between time t and t-1. For most covered banks, marginal PD will reflect default probability over tenor bucket and be equivalent to the difference between the cumulative PD at the beginning and the end of the tenor bucket. If not, provide additional explanation.
	LGD	Loss Given Default (1-Recovery Rate).
	Discount factor	The discount factor should be roughly equal to e^-zt or (1+z)^-t, where z is the value of the zero curve at time t for the LIBOR or some other "risk free" rate.
	Stressed EE - Adverse scenario & FDIC specification	Stressed EE calculated under the FDIC adverse shock scenario using the FDIC specification. Calculate the EE under the FDIC specification with a 10 day margin period of risk (MPOR) for all counterparties, and exclude the collection of additional collateral due to downgrade of a counterparty (i.e., downgrade triggers).
	Stressed EE - Adverse scenario & Covered Bank specification	Stressed EE calculated under the adverse shock scenario using the covered bank's own specification. If MPOR and downgrade trigger assumptions are the same as in the FDIC specification, this field may be populated with N/A.
	Stressed EE - Severely adverse scenario & FDIC specification	Stressed EE calculated under the severely adverse shock scenario using the FDIC specification.
	Stressed EE - Severely Adverse scenario & Covered Bank specification	Stressed EE calculated under the severely adverse shock scenario using the Covered Bank's own specification.
	Stressed Marginal PD	The (unilateral) marginal PD associated with the counterparty's stressed spread.
	Stressed LGD	LGD in the stressed scenario
	EE (by ratings)	The sum of the EEs for the aggregate CVA by internal ratings category.
	Marginal PD and Stressed marginal PD (Avg.) (by ratings)	Value provided should be the average marginal PD expected exposure-weighted across all counterparties by internal ratings category for each time bucket between time t and t-1. Stressed marginal PDs should be weighted by stressed expected exposures.
	LGD and Stressed LGD (Avg.) (by ratings)	Average Loss Given Default (1-Recovery Rate) weighted by marginal PD and expected exposure for each time bucket between time t and t-1, across all counterparties within each internal ratings category. Stressed LGDs should be weighted by stressed marginal PDs and stressed expected exposures.
	Stressed EE (by ratings)	The sum of the full revaluation of the EE profile under stressed conditions by internal ratings category.
3) Credit Quality	Time period	The date for which the CDS (or other input) applies. For a one year CDS spread, enter "1". For grid pricing, do not enter the interpolated CDS spreads. Enter only the dates for which market data was available.
	Market spread (bps)	Enter the market value. If this value comes from a proxy grid, enter the value from the grid. The whole grid is not necessary. For example, if the grid is computed based on 1, 3, 5, and 10 years spreads, enter only 1, 3, 5, and 10 year data. All spread data should be reported as the all-in-cost spread, with any upfront costs incorporated into the current all-in spread.
	Spread adjustment (bps)	Provide the amount and operator (e.g., "*" and "+") of adjustments (in bps), if any, applied to the market spread. This may be zero or blank if no add-on is used.
	Spread (bps) used in CVA calculation	Enter the value used in the CVA calculation. This may be left blank if the market spread of the single name or proxy is used without any adjustment.
	Stressed spreads	The stressed values of CDS spreads used in the stressed CVA calculation.
	Mapping approach: Single name own or Proxy	Fill in this field with either Single name own or Proxy. Single name own means that the single name reference entity is the same as the counterparty name. Proxy means that the counterparty's own spread was not used; rather, a proxy spread was used.
	Proxy Mapping Approach	Indicate the type of proxy mapping approach used: Single name - related party, Industry (indicate the type of industry), Ratings class (indicate the rating; e.g., AAA, AA), Industry-rating, Industry-rating-geography, and Other. This field may be left blank when mapping approach is Single name own.
	Proxy Name	Identify the proxy used. For example, the single name or ratings/industry/geography proxy used.
	Market input type	Select from the options provided (e.g., CDS spreads, Bond Spread, EDF, etc.).
	Ticker / identifier	Where applicable, enter the ticker number used (e.g., CDX IG AA, single name ticker, etc.).
	Report date	Enter the date of the market data.
	Source	Enter the source of the market data (e.g. Bloomberg, Markit).
	Comments	Enter any relevant comments.
	Average spread (bps) used in CVA calculation (by ratings)	Enter the average (exposure-weighted) value used in the CVA calculation across all counterparties by internal ratings category.
	Stressed spreads (by ratings)	Enter the average (exposure-weighted) value used in the CVA calculation across all counterparties by internal ratings category for each time period.
4) CVA sensitivities	Aggregate CVA sensitivities	Change in aggregate asset-side CVA for a given change in the underlying risk factor. Report an increase in CVA as a positive figure. Reported sensitivities should be gross of CVA hedges.
	Sensitivities for top 10 counterparties (ranked by CVA)	Change in CVA of each counterparty for a given change in the underlying risk factor. Report an increase in CVA as a positive figure. Reported sensitivities should be gross of CVA hedges.
	Other material sensitivities	Material sensitivities are other large and/or important risk factors for the covered bank. Add the relevant risk factors for the covered bank.
Notes to the CCR Schedule		Use this tab(s) to voluntarily submit additional information to give clarity on the portfolio.

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Sheet 4: 1a) CP CVA by top 200 CVA

	1a) Top 200 counterparties ranked by CVA
	$ Millions
							(1) i.e. full revaluation under stressed conditions
	Counterparty identifiers					Exposure Data						CVA Data			Collateralization		Credit Quality Data
Rank	Counterparty name	Counterparty ID	Netting set ID (optional)	Sub-netting set ID (optional)	Industry	Gross CE	Stressed Gross CE (1) Adverse Scenario	Stressed Gross CE (1) Severely Adverse Scenario	Net CE	Stressed Net CE (1) Adverse Scenario	Stressed Net CE (1) Severely Adverse Scenario	CVA	Stressed CVA (1) Adverse Scenario	Stressed CVA (1) Severely Adverse Scenario	CSA in place? Y/N (see data dictionary)	% Gross CE with CSAs (see data dictionary)	Internal Rating	External Rating
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
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
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75
76
77
78
79
80
81
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84
85
86
87
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90
91
92
93
94
95
96
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98
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100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
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118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
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147
148
149
150
151
152
153
154
155
156
157
158
159
160
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162
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164
165
166
167
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172
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176
177
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180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200

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Sheet 5: 1b) CP CVA by top 20 Stressed

	1b) Top 20 counterparties ranked by Adverse Scenario Stressed CVA
	$ Millions
							(1) i.e. full revaluation under stressed conditions
	Counterparty identifiers					Exposure Data						CVA Data			Collateralization		Credit Quality Data
Rank	Counterparty name	Counterparty ID	Netting set ID (optional)	Sub-netting set ID (optional)	Industry	Gross CE	Stressed Gross CE (1) Adverse Scenario	Stressed Gross CE (1) Severely Adverse Scenario	Net CE	Stressed Net CE (1) Adverse Scenario	Stressed Net CE (1) Severely Adverse Scenario	CVA	Stressed CVA (1) Adverse Scenario	Stressed CVA (1) Severely Adverse Scenario	CSA in place? Y/N (see data dictionary)	% Gross CE with CSAs (see data dictionary)	Internal Rating	External Rating	External Rating Source
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
	1b) Top 20 counterparties ranked by Severely Adverse Scenario Stressed CVA
	$ Millions
							(1) i.e. full revaluation under stressed conditions
	Counterparty identifiers					Exposure Data						CVA Data			Collateralization		Credit Quality Data
Rank	Counterparty name	Counterparty ID	Netting set ID (optional)	Sub-netting set ID (optional)	Industry	Gross CE	Stressed Gross CE (1) Adverse Scenario	Stressed Gross CE (1) Severely Adverse Scenario	Net CE	Stressed Net CE (1) Adverse Scenario	Stressed Net CE (1) Severely Adverse Scenario	CVA	Stressed CVA (1) Adverse Scenario	Stressed CVA (1) Severely Adverse Scenario	CSA in place? Y/N (see data dictionary)	% Gross CE with CSAs (see data dictionary)	Internal Rating	External Rating	External Rating Source
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

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Sheet 6: 1c) CP CVA by top 20 Net CE

	1c) Top 20 counterparties ranked by Net CE
	$ Millions
							(1) i.e. full revaluation under stressed conditions
	Counterparty identifiers					Exposure Data						CVA Data
Rank	Counterparty name	Counterparty ID	Netting set ID (optional)	Sub-netting set ID (optional)	Industry	Gross CE	Stressed Gross CE (1) Adverse Scenario	Stressed Gross CE (1) Severely Adverse Scenario	Net CE	Stressed Net CE (1) Adverse Scenario	Stressed Net CE (1) Severely Adverse Scenario	CVA	Stressed CVA (1) Adverse Scenario	Stressed CVA (1) Severely Adverse Scenario	External Rating	External Rating Source
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
	1c) Top 20 counterparties ranked by Adverse Scenario Stressed Net CE
	$ Millions
							(1) i.e. full revaluation under stressed conditions
	Counterparty identifiers					Exposure Data						CVA Data
Rank	Counterparty name	Counterparty ID	Netting set ID (optional)	Sub-netting set ID (optional)	Industry	Gross CE	Stressed Gross CE (1) Adverse Scenario	Stressed Gross CE (1) Severely Adverse Scenario	Net CE	Stressed Net CE (1) Adverse Scenario	Stressed Net CE (1) Severely Adverse Scenario	CVA	Stressed CVA (1) Adverse Scenario	Stressed CVA (1) Severely Adverse Scenario	External Rating	External Rating Source
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
	1c) Top 20 counterparties ranked by Severely Adverse Scenario Stressed Net CE
	$ Millions
							(1) i.e. full revaluation under stressed conditions
	Counterparty identifiers					Exposure Data						CVA Data
Rank	Counterparty name	Counterparty ID	Netting set ID (optional)	Sub-netting set ID (optional)	Industry	Gross CE	Stressed Gross CE (1) Adverse Scenario	Stressed Gross CE (1) Severely Adverse Scenario	Net CE	Stressed Net CE (1) Adverse Scenario	Stressed Net CE (1) Severely Adverse Scenario	CVA	Stressed CVA (1) Adverse Scenario	Stressed CVA (1) Severely Adverse Scenario	External Rating	External Rating Source
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

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Sheet 7: 1d) CP CVA by top 20 Gross CE

	1d) Top 20 collateralized counterparties* ranked by Gross CE
	$ Millions
							(1) i.e. full revaluation under stressed conditions
	Counterparty identifiers					Exposure Data						CVA Data			Collateralization		Credit Quality Data
Rank	Counterparty name	Counterparty ID	Netting set ID (optional)	Sub-netting set ID (optional)	Industry	Gross CE	Stressed Gross CE (1) Adverse Scenario	Stressed Gross CE (1) Severely Adverse Scenario	Net CE	Stressed Net CE (1) Adverse Scenario	Stressed Net CE (1) Severely Adverse Scenario	CVA	Stressed CVA (1) Adverse Scenario	Stressed CVA (1) Severely Adverse Scenario	CSA in place? Y/N (see data dictionary)	% Gross CE with CSAs (see data dictionary)	Internal Rating	External Rating	External Rating Source
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
	* A collateralized counterparty is a counterparty with at least one netting set with a CSA agreement in place.
	1d) Top 20 collateralized counterparties* ranked by Adverse Scenario Stressed Gross CE
	$ Millions
							(1) i.e. full revaluation under stressed conditions
	Counterparty identifiers					Exposure Data						CVA Data			Collateralization		Credit Quality Data
Rank	Counterparty name	Counterparty ID	Netting set ID (optional)	Sub-netting set ID (optional)	Industry	Gross CE	Stressed Gross CE (1) Adverse Scenario	Stressed Gross CE (1) Severely Adverse Scenario	Net CE	Stressed Net CE (1) Adverse Scenario	Stressed Net CE (1) Severely Adverse Scenario	CVA	Stressed CVA (1) Adverse Scenario	Stressed CVA (1) Severely Adverse Scenario	CSA in place? Y/N (see data dictionary)	% Gross CE with CSAs (see data dictionary)	Internal Rating	External Rating	External Rating Source
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
	* A collateralized counterparty is a counterparty with at least one netting set with a CSA agreement in place.
	1d) Top 20 collateralized counterparties* ranked by Severely Adverse Scenario Stressed Gross CE
	$ Millions
							(1) i.e. full revaluation under stressed conditions
	Counterparty identifiers					Exposure Data						CVA Data			Collateralization		Credit Quality Data
Rank	Counterparty name	Counterparty ID	Netting set ID (optional)	Sub-netting set ID (optional)	Industry	Gross CE	Stressed Gross CE (1) Adverse Scenario	Stressed Gross CE (1) Severely Adverse Scenario	Net CE	Stressed Net CE (1) Adverse Scenario	Stressed Net CE (1) Severely Adverse Scenario	CVA	Stressed CVA (1) Adverse Scenario	Stressed CVA (1) Severely Adverse Scenario	CSA in place? Y/N (see data dictionary)	% Gross CE with CSAs (see data dictionary)	Internal Rating	External Rating	External Rating Source
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
	* A collateralized counterparty is a counterparty with at least one netting set with a CSA agreement in place.

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Sheet 8: 1e) Agg CVA by ratings

1e) Aggregate CVA by ratings and collateralization
$ Millions
Aggregate			(1) i.e. full revaluation under stressed conditions
Ratings Category		Exposure Data						CVA Data
Internal Rating	External Rating	Gross CE	Stressed Gross CE (1) Adverse Scenario	Stressed Gross CE (1) Severely Adverse Scenario	Net CE	Stressed Net CE (1) Adverse Scenario	Stressed Net CE (1) Severely Adverse Scenario	CVA	Stressed CVA (1) Adverse Scenario	Stressed CVA (1) Severely Adverse Scenario
N/A	N/A
Collateralized netting sets*			(1) i.e. full revaluation under stressed conditions
Ratings Category		Exposure Data						CVA Data
Internal Rating	External Rating	Gross CE	Stressed Gross CE (1) Adverse Scenario	Stressed Gross CE (1) Severely Adverse Scenario	Net CE	Stressed Net CE (1) Adverse Scenario	Stressed Net CE (1) Severely Adverse Scenario	CVA	Stressed CVA (1) Adverse Scenario	Stressed CVA (1) Severely Adverse Scenario
* Netting sets with a CSA agreement in place.
Uncollateralized netting sets**			(1) i.e. full revaluation under stressed conditions
Ratings Category		Exposure Data						CVA Data
Internal Rating	External Rating	Gross CE	Stressed Gross CE (1) Adverse Scenario	Stressed Gross CE (1) Severely Adverse Scenario	Net CE	Stressed Net CE (1) Adverse Scenario	Stressed Net CE (1) Severely Adverse Scenario	CVA	Stressed CVA (1) Adverse Scenario	Stressed CVA (1) Severely Adverse Scenario
** Netting sets without a CSA agreement in place.

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Sheet 9: 2a) EE profile by CP

2a) EE profile by counterparty, top 200 counterparties

$ Millions

(1) Tenor buckets should be as granular as possible.

(2) i.e. full revaluation under stressed conditions

Counterparty identifiers

CVA Inputs

Stressed CVA Inputs

Counterparty name

Counterparty ID

Netting set ID (optional)

Sub-netting set ID (optional)

Industry

Tenor bucket in years (1)

EE - Covered Bank specification

Marginal PD

LGD

Discount factor

Stressed EE - Adverse scenario & FDIC specification (2)

Stressed EE - Adverse scenario & Covered Bank specification (2)

Stressed EE - Severely Adverse scenario & FDIC specification (2)

Stressed EE - Severely Adverse scenario & Covered Bank specification (2)

Stressed Marginal PD Adverse Scenario

Stressed Marginal PD Severely Adverse Scenario

Stressed LGD Adverse Scenario

Stressed LGD Severely Adverse Scenario

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Sheet 10: 2b) EE profile by ratings

2b) EE profile by ratings, aggregate data

$ Millions

(1) Tenor buckets should be as granular as possible.

(2) i.e. full revaluation under stressed conditions

Ratings Category

CVA Inputs

Stressed CVA Inputs

Internal rating

External rating

Tenor bucket in years (1)

EE - Covered Bank specification

Marginal PD (Avg.)

Marginal Stressed PD (Avg.)

LGD (Avg.)

Discount factor (Avg.)

Stressed EE - Adverse scenario & FDIC specification (2)

Stressed EE - Adverse scenario & Covered Bank specification (2)

Stressed EE - Severely Adverse scenario & FDIC specification (2)

Stressed EE - Severely Adverse scenario & Covered Bank specification (2)

Stressed Marginal PD Adverse Scenario

Stressed Marginal PD Severely Adverse Scenario

Stressed LGD Adverse Scenario

Stressed LGD Severely Adverse Scenario

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Sheet 11: 3a) Credit quality by CP

3a) Credit quality by counterparty

(1) Provide the amount and operator (e.g., "*" and "+") of adjustments (in bps), if any, applied to the market spread. This may be zero or blank if no add-on is used.

(2) Enter the value used in the CVA calculation. This may be left blank if the market spread of the single name or proxy is used without any adjustment.

Counterparty and time identifiers

Data inputs

Type of credit quality input

Counterparty name

Counterparty ID

Netting set ID (optional)

Sub-netting set ID (optional)

Industry

Time period (years)

Market spread (bps)

Spread adjustment (bps) (1)

Spread (bps) used in CVA calculation (2)

Stressed spreads (bps) Adverse Scenario

Stressed spreads (bps) Severely Adverse Scenario

Mapping approach: Single name own or Proxy (3)

Proxy Mapping Approach (4)

Proxy Name

Market input type (5)

Ticker / identifier

Report date

Source (Bloomberg, Markit, KMV, etc.)

Comments

XYZ bank

34909

x1

x1_FX

Dealers and non-dealer banks

1

205

+10

215

Single name own

CDS Spread

98765GA43 (CUSIP)

5/31/2011

Bloomberg

XYZ bank

34909

x1

x1_FX

Dealers and non-dealer banks

5

206

+10

216

Single name own

CDS Spread

98765GA43

5/31/2011

Bloomberg

XYZ bank

34909

x1

x1_FX

Dealers and non-dealer banks

7

208

+10

218

Single name own

CDS Spread

98765GA43

5/31/2011

Bloomberg

XYZ bank

34909

x1

x1_FX

Dealers and non-dealer banks

10

211

+10

221

Single name own

CDS Spread

98765GA43

5/31/2011

Bloomberg

XYZ bank

34909

x1

x1_FX

Dealers and non-dealer banks

30

215

+10

225

Single name own

CDS Spread

98765GA43

5/31/2011

Bloomberg

XYZ bank

34909

x1

x1_IR

Dealers and non-dealer banks

1

205

+10

215

Single name own

CDS Spread

98765GA43

Bloomberg

XYZ bank

34909

x1

x1_IR

Dealers and non-dealer banks

5

206

+10

216

Single name own

CDS Spread

98765GA43 (CUSIP)

5/31/2011

Bloomberg

XYZ bank

34909

x1

x1_IR

Dealers and non-dealer banks

7

208

+10

218

Single name own

CDS Spread

98765GA43

5/31/2011

Bloomberg

XYZ bank

34909

x1

x1_IR

Dealers and non-dealer banks

10

211

+10

221

Single name own

CDS Spread

98765GA43

5/31/2011

Bloomberg

XYZ bank

34909

x1

x1_IR

Dealers and non-dealer banks

30

215

+10

225

Single name own

CDS Spread

98765GA43

5/31/2011

Bloomberg

XYZ bank

34909

x2

x2_FX

Dealers and non-dealer banks

1

205

+10

215

Single name own

CDS Spread

98765GA43 (CUSIP)

5/31/2011

Bloomberg

XYZ bank

34909

x2

x2_FX

Dealers and non-dealer banks

5

206

+10

216

Single name own

CDS Spread

98765GA43

5/31/2011

Bloomberg

XYZ bank

34909

x2

x2_FX

Dealers and non-dealer banks

7

208

+10

218

Single name own

CDS Spread

98765GA43

5/31/2011

Bloomberg

XYZ bank

34909

x2

x2_FX

Dealers and non-dealer banks

10

211

+10

221

Single name own

CDS Spread

98765GA43

5/31/2011

Bloomberg

XYZ bank

34909

x2

x2_FX

Dealers and non-dealer banks

30

215

+10

225

Single name own

CDS Spread

98765GA43

5/31/2011

Bloomberg

XYZ bank

34909

x2

x2_CDS

Dealers and non-dealer banks

1

205

+10

215

Single name own

CDS Spread

98765GA43

Bloomberg

XYZ bank

34909

x2

x2_CDS

Dealers and non-dealer banks

5

206

+10

216

Single name own

CDS Spread

98765GA43 (CUSIP)

5/31/2011

Bloomberg

XYZ bank

34909

x2

x2_CDS

Dealers and non-dealer banks

7

208

+10

218

Single name own

CDS Spread

98765GA43

5/31/2011

Bloomberg

XYZ bank

34909

x2

x2_CDS

Dealers and non-dealer banks

10

211

+10

221

Single name own

CDS Spread

98765GA43

5/31/2011

Bloomberg

XYZ bank

34909

x2

x2_CDS

Dealers and non-dealer banks

30

215

+10

225

Single name own

CDS Spread

98765GA43

5/31/2011

Bloomberg

Country XYZ Development Bank

841135

Other

1

150

*1.25

188

Proxy

Industry (Sovereign)

Country XYZ

Bond Spread

G10.FX.IG

5/31/2011

Markit

Country XYZ Development Bank

841135

Other

1

152

*1.25

190

Proxy

Industry (Sovereign)

Country XYZ

Bond Spread

G10.FX.IG

5/31/2011

Markit

Country XYZ Development Bank

841135

Other

3

154

*1.25

193

Proxy

Industry (Sovereign)

Country XYZ

Bond Spread

G10.FX.IG

5/31/2011

Markit

Country XYZ Development Bank

841135

Other

3

156

*1.25

195

Proxy

Industry (Sovereign)

Country XYZ

Bond Spread

G10.FX.IG

5/31/2011

Markit

Country XYZ Development Bank

841135

Other

5

160

*1.25

200

Proxy

Industry (Sovereign)

Country XYZ

Bond Spread

G10.FX.IG

5/31/2011

Markit

Country XYZ Development Bank

841135

Other

5

163

*1.25

204

Proxy

Industry (Sovereign)

Country XYZ

Bond Spread

G10.FX.IG

5/31/2011

Markit

Country XYZ Development Bank

841135

Other

10

170

*1.25

213

Proxy

Industry (Sovereign)

Country XYZ

Bond Spread

G10.FX.IG

5/31/2011

Markit

SmallCo

11573587

Non-financial corporates

1

130

+50

180

Proxy

Single name - related party

BigCo

CDS Spread

BIGC

5/31/2011

Markit

SmallCo

11573587

Non-financial corporates

1

132

+50

182

Proxy

Single name - related party

BigCo

CDS Spread

BIGC

5/31/2011

Markit

SmallCo

11573587

Non-financial corporates

3

135

+50

185

Proxy

Single name - related party

BigCo

CDS Spread

BIGC

5/31/2011

Markit

SmallCo

11573587

Non-financial corporates

3

136

+50

186

Proxy

Single name - related party

BigCo

CDS Spread

BIGC

5/31/2011

Markit

SmallCo

11573587

Non-financial corporates

5

140

+50

190

Proxy

Single name - related party

BigCo

CDS Spread

BIGC

5/31/2011

Markit

SmallCo

11573587

Non-financial corporates

5

142

+50

192

Proxy

Single name - related party

BigCo

CDS Spread

BIGC

5/31/2011

Markit

SmallCo

11573587

Non-financial corporates

10

148

+50

198

Proxy

Single name - related party

BigCo

CDS Spread

BIGC

5/31/2011

Markit

(3) Fill in this field with either "Single name own" or "Proxy".

(4) Samples of proxy mapping approach:

•

Single name - related party

•

Industry (indicate industry)

•

Rating class (indicate rating class)

•

Industry-rating

•

Industry-rating-geography

•

Other (specify)

(5) Sample of market inputs:

•

CDS spreads

•

Bond spreads

•

KMV-EDFs

•

Internal rating

•

Other

---

Sheet 12: 3b) Credit quality by ratings

3b) Credit quality by ratings
Ratings categories and time identifiers		Data inputs
Ratings	Time period (years)	Average spread (bps) used in CVA calculation	Stressed spreads (bps) Adverse Scenario	Stressed spreads (bps) Severely Adverse Scenario	Comments
1	1	215
1	…	216
1	3	218
1	….	221
1	5	225
1	…	226
1	10	227
2	1	188
2	…	190
2	3	193
2	….	195
2	5	200
2	…	204
2	10	213
3	1	180
3	…	182
3	3	185
3	….	186
3	5	190
3	…	192
3	10	198
…	…	…
….	…	…

---

Sheet 13: 4) CVA sensitivities

4) CVA sensitivities and slides

$ Millions

Change to asset CVA for a given change in the underlying, gross of any hedges (an increase in CVA should be reported as a positive figure)

Notes:

Blank cells below will be interpreted as a zero

The reporting covered bank may provide its own values for slides (e.g., +20bps instead of +10bps); however, at a minimum, there should be slides that represent a significant positive and negative move for that risk factor.

Cells shaded gray do not need to be filled in

Aggregate CVA sensitivities

Sensitivities for top 10 counterparties (ranked by unstressed CVA)

Top 1 Cpty

Top 2 Cpty

Top 3 Cpty

Top 4 Cpty

Top 5 Cpty

Top 6 Cpty

Top 7 Cpty

Top 8 Cpty

Top 9 Cpty

Top 10 Cpty

<<insert name>>

<<insert name>>

<<insert name>>

<<insert name>>

<<insert name>>

<<insert name>>

<<insert name>>

<<insert name>>

<<insert name>>

<<insert name>>

<<insert Cpty ID>>

<<insert Cpty ID>>

<<insert Cpty ID>>

<<insert Cpty ID>>

<<insert Cpty ID>>

<<insert Cpty ID>>

<<insert Cpty ID>>

<<insert Cpty ID>>

<<insert Cpty ID>>

<<insert Cpty ID>>

Credit Spreads

-50%

-10%

+1bp

+10%

+100%

1bp

1bp

1bp

1bp

1bp

1bp

1bp

1bp

1bp

1bp

Counterparty Spread

Aggregate

Aggregate by rating:

AAA

AA

A

BBB

BB

B

CCC

CC

C

NR

Reference Spread

Aggregate

Aggregate by rating:

AAA

AA

A

BBB

BB

B

CCC

CC

C

NR

Interest Rates (bps)

-100bps

-10bps

+1bp

+10bps

+100bps

1bp

1bp

1bp

1bp

1bp

1bp

1bp

1bp

1bp

1bp

EUR

<=1Y

1-5Y

>=5-10Y

>=10Y

All Maturities

GBP

<=1Y

1-5Y

>=5-10Y

>=10Y

All Maturities

USD

<=1Y

1-5Y

>=5-10Y

>=10Y

All Maturities

Other material sensitivities

<<Insert name/ definition>>

<<Insert name/ definition>>

<<Insert name/ definition>>

<<Insert name/ definition>>

<<Insert name/ definition>>

FX (%)

-50%

-10%

+1%

+10%

+100%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

EUR

GBP

Other material FX sensitivities

<<Insert name/ definition>>

<<Insert name/ definition>>

<<Insert name/ definition>>

<<Insert name/ definition>>

<<Insert name/ definition>>

Equity (%)

-50%

-10%

+1%

+10%

+100%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

US <<Define>>

Europe <<Define>>

Other <<Define>>

Other material Equity sensitivities

<<Insert name/ definition>>

<<Insert name/ definition>>

<<Insert name/ definition>>

<<Insert name/ definition>>

<<Insert name/ definition>>

Commodities (%)

-50%

-10%

+1%

+10%

+100%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

Oil & Oil Products

Natural Gas

Power

Coal & Freight

Softs & Ags

Precious Metals

Base Metals

Other material Commodity sensitivities

<<Insert name/ definition>>

<<Insert name/ definition>>

Other material sensitivities

-50

-10

+1

+10

+100

<<Insert name/ definition/units>>

<<Insert name/ definition/units>>

<<Insert name/ definition/units>>