DFAST-14A Counterparty Credit Risk - CVA Data Schedule C

DFAST-14A Counterparty Credit Risk / CVA Data Schedule Cover Sheet
See tabs "CCR Data Dictionary " and "CCR Instructions to firms " for additional guidance on completing these
worksheets.
Covered institutions should complete all relevant cells in the corresponding worksheets, including this cover page.
Data should be reported in millions of dollars. Data should not be entered into grayed out cells.

Institution Name:
RSSD ID:
Submission Date (MM/DD/YYYY):
OCC Charter ID:

CCR Cover Sheet
1

DFAST-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 institution, 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. Data analysts must be able to merge the data on each tab based on the counterparty identifiers provided. 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, industry, country, internal rating, and external rating. If any netting set or sub-netting set
IDs are provided on one tab, they must be provided on all tabs. If any counterparties 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 institution 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).

CCR Instructions to firms
2

DFAST-14A:CCR data dictionary
TAB
All tabs: Counterparty
identifiers

DATA FIELD
Counterparty

Counterparty name

DESCRIPTION / DEFINITION
Generally speaking, a “counterparty” should be defined at the level at which the covered institution 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 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 agreements.

Sub-netting set ID (optional)

This field is optional. Used if your covered institution 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: Banks, Financial guarantors / monolines, SPVs, Other financials, Non-financial corporates, Sovereigns,
Local authorities, Other.

Country

Country of domicile of the counterparty. See above for definition of a counterparty. Countries should be identified using the
two-letter codes available at
http://www.iso.org/iso/country_codes/iso_3166_code_lists/country_names_and_code_elements.htm.
The covered institution's internal rating of the counterparty. If there are multiple ratings associated with the different
netting sets of the counterparty, the mean or median internal rating should be used. Elaborate in the documentation the
approach to selecting the internal rating for these types of counterparties. As a reminder, even if there are multiple internal
ratings for a counterparty, there is always only one CDS for that counterparty. All data should be reported at the level at
which CVA is calculated; thus every counterparty must have only one CDS spread associated with it. See above for definition
of a counterparty.
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).

Internal rating

External rating

1) CVA

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 covered institution 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
Net CE

The full revaluation of Gross CE under stressed conditions.
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 institution to the counterparty.
The full revaluation of Net CE under stressed conditions. Hold collateral constant; assume no additional collection of
collateral.
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). By requiring
unilateral CVA, the default risk of the counterparty should not be conditioned on the survival of the reporting institution.

Stressed Net CE
CVA

CCR Data dictionary
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DFAST-14A:CCR data dictionary
TAB

DATA FIELD
Stressed CVA

DESCRIPTION / DEFINITION
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. Stressed CVA only needs to be
calculated for the covered institution specification, under both the covered institution and OCC scenarios.

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.
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%.

% Gross CE with CSAs

Downgrade trigger modeled?

For the covered institution specification, indication of whether at least one of the netting sets comprising this counterparty
has an Expected Exposure (EE) profile where a downgrade trigger is modeled. "Y" for yes, "N" for no.

Single name credit hedges

The net notional amount of single name credit hedges on the default of the counterparty. Only a single name CDS hedge of
the counterparty should be reported. Report net bought positions as positive.
The difference between Aggregate Stressed CVA and Aggregate CVA should equal the CVA losses reported in the
SUMMARY_SCHEDULE (Item 2 on the Counterparty Risk Worksheet). If this is not the case for your covered institution,
provide a rationale in the methodology documentation.
Additional or offline CVA reserves are reported here. If there is a Gross CE or a Net CE figure associated with these reserves,
those should be reported as well. If not, enter "0". Accompanying documentation should elaborate about the nature of
these reserves.
A collateralized counterparty is a counterparty with at least one netting set with a legally enforceable collateral agreement
in place.
Netting sets with a CSA agreement in place.

Aggregate CVA and stressed CVA

Additional/ offline CVA reserves

Collateralized counterparty
Collateralized netting set
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
institution should report “0.5” not “6”.

EE - Covered institution
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 endpoint 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).
EE (unstressed) calculated using the covered institution's own specification.

Marginal PD

LGD (CVA)
LGD (PD)

Discount factor
Stressed EE - OCC scenario & OCC
specification

Value provided should be the interpolated unilateral marginal PD for each time bucket between time t and t-1. For most
covered institutions, 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. PDs
should not be conditioned on the survival of the covered institution.
Loss Given Default (1-Recovery Rate) used to calculate CVA.
Loss Given Default (1-Recovery Rate) used to calculate PDs from spreads. If the LGDs used to calculate PDs are different from
the LGDs used to calculate CVA, provide a rationale in the methodology documentation as requested in the Summary
Instructions.
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 calculated under the OCC shock scenario using the OCC specification.
Calculate the EE under the OCC 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).

CCR Data dictionary
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DFAST-14A:CCR data dictionary
TAB

DATA FIELD
Stressed EE - OCC scenario &
Coverd institution specification

DESCRIPTION / DEFINITION
Stressed EE calculated under the OCC shock scenario using the covered institution's own specification. If MPOR and
downgrade trigger assumptions are the same as in the OCC specification, this field may be populated with N/A.

Stressed EE - Covered institution
scenario & Covered institution
ifi marginal
i
Stressed
PD

Stressed EE calculated under the covered institution shock scenario using the covered institution's own specification.

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.
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.

The (unilateral) marginal PD associated with the counterparty's stressed spread. PDs should not be conditioned on the
survival of the covered institution.
Stressed LGD (CVA)
LGD used to calculate CVA in the stressed scenario.
Stressed LGD (PD)
LGD used to calculate PD 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 Value provided should be the average marginal PD expected exposure-weighted across all counterparties by internal ratings
PD (Avg.) (by ratings)
category for each time bucket between time t and t-1. Stressed marginal PDs should be weighted by stressed expected
exposures. All PDs should be unilateral (i.e., PDs should not be conditioned on the survival of the reporting covered
institution.)
LGD and Stressed LGD (Avg.) (by
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
ratings)
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

Market spread (bps)

Spread adjustment (bps)
Spread (bps) used in CVA
calculation
Stressed spreads
Mapping approach

Proxy mapping approach

Proxy name
Market input type
Ticker / identifier
Report date
Source
Comments
Average spread (bps) used in CVA
calculation (by ratings)
Stressed spreads (by ratings)

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.
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.
The stressed values of CDS spreads used in the stressed CVA calculation.
Use the drop-down menu to indicate the type of proxy mapping approach used. 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.
Use the drop-down menu to 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.
Identify the specific proxy used.
Select from the options provided (e.g., CDS spreads, Bond Spread, EDF).
Where applicable, enter the ticker number used (e.g., CDX IG AA, single name ticker).
Enter the date of the market data.
Enter the source of the market data (e.g., Bloomberg, Markit).
Enter any relevant comments.
Enter the average (exposure-weighted) value used in the CVA calculation across all counterparties by internal ratings
category.
Enter the average (exposure-weighted) value used in the CVA calculation across all counterparties by internal ratings
category for each time period.

CCR Data dictionary
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DFAST-14A:CCR data dictionary
TAB
4) CVA sensitivities

Notes to the CCR Schedule

DATA FIELD
Aggregate CVA sensitivities and
slides

DESCRIPTION / DEFINITION
Change in aggregate asset-side CVA for a given change in the underlying risk factor. A sensitivity refers to a 1 unit change in
the risk factor, and a slide refers to a larger change in the risk factor. Report an increase in CVA as a positive figure. Reported
figures should be gross of CVA hedges. The covered institution may provide their own values for slides (e.g., +20bps instead
of +10bps). However, if a covered institution chooses to report slides other than those listed, at least one slide must be
consistent with the size of the shock to that risk factor under the OCC scenario. All slides should be reported only if they are
based on a full revaluation of the portfolio given the change in the risk factor; slides should not be reported if they are
simple linear scaling of the associated sensitivity. At a minimum there should be slides that represent a significant positive
and negative move for that risk factor. For credit, when a basis point move is requested, this refers to an absolute move in
the risk factor, and when a percentage move is requested, this refers to the relative move in the risk factor.

Sensitivities for top 10
counterparties (ranked by CVA)
Other material sensitivities

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.
Material sensitivities are other large and/or important risk factors for the covered institution. Add the relevant risk factors
for the covered institution. Make sure that the label clearly identifies the risk factor. If an additional risk factor is provided
that is not listed in the template, provide a description of this sensitivity in the tab Notes to the CCR Schedule. For example,
for equity indices, include a reference to the country or region to which index corresponds.
Use this tab(s) to voluntarily submit additional information to give clarity on the portfolio.

CCR Data dictionary
6

1a) Top 200 counterparties ranked by CVA
$ Millions
Counterparty identifiers

Counterparty name Counterparty ID

Rank
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

Netting set ID
(optional)

Sub-netting set ID
(optional)

Credit Quality Data

Industry

Country

Internal rating

External
rating

Exposure Data

Gross CE

Stressed Gross CE
OCC scenario

Stressed Gross CE
Covered Institution
scenario

Net CE

INSERT TOP 20
RANKED BY

1a) CP CVA by top 200 CVA
7

CVA Data

Stressed Net CE
OCC scenario

Stressed Net CE
Covered Institution
scenario

CVA

Stressed CVA
OCC scenario and
Covered Institution
specification

Credit mitigants
Stressed CVA
Covered
Institution
scenario and
Covered
Institution
specification

CSA in place?

% Gross CE with
CSAs

Credit Hedges

Downgrade trigger
modeled?

Single Name Credit
Hedges

00 COUNTERPARTIES
UNSTRESSED CVA

1a) CP CVA by top 200 CVA
8

1b) Top 20 counterparties ranked by OCC Scenario Stressed CVA
$ Millions
Counterparty identifiers

Rank

Counterparty
name

Counterparty
ID

Netting set ID
(optional)

Sub-netting set ID
(optional)

Industry

Country

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

1b) CP CVA by top 20 Stressed
9

Credit Quality Data

Internal rating External rating

Exposure Data

Gross CE

Stressed Gross CE
OCC scenario

Stressed Gross CE
Covered Institution
scenario

Net CE

Stressed Net CE
OCC scenario

INSERT TOP 20 COUNTERPAR
RANKED
RANKED
BY FEDERAL
BY OCC
RESERVE
SCENARIO
SCENARIO
STRES
Only fill in these counterparties for counterparties that are not incl
this schedule (for example, Tab 1a) CP CVA by top 200 CVA).

1b) CP CVA by top 20 Stressed
10

CVA Data

Stressed Net CE
Covered Institution
scenario

CVA

Stressed CVA
OCC scenario and
Covered Institution
specification

Credit mitigants
Stressed CVA
Covered
Institution
scenario and
Covered
Institution
specification

CSA in place?

% Gross CE with
CSAs

Downgrade trigger
modeled?

RTIES
O
SSED
STRESSED
CVA CVA
uded in another section of

1b) CP CVA by top 20 Stressed
11

Credit Hedges

Single Name
Credit Hedges

1b) CP CVA by top 20 Stressed
12

1c) Top 20 counterparties ranked by Net CE
$ Millions
Counterparty identifiers

Counterparty Counterparty
Rank
name
ID

Netting set ID
(optional)

Sub-netting set ID
(optional)

Credit Quality Data

Industry

Country

External
Internal rating
rating

Exposure Data

Gross CE

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

Stressed Gross CE
OCC scenario

Stressed Gross CE
Covered Institution
scenario

Net CE

INSERT TOP 20
RANKED
Only fill in these counterparties for counterpa
schedule (for example, Tab 1a) CP CVA by top

1c) Top 20 counterparties ranked by OCC Scenario Stressed Net CE
$ Millions
Counterparty identifiers

Rank

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

Counterparty Counterparty
name
ID

Netting set ID
(optional)

Sub-netting set ID
(optional)

Credit Quality Data

Industry

Country

Internal rating

External
rating

Exposure Data

Gross CE

Stressed Gross CE
OCC scenario

Stressed Gross CE
Covered Institution
scenario

Net CE

INSERT TOP 20
RANKED
RANKED
BY FEDERAL
BY OCC
RESER
SCE
Only fill in these counterparties for counterpa
schedule(for example, Tab 1a) CP CVA by top 2

1c) CP CVA by top 20 Net CE
13

CVA Data

Stressed Net CE
OCC scenario

Stressed Net CE
Covered Institution
scenario

CVA

Stressed CVA
OCC scenario and
Covered Institution
specification

Credit mitigants
Stressed CVA Covered
Institution scenario and
Covered Institution
specification

CSA in place?

Credit Hedges

% Gross CE with Downgrade trigger Single Name
CSAs
modeled?
Credit Hedges

0 COUNTERPARTIES
D BY NET CE
rties that are not included in another section of this
200 CVA).

CVA Data

Stressed Net CE
OCC scenario

Stressed Net CE
Covered Institution
scenario

CVA

Stressed CVA
OCC scenario and
Covered Institution
specification

Credit mitigants
Stressed CVA Covered
Institution scenario and
Covered Institution
specification

CSA in place?

Credit Hedges

% Gross CE with Downgrade trigger Single Name
CSAs
modeled?
Credit Hedges

0 COUNTERPARTIES
ENARIO
RVE SCENARIO
STRESSED
STRESSED
NET CENET CE
rties that are not included in another section of this
200 CVA).

1c) CP CVA by top 20 Net CE
14

1d) Top 20 collateralized counterparties ranked by Gross CE (counterparties with at least one netting set with a CSA agreement in place)
$ Millions
Counterparty identifiers

Rank

Counterparty
name

Counterparty
ID

Netting set ID
(optional)

Sub-netting set ID
(optional)

Credit Quality Data

Industry

Country

Internal
rating

External
rating

Exposure Data

Gross CE

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

Stressed Gross CE
OCC scenario

Stressed Gross CE
Covered Institution
scenario

Net CE

Stressed Net CE
OCC scenario

INSERT TOP 20 COLLATERALIZED COUNTE
GROSS CE
Only fill in these counterparties for counterparties that are not in
schedule (for example, Tab 1a) CP CVA by top 200 CVA).

1d) Top 20 collateralized counterparties ranked by OCC Scenario Stressed Gross CE (counterparties with at least one netting set with a CSA agreement in place)
$ Millions
Counterparty identifiers

Counterparty
Rank
name

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

Counterparty
ID

Netting set ID
(optional)

Sub-netting set ID
(optional)

Credit Quality Data

Industry

Country

Internal
rating

External
rating

Exposure Data

Gross CE

Stressed Gross CE
OCC scenario

Stressed Gross CE
Covered Institution
scenario

Net CE

Stressed Net CE
OCC scenario

INSERT TOP 20 COLLATERALIZED CO
RANKED
RANKED
BY FEDERAL
BY OCC
RESERVE
SCENARIO
SCENARIO
STRES
Only fill in these counterparties for counterparties that are not in
schedule (for example, Tab 1a) CP CVA by top 200 CVA).

1d) CP CVA by top 20 Gross CE
15

CVA Data

Stressed Net CE
Covered Institution
scenario

CVA

Stressed CVA
OCC scenario and
Covered Institution
specification

Credit Hedges

Credit mitigants
Stressed CVA
Covered
Institution
scenario and
Covered
Institution
specification

CSA in place?

% Gross CE with
CSAs

Downgrade trigger
modeled?

Single Name Credit
Hedges

ERPARTIES RANKED BY

cluded in another section of this

CVA Data

Stressed Net CE
Covered Institution
scenario

CVA

Stressed CVA
OCC scenario and
Covered Institution
specification

Credit mitigants
Stressed CVA
Covered
Institution
scenario and
Covered
Institution
specification

CSA in place?

% Gross CE with
CSAs

Credit Hedges

Downgrade trigger
modeled?

Single Name Credit
Hedges

OUNTERPARTIES
O
SSED
STRESSED
GROSS GROSS
CE
CE
ncluded in another section of this

1d) CP CVA by top 20 Gross CE
16

1e) Aggregate CVA by ratings and collateralization
$ Millions
Aggregate
Ratings Category

Exposure Data

Internal rating

External rating

Gross CE

Stressed Gross CE
OCC scenario

Stressed Gross CE
Covered Institution
scenario

N/A

N/A

0

0

0

Additional/ offline CVA reserves
Ratings Category

0

Stressed Net CE
OCC scenario

Stressed Net CE
Covered Institution
scenario

0

0

External Rating

N/A

N/A

Gross CE

Stressed Gross CE
OCC scenario

Collateralized netting sets (netting sets with a CSA agreement in place)
Ratings Category

External rating

Gross CE

Stressed Gross CE
Covered Institution
scenario

Net CE

CVA

Stressed CVA Covered
Institution scenario
and Covered
Institution
specification

Single Name Credit
Hedges

0

0

0

0

CVA Data

Stressed Net CE
OCC scenario

Stressed Net CE
Covered Institution
scenario

CVA

Exposure Data

Stressed Gross CE
OCC scenario

Stressed Gross CE
Covered Institution
scenario

Net CE

Credit Hedges

Stressed CVA
OCC scenario and
Covered Institution
specification

Exposure Data

Internal Rating

Internal rating

Net CE

CVA Data

Stressed CVA
OCC scenario and
Covered Institution
specification

Credit Hedges
Stressed CVA Covered
Institution scenario
and Covered
Institution
specification

CVA Data

Stressed Net CE
OCC scenario

Stressed Net CE
Covered Institution
scenario

CVA

Stressed CVA
OCC scenario and
Covered Institution
specification

Single Name Credit
Hedges

Credit Hedges
Stressed CVA Covered
Institution scenario
and Covered
Institution
specification

Single Name Credit
Hedges

INSERT AGGREGATE DATA FOR COLLATERALIZED NETTING SETS BY
INTERNAL RATINGS CATEGORY

Uncollateralized netting sets (netting sets without a CSA agreement in place)
Ratings Category
Internal rating

External rating

Gross CE

Exposure Data
Stressed Gross CE
OCC scenario

Stressed Gross CE
Covered Institution
scenario

Net CE

Stressed Net CE
OCC scenario

Stressed Net CE
Covered Institution
scenario

CVA

CVA Data
Stressed CVA Covered
Stressed CVA
Institution scenario
OCC scenario and
and Covered
Covered Institution
Institution
specification

Credit Hedges
Single Name Credit
Hedges

INSERT AGGREGATE DATA FOR UNCOLLATERALIZED NETTING SETS
BY INTERNAL RATINGS CATEGORY
1e) Agg CVA by ratings
17

1e) Aggregate CVA by ratings and collateralization
$ Millions

BY INTERNAL RATINGS CATEGORY

1e) Agg CVA by ratings
18

2a) EE profile by counterparty, top 200 counterparties
$ Millions
Counterparty identifiers

Counterparty name

Counterparty ID

Netting set ID
(optional)

Sub-netting set ID
(optional)

Industry

Country

Internal
rating

External
rating

Tenor bucket
in years

EE - Covered
Institution
specification

INSERT TOP 200 COUNTE
RANKED BY UNSTRESS

2a) EE profile by CP
19

CVA Inputs

Marginal PD

Stressed CVA Inputs

LGD (CVA) LGD (PD)

Discount
factor

Stressed EE - OCC
scenario & OCC
specification

Stressed EE - OCC
scenario & Covered
Institution
specification

Stressed EE Covered
Institution
scenario &
Covered
Institution
specification

Stressed marginal
Stressed marginal
PD Covered
PD OCC scenario
Institution
Scenario

Stressed LGD
(CVA) OCC
scenario

ERPARTIES
SED CVA

2a) EE profile by CP
20

Stressed LGD
(CVA) Covered
Institution
Scenario

Stressed LGD (PD)
Stressed LGD (PD)
Covered
OCC scenario
Institution
Scenario

2a) EE profile by CP
21

2b) EE profile by ratings, aggregate data
$ Millions
Ratings Category

Internal rating

CVA Inputs

External rating

Tenor bucket in years

EE - Covered
Institution
specification

Discount
Marginal PD LGD (CVA) LGD (PD)
(Avg.)
(Avg.)
factor (Avg.)
(Avg.)

Stressed EE - OCC
scenario & OCC
specification

INSERT AGGREGATE DATA
BY INTERNAL RATINGS CATEGORY

2b) EE profile by ratings
22

Stressed CVA Inputs
Stressed EE Stressed EE - OCC
Covered Institution
scenario & Covered
scenario & Covered
Institution
Institution
specification
specification

Stressed Marginal
PD OCC scenario

Stressed Marginal
Stressed LGD (CVA)
Stressed LGD (CVA)
PD Covered
Covered Institution
OCC scenario
Institution Scenario
Scenario

Stressed LGD (PD)
OCC scenario

Stressed LGD (PD)
Covered Institution
Scenario

2b) EE profile by ratings
23

3a) Credit quality by counterparty
Counterparty and time identifiers
Counterparty name

Counterparty ID

Netting set ID
(optional)

Sub-netting set ID
(optional)

Industry

Country

Internal rating

External rating

INSERT T
RANK

3a) Credit quality by CP
24

Data inputs
Time period
(years)

Market
Spread
spread (bps) adjustment (bps)

Spread (bps) used in
CVA calculation

Stressed spreads
(bps)
OCC scenario

Stressed spreads
(bps)
Covered Institution
Scenario

Mapping approach

Proxy mapping approach

TOP 200 COUNTERPARTIES
ED BY UNSTRESSED CVA

3a) Credit quality by CP
25

Type of credit quality input
Market input
Proxy name
type

Ticker /
identifier

Source
Report date
(Bloomberg,
Comments
Markit, KMV, etc.)

3a) Credit quality by CP
26

3b) Credit quality by ratings
Ratings categories and time identifiers
Internal rating

External rating

Data inputs
Time period (years)

Average spread (bps) used in CVA
calculation

Stressed spreads (bps)
OCC scenario

Stressed spreads (bps)
Covered Institution
scenario

Comments

INSERT AGGREGATE DATA
BY INTERNAL RATINGS CATEGORY

3b) Credit quality by ratings
27

4) CVA sensitivities and slides
$ Millions
Change to asset-side 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; if a data point is not available, insert "N/A"
Cells shaded gray do not need to be filled in
Aggregate CVA sensitivities and slides

Credit Spreads
-50%
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
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 IR sensitivities
<>
<>
<>
<>
<>
FX (%)
-50%
EUR
GBP
Other material FX sensitivities
<>
<>
<>
<>
<>
Equity (%)
-50%
US <>
Europe <>
Other <>
Other material equity sensitivities
<>
<>
<>
<>
<>
Commodities (%)
-50%
Oil & Oil Products
Natural Gas

Top 2 Cpty
<>
<>
1bp

Top 3 Cpty
<>
<>
1bp

Sensitivities for top 10 counterparties (ranked by unstressed CVA)
Top 4 Cpty
Top 5 Cpty
Top 6 Cpty
Top 7 Cpty
<>
<>
<>
<>
<>
<>
<>
<>
1bp
1bp
1bp
1bp

-10%

+1bp

+10%

+100%

+300%

Top 1 Cpty
<>
<>
1bp

Top 8 Cpty
<>
<>
1bp

Top 9 Cpty
<>
<>
1bp

Top 10 Cpty
<>
<>
1bp

-10bps

+1bp

+10bps

+100bps

+300bps

1bp

1bp

1bp

1bp

1bp

1bp

1bp

1bp

1bp

1bp

-10%

+1%

+10%

+100%

+300%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

-10%

+1%

+10%

+100%

+300%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

-10%

+1%

+10%

+100%

+300%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

4) CVA sensitivities
28

4) CVA sensitivities and slides
$ Millions
Change to asset-side 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; if a data point is not available, insert "N/A"
Cells shaded gray do not need to be filled in
Aggregate CVA sensitivities and slides

Power
Coal & Freight
Softs & Ags
Precious Metals
Base Metals
Other material commodity sensitivities
<>
<>
Other material sensitivities
<>
<>
<>

Top 1 Cpty
<>

Top 2 Cpty
<>

Top 3 Cpty
<>

Sensitivities for top 10 counterparties (ranked by unstressed CVA)
Top 4 Cpty
Top 5 Cpty
Top 6 Cpty
Top 7 Cpty
<>
<>
<>
<>

Top 8 Cpty
<>

Top 9 Cpty
<>

Top 10 Cpty
<>

-50

-10

+1

+10

+100

+300

+1

+1

+1

+1

+1

+1

+1

+1

+1

+1

-50%

-10%

+1%

+10%

+100%

+300%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

<>
<>
<>

4) CVA sensitivities
29

Notes to the CCR Schedule
30