Country Exposure Report

DRAFT 6/19/2013

Instructions for the Preparation of the
Country Exposure Report
(FFIEC 009)
Effective September 2013

Schedule C, Part I – Claims on an
Immediate Risk Basis
Schedule C, Part II – Claims on an
Ultimate Risk Basis and
Memorandum Items
Schedule L – Foreign-Office Liabilities
Schedule O – Off-Balance-Sheet Items
Schedule D – Claims from Positions in
Derivative Contracts

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Table of Contents
I.

General Instructions
A. Introduction and Purpose
B. Summary Description of this Report
C. Administrative Issues
1. Authority
2. Confidentiality
D. Who Must Report
E. Accounting Issues
1. Differences between FFIEC 009 Reporting and U.S. GAAP
F. Submission of Reports

II.

Reporting Definitions
A. Claims
B. Liabilities
C. “Immediate-Counterparty” and “Ultimate-Risk” Claims
D. Sector Definitions
1. Banks
2. Public
3. Non-Bank Financial Institutions (NBFIs)
4. Corporate
5. Households
6. Other
E. Cross-Border Claims and Claims on Local Residents
1. Cross-Border Claims
2. Claims on Local Residents
3. “Local” vs. “Non-Local” Currency
F. Required Risk Transfers
1. Guarantees
2. Insurance Policies
3. Head Offices
4. Credit Derivatives
5. Collateralized Claims
6. Risk Participations
G. Netting and Offsetting
H. Reporting Credit Derivatives
1. Risk Transfers
2. Treatment of Multi-Name Credit Derivatives
3. Gross-Gross and Gross-Net Reporting

III.

Specific Instructions for Allocating Claims to the Rows
A. The United States
B. Foreign Countries
C. International and Regional Organizations

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IV.

Specific Instructions for Schedule C, Part I – Claims on an Immediate Risk Basis
A. Immediate-Counterparty Claims (Columns 1 through 12)
B. Redistribution of Claims for Required Risk Transfers (Columns 13 through 22)
1. Outward Risk Transfers
2. Inward Risk Transfers

V.

Specific Instructions for Schedule C, Part II – Claims on an Ultimate Risk Basis and
Memorandum Items
A. Ultimate-Risk Claims (Columns 1 through 11)
1. Cross-border Claims
2. Claims on Local Residents
3. Claims on Local Residents in Non-Local Currencies
B. Memorandum Items for Schedule C, Part II
1. Securities (HTM and AFS) (Column 12)
2. Collateral Held Against Claims with No Risk Transfers (Columns 13 through 16)
3. Trading Assets (Columns 17 and 18)
C. Examples for Schedule C, Part II

VI.

Specific Instructions for Schedule L – Foreign-Office Liabilities
A. Foreign-Office Liabilities by Country of Foreign Office (Columns 1 and 2)
B. Foreign-Office Liabilities by Country of Creditor (Column 3)
C. Net Due To (or Due From) Own Related Offices in Other Countries (Column 4)
D. Examples for Schedule L

VII. Specific Instructions for Schedule O – Off-Balance-Sheet Items
A. Unused Commitments (Column 1)
B. Guarantees (Excluding Credit Derivatives Sold) (Column 2)
C. Credit Derivatives Purchased and Sold (Columns 3 through 6)
1. Gross-Gross (Columns 3 and 4)
2. Gross-Net (Columns 5 and 6)
D. Trade Finance (Column 7)
E. Examples for Schedule O
VIII. Specific Instructions for Schedule D – Claims from Positions in Derivative Contracts
A. Positive Fair Value of Derivative Contracts (Columns 1 through 5)
B. Claims on Branches with No Guarantee from Parent (Column 6)
C. Examples for Schedule D
Appendix A. Summary of Reporting Bases by Schedule and Column

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I. General Instructions
A. Introduction and Purpose
The FFIEC 009 provides information on the distribution, by country, of claims on, and liabilities to,
foreign residents held by United States banks and bank holding companies. The data collected are used to
determine the presence of credit and related risks, including transfer and country risk. These data are also
aggregated and released to the public. Aggregate data are provided to the Bank for International
Settlements (BIS), as part of an international cooperative effort to compile and publish global data on
claims on foreign residents. The aggregated data, along with applicable individual data reported on the
FFIEC 009a, are available electronically through the E.16 Statistical Release (located at:
http://www.ffiec.gov/E16.htm).
B. Summary Description of this Report
The FFIEC 009 consists of four schedules (with one, Schedule C, containing two parts). Schedule C,
Part I, collects information on the claims on an “immediate-counterparty” basis—i.e., on the basis of the
country of residence of the borrower (except claims resulting from the fair value of derivative contracts).
Part I also includes the redistribution of immediate-counterparty claims to an “ultimate-risk” basis—i.e.,
on the basis of the country of residence of the guarantor or collateral provided (i.e., the “ultimate
obligor”). In Columns 1 through 12 of Part I, data are collected on an immediate-counterparty basis. In
Columns 13 through 22 of Part I, the inward and outward redistribution of claims from an immediatecounterparty basis to an ultimate-risk basis is shown. These redistributions arise from arrangements such
as formal guarantees, the provision of collateral, and the purchase of credit protection as defined in
Sections II.F and II.H.
Schedule C, Part II, collects information on the reporter’s claims on an ultimate-risk basis and
memorandum items providing additional details related to those claims. Claims on an ultimate-risk basis
are shown in Columns 1 through 11 of Schedule C, Part II. Schedule C, Part II, also contains
memorandum items relating to claims reported on an ultimate-risk basis. Column 12 shows the amounts
reported in Columns 1 through 10 of Schedule C, Part II, that are held-to-maturity and available-for-sale
securities. Columns 13 through 16 collect information on collateral mitigants that do not meet the criteria
for the purposes of risk transfers of claims as defined in this report. Column 17 shows the amount of
claims, on an ultimate-risk basis (reported in Columns 1 through 10 of Part II), that are held for trading.
Column 18 provides any offsetting positions held for the trading book, where an effective offset exists
(see Section II.G for a discussion of effective netting and offsetting).
Schedule L collects information on foreign-office liabilities. Columns 1 and 2 show, by country and
currency, foreign-office liabilities for which no payment is guaranteed at locations outside the country of
the office, reported by the country of the foreign office. Column 3 shows all liabilities booked at foreign
offices by the country of the creditor. Column 4 shows the net positions of the foreign office with related
offices in other countries. These net positions are not reported elsewhere on this report, due to the
consolidation rules.
Schedule O collects information on off-balance-sheet exposures from commitments, guarantees, and
credit derivatives. Column 1 collects any unused or undrawn commitments, on an ultimate-risk basis, by
country of the ultimate obligor of the commitment. In Column 2, the amount of all legally binding
guarantees provided, except credit derivatives written, are reported by country of the counterparty to
whom the guarantee is being provided. Columns 3 through 6 provide a breakdown of the notional
amount of credit derivatives positions purchased and sold (by country of the reference entity), on a
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gross-gross and gross-net basis (see Section II.H for definitions of these terms). Credit derivatives
purchased that result in a risk transfer on Schedule C, Parts I and II are excluded from this
schedule. Column 7 shows the claims, on an ultimate-risk basis (reported in Columns 1 through 10 of
Schedule C, Part II and Columns 1 and 2 of Schedule O), that are trade finance related.
Schedule D collects information on the fair value of derivative contracts of the reporter by country of
counterparty (including the United States). A sector distribution and the total are collected in Columns 1
through 5. In Column 6, claims on bank branches that are not formally and legally guaranteed by the head
office are reported in the country rows corresponding to the country in which the branch is located
(instead of the country of the head office). These claims represent risk that could potentially remain in the
countries in which the branches are located.
C. Administrative Issues
1. Authority
This report is required to be filed by national banks, federal savings associations, state member banks,
bank holding companies, savings and loan holding companies, insured state nonmember commercial and
savings banks, and insured state savings associations pursuant to authority contained in the following
statutes:
Board of Governors of the Federal Reserve System – Section 11a of the Federal Reserve Act
(12 U.S.C. 248a), Section 5c of the Bank Holding Company Act (12 U.S.C. 1844c), and
Section 907 of the International Lending Supervision Act of 1983 (12 U.S.C. 3906); and
Comptroller of the Currency – the National Bank Act, as amended (12 U.S.C. 161) and
Home Owners Loan Act (12 U.S.C. 1464);
Federal Deposit Insurance Corporation – Sections 7 and 10 of the Federal Deposit Insurance Act
(12 U.S.C. 1817 and 1820)
2. Confidentiality
The individual FFIEC 009 reports are given confidential treatment under 5 U.S.C. 552(b)(4) and (b)(8).
However, aggregated data that do not reveal the activities of individual banks do not receive confidential
treatment and are made public. Portions of the aggregated data are also reported to the Bank for
International Settlements as part of an international cooperative effort to compile and publish worldwide
data on cross-border claims.
D. Who Must Report
Reportable Entities
The Country Exposure Report (FFIEC 009) is required to be filed quarterly by banks, savings
associations, bank holding companies, and/or savings and loan holding companies meeting the criteria
listed below:

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Schedules C , L, and O must be completed by:
(1) Every U.S. chartered insured bank or savings association in the 50 States of the United States, the
District of Columbia, Puerto Rico, and U.S. territories and possessions, that has, on a fully consolidated
basis, total outstanding claims on residents of foreign countries exceeding $30 million in the aggregate,
and has at least one of the following:
•
•
•
•

A branch in a foreign country;
A consolidated subsidiary in a foreign country;
An Edge or Agreement subsidiary;
A branch in Puerto Rico or in any U.S. territory or possession (except that a bank or savings
association with its head office in Puerto Rico or any U.S. territory or possession need not report
if it meets only this criterion); or
• An International Banking Facility (IBF).

All references to “bank(s)” are inclusive of “savings association(s),” unless otherwise noted.
(2) Every Edge and/or Agreement corporation that has total outstanding claims on residents of foreign
countries exceeding $30 million, unless it is majority owned by a bank or savings association that is
required to file a report.
(3) Every institution that meets the Schedule D reporting requirements (see below).
(4) Every U.S. bank holding company that is required to file the FR Y-6 report (Bank Holding Company
Annual Report) and has a subsidiary bank that is required to file this report.
(5) Every savings and loan holding company that meets the criteria for banks in (1) above. All references
to “bank holding company(s)” are inclusive of “savings and loan holding company(s),” unless otherwise
noted. 1
However, to reduce reporting burden:
(1) If a bank holding company has only one subsidiary bank that meets the reporting requirements
and that subsidiary bank accounts for 90 percent or more of the consolidated holding company’s total
claims on foreigners, either the holding company or the bank (but not both) should prepare a report.
However, if the only subsidiary bank that is required to report accounts for less than 90 percent of
the consolidated holding company’s claims, only the holding company should prepare a
(consolidated) report.
(2) If a bank holding company has two or more subsidiary banks that meet the reporting
requirements and these subsidiary banks, together, account for 90 percent or more of the
consolidated holding company’s total claims on foreigners, the holding company need not file a
separate report.

1

Savings and loan holding companies (SLHCs) do not include any trust (other than a pension, profitsharing, stockholders’ voting, or business trust) which controls a savings association if such trust by its
terms must terminate within 25 years or not later than 21 years and 10 months after the death of
individuals living on the effective date of the trust, and (a) was in existence and in control of a savings
association on June 26, 1967, or, (b) is a testamentary trust.
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Column 3 of Schedule L—Total Liabilities Booked at Foreign Offices (by country of creditor)—is
required to be reported only by those reporters that have one or more branches or subsidiaries located
outside the fifty states of the United States, the District of Columbia, or a U.S. military facility (regardless
of where located) that meet the following criteria:
• Branches filing the Foreign Branch Report of Condition (FFIEC 030) that report total assets of
$500 million or more (denominated in all currencies) on Line Item 11 on a report date,

• Subsidiaries filing the quarterly Financial Statements of Foreign Subsidiaries of U.S.
Banking Organizations (FR 2314) that have a banking charter and engage in banking business,
and that report $2 billion or more in total assets in Schedule BS, item 10, and $10 million or more
in total deposits in Schedule BS-M, item 6.
The total assets test defined above applies to the total of the foreign branch’s or subsidiary’s international
and local assets, regardless of the currency in which the assets are payable. If any foreign office of a
reporter exceeds the reporting threshold, then column should 3 be completed for the reporter’s entire
organization and not just for the offices exceeding the threshold.
A Schedule D must be completed by every institution whose FFIEC 031 or FR Y-9C (or for Edge and/or
Agreement corporations the FR 2886b) as of December 31 of the previous year shows:
(1) Total gross notional values of derivative contracts (the sum of items 7.a.(1) through 7.a.(4),
Columns A and B and items 12.a. through 12.e., Columns A through D on Schedule RC-L of the
FFIEC 031 or the sum of items 7.a.(1) through 7.a.(4), Columns A and B and items 11.a.
through 11.e., Columns A through D on Schedule HC-L of the FR Y-9C) in excess of $10 billion.
or
(2) Total gross fair values of derivative contracts (the sum of items 7.b.(1) and 7.b.(2), Columns A
and B and items 15.a. and 15.b., Columns A through D on Schedule RC-L of the FFIEC 031 or the
sum of items 7.b.(1) and 7.b.(2), Columns A and B and items 14.a. and 14.b., Columns A through D
on Schedule HC-L of the FR Y-9C) in an amount greater than 5 percent of their total assets.
In addition, the bank regulatory authorities may specifically require a report (or any specific schedule
therein) to be filed by other banking organizations that the authorities deem to have significant country
exposures.
Consolidation Rules
The information should be reported on a fully consolidated basis. For reports from banks, the scope of
coverage and the consolidation of information should be in accordance with the procedures and tests of
significance set forth in the instructions for preparation of the FFIEC 031. For reports from bank holding
companies, the information should be consolidated in accordance with the principles set forth in the
instructions for the preparation of the FR Y-9C. For Edge and/or Agreement corporations, the
information should be consolidated in accordance with the principles set forth in the instructions for the
preparation of the FR 2886b.
As a best practice, the data reported on the FFIEC 009 can be reconciled to the FR Y-9C (or Call Report).
However, there are no requirements to perform such a reconciliation.

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E. Accounting Issues

All amounts should be reported in U.S. dollars regardless of the currencies in which the balances are
denominated. The translations should be made on the same basis used to prepare its (or its subsidiary
bank’s) FFIEC 031 and the FR Y-9C.
Claims, liabilities and unused commitments should be reported using the same accounting basis as used
on the FFIEC 031 and FR Y-9C, unless stated otherwise in these instructions.
Edge and/or Agreement corporations should reference the instructions for the preparation of the
FFIEC 031 for further information on reporting definitions and generally accepted accounting principles.
Round all amounts reported on this form to the nearest million dollars. Negative amounts are only
permissible in Column 4 of Schedule L.
1. Differences between FFIEC 009 Reporting and U.S. GAAP
The differences in accounting treatment between the FFIEC 009 and U.S. GAAP are as follows2:
Reporting Item
Netting of
Derivative
Contracts

U.S. GAAP
Offsetting of positive and negative fair values
are permitted when a “right of setoff” exists
under ASC Subtopic 210-20, Balance SheetOffsetting (formerly FASB Interpretation
No. 39, Offsetting of Amount Related to
Certain Contracts).

FFIEC 009
Offsetting of positive and negative fair
values is permitted, consistent with
U.S. GAAP. However, only net
positive fair values are reported on the
FFIEC 009.

Netting of Trading
Assets

Although there is no official FASB
pronouncement, it is industry practice to net
trading assets against trading liabilities in the
same security (i.e., with the same CUSIP or
ISIN).

CUSIP netting is allowed for the
FFIEC 009 report. In addition, short
positions in the same issuer and asset
class of the trading asset may be
reported as an offsetting position on
Schedule C, Part II, Column 18.

F. Submission of Reports
The FFIEC 009 report is to be prepared quarterly, as of the last calendar day of March, June, September,
and December. For each quarter the reporting requirements are met (according to Section I.D), all
reporters must use the Federal Reserve System’s Reporting Central system to submit their completed
report to the Federal Reserve Bank of New York (FRBNY). The submission deadline is 45 calendar days
after the March 31, June 30, and September 30 as of date. The submission deadline is 50 calendar days
after the December 31 as of date.
If the submission deadline falls on a weekend or holiday, the report must be received on the first business
day after the Saturday, Sunday, or holiday.

2

In the previous version of this report it was required that available-for-sale securities be reported at
amortized cost instead of fair value. This treatment is no longer required.
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The Federal Reserve System Website http://www.frbservices.org/centralbank/index.html provides
additional information on Reporting Central. The Website also includes a link that reporters may use to
contact FRBNY for technical assistance.
Each reporter should keep a copy of each report. This copy should be signed and certified by an
Executive Officer (as defined in 12 CFR 215.2(e)(1)) of the bank or bank holding company.

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II. Reporting Definitions
A. Claims
The term “claims” follows the definition for assets in the instructions for preparation of the
FFIEC 031 and FR Y-9C and includes the following types of assets:
•

Deposit balances, both interest bearing and non-interest bearing, held at banks

•

Balances with central banks and official institutions

•

Securities

•

Federal funds sold

•

Loans

•

Holdings of acceptances of banks

•

Direct lease financing

•

Investments in unconsolidated subsidiaries and associated companies

•

Positive fair value of interest rate, foreign exchange, equity, commodity and other derivative
contracts (reported in Schedule D)

•

Customers’ liability on acceptances outstanding

•

Accrued income receivables (including interest, commissions and income earned or accrued
and applicable to current or prior periods, but not yet collected)

•

Resale agreements and other financing agreements (reported net if permitted under
ASC Topic 210-20, previously FIN 41)

•

Asset sales with recourse

•

Participations and syndications of loans

•

Trade date receivables

Exclude:
Premises, other real estate owned, goodwill, and other intangible assets.
B. Liabilities
The term “liabilities” follows the definition in the instructions for preparation of the FFIEC 031 and
FR Y-9C and include, but are not limited to, the following types of liabilities:
•

Deposit balances, both interest bearing and non-interest bearing.

•

Brokerage balances
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DRAFT 6/19/2013

•

Debt securities

•

Borrowings

•

Short sales

•

Repurchase agreements and other financing agreements (reported net if permitted under
ASC Topic 210-20, previously FIN 41)

•

Trade date payables

C. “Immediate-Counterparty” and “Ultimate-Risk” Claims
Claims are to be reported on an “immediate-counterparty” basis in Columns 1 through 12 of
Schedule C, Part I and on an “ultimate-risk” basis in Columns 1 through 10 of Schedule C, Part II.
The obligor on an immediate-counterparty basis is the entity that issued the security or otherwise
incurred the liability. The obligor of a claim on an ultimate-risk basis is any person, business,
institution, or instrument that provides any of the types of credit protection described in Section II.F,
“Required Risk Transfers” and Section II.H “Reporting Credit Derivatives.”
If full credit protection is provided by more than one source, from multiple guarantors, or forms of
collateral, the ultimate-risk claim should be determined by the sector and residence of the highest
rated credit enhancer (using the reporter’s internal rating system). For instance, for a claim on a
bank branch for which eligible collateral is posted, it should be determined whether the
counterparty’s parent bank or the collateral has a higher credit rating. The claim should then be
reported, accordingly, on an ultimate-risk basis.
D. Sector Definitions
Reporting sectors are determined based on the legal entity of the counterparty. The following sector
definitions are used for all columns of this report that require sector distinctions:
1. Banks
The definition of banks encompasses all institutions included in “Banks, U.S. and Foreign” in the
Report of Condition as well as savings banks, savings associations, discount houses, and other
similar depository institutions. Banks also include banking institutions owned by foreign
governments, unless such institutions function as central banks or banks of issue, in which case they
are treated as “public” institutions.
Exposures to banks are to be reported in Columns 1, 6, 13, and 18 of Schedule C, Part I; Columns 1
and 6 of Schedule C, Part II; and Column 1 of Schedule D.
2. Public
The definition of the public sector is identical to “Foreign Governments and Official Institutions” in
the Report of Condition. Public sector institutions include:
•

Central, state, provincial and local governments and their departments, and agencies
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•

Treasuries, ministries of finance, central banks, stabilization funds, exchange authorities, and
diplomatic establishments

•

Those government owned banks, including development banks, that perform as an important
part of their activities, the functions of a treasury, central bank, exchange control office, or
stabilization fund

•

International or regional organizations or subordinate or affiliated agencies thereof, created by
treaty or convention between sovereign states, including the International Monetary Fund, the
International Bank for Reconstruction and Development (World Bank), the Bank for
International Settlements, the Inter-American Development Bank, and the United Nations

Banking institutions owned by a government that do not function as the central bank and/or bank of
issue are excluded from the public sector and are to be reported as “Banks” while state-owned
pension, retirement, and insurance funds should be reported as “Non-Bank Financial Institutions.”
Other corporations that are owned by a government are to be reported as “Corporate.”
Exposures to public institutions are to be reported in Columns 2, 7, 14, and 19 of Schedule C, Part I;
Columns 2 and 7 of Schedule C, Part II; and Column 2 of Schedule D.
3. Non-Bank Financial Institutions (NBFIs)
Non-bank financial institutions are defined as businesses and institutions other than “banks” and
“public,” as defined above that are primarily engaged in proprietary investments and/or in the
provision of financial services to other organizations and households. These services include, but
are not limited to, financial intermediation services whose functions are predominantly: the
extension of credit for business purposes, brokerage services (engaged in the brokering of securities,
commodities or other financial instruments), underwriting services, financial management services,
credit origination services, credit card services, insurance services, and pension services. Types of
non-bank financial organizations include, but are not limited to:
•

Securities firms

•

Bank holding companies (BHCs)

•

Insurance firms

•

Money market funds

•

Pension funds

•

Investment banks

•

Private equity companies

•

Credit card issuers

•

Hedge funds

•

Trusts

•

Finance companies
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•

Mortgage companies

•

Factors and other financial intermediaries who extend short-term business credit to finance
inventories or carry accounts receivable

This sector excludes federal, state, and local governments; however, it includes agencies and
instrumentalities of governments such as pension funds and insurance companies that provide
nonbank financial services that are not directly governmental in nature.
Exposures to NBFIs are to be reported in Columns 3, 8, 15, and 20 of Schedule C, Part I; Columns 3
and 8 of Schedule C, Part II; and Column 3 of Schedule D.
4. Corporate
The corporate sector is defined as any organization, including non-profits, that is principally
engaged in producing goods or non-financial services. This sector excludes federal, state, and local
governments; however, it includes agencies and instrumentalities of governments such as utilities
that produce goods or non-financial services that are not strictly governmental in nature.
Report as Corporate any organization that cannot be classified as “Bank,” “Public,” “NBFI,” or
“Household.”
Exposures to corporate counterparties are to be reported in Columns 4, 9, 16 and 21 of Schedule C,
Part I; Columns 4 and 9 of Schedule C, Part II; and Column 4 (under “Other”) of Schedule D.
5. Households
Include in the household sector all claims on households, families, and individuals for personal
expenditures (using the same definition of households as the FR Y-9C, Schedule HC-C, line 6,
“Loans to individuals for household, family, and other personal expenditures”). Therefore, any
reportable claims on households should be reported, regardless of the product type.
Exposures to households would be reported in Columns 5, 10, 17, and 22 of Schedule C, Part I;
Columns 5 and 10 of Schedule C, Part II; and Column 4 (under “Other”) of Schedule D.
6. Other
The “Other” sector applies only for reporting on Schedule D and the FFIEC 009a “Country
Exposure Information Report.” The “Other” sector refers to those counterparties classified as
Corporate or Households, as defined above.

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E. Cross-Border Claims and Claims on Local Residents
1. Cross-Border Claims
Cross-border claims of each reporter cover:
•

All claims of its U.S. offices (including IBFs, Edge and Agreement corporations, and offices
in Puerto Rico and U.S. territories and possessions) with residents of foreign countries,
regardless of the currency in which the claim is denominated; and,

•

All claims of each of its offices in a foreign country with residents of other countries
(i.e., countries other than the country in which the office is located, including the United
States), regardless of the currency in which the claim is denominated.

Since the reports are on a fully consolidated bank (or bank holding company) basis, cross-border
claims exclude any claims against those branches or subsidiaries that are part of the consolidated
bank (or bank holding company). However, claims on unconsolidated subsidiaries or associated
companies of the reporter should be reported. Thus, a banking subsidiary that submits an
FFIEC 009 report should include claims on subsidiaries of the banks’ parent holding company.
2. Claims on Local Residents
Claims on local residents are all claims of the institution’s offices, regardless of location, on
residents of the country in which the office is located. The definition of “cross-border claims” and
“claims on local residents” is the same on an “immediate-counterparty” basis and an “ultimate-risk”
basis. However, some claims may be categorized differently, or be placed in different sectors or
country rows, because the sector or country of residence of the immediate obligor may differ from
that of the ultimate obligor.
Claims of the institution’s foreign office(s) on a resident of the United States should only be
reported as a cross-border claim.
3. “Local” vs. “Non-Local” Currency
A currency is considered to be a “local” currency of a country only if the country, directly or
through a currency union, has the authority to issue that currency. Thus, U.S. dollars would not be
considered to be the local currency of any country other than the United States, whereas euros
would be considered to be the local currency of any country that is a member of the European
Monetary Union, but of no other country.
F. Required Risk Transfers
The outward and inward redistribution of claims from an “immediate-counterparty” basis to an
“ultimate-risk” basis is reported in Columns 13 through 22 of Schedule C, Part I. Outward risk
transfers are reported in Columns 13 through 17, and inward risk transfers are reported in
Columns 18 through 22. The reporter is required to make risk transfers under the following
circumstances:
1. Guarantees
Guarantees are legally binding commitments by a third party to repay a debt if the direct obligor
fails to do so. Guarantees include financial and performance standby letters of credit and
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acceptances (for the amount of the participation sold). Documents that do not establish legal
obligations, such as “comfort” letters, letters of awareness, or letters of intent, are not guarantees for
the purpose of this report.
Guarantees provided by the reporter’s head office or other consolidated units of the reporter
should not be considered guarantees for the purposes of this report.
Guarantees providing protection to the reporter should result in the reallocation of the claim from the
sector and country row of the immediate borrower (in Columns 13 through 17 of Schedule C, Part I)
to the sector and country row of the provider of the guarantee (in Columns 18 through 22 of
Schedule C, Part I). Conversely, if the reporter provides a guarantee on a foreign credit, the amount
of the guarantee should be reported in Column 2 of Schedule O, “Guarantees (Excluding Credit
Derivatives Sold).”
See Section II.F.5 for treatment of guarantees provided in the form of cash and debt or equity
securities held as collateral. See Section II.H.1 for treatment of guarantees in the form of purchased
credit derivatives.
Ownership of fund shares in an unconsolidated investment entity should be reported on an
immediate and ultimate risk basis according to the country and sector of the investment entity. The
underlying assets of the investment fund do not provide an effective guarantee for purposes of the
FFIEC 009 report.
2. Insurance Policies
Insurance policies that guarantee payment of a claim if the borrower defaults or if
non-convertibility occurs should be reallocated to the non-bank sector of the country of residence of
the entity providing the insurance. However, limited purpose policies, such as “political risk
insurance” policies should not be used as a basis for reallocation. Conversely, if a reporter issues
an insurance policy guaranteeing the payment of a claim if a foreign borrower defaults, the amount
of the protection sold should be reported in Column 2 of Schedule O, “Guarantees (Excluding
Credit Derivatives Sold).”
3. Head Offices
For the purposes of this report, claims on a bank branch (but not on a subsidiary) of a banking
organization are considered to be guaranteed by the head office of the organization, even without a
legally binding agreement. Therefore, claims on branches should be reallocated to the bank sector
in the country of the parent institution.
4. Credit Derivatives
See Section II.H.
5. Collateralized Claims
Eligible collateral for risk transfers on the FFIEC 009 includes collateral that is:
(1) Tangible, liquid, and readily-realizable, and
(2) Is realizable outside of the country of residence of the borrower.
12

DRAFT 6/19/2013
Eligible collateral includes:
Cash
If collateral is in the form of cash, the sector and country of the “guaranteeing” party is the sector
and country of residence of the institution holding the collateral. Cash collateral posted to the same
sector and country as the immediate claim should result in no risk transfer.
Debt and Equity Securities
If collateral is in the form of investment grade debt or marketable equity securities, the sector and
country of the “guaranteeing” party is the sector and country of residence of the party issuing the
security.
However, in the case of resale agreements, securities lending arrangements and other similar
financing agreements, the claims should be allocated based on the counterparty, not the
underlying collateral (i.e. no risk-transfer should be made). These should be reported at the
value of the outstanding claim, regardless of the amount of collateral provided. Resale
agreements should also be reported by country of the counterparty in the memorandum
section of Schedule C, Part II. (See Section V.B.2.)
If the collateral consists of a basket of convertible currencies or investment grade securities of
different countries, break out the underlying exposures on a pro-rata basis and report opposite the
appropriate country and sector.
Collateral provided in the form of cash or securities in excess of the amount of the outstanding claim
(e.g., a margin loan collateralized by securities with a fair value that exceed the amount of the margin
loan) should only be risk-transferred up to the amount of the underlying claim (see Example 22 of
Section V.C).
Collateral provided by obligors to offset positive fair value positions of derivative contracts should
be reported in Schedule D, using the same methodology for reporting securities and cash collateral
as stated above. If the reporter has a derivative contract with a positive fair value, and cash (or
securities) collateral is provided, the collateralized portion of the fair value should be reported on
Schedule D according to the sector and country of the institution holding (or issuing) the collateral,
and the uncollateralized portion should be reported according to the sector and country of the
counterparty.
Assets such as real estate are not liquid or tangible assets and thus cannot be used for a risk transfer.
6. Risk Participations

Loans and acceptances, where the reporting bank has sold a legally-binding risk participation, are
considered to be guaranteed by the purchaser of the participation for the amount of the participation
sold.
G. Netting and Offsetting
Netting and offsetting of long and short positions is not permitted on the FFIEC 009 report with the
exception of the following:

13

DRAFT 6/19/2013
(1) “CUSIP netting” 3 may be conducted and reported on Schedule C, Part II, or Schedule L, as
appropriate.
(2) On Schedule C, Part II, report in Column 18 positions entered into for the purpose of offsetting
the trading positions reported in Column 17, “Trading Assets.” See Section V.B.3.
(3) On Schedule O, report in Columns 5 and 6, as appropriate, the net notional value of credit
derivative contracts purchased from and sold to the same counterparty and on the same underlying
reference entity. See Section VII.C.2.
(4) On Schedule D, the positive fair values of derivative contracts may be offset against negative
fair values if, and only if, the positions were executed with the same counterparty under a legally
enforceable master netting agreement. Otherwise, positive fair values must be reported gross.
H. Reporting Credit Derivatives
1. Risk Transfers
Reporters should report credit derivative contracts purchased, (including, but not limited to, credit
default swaps and options, total return swaps and sovereign risk options), as guarantees for purposes
of this report, provided the institution considers the arrangement to be an effective credit risk
mitigant based on its internal criteria and provided the contract contains provisions to pass the credit
risk to the counterparty. A reporter’s internal criteria should, at a minimum, include provisions that
ensure the terms of credit derivatives provide an effective guarantee, even in the case of a maturity
mismatch, prohibit clauses that reduce the effectiveness of the guarantee in the case of default,
contain effectual events of default, and reference the same legal entity as the obligor.
Claims for which credit derivatives form an effective risk transfer should be reallocated to the sector
and country of residence of the entity that is providing the protection.
Credit protection purchased to guarantee a claim reported on an immediate counterparty basis
should only be reported on Schedule C, Parts I and II. Credit protection purchased to hedge or
offset credit protection sold, or for trading purposes, should be excluded from Schedule C and
reported in Columns 3 and 5 of Schedule O, as appropriate.
If the notional amount of the credit protection purchased is less than the amount of the immediate
claim, the notional amount of the guaranteed portion should be reallocated to the sector and country
of the credit protection seller, and the non-guaranteed portion should be reported opposite the sector
and country of the immediate obligor in Columns 1 through 10 of Schedule C, Part II.
If the notional amount of the credit protection purchased exceeds the value of the immediate claim,
the immediate claim should be reported in Columns 13 through 17 and reallocated, at the same
amount of the immediate claim, to the sector and country of the seller of the credit derivative in
Columns 18 through 22 of Schedule C, Part I, and in Columns 1 through 10 of Schedule C, Part II.
The excess or residual amount (the full notional amount minus the amount risk-transferred) should
be reported in Column 3 of Schedule O (and in Column 5, if appropriate).
Contracts with a positive fair value should be reported on Schedule D. For contracts with
variable notional principal amounts, report the notional principal amounts as-of the report date.
3

“CUSIP netting” refers to the industry practice where trading assets and trading liabilities in the
same exact security (based on its security identifier) may be reported on a net basis.
14

DRAFT 6/19/2013

2. Treatment of Multi-Name Credit Derivatives
Purchases and sales of credit derivatives guaranteeing multiple underlying reference entities (i.e.,
multi-name instruments, including portfolio or basket credit default swaps (CDS), CDS indexes, and
“tranched” CDS contracts) should be reported on the FFIEC 009. However, only non-tranche index
and single name CDS contracts may be used to risk transfer an immediate claim on Schedule C,
Parts I and II. Contracts purchased and sold which cannot be used for risk transfer purposes as
noted above are to be reported in Columns 3 and 4 of Schedule O, according to the country of
residence of the underlying reference entities. Do not report on Schedule O according to the
counterparty to the contract or the location of the company that establishes the index.
Regardless of whether reported on Schedule C or Schedule O, if the underlying basket is composed
of reference entities located in one country, report the full notional amount of the contract opposite
the country of the reference entity. If the underlying basket is composed of several securities from
several countries, the underlying reference entities should be reported on a pro-rata basis.
Bespoke CDS and tranches should be reported on Schedule O. If the underlying reference entities
are domiciled in multiple countries, the notional value of the contract should be reported in the
“Unallocated” row.
3. Gross-Gross and Gross-Net Reporting
Purchases and sales of credit derivatives are reported on a “gross-gross” and “gross-net” basis on
Schedule O (excluding the portion included as a hedge on Schedule C, Parts I and II) by country of
the reference entity. The residual notional amount of credit derivatives purchased to hedge a claim
reported in Schedule C, Part I that is in excess of the underlying hedged claim should be reported on
Schedule O.
The gross notional value of credit derivatives purchased and sold should be reported on Schedule O,
Columns 3 and 4, as appropriate.
Report in Columns 5 and 6, as appropriate, the net position of credit derivative contracts included in
Column 3 and 4 where netting may be done only when all the following apply:
(1) There are offsetting purchased and sold positions on the same reference entity (on a legal
entity basis),
(2) The contracts are with the same counterparty,
(3) The contracts are subject to a legally enforceable master netting agreement.
Contracts that do not qualify to be netted should be reported gross.

15

DRAFT 6/19/2013
III. Specific Instructions for Allocating Claims to the Rows
This report form contains rows for: (a) the United States; (b) individual foreign countries; and
(c) international or regional organizations. Subtotals for each region (i.e., Total Europe, Total Asia,
etc.) are to be reported, in addition to the Total Foreign Countries row which captures the sum of all
data reported, excluding the United States. Data should be allocated to the rows as described below.
A. The United States
The “United States” is defined as the 50 states of the United States, the District of Columbia, the
Commonwealth of Puerto Rico, American Samoa, Guam, Johnston Atoll, Kingman Reef, Midway
Islands, the U.S. Virgin Islands and Wake Island.4
B. Foreign Countries

A foreign country is any country other than the United States as defined above. For claims reported
on an immediate-counterparty basis, report claims for the corresponding country of legal residence
(i.e., the country of incorporation or, for a branch, of charter) of the immediate counterparty. For
claims reported on an ultimate-risk basis, report claims in the row corresponding to the country of
legal residence (i.e., the country of incorporation) of the ultimate obligor. (See Section II.C for
definitions of immediate counterparty and ultimate obligor.)
The “Unallocated” row of Schedule L should only be used for negotiable securities issued by the
reporter, where the country of the holder is unknown on the report as-of date. The “Unallocated”
row of Schedule O should only be used for credit default contracts such as guarantees provided by
selling protection on “tranched” credit default swaps in which the ultimate obligors of the referenced
credits do not all reside in the same country and the complexity of the product makes allocating the
countries of the reference credits on a pro-rata basis, as could be done with index products, an
inaccurate measure of the likely geographic distribution of the guarantee.
Exposures on NBFIs should be reported for the country where the institution is incorporated, or
otherwise chartered. Institutions such as hedge funds and Special Purpose Vehicles (SPV) should
be reported according to the country of legal residence (country of incorporation) of the
fund/vehicle, not according to the location of the fund managers or beneficial owners of the
fund/vehicle.
C. International and Regional Organizations
Claims on international and regional organizations, even if located in the United States, should be
reported opposite the appropriate region: (a) International; (b) European; (c) Latin American;
(d) Caribbean (e) Asian; (f) African; or (g) Middle Eastern. The “International” entry covers most
organizations of a global character, such as the International Monetary Fund and the World Bank.
The regional entries cover organizations that are regional in scope such as the European Coal and
Steel Community (European), the Inter-American Development Bank (Latin American) or the Asian
Development Bank (Asian).
All international and regional institutions are considered to be “public” sector organizations.

4

For purposes of the FFIEC 009 report, IBFs are considered a U.S. entity.
16

DRAFT 6/19/2013
IV. Specific Instructions for Schedule C, Part I – Claims on an Immediate Risk Basis
A. Immediate-Counterparty Claims (Columns 1 through 12)
All data in Columns 1 through 12 should be based only upon the immediate obligor; do not consider
any guarantees or other risk transfers.
Claims by Sector
In Columns 1 through 5 report all cross-border claims, as defined in Section II.E.1, denominated in
any currency.
In Columns 6 through 10 report all claims on local residents in currencies other than the official
currency of the country in which the local office exists, as defined in Sections II.E.2 and II.E.3.
For Columns 1 through 12, allocate the claims to each sector (see Section II.D) and each country row
(see Section III) based upon the country of residence and sector of the direct obligor.
Remaining Maturity of One Year or Less
In Column 11, show all claims reported in Columns 1 through 10 that have a remaining contractual
maturity of one year or less except as described below. The definition of “one year” should be
consistent with the definition used in the FFIEC 031 and the FR Y-9C.
Marketable equity investments, both trading and available-for-sale, should be reported as maturing in
less than one year.
All debt securities should be reported according to the remaining maturity.
Claims on Local Residents in the Local Currency
In Column 12, report all claims on local residents in the official currency of the country in which the
local office exists (see Sections II.E.2 and II.E.3).
All claims on residents of another country and claims in a non-local currency on residents of the same
country as the office holding the claim should be reported in Columns 1 through 10 and excluded
from this column.
Examples for Columns 1 through 12 only:
(1) The London branch of the respondent has a claim of $10 million, denominated in Brazilian reais,
and another claim of $20 million, denominated in U.S. dollars, on a bank located in Brazil. The
claims mature in 8 months. Entries would be:
Part I
Brazil………..

Col. 1
30

Col. 11
30

17

DRAFT 6/19/2013
(2) The Brazilian branch of the respondent has a claim worth $10 million, denominated in a
currency other than reais, on a bank located in Brazil. Entries would be:
Part I
Col. 6
10

Brazil………

(3) The Brazilian branch of the respondent issued a loan worth $10 million, denominated in
Brazilian reais, to a bank located in Brazil. Entries would be:
Part I
Brazil…………..

Col. 6
---

Col. 12
10

B. Redistribution of Claims for Required Risk Transfers (Columns 13 through 22)
Redistribute all claims subject to a required risk transfer (see Sections II.F and II.H) from the sector
and country of the immediate counterparty and to the sector and country of the ultimate obligor.
Show the required risk transfers between different countries or between different sectors in the same
country. Exclude risk transfers within the same country and sector.
The sum of the outward required risk transfers (in Columns 13 through 17) on a grand-total basis
should equal the sum of the inward required risk transfers (in Columns 18 through 22), because all
transfers from a sector or country must also be transfers to another sector or country.
1. Outward Risk Transfers
In Column 13, show (as a positive number), for each country, all required risk transfers of claims
reported in Columns 1, 6, and 12 from banks located in that country .
In Column 14, show (as a positive number), for each country, all required risk transfers of claims
reported in Columns 2, 7, and 12 from the public sector located in that country .
In Column 15, show (as a positive number), for each country, all required risk transfers of claims
reported in Columns 3, 8, and 12 from NBFIs located in that country.
In Column 16, show (as a positive number), for each country, all required risk transfers of claims
reported in Columns 4, 9 and 12 from non-financial corporations located in that country .
In Column 17, show (as a positive number), for each country, all required risk transfers of claims
reported in Columns 5, 10 and 12 from households located in that country .
2. Inward Risk Transfers
Report in Columns 18 through 22 required risk transfers as defined in Section II.F by country and
sector of the ultimate obligor—i.e. of the guarantor or issuer/holder of collateral.
In Column 18, show, for each country row, all required risk transfers of claims reported in
Columns 13 through 17 to banks located in that country.

18

DRAFT 6/19/2013
In Column 19, show, for each country row, all required transfers of claims reported in Columns 13
through 17 to the public sector located in that country.
In Column 20, show, for each country row, all required transfers of claims reported in Columns 13
through 17 to NBFIs located in that country.

In Column 21, show, for each country, all required transfers of claims reported in Columns 13
through 17 to non-financial corporations located in that country.
In Column 22, show, for each country, all required transfers of claims reported in Columns 13
through 17 to individuals located in that country.

19

DRAFT 6/19/2013
V. Specific Instructions for Schedule C, Part II – Claims on an Ultimate Risk Basis and
Memorandum Items
A. Ultimate-Risk Claims (Columns 1 through 11)
1. Cross-border Claims
In Columns 1 through 5, report all claims that, on an ultimate-risk basis, are cross-border claims,
i.e., claims for which the ultimate obligor, after required risk transfers, is a resident of a country
other than the country of the office that holds the claim.
The claims should be allocated to each column based upon the sector of the ultimate obligor
(see Section II.C) and to each row based upon the country in which the ultimate obligor is located
(see Section III).
2. Claims on Local Residents
In Columns 6 through 10, report all claims that, on an ultimate-risk basis, are claims on local
residents, i.e., claims for which the ultimate obligor, after required risk transfers, is a resident of
the country in which the reporter’s office is located.
The claims should be allocated to each column based upon the sector of the ultimate obligor
and to each row based upon the country in which the ultimate obligor is located.
3. Claims on Local Residents in Non-Local Currencies
In Column 11, show all claims reported in Columns 6 through 10 that are claims in currencies
other than the official currency (see Section II.E.3) of the country in which the office is located.
B. Memorandum Items for Schedule C, Part II
1. Securities (HTM and AFS) (Column 12)
Report in Column 12, by country of issuer, securities the reporter owns and reports in Columns 1
through 10 of Schedule C, Part II that are classified as held-to-maturity or available-for-sale. Held-tomaturity securities should be reported at amortized cost and available-for-sale securities should be
reported at fair value.
2. Collateral Held Against Claims with No Risk Transfers (Columns 13 through 16)
In Column 13 through 16 of Schedule C, Part II report claims included in Columns 1 through 10 of
Schedule C, Part II for which the obligor provided collateral that did not meet the definition of
collateral for the risk-transfers of claims (See Section II.F). See Section V.C “Examples for
Schedule C, Parts I and II.”
In Column 13, report total claims, by country of the counterparty, included in Columns 1 through 10
of Schedule C, Part II for which the obligor provided collateral that did not meet the definition of
collateral for the risk-transfers of claims, namely through resale agreements, securities lending
arrangements and other similar financing agreements. Reverse repurchase agreements and securities
borrowed may be reported net, consistent with ASC Topic 210-20. Also include any other
collateralized claims that do not result in a risk transfer of claims. Collateral in the form of real-estate
should be excluded from this report.
20

DRAFT 6/19/2013

In Column 14, report, by country of counterparty, claims (regardless of whether cross-border or on
local residents, or currency denomination) where cash collateral was provided and held as part of a
securities lending arrangement or other similar financing agreement.
In Column 15, report claims held where the country of the ultimate obligor (i.e., the issuer of the
collateral or holder of the cash) is the same as the country of the immediate counterparty. Also
include in this column claims where collateral was provided as part of a resale or securities lending
agreement where the country of issuer of the collateral is the same as the country of the counterparty
to the agreement. If multiple securities are provided as collateral, only include in Column 15 the
amount attributable to the same country.
In Column 16, report by country of the counterparty, claims reported in Columns 1 through 10 of
Schedule C, Part II that arise from resale agreements, securities lending transaction, or similar
financing agreements. These claims should be reported both on an immediate and ultimate risk basis,
based on the counterparty, not the underlying collateral (see Section II.F.5).
Columns 14 through 16 are not mutually-exclusive (i.e. the same claim may be reported in more than
one of these columns). If the value of the collateral exceeds that of the underlying claim, report the
amount of the claim in Columns 13 through 16. If the claim is partially collateralized, only report the
amount of the claim that is collateralized.
3. Trading Assets (Columns 17 and 18)

In Column 17, report the fair value of the reporter’s trading account assets that are included in
Columns 1 through 10 of Schedule C, Part II. Exclude from this column derivative claims, as these
should be reported on Schedule D. “CUSIP netting” is permissible if the position was reported net
on Schedule C, Part II Columns 1 through 10.
In Column 18, report short positions in securities that have the same issuer (on a legal entity basis)
and broad instrument type (i.e., debt versus debt and equity versus equity), as the long positions
reported in Column 17. In addition, for each instrument type for each issuer, if the short position in
Column 18 exceeds the long positions in Column 17, report only up to the amount of the long
position reported in Column 17.
C. Examples for Schedule C, Part II
(1) The respondent’s offices outside of Hong Kong and Japan have $50 million in claims,
denominated in U.S. dollars, on a private manufacturer in Hong Kong that are guaranteed by a
bank located in Japan. Entries would be:

Hong Kong…
Japan……

Col. 4
50
---

Part I
Col. 16
50
---

Col. 18
--50

Part II
Col. 1
Col. 4
----50
---

(2) The respondent’s offices in Japan have $50 million in claims, denominated in Hong Kong
dollars, on a securities company in Hong Kong that are guaranteed by a bank located in Japan.
Entries would be:

21

DRAFT 6/19/2013

Part I
Col. 15
50
---

Col. 3
50
---

Hong Kong…
Japan……

Col. 18
--50

Part II
Col. 6
--50

Col. 1
-----

Col. 11
--50

(3) The reporter’s parent bank issues a $75 million loan (held for investment) to a construction
company incorporated in Japan. The loan is denominated in Japanese yen. As collateral, the
Japanese company posts $50 million in Japanese government debt. Entries would be:
Part I
Col. 16
50

Col. 4
75

Japan……

Part II
Col. 19
50

Col. 2
50

Col. 4
25

(4) The respondent’s offices outside of Denmark and Greece have a total of $100 million in claims,
all denominated in U.S. dollars, on residents of Denmark, $70 million on banks, $20 million on
public sector entities and $10 million on households. Of the claims on banks, $20 million is
guaranteed (legally binding) by the parent bank located in Greece. Entries would be:

Denmark..
Greece….

Col. 1
70
---

Col. 2
20
---

Part I
Col. 5
10
---

Col. 13
20
---

Col. 18
--20

Col. 1
50
20

Part II
Col. 2
20
---

Col. 5
10
---

(5) The respondent’s offices outside of the Bahamas and the United States have claims worth
$10 million, not denominated in Bahamian dollars, on the Nassau, Bahamas branch of a U.S. bank.
Entries would be:

Col. 1
10
---

Bahamas………
United States…

Part I
Col. 13
10
---

Col. 18
--10

Part II
Col. 1
--10

(6) The respondent’s office in Spain has claims, not denominated in euros, worth $10 million on a
manufacturing company in Spain, guaranteed by a bank located in Denmark. Entries would be:

Spain……….
Denmark…..

Part I
Col. 16
10
---

Col. 9
10
---

Part II
Col. 18
--10

Col. 1
--10

Col. 9
-----

(7) The respondent’s U.S. office has a $10 million claim, denominated in U.S. dollars, on a
U.S. bank that has a parent in United Kingdom. The parent provides a legally binding guarantee of
payment. Entries would be:

United Kingdom……
United States………..

Col. 12
--10

Part I
Col. 13
--10

22

Col. 18
10
---

Part II
Col. 1
10
---

DRAFT 6/19/2013
(8) The respondent’s Italian office has a $10 million claim, not denominated in euros, on a
U.S. branch of an Italian bank. Entries would be:

Col. 1
--10

Italy……………….
United States………..

Part I
Col. 13
--10

Part II
Col. 18
10
---

Col. 6
10
---

Col. 11
10
---

(9) The respondent’s U.S. office has a $10 million claim, denominated in euros, on a
household in France that is guaranteed by collateral in the form of securities issued by a
French bank. Entries would be:

France…..

Part I
Col. 17
10

Col. 5
10

Part II
Col. 1
10

Col. 18
10

(10) The respondent’s Hong Kong office has a claim worth $10 million, denominated in
Hong Kong dollars, on a bank in Hong Kong that is a wholly-owned subsidiary of a Japanese bank.
There is no legally-binding guarantee. Entries would be:

Hong Kong…
Japan………

Col. 6
10
---

Part I
Col. 13
-----

Part II
Col. 6
10
---

Col. 18
-----

(11) The respondent’s U.S. office has a $10 million claim, denominated in U.S. dollars, on a
U.S. manufacturing company that is guaranteed by a U.K. bank. Entries would be:

United Kingdom..
United States…..

Part I
Col. 16
--10

Col. 12
--10

Part II
Col. 1
10
---

Col. 18
10
---

(12) The Brazilian branch of the respondent has a claim worth $10 million, not denominated in
reais, on a Brazilian manufacturer guaranteed by the United States Export-Import Bank.
Entries would be:

Brazil………..
United States….

Col. 9
10
---

Part I
Col. 16
10
---

Part II
Col. 1
--10

Col. 18
--10

(13) The Brazilian branch of the respondent has issued loans for $50 million, denominated in
Brazilian reais, to a Brazilian non-banking subsidiary of a Belgian financial services company. The
parent provides a legally binding guarantee for only $20 million of the claims. Entries would be:

Brazil………..
Belgium……..

Col. 12
50
---

Part I
Col. 15
20
---

Col. 20
--20

23

Col. 3
--20

Part II
Col. 8
30
---

Col. 11
-----

DRAFT 6/19/2013
(14) The reporter’s Cayman Islands branch enters into an overnight reverse repurchase agreement
(for $50 million, denominated in U.S. dollars) with an NBFI domiciled in the U.K. The underlying
collateral is U.K. corporate debt securities. Entries would be:

United Kingdom....

Part I
Col. 3
Col. 11
50
50

Col. 3
50

Part II
Col. 13 Col. 15
50
50

Col.16
50

(15) The respondent’s U.S. office has a $20 million claim, denominated in U.S. dollars, on a
Malaysian financial services company. The respondent purchased credit protection from a
German bank against the risk of default by the Malaysian obligor through a credit derivative. The
credit derivative has a notional value of $20 million. The arrangement is considered an effective
risk transfer based on the respondent’s internal criteria. Entries would be:

Malaysia…
Germany …

Col. 3
20
---

Part I
Col. 15
20
---

Col. 18
--20

Part II
Col. 1
--20

(16) The respondent’s U.S. office has a $20 million claim, denominated in Brazilian reais, on a
Brazilian financial company. The respondent purchased credit protection from a German bank
against the risk of default by the Brazilian financial company through a credit derivative. The credit
derivative has a notional value of $30 million, exceeding the value of a guaranteed claim. The
arrangement is considered an effective risk transfer based on the respondent’s internal criteria.
Entries would be:

Brazil …
Germany …

Col. 3
20
---

Part I
Col. 15
20
---

Col. 18
--20

Part II
Col. 1
--20

In addition, the excess $10 million (the difference between the $30 million notional amount and the
$20 million underlying claim) should be reported on Schedule O, Column 3, and, if appropriate
after netting, in Column 5 against Germany.
Note regarding Schedule D (applies to examples 15 and 16):
If the credit derivative has a positive fair value of $2 million, the positive fair value would be
reported in Schedule D in the country row of the country of residence of the counterparty to the
credit derivative contract. Entries would be:
Schedule D
Germany …

Col. 1
2

Col. 5
2

24

DRAFT 6/19/2013
(17) The respondent’s Japanese office has a $100 million claim, denominated in Korean Won, on a
Korean branch of a Hong Kong bank. The Korean obligor provides $60 million in Japanese
government bonds as collateral. Entries would be:
Part I
Hong Kong...
Korea …
Japan…

Col. 1
--100
---

Col. 13
--100
---

Col. 18
40
-----

Col. 19
----60

Part II
Col. 1
Col. 7
40
--------60

(18) The respondent’s German office engages in an overnight resale agreement with a hedge fund
located in the Cayman Islands for $50 million, denominated in U.S. dollars. $50 million in cash is
exchanged for $52 million in U.K. government securities. Entries would be:

Cayman Islands….

Col. 3
50

Part I
Col. 11
50

Col. 3
50

Part II
Col. 13
50

Col. 16
50

(19) The reporter’s branch in Brazil issues a mortgage for a private residence to an individual, also
in Brazil. The mortgage is for $2 million (denominated in Brazilian reais) and is secured by the
residence. Entries would be:
Part I
Col. 12
2

Brazil …

Part II
Col. 10
2

Collateral in the form of real-estate is not considered eligible collateral (see Section II.F.5) for the
purposes of the FFIEC 009 and would not result in a risk transfer or be included as “Collateral Held
Against Claims with No Risk Transfer.”
(20) The reporter’s Cayman Islands branch issues a (short-term) margin loan to an insurance
company domiciled in Switzerland. The loan is for $50 million (denominated in euros). For
collateral, the insurance company posts $10 million in cash (denominated in euros) to a bank
domiciled in Switzerland and $25 million in German government debt (denominated in euros).
Entries would be:

Switzerland…..
Germany……..

Col. 3
50
---

Col. 11
50
---

Part I
Col. 15
35
---

Col. 18
10
---

Col. 19
--25

Col. 1
10
---

Part II
Col. 2
--25

Col. 3
15
---

(21) The reporter’s Cayman Islands branch issues a (short-term) margin loan to a bank domiciled in
the Bahamas. The loan is for $50 million (denominated in euros). For collateral, $20 million in
cash (denominated in euros) is posted to a third-party bank domiciled in the Bahamas. Entries
would be:

Bahamas…..

Part I
Col. 1
Col. 11
50
50

Part II
Col. 1
50

25

DRAFT 6/19/2013
(22) The reporter’s U.K. office makes a short-term margin loan to a non-bank financial services
client domiciled in Germany for $50 million (denominated in euros). The client posts $55 million
in U.K. government debt as collateral. Entries would be:
Part I
Germany…………
United Kingdom…

Col. 3
50
---

Col. 11
50
---

26

Col. 15
50
---

Col. 19
--50

Part II
Col. 2
--50

DRAFT 6/19/2013
VI. Specific Instructions for Schedule L – Foreign-Office Liabilities
A. Foreign-Office Liabilities by Country of Foreign Office (Columns 1 and 2)
Report in Columns 1 and 2, the liabilities of the reporter’s foreign offices by country of each
foreign office that represent liabilities of the foreign offices to all creditors, regardless of location,
for which no payment is guaranteed at locations outside the country of the office. Deposits of a
foreign branch are assumed to be the liabilities of the foreign branch, unless they are explicitly
redeemable outside the country in which the branch is located. Exclude the negative fair value of
derivative contracts.
In Column 1, report foreign-office liabilities that are in a currency other than one which the
country’s government has authority to issue. (See Section II.E.)
In Column 2, report foreign-office liabilities that are in a currency which the country’s government
has authority to issue. (See Section II.E.)
Short sales by a foreign office of a security should be reported opposite the country of the party to
which the foreign office owes delivery until settlement date.
B. Foreign-Office Liabilities by Country of Creditor (Column 3)

Column 3—total liabilities booked at foreign offices—is required to be reported only by those
reporters meeting certain conditions described in Section I.D of these instructions.
In Column 3, report by country of the creditor, all liabilities that are booked at any of the reporter’s
foreign offices, regardless of the currency and regardless of whether payment is guaranteed at
locations outside the country of the office. Liabilities in Column 3 should be reported against the
country where the counterparty is located (i.e., on an immediate-counterparty basis) and not the
location of the parent of the creditor. Liabilities to creditors located in the United States should be
reported. Exclude the negative fair value of derivative contracts.
If the country of the creditor cannot be determined—because the customer was not known to the
bank (as would be the case with negotiable certificates of deposit)—then these liabilities should be
reported in the “Unallocated” row.
In any row and on a grand-total basis, the amount in Column 3 (which is by country of creditor)
may not equal the sum of amounts in Column 1 and 2 (which are by country of foreign office).
C. Net Due To (or Due From) Own Related Offices in Other Countries (Column 4)
Report for each country in which the reporter has an office or offices, that office’s (or those
offices’) net liabilities to (or claims on) all other offices of the respondent that are located in other
countries, including offices in the United States (e.g., the net amount a German branch has “due to”
or “due from” the head office and all other consolidated non-German offices of the parent). Only a
single net figure should be reported for all the offices of the reporter in a given country. If the
offices in a given country taken together have a net “due to” position with all related offices in all
other countries combined, a positive figure should be reported; a net “due from” position should be
indicated by a negative sign.
For the purposes of this report, the computation of net due to or due from should include unremitted
profits and capital contribution accounts of branch offices and the equity investment in consolidated
27

DRAFT 6/19/2013
subsidiaries. Include all claims and liabilities that are reflected as balance sheet items (e.g., loans,
borrowings, derivative contracts).
The amounts reported in Column 4 represent the internal position of offices within the consolidated
bank or the consolidated holding company. They are, therefore, not reflected in any other columns
of the report.
D. Examples for Schedules L
(1) The reporter’s branch located in the U.K. holds $10 million in interest-bearing deposits
placed by a non-bank financial company located in the U.K. (denominated in GBP). The funds
are not payable outside the U.K. Entries would be:

United Kingdom…

Schedule L
Col. 2
Col. 3
10
10

(2) The reporter’s parent bank takes out a loan directly from a third-party bank domiciled in
Japan. The amount of the loan is $5 million and is denominated in U.S. dollars. Entries would be:
None. Only liabilities incurred by the reporter’s offices located outside the U.S. should be reported
in Columns 1 through 3 of Schedule L.
(3) The reporter’s branch located in the U.K. holds $100 million in deposits (denominated in
euros) placed by a U.K. branch of a German bank. The funds are payable anywhere the reporter
has an office. Entries would be:

United Kingdom……

Schedule L
Col. 3
100

Since the deposits are payable outside the country of the office, there are no foreign-office
liabilities to report in Columns 1 and 2 of Schedule L. However, the deposit should be reported in
Column 3 against the country where the (immediate) counterparty is located, regardless of whether
payment can be made at locations outside the country of the office (see Section VI.B).
(4) The reporter’s German securities broker subsidiary has a trade date payable for the purchase
of $25 million of U.K. sovereign debt, denominated in GBP, with an insurance company
counterparty located in Switzerland. Entries would be:

Germany……….
Switzerland…….

Schedule L
Col. 1
Col. 3
25
----25

(5) The reporter’s Cayman Islands branch enters into a repurchase agreement for $2 million
(denominated in U.S. dollars) with a hedge fund counterparty located in the Bahamas. Entries
would be:

28

DRAFT 6/19/2013

Cayman Islands……
Bahamas……………

Schedule L
Col. 1
Col. 3
2
----2

(6) The reporter’s U.K. branch enters into a securities lending arrangement (U.K. government
securities were lent) for $5 million (denominated in GBP) with a pension fund domiciled in the
Netherlands. Entries would be:

United Kingdom……
Netherlands…………

Schedule L
Col. 2
Col. 3
5
----5

(7) The reporter’s U.K. branch sold a put option on a German manufacturer’s equity securities.
The counterparty is a non-bank financial institution domiciled in Luxembourg. The notional value
of the derivative is $100 million and has a negative fair value of $2 million, denominated in
U.S. dollars. Entries would be:
No entries. Liabilities from derivative contracts are not reported on Schedule L of the FFIEC 009
report.
(8) The reporter’s U.K. broker/dealer subsidiary receives an intracompany loan from the Cayman
branch of the reporter (for $10 million, denominated in euros). In addition, the U.K. branch of the
reporter placed deposits of $4 million (denominated in U.S. dollars) with the reporter. Entries
would be:

United Kingdom……
Cayman Islands…….
United States……….
Grand Total………...

Schedule L
Col. 4
6
(10)
4
0

The U.K. offices have a combined net due to position of $6 million ($10 million due to the
Cayman Islands and a $4 million due from the U.S.). See Section VI.C.
(9) The reporter’s security subsidiary located in Germany sells short $20 million in
U.K. government debt it does not own to a fund manager domiciled in Luxembourg. Assume
the settlement date is the day after the FFIEC 009 report as-of date. Entries would be:

Germany………..
Luxembourg…….

Schedule L
Col. 1
Col. 3
20
----20

“Short sales” are to be reported opposite the country of the office entering into the short sale in
Columns 1 and 2 (in this example, Germany), and in Column 3 opposite the country of the
counterparty to the short sale, to whom delivery is owed (in this example, Luxembourg). Do not
report according to the country of the issuer of the security.
29

DRAFT 6/19/2013
VII. Specific Instructions for Schedule O – Off-Balance-Sheet Items
A. Unused Commitments (Column 1)
In Column 1, report, on an “ultimate-risk” basis (i.e., after risk transfers due to head offices of bank
branches or credit protection provided by third parties), the unused portions of all outstanding crossborder and local office commitments to provide credit, by country of residence of the ultimate
obligor if the commitment were to be drawn. Include the unused portion of all outstanding letters of
credit and amounts outstanding of purchases of risk participations.
The definition of commitments is identical to that used for Schedule HC-L of the FR Y-9C.
Exclude “best efforts” letters and letters in which the pricing is indicative and not determined until
launch date, or for which the banking institution has no commitment to buy the assets for its own
account. Exclude cross- border commitments (such as those under commercial letters of credit) that
can be cancelled, at the option of the reporter, upon the occurrence of a sovereign event. Also
exclude financial and performance standby letters of credit. (Outstanding and unused financial and
performance standby letters of credit should be reported as guarantees in Column 2.)
In cases of commitments for syndicated loans, the lead underwriter should report only the
underwriter’s proportional share of the unused commitment. Similarly, contractual underwriting
commitments (e.g., revolving underwriting facilities) and other underwriting agreements may be
shown net of firm commitments from other parties to purchase the assets without recourse within a
short and specific period of time. Accordingly, the reporter should also include its unused
obligations to participate in syndicated loans and underwritings managed by other institutions.
Commitments of U.S. and foreign offices to local residents should be included.
B. Guarantees (Excluding Credit Derivatives Sold) (Column 2)
In Column 2, report, on an ultimate-risk basis, all legally binding guarantees and insurance contracts
(see Sections II.F.1 and II.F.2) issued by the reporter’s U.S. or foreign offices, excluding credit
derivatives sold. Do not include guarantees which provide protection only between consolidated
units of the reporter. Include the full amount of outstanding and unused financial and performance
standby letters of credit in Column 2. Guarantees and insurance contracts of foreign offices to local
residents should also be included.
C. Credit Derivatives Purchased and Sold (Columns 3 through 6)
Report in Columns 3 through 6, by country of the underlying reference entity, the notional value of
all outstanding credit derivatives sold and of those credit derivatives purchased that are not reported
as a risk transfer in Schedule C, Parts 1 and II (see Section II.H.1).
Credit protection purchased to hedge/offset credit protection sold, or for speculative purposes, should
be excluded as a risk transfer from Schedule C, Parts I and II, and reported in Columns 3 and 5 of
Schedule O, as appropriate.
1. Gross-Gross (Columns 3 and 4)
Report in Columns 3 and 4 the gross notional value of credit derivatives purchased and sold opposite
the country of the underlying reference entity.

30

DRAFT 6/19/2013
Report in Column 3, by country of the ultimate obligor of the reference credit, credit derivatives
where the reporter (or its consolidated offices) is a protection purchaser (see Section II.H) and that
were not used as part of a risk transfer on Schedule C, Parts I and II. Include in Column 3 any
residual notional value of credit derivatives purchased, in excess of the amount of the underlying
claim where the credit derivative was used as part of a risk transfer on Schedule C, Parts I and II.
Report in Column 4, by country of the ultimate obligor of the reference credit, all credit derivatives
where the respondent is a protection seller (see Section II.H). For example, if a reporter is a
guarantor providing credit risk protection to a U.K. bank for a claim on an Argentine bank, by means
of a credit derivative, the reporter would report the notional amount in Column 4 in the row for
Argentina.
2. Gross-Net (Columns 5 and 6)
Report in Columns 5 and 6, as appropriate, the consolidated net position of credit derivative contracts
included in Column 3 and 4. Netting may be done only when all the following apply:
(1) there are offsetting purchased and sold positions on the same reference entity (on a legal
entity basis),
(2) the contracts are with the same counterparty,
(3) the contracts are subject to a legally enforceable master netting agreement.
Contracts that do not meet all three conditions above should be reported on a gross basis in
Columns 5 and 6.
D. Trade Finance (Column 7)
In Column 7, report total extensions of credit with maturities one year and under that are included in
Columns 1 through 10 of Schedule C, Part II, or Columns 1 or 2 of Schedule O and that: (1) are
directly related to imports or exports and (2) will be liquidated through the proceeds of international
trade. Provided these two conditions are met, such credit extensions may include customers’ liability
on acceptances outstanding, own acceptances discounted, acceptances of other banks purchased, preexport financing where there is a firm export sales order, commercial letters of credit, as well as
other loans and advances whenever such extensions directly relate to international trade. Include
credit extensions for pre-export financing when there is a firm export sales order and the proceeds of
the order will pay off indebtedness.
E. Examples for Schedule O
(1) The respondent (through any office) issued a $10 million loan commitment, denominated in
U.S. dollars, to a manufacturing company located in Ireland. Entry would be:

Ireland……………

Schedule O
Col. 1
10

(2) The respondent (through any office) has provided credit protection to a German bank, against the
risk of default by a French non-financial company through a credit derivative. The credit derivative
has a notional value of $10 million, denominated in euros. Entry would be:

France……….

Schedule O
Col. 4
Col. 6
10
10

31

DRAFT 6/19/2013

Note regarding Schedule D:
If the credit derivative has a positive fair value of $1 million, the positive fair value would be
reported in Schedule D in the country row of the country of residence of the counterparty to the
credit derivative contract. Entries would be:
Schedule D
Col. 1
Col. 5
1
1

Germany……………..

(3) The respondent’s U.S. office has provided a company in Brazil with a $20 million line of credit,
denominated in Brazilian reais, and has provided a bank in the United Kingdom with a $30 million
(notional value) credit derivative, denominated in GBP, based upon the credit of a German industrial
company. Entries would be:

Col. 1
20
-----

Brazil………….
United Kingdom…………
Germany……………

Schedule O
Col. 4
----30

Col. 6
----30

Note regarding Schedule D:
If the credit derivative has a negative fair value of $2 million, the fair value would not be reported on
Schedule D.
(4) The Brazilian branch of the respondent has a loan commitment of $10 million, denominated in
Brazilian reais, to a Brazilian manufacturer. The United States Export-Import Bank has written a
guarantee that would guarantee $7 million of the loan, should it be extended. Entries would be:

Brazil……………
United States……

Schedule O
Col. 1
3
---

(5) The reporter purchases a CDS index (notional value of $150 million, denominated in
U.S. dollars) with 15 equally-weighted reference entities, 5 in Germany, 5 in the U.K. and 5 in Japan.
Assuming the reporter has no other CDS contracts, entries would be:
Schedule O
Germany………….
United Kingdom…..
Japan………………

Col. 3
50
50
50

Col. 5
50
50
50

(6) The reporter enters into the following transactions with bank B (located in Germany) and bank C
(located in Spain). The reporter has legally enforceable master netting agreements with banks B
and C and all contracts are executed under the agreements as follows (all contracts denominated in
U.S. dollars).
1. The reporter buys from bank B $100 million notional of CDS protection referencing
sovereign debt issued by Germany.
32

DRAFT 6/19/2013
2. The reporter sells to bank B $90 million notional of CDS protection referencing sovereign
debt issued by Germany (different CUSIP from transaction 1).
3. The reporter buys from bank C $50 million of CDS protection referencing the debt of
Company XYZ in the U.K.
4. The reporter sells to bank C $70 million of CDS protection referencing the debt of
Company XYZ in the U.K.
5. The reporter buys from bank C $30 million of CDS protection referencing sovereign debt
issued by the U.K. government.
These transactions would be reported as follows:
Schedule O
Germany…….
United Kingdom…..

Col. 3
100
80

Col. 4
90
70

Col. 5
10
30

Col. 6
--20

(7) The reporter enters into the following transactions with bank E (located in France), bank F
(located in Germany) and a central counterparty located in the U.K. (Company G) as follows (all
contracts denominated in euros).
1. The reporter sells to bank E $50 million notional of CDS protection referencing the
sovereign debt of France and $100 million notional of CDS protection referencing corporate
debt issued by Company ABC domiciled in Ireland. The contracts are cleared through
Company G.
2. The reporter purchases from bank F $30 million notional of CDS protection referencing the
sovereign debt of France. The contract is cleared through Company G.
These transactions would be reported as follows:
Schedule O
France………..
Ireland……….

Col. 3
30
---

Col. 4
50
100

33

Col. 5
-----

Col. 6
20
100

DRAFT 6/19/2013
VIII. Specific Instructions for Schedule D – Claims from Positions in Derivative Contracts
Report by country of the counterparty, the positive fair value of all derivative contracts. Positive
fair values can be offset against negative fair values if, and only if, the transactions were executed
with the same counterparty under a legally enforceable master netting agreement under ASC
Subtopic 210-20, Balance Sheet – Offsetting (formerly FASB Interpretation No. 39, “Offsetting of
Amounts Related to Certain Contracts”). When contracts are covered by master netting
agreements, the net residual amount, if positive, is reported in the country of residence of the
ultimate counterparty.
All claims reported on Schedule D are to be reported on an ultimate-risk basis (see Section II.C).
Therefore, amounts that are guaranteed are reported in the sector and country of the guarantor.
Similarly, if cash collateral is held, amounts that are collateralized are reported in the sector and
country of the institution holding the collateral; when securities are held as collateral, the exposure
is reported in the sector and country of the issuer of the securities (see Section II.F).
A. Positive Fair Value of Derivative Contracts (Columns 1 through 5)
Report the positive fair value of derivative contracts by sector (see Section II.D) in Columns 1
through 4, and the total in Column 5. For Schedule D, sectors consist of Banks, Public, NBFIs, and
“Other.” “Other” consists of the residual claims which cannot be classified in the other three
categories.
Contracts not covered by a master netting agreement must be reported gross.
For contracts covered by a multi-branch or multi-jurisdiction master netting agreement, the net
positive residual amount (i.e., the larger of zero or the gross positive fair value less the gross
negative fair value of those contracts covered by the same master netting agreement) must be
reported in Columns 1 through 4, as appropriate, as well as in Column 5. (The term multijurisdiction or multi-branch agreement refers to a master netting agreement that covers the head
office and other offices of the reporter.)
For contracts covered by a single netting agreement (a master netting agreement entered into by a
single office of the reporter with another party), the net positive residual amount qualifies to be
reported in Columns 1 through 5.
When a contract is entered into with a branch of a commercial bank, a claim (i.e., positive fair
value) is reported in the country of the head office because claims on a bank’s branches are
assumed to have an implicit credit guarantee of the head office. Claims on (i.e., contracts having a
positive fair value) U.S. branches of foreign banks are reported in the country of the head office.
(Refer also to instructions for Column 6, which treats claims on bank branches differently.)

B. Claims on Branches with No Guarantee from Parent (Column 6)
In memorandum Column 6, reporters are asked to identify claims on bank branches according to the
country of residence of the branch in those instances in which the claim is not formally and legally
guaranteed by the head office of the branch (and in which the country of residence of the branch is
different than the country of residence of the head office). Amounts reported in Column 6 are also
reported in Columns 1 and 5 (although in Columns 1 and 5 they are reported in the country row of
the head office). If the claims on a bank branch are formally and legally guaranteed by the head
office of the branch (or if the branch is located in the same country as the head office) then the
34

DRAFT 6/19/2013
claims are not reported in Column 6. Contracts covered by master netting agreements are deemed
to carry the legal guarantee of the head office and are therefore not reported in Column 6.
For example, an unguaranteed claim on a branch of a foreign bank would be reported in Columns 1
and 5 in the country of the head office and in Column 6 in the country of the branch.
For example, the German office of the respondent has a contract with a positive fair value of
$100 million with the German branch of a U.S. bank.

Germany
United States

Schedule D
Col. 5
---100

Col. 1
---100

Col. 6
100
---

If parties to a multi-branch netting agreement specify that transactions with branches in certain
jurisdictions are subject to transfer risk, any exposure in that jurisdiction is reported in
memorandum Column 6 in order to reflect the transfer risk in that location.
C. Examples for Schedule D
(1) The reporter’s U.K. securities broker subsidiary has a portfolio of OTC derivative trades with a
notional value of $1 billion and a positive fair value of $150 million with the U.K. securities broker
subsidiary of a bank domiciled in Germany. The reporter and the German bank have a multijurisdiction master netting agreement encompassing all the subsidiaries and branches of the two
counterparties. The German bank posts $120 million in cash as collateral which is held by a thirdparty bank domiciled in the U.K. Entries would be:

Germany………
United Kingdom…….

Schedule D
Col. 3
-----

Col. 1
30
120

Col. 5
30
120

The amount in Column 1 against Germany represents the uncollateralized portion of the positive
fair value position against the parent bank under the master netting agreement. The amount in
Column 1 against the U.K. represents the cash collateral held with the third-party bank.
(2) The same fact pattern as Example 1, only the cash collateral is held by the reporter’s parent
bank in the United States instead of the third-party U.K. bank.
Schedule D
Germany.…….

Col. 1
30

Col. 4
30

(3) The reporter’s U.K. securities broker subsidiary has a foreign exchange swap contract with a
notional value of $500 billion and a positive fair value of $100 million with the Cayman Islands
nonbank subsidiary of a bank domiciled in the U.K. The reporter and the U.K. bank have a
multi-jurisdiction master netting agreement encompassing all the subsidiaries and branches of the
two counterparties. For collateral, the Cayman Islands subsidiary posts $50 million in
U.K. sovereign debt and $20 million in cash as collateral which is held by directly by the reporter’s
U.K. subsidiary. Entries would be:

35

DRAFT 6/19/2013

United Kingdom…….

Schedule D
Col. 2
Col. 3
50
---

Col. 1
30

Col. 5
80

The amount in Column 2 represents the sovereign debt posted as collateral (collateral in the form of
securities are reported opposite the country and sector of the issuer). The amount in Column 1
represents the uncollateralized portion of the positive fair value position against the parent bank of
the counterparty under the master netting agreement. The cash collateral held by the reporter’s
U.K. subsidiary is not reportable as it is held directly by the reporter.
Assume the following fact pattern for Examples 4 through 6 The respondent (U.S. Bank), and its consolidated U.S. and foreign offices, enters into various
derivative contracts with a counterparty (Japan Bank and its various branches). The balances with
the various branches of Japan Bank on the books of U.S. Bank’s various locations as of the
reporting date are shown below, in millions of dollars:
Gross Positive
Fair Value

Gross Negative
Fair Value

Net by
Location

Net Aggregate
Residual Amount

U.S. Bank - Hong Kong branch with:
Japan Bank - Hong Kong branch
Japan Bank - London branch
Japan Bank - Tokyo branch
Total

15
45
60
120

11
75
40
126

4
-30
20
-6

-6

U.S. Bank - London branch with:
Japan Bank - Hong Kong branch
Japan Bank - London branch
Japan Bank - Tokyo branch
Total

190
79
67
336

70
41
34
145

120
38
33
191

191

U.S. Bank - New York branch with:
Japan Bank - London branch
Japan Bank - New York branch
Japan Bank - Tokyo branch
Total

57
10
41
108

75
85
40
200

-18
-75
1
-92

-92

U.S. Bank - Tokyo branch with:
Japan Bank - Hong Kong branch
Japan Bank - London branch
Japan Bank - New York branch
Japan Bank - Tokyo branch
Total

115
75
15
144
349

225
25
100
64
414

-110
50
-85
80
-65

-65

Grand Total

913

885

Total Net Aggregate Residual

28

36

DRAFT 6/19/2013
(4) Assuming the respondent has no master netting agreement. Entries would be:
Schedule D
Col. 5
913
-------

Col. 1
913
-------

Japan…….
Hong Kong……..
United Kingdom……
United States……….

Col. 6
--320
256
25

(5) Assuming the respondent has a master netting agreement and with Japan Bank. Entries would be:

Japan…….
Hong Kong……..
United Kingdom……
United States……….

Col. 1
28
-------

Schedule D
Col. 5
28
-------

Col. 6
---------

(6) Assuming the same fact pattern as Example 5, but that the parties have also agreed to a bilateral
collateralization agreement under which exposures greater than $10 million are collateralized with
cash or liquid U.K. government securities. Assume that collateral is pledged in minimum
incremental amounts of $5 million. Entries would be:

Japan…….
Hong Kong……..
United Kingdom……
United States……….

Col. 1
8
-------

Schedule D
Col. 2
Col. 5
--8
----20
20
-----

Col. 6
---------

Assume the following fact pattern for Examples 7 and 8 The respondent, and its consolidated U.S. and foreign offices, enters into various derivative
contracts with foreign corporate customers and banks. Assume the corporate customers are
non-financial companies. The balances with these parties on the books of the respondent’s various
locations as of the reporting date are shown below, in millions of dollars:

U.S. Bank - Hong Kong branch with:
Hong Kong Corporate
Singapore Corporate
U.K. Bank - Hong Kong branch
Total
U.S. Bank - London branch with:
U.K. Corporate
Hong Kong Bank - London
branch
Total
U.S. Bank - New York branch with:
Argentine Corporate
Venezuela Bank
Total

Gross Positive
Fair Value

Gross Negative
Fair Value

Net by
Location

Net Aggregate
Residual Amount

15
45
60
120

11
75
40
126

4
-30
20
-6

-6

190
79

70
41

120
38

269

111

158

158

57
10
67

75
85
160

-18
-75
-93

-93

37

DRAFT 6/19/2013

Grand Total

456

397

Total Net Aggregate Residual

59

(7) Assuming the respondent has no master netting agreement.

United Kingdom.…
Argentina…….…..
Venezuela….……
Hong Kong………
Singapore………..

Col. 1
60
--10
79
---

Schedule D
Col. 4
Col. 5
190
250
57
57
--10
15
94
45
45

Col. 6
79
----60
---

(8) Assuming the respondent has no master netting agreement. Assume that the liabilities of the
Argentine corporate customer are legally guaranteed by its U.S. parent. Entries would be:

United Kingdom….
Argentina…………
Venezuela…..……
Hong Kong……….
Singapore………...

Col. 1
250
--10
94
---

Schedule D
Col. 4
Col. 5
--250
------10
--94
45
45

38

Col. 6
79
----60
---

DRAFT 6/19/2013
Appendix A. Summary of Reporting Bases by Schedule and Column
Schedule
Schedule C, Part I
Schedule C, Part I

Column/s
1 through 12
13 through 17

Reporting Criteria
Country/sector of obligor
Country/Sector of outward risk
transfer
Country/Sector of inward risk transfer

Reporting Basis
Immediate
Immediate

Schedule C, Part I

18 through 22

Schedule C, Part II

1 through 11

Country/sector of ultimate
obligor/issuer of guarantee
Country of issuer of HTM and AFS
securities
Location of counterparty
Location of issuer of trading assets
Issuer of offsetting position for
trading book

Ultimate

Schedule C, Part II

12

Schedule C, Part II
Schedule C, Part II
Schedule C, Part II

13 through 16
17
18

Schedule L
Schedule L
Schedule L

1, 2
3
4

Location of foreign-office obligor
Location of creditor
Location of affiliated counterparty

Ultimate
Immediate
Immediate

Schedule O

1

Ultimate

Schedule O

2

Schedule O

3, 4

Schedule O

5, 6

Schedule O

7

Location of party (after risk transfers)
receiving commitment
Country of issuer of obligor for
guarantees/insurance contracts
Gross position of credit derivatives
purchased and sold (by country of
reference entity)
Net position of offsetting credit
derivatives purchased and sold (by
country of reference entity)
Location of recipient of trade
financing

Schedule D

1 through 5

Ultimate

Schedule D

6

Location of counterparty or issuer of
collateral
Location of branch if not guaranteed
by parent

39

Ultimate

Ultimate
Ultimate
Ultimate
Ultimate

Ultimate
Ultimate

Ultimate

Ultimate

Immediate