Banking Organization Systemic Risk Report - BHCs (Implement)

Board of Governors of the Federal Reserve System

Instructions for Preparation of

Banking Organization Systemic Risk Report

Reporting Form FR Y-15
Effective December 2012

Contents

GENERAL INSTRUCTIONS FOR PREPARATION OF THE BANKING ORGANIZATION
SYSTEMIC RISK REPORT
General Instructions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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LINE ITEM INSTRUCTIONS FOR THE BANKING ORGANIZATION SYSTEMIC
RISK REPORT
Schedule A – Size Indicator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Schedule B – Interconnectedness Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Schedule C – Substitutability Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Schedule D – Complexity Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Schedule E – Cross-Jurisdictional Activity Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Schedule F – Ancillary Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

FR Y-15
Contents December 2012

A-1
B-1
C-1
D-1
E-1
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Contents-1

INSTRUCTIONS FOR PREPARATION OF

Banking Organization
System Risk Report
FR Y-15

General Instructions
Who Must Report
Reporting Criteria
U.S. based organizations that are designated as global
systemically important banks (G-SIBs) by the Basel
Committee on Banking Supervision must file the Banking Organization Systemic Risk Report (FR Y-15) as of
the last calendar day of December.
Rules of Consolidation
For purposes of this report, all offices (i.e., branches,
subsidiaries, variable interest entities and international
banking facilities (IBFs)) that are within the scope of the
consolidated holding company are to be reported on a
consolidated basis. Unless the instructions specifically
state otherwise, this consolidation shall be on a line-byline basis, according to the caption shown. As part of the
consolidation process, the results of all transactions and
all intercompany balances (e.g., outstanding asset/debt
relationships) between offices, subsidiaries, and other
entities included in the scope of the consolidated holding
company are to be eliminated in the consolidation and
must be excluded from the FR Y-15.
Subsidiaries of Subsidiaries. For a subsidiary of a holding company that is in turn the parent of one or more
subsidiaries: (1) Each subsidiary shall consolidate its
majority-owned subsidiaries in accordance with the consolidation requirements set forth above. (2) Each subsidiary shall account for any investments in unconsolidated
subsidiaries, corporate joint ventures over which the
holding company exercises significant influence, and
associated companies according to the equity method of
accounting.
Exclusions from coverage of the consolidated report
Subsidiaries where control does not rest with the parent. If control of a majority-owned subsidiary by the
FR Y-15
General Instructions December 2012

holding company does not rest with the holding company
because of legal or other reasons (e.g., the subsidiary is in
bankruptcy), the subsidiary is not required to be consolidated for purposes of the report. Additional guidance on
this topic is provided in accounting standards, including
ASC Subtopic 810-10, Consolidation - Overall.
Custody accounts. All custody and safekeeping activities
(i.e., the holding of securities, jewelry, coin collections,
and other valuables in custody or in safekeeping for
customers) should not be reflected on any basis in the
balance sheet items on the FR Y-15 unless cash funds
held in safekeeping for customers are commingled with
the general assets of the reporting holding company. In
such cases, the commingled funds would be reported on
the FR Y-15.

Where to Submit the Report
Electronic Submission
All banking organizations must submit their completed
report electronically. Banking organizations should
contact their district Reserve Bank or go to
www.frbservices.org/centralbank/reportingcentral for
procedures for electronic submission.

When to Submit the Report
The FR Y-15 is required to be submitted as of December
31. The submission date for banking organizations is 90
calendar days after the December 31 as-of-date.
The term ‘‘submission date’’ is defined as the date by
which the Federal Reserve must receive the banking
organization’s FR Y-15.
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. Earlier submission aids
the Federal Reserve in reviewing and processing the
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General Instructions

reports and is encouraged. No extensions of time for
submitting reports are granted.
The reports are due by the end of the reporting day on the
submission date (5:00 P.M. at each district Federal
Reserve Bank).

How to Prepare the Report

zeros reported in the thousands column. For banking
organizations exercising this option, amounts less than
$500,000 will be reported as zero. Rounding could result
in details not adding to their stated totals. However, to
ensure consistent reporting, the rounded detail items
should be adjusted so that the totals and the sums of their
components are identical.

A. Applicability of GAAP

D. Negative Entries

Banking organizations are required to prepare and file the
FR Y-15 in accordance with U.S. generally accepted
accounting principles (GAAP) and these instructions.
The report shall be prepared in a consistent manner. The
banking organization’s financial records shall be maintained in such a manner and scope so as to ensure that the
FR Y-15 can be prepared and filed in accordance with
these instructions and reflect a fair presentation of the
banking organization’s financial condition and results of
operations.

Except for the item listed below, negative entries are
generally not appropriate on the FR Y-15 and should not
be reported. Hence, assets with credit balances must be
reported in liability items and liabilities with debit balances must be reported in asset items, as appropriate, and
in accordance with these instructions. The only item for
which a negative entry may be made is Schedule A, item
3, ‘‘Regulatory adjustments.’’ When a negative entry
does occur for this item, it shall be recorded with a minus
(-) sign rather than in parentheses.

Banking organizations should retain workpapers and
other records used in the preparation of this report.

E. Confidentiality

B. Report Form Captions and Instructional Detail
No caption on the report forms shall be changed in any
way. An amount or a zero should be entered for all items
except in the cases where the data is automatically
retrieved from another report. These exceptions are listed
in the General Instructions under Section H (Data Items
Automatically Retrieved from Other Reports).
There may be areas in which a banking organization
wishes to obtain more technical detail on the application
of accounting standards and procedures to the requirements of these instructions. Such information may be
found in more detail in the GAAP standards. Selected
sections of the GAAP standards are referenced in the
instructions where appropriate.
Questions and requests for interpretations of matters
appearing in any part of these instructions should be
addressed to the appropriate Federal Reserve Bank (that
is, the Federal Reserve Bank in the district where the
banking organization submits this report).

The completed version of this report is not confidential
and will be made available to the public for report dates
beginning December 31, 2012. However, a reporting
banking organization may request confidential treatment
for the FR Y-15 if the banking organization is of the
opinion that disclosure of specific commercial or financial information in the report would likely result in
substantial harm to its competitive position, or that
disclosure of the submitted information would result in
unwarranted invasion of personal privacy.
A request for confidential treatment must be submitted in
writing prior to the electronic submission of the report.
The request must discuss in writing the justification for
which confidentiality is requested and must demonstrate
the specific nature of the harm that would result from
public release of the information. Merely stating that
competitive harm would result or that information is
personal is not sufficient. Information for which confidential treatment is requested may subsequently be released
by the Federal Reserve System if the Board of Governors
determines that the disclosure of such information is in
the public interest.

C. Rounding
All dollar amounts should be reported in thousands.
However, each banking organization, at its option, may
round the figures reported to the nearest million, with
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F. Verification and Signatures
Estimates. For institutions filing this report for the first
time, reasonable estimates are permitted.
General Instructions

FR Y-15
December 2012

General Instructions

Verification. All addition and subtraction should be
double-checked before the report is submitted. Totals and
subtotals should be cross-checked to corresponding items
elsewhere in the report. Before a report is submitted, all
amounts should be compared with the corresponding
amounts in the previous report. If there are any unusual
changes from the previous report, a brief explanation of
the changes should be provided to the appropriate Federal Reserve Bank.
Signatures. The FR Y-15 must be signed by the Chief
Financial Officer of the banking organization (or by the
individual performing this equivalent function). By signing the cover page of this report, the authorized officer
acknowledges that any knowing and willful misrepresentation or omission of a material fact on this report
constitutes fraud in the inducement and may subject the
officer to legal sanctions provided by 18 USC 1001 and
1007.
Banking organizations must maintain in their files a
manually signed and attested printout of the data
submitted. The cover page of the submitted report should
be used to fulfill the signature and attestation requirement. This page should be attached to the printout placed
in the banking organization’s files.
G. Amended Reports
When the Federal Reserve’s interpretation of how GAAP
or these instructions should be applied to a specified
event or transaction (or series of related events or transactions) differs from the reporting banking organization’s
interpretation, the Federal Reserve may require the banking organization to reflect the event(s) or transaction(s) in
its FR Y-15 in accordance with the Federal Reserve’s
interpretation and to amend previously submitted reports.
The Federal Reserve will consider the materiality of such
event(s) or transaction(s) in making a determination
about requiring the banking organization to apply the
Federal Reserve’s interpretation and to amend previously
submitted reports. Materiality is a qualitative characteristic of accounting information which is defined in Financial Accounting Standards Board (FASB) Concepts No. 2
as ‘‘the magnitude of an omission or misstatement of
accounting information that, in the light of surrounding
circumstances, make it probable that the judgment of a
reasonable person relying on the information would have
been changed or influenced by the omission or misstatement.’’
FR Y-15
General Instructions

December 2012

The Federal Reserve may require the filing of an amended
FR Y-15 if the report as previously submitted contains
significant errors. In addition, a banking organization
should file an amended report when internal or external
auditors make audit adjustments that result in a restatement of financial statements previously submitted to the
Federal Reserve.
The Federal Reserve also requests that banking organizations that have restated their prior period financial statements as a result of an acquisition submit revised reports
for the prior year-ends. In the event that certain of the
required data are not available, banking organizations
should contact the appropriate Federal Reserve Bank for
information on submitting revised reports.
H. Data Items Automatically Retrieved from Other
Reports
Certain data collected on the FR Y-15 may also be
collected in other reports submitted to the Federal
Reserve. If the banking organization files the other
reports at the same level of consolidation as is required
for the FR Y-15, the duplicate data items do not need to
be reported and may be left blank on the FR Y-15 form.
If the banking organization files the FR Y-9C for the
same reporting period, then the following data items may
be left blank:
(1) Schedule A, item 1(a), ‘‘Total assets’’ (FR Y-9C,
Schedule HC, item 12)
(2) Schedule A, item 1(b)(1), ‘‘Securities financing
transactions, net’’ (FR Y-9C, Schedule HC, item
3(b))
(3) Schedule A, item 2(b)(1), ‘‘Notional amount of
credit derivatives sold’’ (FR Y-9C, Schedule HC-L,
items 7(a)(1) through 7(a)(4), Column A)
(4) Schedule B, item 2, ‘‘Undrawn committed lines
extended to unaffiliated financial institutions’’
(FR Y-9C, Schedule HC-L, item 1(e)(2))
(5) Schedule B, item 13, ‘‘Subordinated debt securities’’ (FR Y-9C, Schedule HC, items 19(a) and
19(b))
(6) Schedule B, item 14, ‘‘Commercial paper’’ (FR Y9C, Schedule HC-M, item 14(a))
(7) Schedule D, item 5, ‘‘AFS securities’’ (FR Y-9C,
Schedule HC, item 2(b))
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General Instructions

(8) Schedule D, item 11, ‘‘Held-to-maturity securities’’
(FR Y-9C, Schedule HC, item 2(a))

(12) Schedule F, item 5, ‘‘Total gross revenue’’ (FR Y9C, Schedule HI, item 1(h) plus item 5(m))

(9) Schedule D, item 12, ‘‘Assets valued using Level 3
measurement inputs’’ (FR Y-9C, Schedule HC-Q,
item 7, Column E)

If the banking organization files the FFIEC 009 for the
same reporting period, then the following data item may
be left blank:

(10) Schedule F, item 1, ‘‘Total liabilities’’ (FR Y-9C,
Schedule HC, item 21)
(11) Schedule F, item 3, ‘‘Total net revenue’’ (FR Y-9C,
Schedule HI, item 1(h) plus item 5(m) minus item
2(f))

GEN-4

(1) Schedule E, item 1, ‘‘Total foreign claims on an
ultimate risk basis’’ (FFIEC 009, Schedule 1, Columns 15 through 20)

General Instructions

FR Y-15
December 2012

LINE ITEM INSTRUCTIONS FOR

Size Indicator
Schedule A
All positions should be included, regardless of whether they are included in the trading or
banking book. The amounts provided should be net of specific provisions and valuation
adjustments.

Total Exposures

Line Item 1(c)

Line Item 1

Line Item 1(c)(1) Derivative exposures with a net
positive fair value.

On-balance-sheet items:

Line Item 1(a)

Total assets.

Report total assets of the banking organization (as defined
in the FR Y-9C, Schedule HC, item 12).
Line Item 1(b)

Securities financing transactions:

Securities Financing Transactions (SFT) are transactions
such as repurchase agreements, reverse repurchase agreements, security lending and borrowing, and margin lending transactions, where the value of the transactions
depends on the market valuations and the transactions are
often subject to margin agreements.
Line Item 1(b)(1)
net.

Securities financing transactions,

Report the value of all securities financing transactions
included in item 1(a), reported net (as defined in the FR
Y-9C, Schedule HC, item 3(b)).
Line Item 1(b)(2)
gross.

Securities financing transactions,

Derivatives:

Report the sum of net positive fair value derivative
exposures netted in accordance with GAAP netting rules
(i.e., designated, legally enforceable, netting sets or
groups). Include collateral held only if it is within the
master netting agreement. For more information on netting, refer to ASC Subtopic 210-20 Balance Sheet Offsetting and the FR Y-9C Glossary entry for ‘‘offsetting.’’
Line Item 1(c)(2) Cash collateral netted against
the derivative exposures in item 1(c)(1).
Report the amount of cash collateral that was netted
against derivative exposures in item 1(c)(1).
Line Item 2
items:

Derivatives and off-balance-sheet

Line Item 2(a) Potential future exposure of
derivative contracts.

Line Item 1(b)(3) Securities received as collateral
in securities lending.

Report the potential future exposure amount for each
derivative contract to which the banking organization is a
counterparty (or each single-product netting set of such
transactions). This would be calculated in accordance
with Title 12 of the Code of Federal Regulations, part
208, Appendix F, page 343, sections 32(c)(5)(ii) and
(c)(6) as applicable (www.gpo.gov/fdsys/browse/
collectionCfr.action).

Report the amount of securities received as collateral in
principal securities lending transactions.

Line Item 2(b)

Report the gross value of all securities financing transactions included in item 1(a) without GAAP netting.

Line Item 1(b)(4) Cash collateral received in
conduit securities lending transactions.
Report the cash collateral received in conduit securities
lending transactions.
FR Y-15
Schedule A December 2012

Credit derivatives:

Line Item 2(b)(1)
derivatives sold.

Notional amount of credit

Provide the total notional amount of credit derivatives
sold (as defined in the FR Y-9C, Schedule HC-L, items
7(a)(1) through 7(a)(4), Column A).
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Schedule A

Line Item 2(b)(2) Credit derivatives sold net of
related credit protection bought.
Report credit derivatives sold net of related credit protection bought. Only net out the protection bought if it is for
the same reference entity. If the protection bought is
larger than the amount sold, only deduct the amount sold.

ized approach to credit risk (see paragraphs 83, 85, and
footnote 32 of the Basel II framework). This would
include commitments with an original maturity up to one
year and short-term self-liquidating trade letters of credit
arising from the movement of goods (e.g., documentary
credits collateralized by the underlying shipment) of both
issuing and confirming banking organizations.

Line Item 2(c) Notional amount of off-balance
-sheet items with a 0%credit conversion factor
(CCF).

Line Item 2(e) Notional amount of off-balance
-sheet items with a 50% CCF.

Report off-balance-sheet items that would be assigned a
0% credit conversion factor as defined in the standardized approach to credit risk in the Basel II framework.
That is, commitments that are unconditionally cancellable at any time by the bank without prior notice (UCC),
or that effectively provide for automatic cancellation due
to deterioration in a borrower’s creditworthiness (see
paragraph 83 and footnote 33 of the Basel II framework,
www.bis.org/publ/bcbs128.pdf). Note that items 2(c)(1)
and 2(c)(2) do not total item 2(c) since the latter includes
commitments that effectively provide for automatic cancellation due to deterioration in a borrower’s creditworthiness but that are not UCC.

Report off-balance-sheet items that would be assigned a
50%credit conversion factor as defined in the standardized approach to credit risk (see paragraphs 83, 84(ii) and
84(iii) of the Basel II framework). This includes liquidity
facilities and other commitments to securitizations incorporating the changes according to the Enhancements to
the Basel II framework (www.bis.org/publ/bcbs157.pdf).
That is, the CCF for all eligible liquidity facilities in the
securitization framework is 50% regardless of the maturity. Off-balance-sheet exposures to originated securitizations should be included only if the securitizations have
met the accounting criteria for derecognition (to avoid
double counting).

Line Item 2(c)(1) Unconditionally cancellable
credit card commitments.

Line Item 2(f) Notional amount of off-balance
-sheet items with a 100% CCF.

Report credit card commitments that are unconditionally
cancellable at any time by the bank without prior notice
(UCC) that would receive a 0% CCF under the standardized approach to credit risk. Credit card commitments
that effectively provide for automatic cancellation due to
deterioration in a borrower’s creditworthiness but that are
not UCC should not be included in this item.

Report off-balance-sheet items that would be assigned a
100% credit conversion factor as defined in the standardized approach to credit risk (see paragraphs 83(i), 83 (ii),
84 and 84(i) of the Basel II framework). This includes
indemnified agency securities lending, liquidity facilities,
and other commitments to securitizations incorporating
the changes according to the Enhancements. Off-balancesheet exposures to originated securitizations should be
included only if the securitizations have met the accounting criteria for derecognition (to avoid double counting).

Line Item 2(c)(2) Other unconditionally
cancellable commitments.
Report other commitments that are unconditionally cancellable at any time by the bank without prior notice that
would receive a 0% CCF under the standardized approach
to credit risk. Commitments that effectively provide for
automatic cancellation due to deterioration in a borrower’s
creditworthiness but that are not UCC should not be
included in this item.
Line Item 2(d) Notional amount of off-balancesheet items with a 20% CCF.
Report off-balance-sheet items that would be assigned a
20% credit conversion factor as defined in the standardA-2

Line Item 2(g)

Total off-balance-sheet items.

Report the sum of items 2(a), 2(c), and 2(d) through 2(f),
minus 0.9 times the sum of items 2(c)(1) and 2(c)(2).1
Line Item 3

Regulatory adjustments.

Report the amount of regulatory adjustments from Tier 1
under Basel III: A global regulatory framework for more
1. 90 percent of the value of unconditionally cancellable commitments
is deducted from the total to achieve a credit conversion factor of 10
percent.

Schedule A

FR Y-15
December 2012

Schedule A

resilient banks and banking systems (www.bis.org/bcbs/
basel3.htm). These are the adjustments to Tier 1 capital
(which include deductions made to common equity tier 1
capital) under the fully phased-in Basel III framework.
These include the deduction of goodwill and intangibles,
deferred tax assets, and hedging gains and losses. If this
amount is negative, report with a minus (-) sign.

FR Y-15
Schedule A

December 2012

Line Item 4

Total exposures.

Report the sum of items 1(a) and 2(g), minus item 3.

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LINE ITEM INSTRUCTIONS FOR

Interconnectedness Indicators
Schedule B
For the purpose of the interconnectedness indicators, financial institutions are defined as
banks (and other depository institutions), securities dealers, insurance companies, mutual
funds, hedge funds, pension funds, and all other institutions defined in the FR Y-9C
Schedule HC-C, items 2 and 9a. Central banks and other public sector bodies (e.g.,
multilateral development banks) are excluded, but state-owned commercial banks are
included.
Intra-Financial System Assets

Line Item 3(a)

Line Item 1 Funds deposited with or lent to
unaffiliated financial institutions.

Report the total holdings of secured debt securities (e.g.,
covered bonds).

Report all funds deposited with or lent to unaffiliated
financial institutions (i.e., unaffiliated third party financial institutions). Lending should include all forms of
term/revolving lending, federal funds sold, acceptances
of other banks, and other extensions of credit to financial
institutions. Deposits should include balances due from
financial institutions, and currency and coin due from
financial institutions (as defined in the FR Y-9C Schedule
HC, item 1).

Line Item 3(b)

Report the nominal value of all undrawn committed lines
extended to unaffiliated financial institutions (as defined
in the FR Y-9C Schedule L, item 1(e)(2)).

Line Item 3(c)

This item should reflect all holdings of securities issued
by unaffiliated financial institutions. Total holdings should
be reported at fair value (as defined the FR Y-9C
Glossary entry for ‘‘fair value’’) in accordance with
FASB’s Accounting Standards Codification (ASC) Topic
820, Fair Value Measurements (formerly FASB Statement No. 157, Fair Value Measurements) for securities
classified as trading (including securities for which the
fair value option (FVO) is elected), and available-for-sale
(AFS) securities; held-to-maturity (HTM) securities
should be reported at amortized cost in accordance with
ASC 320, Investments - Debt and Equity Securities
(formerly FASB Statement No. 115, Accounting for
Certain Investments in Debt and Equity Securities, as
amended).
FR Y-15
Schedule B December 2012

Subordinated debt securities.

Report the total holdings of subordinated debt securities.
Commercial paper.

Report the total holdings of commercial paper of unaffiliated financial institutions. For more information on commercial paper, refer to the FR Y-9C Glossary entry for
‘‘commercial paper.’’
Line Item 3(e)

Line Item 3 Holdings of securities issued by
unaffiliated financial institutions.

Senior unsecured debt securities.

Report the total holdings of senior unsecured debt securities.

Line Item 3(d)
Line Item 2 Undrawn committed lines extended to
unaffiliated financial institutions.

Secured debt securities.

Certificates of deposit.

Report the total holdings of certificates of deposit due
from unaffiliated financial institutions. For more information on certificates of deposit, refer to the FR Y-9C
Glossary entry for ‘‘deposits.’’
Line Item 3(f) Stock (including par and surplus of
common and preferred shares).
Report total equity holdings including common and
preferred shares.
Line Item 3(g) Offsetting short positions in
relation to the specific stock holdings included in
item 3(f).
Report the fair value of the banking organization’s
liabilities resulting from short positions held against the
stock holdings included in item 3(f).
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Schedule B

Line Item 4 Net positive current exposure of
securities financing transactions with unaffiliated
financial institutions.
This item should include the following:
(a) Net positive reverse repurchase agreement exposure, where the value of the cash provided
exceeds the fair value of the securities received.
(b) Net positive repurchase agreement exposure,
where the fair value of the securities provided
exceeds the value of the cash received.
(c) Net positive securities lending exposure, where
the fair value of securities lent exceeds the value
of cash collateral received (or the fair value of
non-cash collateral received).
(d) Net positive securities borrowing exposure, where
the value of cash collateral provided (or the fair
value of non-cash collateral provided) exceeds
the fair value of securities borrowed.
The reported value is not intended to reflect amounts
recorded on the balance sheet. Rather, it represents the
single legally owed amount per netting set. Netting
should only be used where the transactions are covered
by a legally enforceable netting agreement (see paragraph 173 under Basel II framework). The net amount
reported should be in accordance with ASC Subtopic
210-20, Balance Sheet - Offsetting. Where these criteria
are not met, the gross balance sheet amount should be
reported. Do not include conduit lending transactions.
Line Item 5 Over-the-counter (OTC) derivatives
with unaffiliated financial institutions that have a
net positive fair value:
Line Item 5(a) Net positive fair value (include
collateral held if it is within the master netting
agreement).
Report the sum of net positive fair value OTC derivative
exposures netted in accordance with GAAP netting rules
(i.e., designated, legally enforceable, netting sets or
groups). Only netting sets with a positive value should be
included here. Netting sets where the net result is negative should be captured in item 9(a). Include collateral
held only if it is within the master netting agreement. For
more information on netting, refer to ASC Subtopic
210-20, Balance Sheet - Offsetting, and the FR Y-9C
Glossary entry for ‘‘offsetting.’’
B-2

Line Item 5(b)

Potential future exposure.

Report the amount of potential future exposure (PFE) for
the derivatives included in item 5(a). Include the PFE for
any netting sets with a fair value of zero. For more
information on determining the PFE refer to the FR Y-9C
Schedule HC-R, item 54.
Line Item 5(c) Fair value of collateral that is held
outside of the master netting agreements.
Report the fair value of collateral held in relation to the
OTC contracts reported in item 5(a) that is not under a
legally enforceable Credit Support Annex (CSA). Do not
net against collateral provided, unless it is legally nettable.
Line Item 6

Total intra-financial system assets.

Report the sum of items 1 through 3(f), 4, 5(a), and 5(b),
minus item 3(g).
Intra-Financial System Liabilities
Line Item 7 Deposits due to unaffiliated financial
institutions (including undrawn committed lines):
This section captures information regarding the deposits
held by the banking organization. For more information
on deposits, see the FR Y-9C Glossary entry for ‘‘deposits.’’
Line Item 7(a)
institutions.

Deposits due to depository

Report total deposits due to depository institutions.
Line Item 7(b) Deposits due to non-depository
financial institutions.
Report total deposits due to non-depository financial
institutions.
Line Item 7(c) Undrawn committed lines obtained
from unaffiliated financial institutions.
Report the nominal value of all undrawn committed lines
obtained from unaffiliated financial institutions.
Line Item 8 Net negative current exposure of
securities financing transactions with unaffiliated
financial institutions.
This item should include the following:
Schedule B

FR Y-15
December 2012

Schedule B

(a) Net negative reverse repurchase agreement exposure, where the fair value of securities received
exceeds the value of the cash provided.
(b) Net negative repurchase agreement exposure,
where the value of the cash received exceeds the
fair value of the securities provided.
(c) Net negative securities lending exposure, where
the value of cash collateral received (or the fair
value of non-cash collateral received) exceeds
the fair value of securities lent.
(d) Net negative securities borrowing exposure,
where the fair value of securities borrowed
exceeds the value of cash collateral provided (or
the fair value of non-cash collateral provided).
The reported value is not intended to reflect amounts
recorded on the balance sheet. Rather, it represents the
single legally owed amount per netting set. Netting
should only be used where the transactions are covered
by a legally enforceable netting agreement (see paragraph 173 of the Basel II framework). The net amount
reported should be in accordance with ASC Subtopic
210-20, Balance Sheet - Offsetting. Where these criteria
are not met, the gross balance sheet amount should be
reported. Do not include conduit lending transactions.
Line Item 9 OTC derivatives with unaffiliated
financial institutions that have a net negative fair
value:
Line Item 9(a) Net negative fair value (include
collateral provided if it is within the master netting
agreement).
Report the sum of net fair value OTC derivative liabilities netted in accordance with GAAP netting rules (i.e.,
designated, legally enforceable, netting sets or groups).
Only netting sets with a negative value should be
included here. Netting sets where the net result is positive
should be captured in item 5(a). Include collateral provided only if it is within the master netting agreement.
For more information on netting, refer to ASC Subtopic
210-20, Balance Sheet - Offsetting, and the FR Y-9C
Glossary entry for ‘‘offsetting.’’
Line Item 9(b)

Potential future exposure.

Report the amount of the PFE for the derivatives included
in item 9(a).
FR Y-15
Schedule B

December 2012

Line Item 9(c) Fair value of collateral that is
provided outside of the master netting agreements.
Report the fair value of collateral posted in relation to the
negative OTC contracts reported in item 9(a) that is not
under a legally enforceable Credit Support Annex (CSA).
Do not net against collateral taken, unless it is legally
nettable.
Line Item 10
liabilities.

Total intra-financial system

Report the sum of items 7(a) through 9(b).
Securities Issued
Line Item 11

Secured debt securities.

Report the value of all secured debt securities issued
(e.g., covered bonds).
Line Item 12

Senior unsecured debt securities.

Report the value of all senior unsecured debt securities
issued.
Line Item 13

Subordinated debt securities.

Report the value of all subordinated debt securities
issued, as defined in the FR Y-9C Schedule HC, items
19(a) and 19(b).
Line Item 14

Commercial paper.

Report the total holdings of commercial paper issued by
the banking organization. For more information on commercial paper, refer to the FR Y-9C Glossary entry for
‘‘commercial paper.’’
Line Item 15

Certificates of deposit.

Report the value of all certificates of deposit issued by
the banking organization. For more information on certificates of deposit, refer to the FR Y-9C Glossary entry
for ‘‘deposits.’’
Line Item 16

Equity market capitalization.

Report the equity market capitalization as of December
31. The equity market capitalization for a given day is
defined as the closing share price multiplied by the
number of shares outstanding on that day.
B-3

Schedule B

Line Item 17 Total securities issued.
Report the sum of items 11 through 16. This sum should
reflect all of the securities issued by the banking organization.

B-4

Schedule B

FR Y-15
December 2012

LINE ITEM INSTRUCTIONS FOR

Substitutability Indicators
Schedule C

Payments Activity
Line Item 1

Payments made in the reporting year.

Report the total value of all wholesale cash payments
sent by the banking organization via large value funds
transfer systems, along with the value of all cash payments sent through an agent bank (e.g., using a correspondent or nostro account), over the calendar year in
each indicated currency. Payments should be reported
regardless of purpose, location, or settlement method.
This includes, but is not limited to, cash payments
associated with derivatives, securities financing transactions, and foreign exchange transactions. Do not include
the value of any non-cash items settled in connection
with these transactions. Include cash payments made on
behalf of the reporting entity as well as those made on
behalf of customers (including financial institutions, other
commercial customers, and retail customers). However,
do not include internal payments (i.e., book transfers) or
any other inter-group transactions, (i.e., transactions
made within or between entities within the reporting
group), even if the transactions were initiated through an
external agent (e.g., when a payment is sent to a subsidiary through an external institution). Only include outgoing payments (i.e., exclude payments received). Do not
net any outgoing payment values, even if the transaction
was settled on a net basis. While payment totals should
not be rounded, the level of expected accuracy depends
on the magnitude of the reported value. The leading two
digits must be accurate1 (within rounding) for payment
totals at or above $10 trillion, while only the leading digit
must be accurate for payment totals below $10 trillion. If
precise totals are unavailable, known overestimates may
be reported. The aggregate payments in items 1(a)
1. As an example, a figure between 100,000 and 999,999 would need to
be correct to the nearest 100,000 for the leading digit to be considered
accurate. The figure would need to be correct to the nearest 10,000 for the
two leading digits to be considered accurate.
FR Y-15
Schedule C December 2012

through 1(k) should be converted to U.S. dollars using the
average exchange rate over the reporting period, as
provided by the Bank for International Settlements (BIS)
(www.bis.org/bcbs/gsib).
Line Item 1(a)

Australian dollars (AUD).

Report the U.S dollar equivalent amount of all payments
made in Australian dollars (AUD) over the reporting
period.
Line Item 1(b)

Brazilian real (BRL).

Report the U.S dollar equivalent amount of all payments
made in Brazilian real (BRL) over the reporting period.
Line Item 1(c)

Canadian dollars (CAD).

Report the U.S dollar equivalent amount of all payments
made in Canadian dollars (CAD) over the reporting
period.
Line Item 1(d)

Swiss francs (CHF).

Report the U.S dollar equivalent amount of all payments
made in Swiss francs (CHF) over the reporting period.
Line Item 1(e)

Chinese yuan (CNY).

Report the U.S dollar equivalent amount of all payments
made in Chinese yuan (CNY) over the reporting period.
Line Item 1(f)

Euros (EUR).

Report the U.S dollar equivalent amount of all payments
made in euros (EUR) over the reporting period.
Line Item 1(g)

Pound sterling (GBP).

Report the U.S dollar equivalent amount of all payments
made in pound sterling (GBP) over the reporting period.
C-1

Schedule C

Line Item 1(h)

Hong Kong dollars (HKD).

Report the U.S dollar equivalent amount of all payments
made in Hong Kong dollars (HKD) over the reporting
period.
Line Item 1(i)

Indian rupee (INR).

Report the U.S dollar equivalent amount of all payments
made in Indian rupee (INR) over the reporting period.
Line Item 1(j)

Japanese yen (JPY).

Report the U.S dollar equivalent amount of all payments
made in Japanese yen (JPY) over the reporting period.
Line Item 1(k)

Swedish krona (SEK).

Report the U.S dollar equivalent amount of all payments
made in Swedish krona (SEK) over the reporting period.
Line Item 1(l)

United States dollars (USD).

Report the total value of all payments made in United
States dollars (USD) over the reporting period.
Line Item 1(m)

All currencies not listed above.

Report the U.S dollar equivalent amount of all payments
made over the reporting period using currencies not listed
in items 1(a) through 1(l). The yearly aggregates should
be converted to U.S. dollars using the average exchange
rate for the reporting period. The average exchange rates
should be constructed using a consistent series of exchange
rate quotations.
Line Item 2

Total payments activity.

Report the sum of items 1(a) through 1(m).
Assets Under Custody
Line Item 3 Value of assets held as a custodian on
behalf of customers.
Report the value of all assets, including cross-border
assets, that the banking organization held as a custodian
on behalf of customers, including other financial firms
(i.e., financial institutions other than the reporting group).
Do not include any assets under management or assets
under administration which are not also classified as
assets under custody. Do not include any assets that are
being held by a third-party acting as a sub-custodian. For
the purposes of this report, a custodian is defined as a
C-2

bank or other organization that manages or administers
the custody or safekeeping of stock certificates, debt
securities, or other assets for institutional and private
investors. Refer to the Consolidated Reports of Condition
and Income (FFIEC 031)(Call Report) instructions for
Schedule RC-T, item 11 for a description of custody and
safekeeping accounts.
Underwritten Transactions in Debt and Equity
Markets
Line Item 4

Equity underwriting activity.

Report the total value of all types of underwritten equity
instruments, excluding transactions with subsidiaries
and/or affiliates and self-led transactions. This includes
all types of equity market transactions such as initial
public offerings, additional offerings of common stocks,
units, depositary receipts (e.g., American depositary
receipts (ADRs) and Global depositary receipts (GDRs)),
and rights offerings. Also include equity-linked transactions such as convertible bonds, convertible preferred
bonds, and exchangeable bonds. Include all types of
transactions at all maturities. Do not differentiate transactions between front-end, back-end, and best-effort transactions. Do not differentiate with regard to maturity,
currency, or market of issuance.
Equity securities with embedded derivatives should be
included, while stand-alone derivatives underwriting
should be excluded. With regards to the delineation
between securities with embedded derivatives and standalone derivatives, use the already existing definitions in
GAAP.
The accounting and reporting standards for derivative
instruments, including certain derivative instruments
embedded in other contracts, and for hedging activities
are set forth in Financial Accounting Standards Board
(FASB) Accounting Standards Codification (ASC) Topic
815, Derivatives and Hedging (formerly FASB Statement
No. 133, Accounting for Derivative Instruments and
Hedging Activities, as amended), which banking organizations must follow for purposes of this report. ASC
Topic 815 requires all derivatives to be recognized on the
balance sheet as either assets or liabilities at their fair
value. See ASC Topic 815 for the definition of derivatives.
Contracts that do not in their entirety meet the definition
of a derivative instrument, such as bonds, insurance
policies, and leases, may contain ’’embedded’’ derivative
Schedule C

FR Y-15
December 2012

Schedule C

instruments. Embedded derivatives are implicit or explicit
terms within a contract that affect some or all of the cash
flows or the value of other exchanges required by the
contract in a manner similar to a derivative instrument.
The effect of embedding a derivative instrument in
another type of contract (’’the host contract’’) is that
some or all of the cash flows or other exchanges that
otherwise would be required by the host contract, whether
unconditional or contingent upon the occurrence of a
specified event, will be modified based on one or more of
the underlyings.
Line Item 5

Debt securities with embedded derivatives should also be
included. For more detail on embedded derivatives, refer
to the instructions for item 4.

Debt underwriting activity.

Report the total value of all types of debt instruments
underwritten, excluding intra-group or self-led transac-

FR Y-15
Schedule C

tions. This includes all types of underwriting transactions
relating to debt securities. The value should include both
secured debt instruments (e.g., covered bonds, assetbacked security (ABS) transactions, etc.) and unsecured
debt instruments. Include all types of transactions at all
maturities. Do not differentiate transactions between
front-end, back-end, and best-effort transactions. Do not
differentiate with regard to maturity, currency, or market
of issuance.

December 2012

Line Item 6

Total underwriting activity.

Report the sum of items 4 and 5.

C-3

LINE ITEM INSTRUCTIONS FOR

Complexity Indicators
Schedule D

Notional Amount of Over-the-Counter (OTC)
Derivatives

fluctuations in price. Securities held for trading purposes
must be reported at fair value.

Line Item 1 OTC derivatives cleared through a
central counterparty.

All values reported should be at the reporting date and
provided on a gross long basis (i.e., short positions
should not be netted against long positions). For more
information on trading securities, refer to ASC Topic
320, Investments - Debt and Equity Securities, and the
FR Y-9C Glossary entry for ‘‘securities activities.’’

Report the notional amount outstanding of OTC derivative positions which were cleared through a central
counterparty. Include all types of risk categories and
instruments (e.g., foreign exchange, interest rate, equity,
commodities, and credit default swaps (CDS)). For more
information on derivatives, refer to ASC Topic 815,
Derivatives and Hedging, and the FR Y-9C Glossary
entry for ‘‘derivative contracts.’’
Line Item 2

OTC derivatives settled bilaterally.

Report the notional amount outstanding of OTC derivative positions which were settled bilaterally (i.e., without
the use of a central counterparty). Include all types of risk
categories and instruments (e.g., foreign exchange, interest rate, equity, commodities, and CDS). For more information on derivatives, refer to ASC Topic 815, Derivatives and Hedging, and the FR Y-9C Glossary entry for
‘‘derivative contracts.’’
Line Item 3
derivatives.

Total notional amount of OTC

Report the sum of items 1 and 2.
Trading and Available-for-sale (AFS) Securities.
Line Item 4

Trading securities.

Report the value of all securities classified as trading,
which includes any securities for which the fair value
option is elected. Securities that are intended to be held
principally for the purpose of selling them in the near
term should be classified as trading assets. Trading
activity includes active and frequent buying and selling
of securities for the purpose of generating profits on
short-term
FR Y-15
Schedule D December 2012

Line Item 4(a) Securities in item 4 for which the
fair value option is elected.
Report the value of all securities for which the fair value
option (FVO) is elected that are included in item 4.
Banking organizations may elect to report securities at
fair value in accordance with FASB ASC Subtopic
825-10, Financial Instruments - Overall (formerly FASB
Statement No. 159, The Fair Value Option for Financial
Assets and Financial Liabilities). In general, the fair
value option may be elected for an individual security
only when it is first recognized and the election is
irrevocable. All values reported should be at the reporting date and provided on a gross long basis (i.e., short
positions should not be netted against long positions).
Line Item 5

AFS securities.

Report the value of all securities classified as AFS (as
defined in the FR Y-9C, Schedule HC, item 2(b)). All
securities not categorized as trading securities, or held-tomaturity (HTM) should be reported as AFS. All values
reported should be at the reporting date and provided on a
gross long basis (i.e., short positions should not be netted
against long positions). For more information on AFS
securities, refer to ASC Topic 320, Investments - Debt
and Equity Securities, and the FR Y-9C Glossary entry
for ‘‘securities activities.’’
Line Item 6

Value of trading and AFS securities.

Report the sum of items 4 and 5.
D-1

Schedule D

Line Item 7

Total stock of Level 1 assets.

Report the total stock (i.e., value) of Level 1 assets as
provided in the ‘‘LCR’’ worksheet of the Basel III
implementation monitoring reporting template. For more
information on Level 1 assets, refer to the July Instructions for Basel III implementation monitoring, available
at www.bis.org/bcbs/qis/.
Line Item 7(a) Securities in item 7 that are
trading or AFS securities.
Report the amount of Level 1 assets that are designated
as trading or AFS securities. This value should be a
subset of item 7.
Line Item 8

Total stock of Level 2 assets.

Report the total stock (i.e., value) of Level 2 assets as
provided in the ‘‘LCR’’ worksheet of the Basel III
implementation monitoring reporting template. For more
information on Level 2 assets, refer to the July Instructions for Basel III implementation monitoring, available
at www.bis.org/bcbs/qis/.
Line Item 8(a) Securities in item 8 that are
trading or AFS securities.
Report the amount of Level 2 assets that are designated
as trading or AFS securities. This value should be a
subset of item 8.
Line Item 9 Adjustment to stock of high quality
liquid assets (HQLA) due to cap on Level 2 assets.
Report the adjustment to the stock (i.e., value) of HQLA
due to the cap on Level 2 assets as provided in the
‘‘LCR’’ worksheet of the Basel III implementation monitoring reporting template. For more information on the
adjustment to stock of HQLA due to the cap on Level 2
assets, refer to the July Instructions for Basel III implementation monitoring, available at www.bis.org/bcbs/
qis/.
Line Item 9(a) Amount of item 9 attributable to
Trading and AFS securities.
This item is calculated by first taking item 9 and dividing
it by the sum of items 7 and 8. This value should then be
multiplied by the sum of items 7(a) and 8(a).

D-2

Line Item 10 Total value of trading and AFS
securities less HQLA.
Report the value of item 6 minus item 9(a).
Line Item 11

Held-to-maturity securities.

Report the value of all securities classified as held-tomaturity (HTM) (as defined in the FR Y-9C, Schedule
HC, item 2(a)). This item includes all debt securities that
an institution has the positive intent and ability to hold to
maturity. For more information on HTM securities, refer
to ASC Topic 320, Investments – Debt and Equity
Securities, and the FR Y-9C Glossary entry for ‘‘securities activities.’’
Level 3 Assets
Line Item 12 Assets valued using Level 3
measurement inputs.
Report the value of all assets that are priced on a
recurring basis using Level 3 measurement inputs. ASC
Topic 820, Fair Value Measurement, established a threelevel fair value hierarchy that prioritizes inputs used to
measure fair value based on observability. Level 3 fair
value measurement inputs, while not readily observable
in the market, are used to develop an exit price for the
asset (or liability) from the perspective of a market
participant. Therefore, Level 3 fair value measurement
inputs should reflect the banking organization’s own
assumptions about the assumptions that a market participant would use in pricing an asset (or liability) and
should be based on the best information available under
the given circumstances.
The level in the fair value hierarchy within which the fair
value measurement is categorized is determined on the
basis of the lowest level input that is significant to the fair
value measurement in its entirety. If a fair value measurement uses observable inputs that require significant
adjustment based on unobservable inputs, then this is
considered a Level 3 measurement. For more information, refer to the FR Y-9C Glossary entry for ‘‘fair
value.’’

Schedule D

FR Y-15
December 2012

LINE ITEM INSTRUCTIONS FOR

Cross-Jurisdictional Activity Indicators
Schedule E

Cross-Jurisdictional Claims
Line Item 1
risk basis.

Total foreign claims on an ultimate

Report the value of all claims over all sectors that, on an
ultimate-risk basis, are cross-border claims on non-local
residents or foreign-office claims on local residents (see
FFIEC 009, Schedule 1, Columns 15 through 20). For
definitions, refer to the instructions for preparation of the
FFIEC 009.

instructions for preparation of the FFIEC 009 and the
TIC B Reports.
Line Item 2(a) Any foreign liabilities to related
offices included in item 2.
Report the value of any liabilities included in item 2 that
are to the banking organization’s own foreign offices (see
TIC BL-1, Column 8, and the liabilities to related offices
reported as part of TIC BQ-2, Columns 1 and 2). For
definitions, refer to the instructions for preparation of the
TIC B Reports.

Cross-Jurisdictional Liabilities

Line Item 3

Line Item 2 Foreign liabilities (excluding local
liabilities in local currency).

Report the value of all foreign-office liabilities in local
currency (see FFIEC 009, Schedule 1a, Column 2). For
definitions, refer to the instructions for the preparation of
the FFIEC 009.

Report the sum of all foreign-office liabilities in nonlocal currency, all U.S. dollar liabilities to foreignresidents, and all foreign currency liabilities to foreigners
(see FFIEC 009, Schedule 1a, Column 1; The Treasury
International Capital (TIC) BL-1, Column 7; and, TIC
BQ-2, Columns 1 and 2). For definitions, refer to the

FR Y-15
Schedule E December 2012

Line Item 4

Local liabilities in local currency.

Total cross-jurisdictional liabilities.

Report the sum of items 2 and 3 minus item 2(a).

E-1

LINE ITEM INSTRUCTIONS FOR

Ancillary Indicators
Schedule F

Ancillary Indicators

Line Item 5

Line Item 1

Report the total gross revenue, which is defined as the
sum of interest income and noninterest income (FR
Y-9C, Schedule HI, item 1(h) plus item 5(m)).

Total liabilities.

Report total liabilities (as defined in the FR Y-9C Schedule HC, item 21).

Line Item 6
Line Item 2

Retail funding.

Report total deposits less the sum of (i) deposits from
depository institutions, (ii) deposits from central banks,
and (iii) certificates of deposit not held by retail customers or small businesses. For more information on deposits, see the FR Y-9C Glossary entry for ‘‘deposits.’’
Line Item 3

Total net revenue.

Report total net revenue. Total net revenue is defined as
the sum of interest income plus noninterest income minus
interest expense (FR Y-9C, Schedule HI, item 1(h) plus
item 5(m) minus item 2(f)).
Line Item 4

Foreign net revenue.

Report the net revenue from all foreign offices. For
purposes of this report, a foreign office of a reporting
banking organization is a branch or consolidated subsidiary located outside of the organization’s home country
(i.e., the country where the banking organization is
headquartered); an Edge or Agreement subsidiary, including both its U.S. and its foreign offices; or an International Banking Facility (IBF). Branches or consolidated
subsidiaries located in territories or possessions of the
home country are considered foreign offices. Branches of
bank subsidiaries located on military facilities belonging
to the home country, wherever located, are not considered foreign offices. For more information on Edge or
Agreement subsidiaries and on IBFs, refer to the FR
Y-9C Glossary entries for ‘‘Edge and Agreement corporation’’ and ‘‘International Banking Facility (IBF),’’
respectively.
FR Y-15
Schedule F December 2012

Total gross revenue.

Peak equity market capitalization.

Report the peak equity market capitalization over the
reporting period. The peak equity market capitalization
for a given day is defined as the closing share price
multiplied by the number of shares outstanding on that
day.
Line Item 7 Gross value of cash lent and gross
fair value of securities lent in securities financing
transactions.
Report the gross value of all cash lent and the gross fair
value of all securities lent in securities financing transactions. The reported value should not include any counterparty netting and should only represent transactions
completed by the banking organization on its own behalf.
Do not include any conduit lending transactions.
Line Item 8 Gross value of cash borrowed and
gross fair value of securities borrowed in securities
financing transactions.
Report the gross value of all cash borrowed and the gross
fair value of all securities borrowed in securities financing transactions. The reported value should not include
any counterparty netting and should only represent transactions completed by the banking organization on its own
behalf. Do not include any conduit lending transactions.
Line Item 9 Gross positive fair value of over-thecounter (OTC) derivative transactions.
Report the gross positive fair value of all OTC derivative
transactions. The reported value should not include any
counterparty netting.
F-1

Schedule F

Line Item 10 Gross negative fair value of OTC
derivative transactions.
Report the gross negative fair value of all OTC derivative
transactions. The reported value should not include any
counterparty netting.
Line Item 11
provided.

Unsecured settlement/clearing lines

Report the total amount of committed, unsecured intraday credit lines extended to the banking organization’s

F-2

customers. This should include, but is not limited to,
lines extended for cash overdrafts, securities clearing,
and transaction lines (e.g., FX settlement limits).
Line Item 12

Number of jurisdictions.

Report the number of countries, including the home
jurisdiction, where the banking organization has either a
branch or a subsidiary. The jurisdiction should be determined using the physical address of the branch or
subsidiary.

Schedule F

FR Y-15
December 2012