Form FR Y-14Q FR Y-14Q Operational Risk

Capital Assessment and Stress Testing

FR_Y-14Q_Instructions

Operational Risk - Quarterly

OMB: 7100-0341

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OMB No. 7100-0341
Expiration Date: October 31, 2015

Instructions for the
Capital Assessments and Stress Testing information collection
(Reporting Form FR Y-14Q)

This Report is required by law: section 165 of the Dodd-Frank Act (12 U.S.C. § 5365) and section 5 of the Bank Holding
Company Act (12 U.S.C. § 1844). Public reporting burden for this information collection is estimated to vary from 9 to
1,926 hours per response, with an average of 243 hours per response, including time to gather and maintain data in the
required form and to review instructions and complete the information collection. Comments regarding this burden
estimate or any other aspect of this information collection, including suggestions for reducing the burden, may be sent
to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, and to
the Office of Management and Budget, Paperwork Reduction Project (7100-0341), Washington, DC 20503.

Contents
GENERAL INSTRUCTIONS ........................................................................................................................................................ 4
WHO MUST REPORT ................................................................................................................................................................................... 4
WHERE TO SUBMIT THE REPORTS ................................................................................................................................................................... 5
WHEN TO SUBMIT THE REPORTS .................................................................................................................................................................... 5
HOW TO PREPARE THE REPORTS: ................................................................................................................................................................... 7

Schedule A – Retail.................................................................................................................................................................. 9
A.1 – INTERNATIONAL AUTO LOAN................................................................................................................................................................ 9
A.2 – US AUTO LOAN ............................................................................................................................................................................... 13
A.3 – INTERNATIONAL CREDIT CARD ............................................................................................................................................................ 18
A.4 – INTERNATIONAL HOME EQUITY .......................................................................................................................................................... 22
A.5 – INTERNATIONAL FIRST LIEN MORTGAGE ............................................................................................................................................... 27
A.6 – INTERNATIONAL OTHER CONSUMER SCHEDULE ..................................................................................................................................... 31
A.7 – US OTHER CONSUMER ..................................................................................................................................................................... 35
A.8 – INTERNATIONAL SMALL BUSINESS ....................................................................................................................................................... 39
A.9 – US SMALL BUSINESS ........................................................................................................................................................................ 43
A.10 – STUDENT LOAN ............................................................................................................................................................................. 47

Schedule B—Securities ......................................................................................................................................................... 52
B.1—SECURITIES 1 .................................................................................................................................................................................. 52
B.2—SECURITIES 2 .................................................................................................................................................................................. 55

Schedule C—Regulatory Capital Instruments ....................................................................................................................... 56
C.1—REGULATORY CAPITAL INSTRUMENTS AS OF QUARTER END ...................................................................................................................... 56
C.2—REGULATORY CAPITAL INSTRUMENT REPURCHASES/REDEMPTIONS DURING QUARTER.................................................................................. 57
C.3 – REGULATORY CAPITAL INSTRUMENTS ISSUANCES DURING QUARTER .......................................................................................................... 58

Schedule D—Regulatory Capital Transitions ........................................................................................................................ 61
D.1—CAPITAL COMPOSITION..................................................................................................................................................................... 63
D.2—EXCEPTION BUCKET CALCULATOR ....................................................................................................................................................... 72
D.3—RISK-WEIGHTED ASSETS – ADVANCED................................................................................................................................................. 74
D.4—RISK-WEIGHTED ASSETS – GENERAL ................................................................................................................................................... 79
D.5—LEVERAGE EXPOSURE ....................................................................................................................................................................... 83
D.6—PLANNED ACTIONS .......................................................................................................................................................................... 85

Schedule E—Operational Risk ............................................................................................................................................... 87
E.1—OPERATIONAL LOSS HISTORY .............................................................................................................................................................. 87
E.2—LEGAL RESERVES FREQUENCY ............................................................................................................................................................. 87

Schedule F—Trading ............................................................................................................................................................. 98
GLOSSARY ............................................................................................................................................................................................. 100
REGIONAL GROUPINGS ............................................................................................................................................................................ 102
F.1—EQUITY BY GEOGRAPHY ................................................................................................................................................................... 104
F.2—EQUITY SPOT-VOL GRID .................................................................................................................................................................. 105
F.3—OTHER EQUITY .............................................................................................................................................................................. 106
F.4—FX SPOT SENSITIVITIES .................................................................................................................................................................... 107
F.5—FX VEGA ...................................................................................................................................................................................... 108
F.6—RATES DV01 ................................................................................................................................................................................ 109
F.7—RATES VEGA.................................................................................................................................................................................. 111
F.8—OTHER RATES ................................................................................................................................................................................ 112
F.9—ENERGY........................................................................................................................................................................................ 113

F.10—METALS ..................................................................................................................................................................................... 114
F.11—AGS & SOFTS .............................................................................................................................................................................. 115
F.12—COMMODITY INDICES.................................................................................................................................................................... 116
F.13—COMMODITY SPOT-VOL GRIDS ....................................................................................................................................................... 117
F.14—SECURITIZED PRODUCTS ................................................................................................................................................................ 119
F.15—AGENCIES ................................................................................................................................................................................... 120
F.16—MUNIS ....................................................................................................................................................................................... 121
F.17—AUCTION RATE SECURITIES (ARS) ................................................................................................................................................... 122
F.18—CORPORATE CREDIT-ADVANCED ..................................................................................................................................................... 123
F.19—CORPORATE CREDIT-EMERGING MARKETS ........................................................................................................................................ 125
F.20—SOVEREIGN CREDIT....................................................................................................................................................................... 127
F.21—CREDIT CORRELATION ................................................................................................................................................................... 129
F.22—IDR-CORPORATE CREDIT ............................................................................................................................................................... 130
F.23—IDR-JUMP TO DEFAULT ................................................................................................................................................................. 132
F.24—PRIVATE EQUITY .......................................................................................................................................................................... 133
F.25—OTHER FAIR VALUE ASSETS ............................................................................................................................................................ 134

Schedule G—PPNR .............................................................................................................................................................. 135
G.1—PPNR SUBMISSION WORKSHEET ..................................................................................................................................................... 138
G.2—PPNR NET INTEREST INCOME (NII) WORKSHEET ................................................................................................................................ 151
G.3—PPNR METRICS ............................................................................................................................................................................ 158

Schedule H—Wholesale Risk .............................................................................................................................................. 170
H.1 - CORPORATE LOAN DATA SCHEDULE .................................................................................................................................................. 170
H.2 – COMMERCIAL REAL ESTATE SCHEDULE ............................................................................................................................................. 202

Schedule I –MSR Valuation Schedule.................................................................................................................................. 227
Schedule J – Retail Fair Value Option/Held for Sale (FVO/HFS) .......................................................................................... 230
Schedule K - Supplemental ................................................................................................................................................. 234
Appendix A: FR Y-14Q Supporting Documentation ........................................................................................................... 237
SUPPORTING DOCUMENTATION FOR SCHEDULE C – REGULATORY CAPITAL INSTRUMENTS .................................................................................... 237
SUPPORTING DOCUMENTATION FOR SCHEDULE D – REGULATORY CAPITAL TRANSITIONS ..................................................................................... 237

INSTRUCTIONS FOR PREPARATION OF
Capital Assessments and Stress Testing Report
FR Y-14Q
GENERAL INSTRUCTIONS
The Capital Assessments and Stress Testing Report (FR Y-14Q report) collects detailed data on bank holding
companies’ (BHCs) various asset classes, capital components, and categories of pre-provision net revenue (PPNR)
on a quarterly basis, which will be used to support supervisory stress testing models and for continuous
monitoring efforts.
The FR Y-14Q report is comprised of Retail, Securities, Regulatory Capital Instruments, Basel III/Dodd-Frank,
Operational, Trading, PPNR, Wholesale, MSR Valuation Schedule, Retail Fair Value Option/Held for Sale, and
Supplemental schedules, each with multiple supporting worksheets. All of the data schedules are to be submitted
for each reporting period unless materiality thresholds apply. The number of schedules a BHC must complete is
subject to materiality thresholds and certain other criteria.
BHCs may also be required to submit qualitative information supporting their projections, including descriptions
of the methodologies used to develop the internal projections of capital across scenarios and other analyses that
support their comprehensive capital plans. Further information regarding the qualitative and technical
requirements of required supporting documentation is provided in individual schedules as appropriate, as well
as in the Supporting Documentation instructions (Appendix A).
Who Must Report
A. Reporting Criteria
Bank holding companies (BHCs) with total consolidated assets of $50 billion or more, as defined by the capital
plan rule (12 CFR 225.8), are required to submit the Capital Assessment and Stress Testing report (FR Y14A/Q/M) to the Federal Reserve. The capital plan rule defines total consolidated assets as the average of the
company’s total consolidated assets over the course of the previous four calendar quarters, as reflected on the
BHC’s Consolidated Financial Statement for Bank Holding Companies (FR Y–9C). Total assets shall be
calculated based on the due date of the bank holding company’s most recent FR Y–9C. If the BHC has not filed
an FR Y-9C for each of the four most recent quarters, the average of the BHC’s total consolidated assets in the
most recent consecutive quarters as reported quarterly on the BHC’s FR Y-9C should be used in the calculation.
Certain data elements within the schedules are subject to materiality thresholds. The instructions to these data
schedules provide details on how to determine whether a BHC must submit a specific schedule, worksheet, or
data element.
All schedules are required to be reported by all BHCs with exceptions as described below:
PPNR, Basel III/Dodd-Frank and Regulatory Capital Instruments schedules: All bank holding companies
must submit these schedules.
Trading schedule: Only BHCs with greater than $500 billion in total consolidated assets who are subject to the
amended market risk rule (12 CFR Parts 208, Appendix E and 225 Appendix E) must submit this schedule and
worksheets.
All other quarterly schedules: Reporting of the remaining schedules is subject to materiality thresholds.
Material portfolios are defined as those with asset balances greater than five billion or asset balances greater
than five percent of Tier 1 capital on average for the four quarters preceding the reporting quarter. For
schedules that require the institutions to report information on serviced loans, the materiality threshold is
based on the asset balances associated with the BHC’s owned portfolio. All data used to determine materiality
should be measured as of the close of business of the last calendar day of the quarter, and assets included in a

given portfolio are defined in the instructions for each schedule.
BHCs also have the option to complete the data schedules for immaterial portfolios. If the BHC does not
complete the schedules, the Federal Reserve will assign losses to immaterial portfolios in a manner consistent
with the given scenario to produce supervisory estimates
New Reporters: New reporters must submit the FRY-14Q PPNR new reports template with data starting as-of
2009 on the first quarter that they are subject to reporting. New reporters must also submit historical data,
starting in January 2007, for the FR Y-14Q retail schedules.
B. Exemptions
BHCs that do not meet the reporting criteria listed above are exempt from reporting. The following institutions
are also exempt:
BHCs, savings and loan holding companies (SLHCs) and state member banks (SMBs) with average total
consolidated assets of greater than $10 billion but less than $50 billion subject to the final rule on annual
company-run stress tests (12 CFR 252(h)) are not required to file this report. However, institutions meeting this
threshold should review the reporting requirements and instructions for the Annual Company-Run Stress Test
Projections (FR Y-16) on the Board’s public website.
SLHCs are currently not required to comply with FR Y-14 reporting requirements. Further information regarding
reporting for SLHCs will be provided in the future.1
Where to Submit the Reports
All BHCs subject to these reporting requirements must submit completed reports electronically via the
IntraLinks website. BHCs will be provided information on how to transmit data to the FR Y-14 IntraLinks
Collaboration website. Requests for access to the Intralinks site should be sent to [email protected].
For requirements regarding the submission of qualitative supporting information, please see the Technical
Instructions and Supporting Documentation Instructions, in addition to instructions associated with each
schedule for which supporting documentation might be required.
When to Submit the Reports
BHCs must file the FR Y-14Q schedules quarterly according to the appropriate time schedule described below.
All schedules will be due on or before the end of the submission date (unless that day falls on a weekend or
holiday (subject to timely filing provisions)).

SLHCs would not be subject to Dodd-Frank annual company-run stress testing requirements until the next
calendar year after the SLHCs become subject to regulatory capital requirements.
1

Risk Factor
Schedules and SubWorksheets

Data as-of-date

Submission due
to Federal Reserve

FR Y-14Q (Quarterly Filings)
Securities Risk schedule
PPNR schedule
Retail Risk schedule
Wholesale Risk schedule
Operational Risk schedule
MSR Valuation schedule
Supplemental schedule
Retail FVO/HFS schedule
Regulatory Capital
Transitions schedule
Regulatory Capital
Instruments schedule

Data as-of each calendar
quarter end.

Due to the CCAR Market
Shock exercise, the as-ofdate for the third quarter
would be communicated in
the subsequent quarter.

Trading Risk schedule

For all other quarters, the
as-of date would be the
last day of the quarter,
except for BHCs that are
required to re-submit their
capital plan.
For these BHCs, the as-of
date for the quarter
preceding the quarter in
which they are required to
re-submit a capital plan
would be communicated to
the BHCs during the
subsequent quarter.

Same as FR Y-9C reporting
schedule: Reported data (47
calendar days after the
calendar quarter-end for
March, June, and September
and 52 calendar days after the
calendar quarter-end for
December).
The data would be due 47
calendar days after the
notification date (notifying
respondents of the as-of-date)
or, for the 3rd quarter data,
December 15, whichever
comes earlier. BHCs may
provide these data as-of the
most recent date that
corresponds to their weekly
internal risk reporting cycle as
long as it falls before the as-ofdate.
In addition, for BHCs that are
required to re-submit a capital
plan, the due date for the
quarter pre-ceding the quarter
in which the BHCs are
required to re-submit a capital
plan would be the later of (1)
the normal due date or (2) the
date that the re-submitted
capital plan is due, including
any extensions.

If the submission date falls on a weekend or holiday, the data must be received on the first business day after the
weekend or holiday. No other extensions of time for submitting reports will be granted. Early submission,
including submission of schedules on a flow basis prior to the due date, aids the Federal Reserve in reviewing and
processing data and is encouraged.
New Reporters: For the FR Y-14Q schedules, the filing deadline will be extended to (1) 90 days after the quarterend for the first two quarterly submissions and (2) 65 days after the quarter-end for the third and fourth quarterly
submissions. Beginning with the fifth quarterly submission, these respondents will be required to adhere to the
standard reporting deadlines above.

How to Prepare the Reports:
A.
Applicability of GAAP
BHCs are required to prepare and file the FR Y-14Q schedules in accordance with generally accepted accounting
principles (GAAP) and these instructions. The financial records of the BHCs should be maintained in such a manner
and scope to ensure the FR Y-14Q is prepared in accordance with these instructions and reflects a fair presentation
of the BHCs' financial condition and assessment of performance under stressed scenarios.
Rules of Consolidation
B.
Please reference the FR Y-9C General Instructions for a discussion regarding the rules of consolidation.
C.
Technical Details
The following instructions apply generally to the FR Y-14Q schedules, unless otherwise specified. For further
information on the technical specifications for this report, please see the Technical Instructions.
•
Do not enter any information in gray highlighted or shaded cells, including those with embedded formulas.
Only non-shaded cells should be completed by institutions.
•
Ensure that any internal consistency checks are complete prior to submission.
•
Report dollar values in millions of US dollars (unless specified otherwise).
•
Dates should be entered in an YYYYMMDD format (unless otherwise indicated).
•
Report negative numbers with a minus (-) sign.
•
An amount, zero or null should be entered for all items, except in those cases where other options such as
“not available” or “other” are specified. If information is not available or not applicable and no such options
are offered, the field should be left blank.
•
Report income and loss data on a quarterly basis, and not on a cumulative or year‐to‐date basis.
D. Other Instructional Guidance
BHCs should review the following published documents (in the order listed below) when determining the precise
definition to be used in completing the schedules. Where applicable, references to the FR Y-9C have been provided in
the instructions and templates noting associations between the reporting series.
1)
2)
3)

The FR Y-14A instructions;
The FR Y-14M instructions;
The latest available FR Y-9C instructions published on the Federal Reserve’s public web site:
http://www.federalreserve.gov/reportforms;

For purposes of completing certain FR Y-14Q schedules, BHCs should also consult the following references for
relevant guidance:


CapPR 2013 Instructions available at:
http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20121109b2.pdf



CCAR 2013 Instructions available at:
http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20121109b1.pdf

E. Confidentiality
As these data will be collected as part of the supervisory process, they are subject to confidential treatment under
exemption 8 of the Freedom of Information Act. 5 U.S.C. 552(b)(8). In addition, commercial and financial
information contained in these information collections may be exempt from disclosure under Exemption 4.5 U.S.C.
552(b)(4). Disclosure determinations would be made on a case-by-case basis.
F. Legal Considerations for International Exposures
A BHC is not required to report a particular data item if a foreign law prohibits the BHC from providing the
information to the Federal Reserve. However, the Federal Reserve is authorized by law to collect information from

a BHC regarding its exposures, including foreign exposures.
A BHC must include with its data submission a legal analysis of the foreign law that prohibits reporting the data to
the Federal Reserve. The legal analysis must include, but is not limited to, a detailed description of the law(s)
prohibiting the reporting of the information to the Federal Reserve, a summary description of the exposures
omitted, any other information the BHC deems relevant to justify omitting the data, and any additional information
required by the Federal Reserve.
G. Amended Reports
The Federal Reserve will require the filing of amended reports if previous submissions contain significant errors. In
addition, a reporting institution must file an amended report when it or the Federal Reserve discovers significant
errors or omissions subsequent to submission of a report. Failure to file amended reports on a timely basis may
subject the institution to supervisory action.
If resubmissions are required, institutions should contact the appropriate Reserve Bank, as well as the FR Y-14
mailbox at [email protected], and resubmit data via the Intralinks website.
H. Questions and Requests for Interpretations
BHCs should submit any questions or requests for interpretations by e-mail to [email protected].

Schedule A – Retail
A.1 – International Auto Loan
This section provides general guidance and data definitions for the International Auto Loan
Worksheet. In this worksheet, include international (not US or US territories and possessions) auto
loans as defined in the FR Y-9C, Schedule HC-C, item 6.c and international auto leases as defined in
the FR Y-9C, Schedule HC-C, item 10.a. For Summary Variable line items #10 & #11 include all
repossessed international auto loans as defined in the FR Y-9C, Schedule HC-F, item 6. Include only
“managed” (securitized or non-securitized) loans, where “managed” refers to loans originated by
the BHC, including securitized loans put back on the books due to ASC Topics 860 and 810 (FAS
166/167). Do not include loans that were originated by a third party and only serviced by the BHC.
For the US Auto Loan Worksheet, see instructions for Worksheet 2.
Segment the portfolio along all combinations of the segment variables listed in Section A below.
There are three product type segments, three original FICO score or equivalent segments, six
delinquency status segments, and four geography segments; therefore, the portfolio must be
divided into a total of 3*3*6*4 = 216 distinct segments. Each segment should be identified by a
unique eight-digit segment ID (variable name: SEGMENT_ID) based on the segment ID positions
and attribute codes listed in Table A.1.a. For example, the segment containing new auto loans
(product type segment “01”) that had an origination FICO score or equivalent of greater than 620
(origination FICO score or equivalent “02”), are 120+ DPD (delinquency status segment “06”), and
where the borrowers reside in the Asia Pacific region (geography segment “04”) should be
identified by the segment ID “01020604”. When reporting the segment ID, do not drop leading
zeroes.
For each month in the required reporting period, report the summary variables listed below in
Section B for each of the 216 portfolio segments described above. First time filers must submit all
data for each month from January 2007 to the end of the current reporting period; returning filers
must submit all data for each month in the current reporting period.
Start each row of data with your BHC name (Variable name: BHC_NAME), your RSSD ID number
(Variable name: RSSD_ID), the reporting month (Variable name: REPORTING_MONTH), and the
portfolio ID (Variable name: PORTFOLIO_ID) and segment ID (variable name: SEGMENT_ID). Use
the portfolio ID “IntAuto” for this worksheet. For each row, populate the segment variables listed
in Table A.1.a and the summary variables listed in Table A.1.b. Provide all dollar amounts in
millions.
Detailed instructions on how to submit the data will be provided separately.
Note: For Basel II Summary Variable line items (items 20-23) use the loan level Basel II parameters
for all accounts in a specific segment and calculate the account weighted average. Each month’s
parameters need to be calculated specific to that month.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For eah resulting
segment, report the summary variables described in Section B.
1. Product type – Segment the portfolio into the following product types.
01 - New auto loans
02 - Used auto loans
03 - Auto leases
2. Original FICO score or equivalent – Segment the portfolio by original FICO score or
equivalent. Original FICO or equivalent should be the credit score upon which the original

underwriting decision was based. If the bank does not have original FICO scores, map the
internal score or other bureau score used to the equivalent FICO score. Segment the
portfolio into the following three categories:
01 - <=620
02 - >620
03 - N/A – Original FICO or equivalent score is missing or unknown
3. Delinquency status - Segment the portfolio into the following six delinquency statuses:
01 - Current: Accounts that are not past due (accruing and non-accruing) as of monthend.
02 - 1-29 days past due (DPD): Accounts that are 1 to 29 days past due (accruing and
non-accruing) as of month-end.
03 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing) as
of month-end.
04 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing) as
of month-end.
05 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and non-accruing)
as of month-end.
06 - 120+ DPD: Accounts that are 120 or more days past due (accruing and nonaccruing) as of month-end.
4. Geography –Segment the portfolio into the following four geographical area
designations. The borrower’s current place of residency should be used to define the
region.
01 - Canada
02 - EMEA—Europe, Middle East, and Africa
03 - LATAM—Latin America and Caribbean
04 - APAC—Asia Pacific
B. Summary Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A. When calculating account numbers or balances, do not
include accounts which have been fully or partially charged off as of month-end unless
otherwise specified.
1. # Accounts – Total number of accounts on the book for the segment as of month-end.
2. $ Outstandings – Total unpaid principal balance for accounts on the book for the
segment reported as of month-end.
3. # New accounts – The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end.
4. $ New accounts – The total dollar amount of new accounts originated (or purchased) in
the given month for the segment as of month-end.
5. $ Vehicle type car/van – The unpaid principal balance in the portfolio with vehicle type
classified as “car/van” for the segment as of month-end.
6. $ Vehicle type SUV/truck – The unpaid principal balance in the portfolio with vehicle
type classified as “SUV/truck” for the segment as of month-end.
7. $ Vehicle type sport/luxury/convertible – The unpaid principal balance in the

portfolio with vehicle type classified as “sport/luxury/convertible” for the segment as of
month-end.
8. $ Vehicle type unknown – The unpaid principal balance in the portfolio with vehicle
type classified as “unknown” for the segment as of month-end.
9. $ Repossession – The unpaid principal balance of loans with repossessed vehicles for
the segment as of month-end.
10. $ Current month repossession – The unpaid principal balance of loans with vehicles
newly repossessed in the given month for the segment as of month-end.
11. $ Gross contractual charge-offs – The total unpaid principal balance of loans in the
segment that was contractually or otherwise (excluding bankruptcy) charged off during
the month, as of month-end. Do not include interest and fees. For the Delinquency
Status segment, categorize charge-offs by their delinquency status at charge-off. Include
all partial charge-off accounts (i.e., taken at re-possession, death of the borrower, etc.,
excluding bankruptcy).
12. $ Bankruptcy charge-offs – The total unpaid principal balance of loans in the segment
that was charged off due to bankruptcy during the month, as of month-end. Do not
include interest and fees. For the Delinquency Status segment, categorize charge-offs by
their delinquency status at charge-off.
13. $ Recoveries – The total dollar amount of any recovery collected during the month
from previously charged-off accounts for the segment, as of month-end. For the
Delinquency Status segment, categorize recoveries by their delinquency status at
charge-off. Report recoveries as a positive number. Recovery includes payments,
credits and proceeds from sale / disposition of the collateral.
14. $ Net charge-offs – The total unpaid principal balance for the segment that was
charged-off in the reference month, net of any recoveries in the reference month. Report
principal charge-offs only, not interest and fees. Generally, $ net charge-offs should
equal [$ gross contractual charge-offs + $ bankruptcy charge-offs - $ recoveries].
15. Adjustment factor to reconcile $ gross contractual charge-offs to $ net charge-offs
If it is not the case that $ net charge-offs equals [$ gross contractual charge-offs + $
bankruptcy charge-offs - $ recoveries], provide the value of $ net charge-offs minus [$
gross contractual charge-offs + $ bankruptcy charge-offs - $ recoveries] in this variable.
As a separate document included in the submission, provide an explanation for such a
difference (for example, fraud losses are also include in the BHC’s $ net charge-offs
variable). If the adjustment factor variable represents more than one factor leading to
the difference, provide a separate breakout of the multiple factors.
16. $ Ever 30DPD in the last 12 months – The total unpaid principal balance for the
segment as of month-end that was 30 or more days past due at any given time in the
twelve months ending in the reference month.
17. $ Ever 60DPD in the last 12 months – The total unpaid principal balance for the
segment as of month-end that was 60 or more days past due at any given time in the
twelve months ending in the reference month.
18. Projected value – Total projected value of lease at termination. Only calculated for
leased vehicles.

19. Actual sale proceeds – Sales proceeds from terminated leases. Only calculated for
leased vehicles.
20. Basel II Probability of Default (PD) - Report the average Basel II Probability of Default
(PD) for accounts within the segment. More specifically, use the PD associated with each
account’s corresponding Basel II segment and then calculate the account weighted
average PD of all the accounts in this specific Y-14Q segment. Note: Applicable only to the
Basel II reporting banks. A one in ten probability of default should be reported as 0.1.
21. Basel II Loss Given Default (LGD) - Report the Basel II Loss Given Default (LGD) for
accounts within the segment. More specifically, use the LGD associated with each
account’s corresponding Basel II segment and then calculate the account weighted
average LGD of all the accounts in this specific Y-14Q segment. Note: Applicable only to
the Basel II reporting banks. A ninety percent loss given default should be reported as
0.9.
22. Basel II Expected Loss Given Default (ELGD) - Report the Basel II Expected Loss Given
Default (ELGD) parameter for accounts within the segment. More specifically, use the
ELGD associated with each account’s corresponding Basel II segment and then calculate
the account weighted average ELGD of all the accounts in this specific Y-14Q segment.
Missing or unavailable values should be reported as null. Note: Applicable only to the
Basel II reporting banks. A ninety percent expected loss given default should be reported
as 0.9.
23. Basel II Exposure at Default (EAD) - Report the Basel II dollar Exposure at Default
(EAD) for account within the segment. More specifically, report the EAD associated with
each account’s corresponding Basel II segment and then calculate the account weighted
average EAD of all the accounts in this specific Y-14Q segment. Note: Applicable only to
the Basel II reporting banks. This item is required for BHC-owned loans only

A.2 – US Auto Loan
This section provides general guidance and data definitions for the US Auto Loan
Worksheet. For the International Auto Loan Worksheet, see the instructions for Worksheet
1. In this worksheet, include all domestic auto loans as defined in the FR Y-9C, Schedule
HC-C, item 6.c and domestic auto leases as defined in the FR Y-9C, Schedule HC-C, item
10.a. For Summary Variable line items 10 & 11 include all repossessed auto loans as
defined in the FR Y-9C, Schedule HC-F, item 6. Include only “managed” (securitized or nonsecuritized) loans, where “managed” refers to loans originated by the BHC, including
securitized loans put back on the books due to FAS 166/167 (ASC Topics 860 and 810). Do
not include loans that were originated by a third party and only serviced by the BHC. For
international auto loans and leases, see the instructions for Worksheet 1.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are three product type segments, six age segments, three original LTV
segments, five original FICO score or equivalent segments, six geography segments, and five
delinquency status segments; therefore, the portfolio must be divided into a total of
3*6*3*5*6*5 = 8,100 distinct segments. Each segment should be identified by a unique
twelve-digit segment ID (variable name: SEGMENT_ID) based on the segment ID positions
and attribute codes listed in Table A.2.a. For example, the segment containing new auto
loans (product type segment “01”) that are greater than five years old (age segment “01”),
had an origination LTV of greater than 120 (original LTV segment “03”), had an origination
FICO score or equivalent of greater than 720 (original FICO score or equivalent segment
“04”), where the borrowers reside in Region 3 (geography segment “03”), and that are 120+
DPD (delinquency status segment “05”) should be identified by the segment ID
“010103040305”. When reporting the segment ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 8,100 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC name (Variable name: BHC_NAME), your RSSD ID
number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), and the portfolio ID (Variable name: PORTFOLIO_ID). Use the
portfolio ID “Auto” for your Portfolio ID within this worksheet. For each row, populate the
segment variables listed in Table A.2.a and the summary variables listed in Table A.2.b.
Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
Note: For Basel II Summary Variable line items (items 28-31) use the loan level Basel II
parameters for all accounts in a specific segment and calculate the account weighted
average. Each month’s parameters need to be calculated specific to that month.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product type - Segment the portfolio into the following product types:
01 - New auto loans
02 – Used auto loans
03 – Auto leases
2. Age – Refers to the time that has elapsed since the loan was originated. If there were

multiple disbursements tied to an original then use the time since the first
disbursement. There are five possible ages to report:
01 - 5 years <= Age
02 - 4 years <= Age < 5 years
03 - 3 years <= Age < 4 years
04 - 2 years <= Age < 3 years
05 - 1 year <= Age < 2 years
06 - Age < 1 year
3. Original LTV - Segment the portfolio into the loan to value ratio at origination
(calculated using the retail price of the vehicle). Please round any LTV ratios up to the
next integer (LTV 90.01-90.99 to 91). Please break into three segments:
01 - <= 90
02 - 91 – 120
03 - > 120
4. Original FICO score or equivalent – Segment the portfolio by Original FICO score or
equivalent. Original FICO Score or equivalent should be the credit score upon which the
original underwriting decision was based. If the bank does NOT have original FICO
scores, map the internal score or other bureau score used to the equivalent FICO score.
Segment the portfolio into the following five categories:
01 - <= 620
02 - > 620 and <= 660
03 - > 660 and <= 720
04 - > 720
05 - N/A — Original FICO or equivalent score is missing or unknown
5. Geography - Segment the portfolio into the following six geographical area
designations. The primary borrower’s current place of residence should be used to
define the region.
01 - Region 1: California, Nevada, Florida, Arizona, and US Territories and possessions
(Puerto Rico, Guam, etc.)
02 - Region 2: Rhode Island, South Carolina, Oregon, Michigan, Indiana, Kentucky,
Georgia, Ohio, Illinois
03 - Region 3: Washington D.C., Mississippi, North Carolina, New Jersey, Tennessee,
Missouri, West Virginia, Connecticut, Idaho, Pennsylvania, Washington, Alabama
04 - Region 4: Delaware, Massachusetts, New York, Colorado, New Mexico, Texas
05 - Region 5: Alaska, Louisiana, Wisconsin, Arkansas, Maine, Maryland, Utah, Montana,
Minnesota, Oklahoma, Iowa, Virginia, Wyoming, Kansas, Hawaii
06 - Region 6: Vermont, New Hampshire, Nebraska, South Dakota, North Dakota
6. Delinquency status - Segment the portfolio into the following five delinquency
statuses:
01 - Current + 1-29 days past due (DPD): Accounts that are not past due (accruing and
non-accruing) or are 1-29 DPD (accruing and non-accruing) as of month-end.
02 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.
03 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 - 120+ DPD: Accounts that are 120 or more days past due (accruing and nonaccruing) as of month-end.
B. Summary Variables

For each month in the reporting period, report the following summary variables for
each segment described in Section A. When calculating account numbers or balances,
do not include accounts which have been fully or partially charged off as of month-end
unless otherwise specified.
1. # Accounts – Total number of accounts on the book for the segment as of month-end.
2. $ Outstandings – Total unpaid principal balance for accounts on the book for the
segment as of month-end.
3. # New accounts – The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end. The BHC should follow its standard
practice for assigning date of origination.
4. $ New accounts – The total dollar amount of new accounts originated (or purchased) in
the given month for the segment as of month-end. The BHC should follow its standard
practice for assigning date of origination.
5. Interest rate – The average annual percentage rate for accounts on the book for the
segment as of month-end. In making this calculation, report the purchase APR unless
the account is in default or workout. If the account is in default, then use the default
APR. If the account is in a workout program (temporary or permanent), use the
workout APR. Workout programs are programs to alleviate the temporary payment
burden of the borrowers so that they don’t go into default. Loan Modification (a
permanent change in one or more of the terms of a Borrower's loan, allows the loan to
be reinstated, and results in a payment the Borrower can afford), loss mitigation, loan
re-negotiation are some examples of workout programs.
6. $ Vehicle type car/van – The unpaid principal balance in the portfolio with vehicle type
classified as “Car/Van” for the segment as of month-end.
7. $ Vehicle type SUV/truck – The unpaid principal balance in the portfolio with vehicle
type classified as “SUV/Truck” for the segment as of month-end.
8. $ Vehicle type sport/luxury/convertible – The unpaid principal balance in the
portfolio with vehicle type classified as “Sport/Luxury/Convertible” for the segment as
of month-end.
9. $ Vehicle type unknown – The unpaid principal balance in the portfolio with vehicle
type classified as “Unknown” for the segment as of month-end.
10. $ Repossession – The unpaid principal balance of loans with repossessed vehicles for
the segment as of month-end.
11. $ Current Month Repossession – The unpaid principal balance of loans with vehicles
newly repossessed in the given month for the segment as of month-end.
12. $ Gross contractual charge-offs – The total unpaid principal balance of loans in the
segment that was contractually or otherwise (excluding bankruptcy) charged off during
the month, as of month-end. Do not include interest and fees. For the Delinquency
Status segment, categorize charge-offs by their delinquency status at charge-off. Include
all partial charge-off accounts (i.e., taken at re-possession, death of the borrower, etc.,
excluding bankruptcy).
13. $ Bankruptcy charge-offs – The total unpaid principal balance of loans in the segment

that was charged off due to bankruptcy during the month, as of month-end. Do not
include interest and fees. For the Delinquency Status segment, categorize charge-offs by
their delinquency status at charge-off.
14. $ Recoveries – The total dollar amount of any recovery collected during the month
from previously charged-off accounts for the segment, as of month-end. For the
Delinquency Status segment, categorize recoveries by their delinquency status at
charge-off. Please report recoveries as a positive number. Recovery includes payments,
credits and proceeds from sale / disposition of the collateral.
15. $ Net charge-offs – The total unpaid principal balance for the segment that was
charged-off in the reference month, net of any recoveries in the reference month.
Report principal charge-offs only, not interest and fees. Generally, $ Net Charge-offs
should equal [$ Gross Contractual Charge-offs + $ Bankruptcy Charge-offs - $
Recoveries].
16. Adjustment factor to reconcile $ gross contractual charge-offs to $ net charge-offs
– If it is not the case that $ Net Charge-offs equals [$ Gross Contractual Charge-offs + $
Bankruptcy Charge-offs -$ Recoveries], provide the value of $ Net Charge-offs minus [$
Gross Contractual Charge-offs + $ Bankruptcy Charge-offs - $ Recoveries] in this
variable. As a separate document included in your submission, provide an explanation
for such a difference (for example, fraud losses are also included in your BHC’s $ Net
Charge-offs variable). If the adjustment factor variable represents more than one factor
leading to the difference, provide a separate breakout of the multiple factors.
17. $ Ever 30DPD in the last 12 months – The total unpaid principal balance for the
segment as of month-end that was 30 or more days past due at any given time in the
twelve months ending in the reference month.
18. $ Ever 60DPD in the last 12 months – The total Unpaid Principal Balance for the
segment as of month-end that was 60 or more days past due at any given time in the
twelve months ending in the reference month.
19. Projected value – Total projected market value of lease at termination. Only calculated
for leased vehicles.
20. Actual sale proceeds – Sales proceeds from terminated leases. Only calculated for
leased vehicles.
21. Original term < = 48 months – The total unpaid principal balance for accounts on the
book for the segment as of month-end that had an original term of 48 months or less.
22. Original term 49-60 months – The total unpaid principal balance for accounts on the
book for the segment as of month-end that had an original term of 49-60 months.
23. Original term 61-72 months – The total unpaid principal balance for accounts on the
book for the segment as of month-end that had an original term of 61-72 months.
24. Original term >72 months – The total unpaid principal balance for accounts on the
book for the segment as of month-end that had an original term of greater than 72
months.
25. $ Origination channel (direct) – The total unpaid principal balance for accounts on the
book for the segment as of month-end that were originated through direct channels (i.e.,
a chartered bank, a non- bank subsidiary).

26. $ Loss mitigation – The total unpaid principal balance for accounts on the book for the
segment as of month-end that are currently in a loss mitigation program. Loss
mitigation programs are broadly defined to include any program that eases the credit
terms to an impaired borrower for purposes of mitigating loan losses. Examples of loss
mitigation programs include match pay, temporary mitigation programs lasting up to 12
months or permanent mitigation programs lasting more than one year.
27. $ Joint application – The total unpaid principal balance for accounts on the book for
the segment as of month-end that were originated with a co-applicant.
28. Basel II Probability of Default (PD) - Report the average Basel II Probability of Default
(PD) for accounts within the segment. More specifically, use the PD associated with each
account’s corresponding Basel II segment and then calculate the account weighted
average PD of all the accounts in this specific Y-14Q segment. Note: Applicable only to the
Basel II reporting banks. A one in ten probability of default should be reported as 0.1.
29. Basel II Loss Given Default (LGD) - Report the Basel II Loss Given Default (LGD) for
accounts within the segment. More specifically, use the LGD associated with each
account’s corresponding Basel II segment and then calculate the account weighted
average LGD of all the accounts in this specific Y-14Q segment. Note: Applicable only to
the Basel II reporting banks. A ninety percent loss given default should be reported as
0.9.
30. Basel II Expected Loss Given Default (ELGD) - Report the Basel II Expected Loss Given
Default (ELGD) parameter for accounts within the segment. More specifically, use the
ELGD associated with each account’s corresponding Basel II segment and then calculate
the account weighted average ELGD of all the accounts in this specific Y-14Q segment.
Missing or unavailable values should be reported as null. Note: Applicable only to the
Basel II reporting banks. A ninety percent expected loss given default should be reported
as 0.9.
31. Basel II Exposure at Default (EAD) - Report the Basel II dollar Exposure at Default
(EAD) for account within the segment. More specifically, report the EAD associated with
each account’s corresponding Basel II segment and then calculate the account weighted
average EAD of all the accounts in this specific Y-14Q segment. Note: Applicable only to
the Basel II reporting banks. This item is required for BHC-owned loans only

A.3 – International Credit Card
This section provides general guidance, data definitions and instructions for the
International Card Worksheet. In this worksheet, include all international (not U.S. or U.S.
territories or possessions) consumer card loans as defined in the FR Y-9C, Schedule HC-C,
item 6.a and international corporate and SME credit card loans as defined in the FR Y-9C,
Schedule HC-C, item 4.b.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are three product type segments, two age segments, four geography
segments, five delinquency status segments, and three original FICO score or equivalent
segments; therefore, the portfolio must be divided into a total of 3*2*4*5*3 = 360 distinct
segments. Each segment should be identified by a unique ten-digit segment ID (variable
name: SEGMENT_ID) based on the segment ID positions and attribute codes listed in Table
A.3.a. For example, the segment containing bank cards (product type segment “01”) that are
greater than two years old (age segment “02”), made to borrowers residing in the Asia
Pacific region (geography segment “04”), are 120+ DPD (delinquency status segment “05”),
and had an original FICO score or equivalent of greater than 620 (original FICO score or
equivalent segment “02”) should be identified by the segment ID “0102040502”. When
reporting the segment ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 360 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC name (Variable name: BHC_NAME), your RSSD ID
number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID) and segment ID
(variable name: SEGMENT_ID). Use the portfolio ID “IntCard” for this worksheet. For each
row, populate the segment variables listed in Table A.3.a and the summary variables listed
in Table A.3.b. Please provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product type – Segment the portfolio into the following two product types:
01 - Bank Card - Bank cards are regular general purpose credit cards that can be used at
a wide variety of merchants, including any who accept MasterCard, Visa, American
Express or Discover credit cards. Include affinity and co-brand cards in this
category, and student cards if applicable. This product type also includes private
label or propriety credit cards, which are tied to the retailer issuing the card and
can only be used in that retailer’s stores. Include oil & gas cards in this loan type.
02 - Charge Card - Charge cards are consumer credit cards for which the balance is
repaid in full each billing cycle.
03 - Other - All other international card products.
2. Age – Age refers to the amount of time that has elapsed since the account was
originated. There are two possible ages to report:
01 - <= Two years old
02 - > Two years old

3. Geography – Segment the portfolio into the following four geographical area
designations. The primary borrower’s current place of residency should be used to
define the region.
01 - Region 1: Canada
02 - Region 2: EMEA — Europe, Middle East, and Africa
03 - Region 3: LATAM — Latin America and Caribbean
04 - Region 4: APAC — Asia Pacific
4. Delinquency status – Segment the portfolio into the following five delinquency
statuses:
01 - Current and 1 - 29 days past due (DPD): Accounts that are not past due (accruing
and non-accruing) as of month-end and accounts that are 1 to 29 days past due
(accruing and non-accruing) as of month-end.
02 - 30 - 59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.
03 - 60 - 89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90 - 119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 -120+ DPD: Accounts that are 120 or more days past due (accruing and nonaccruing) as of month-end.
5. Original FICO or equivalent –Segment the portfolio by original FICO score or
equivalent. Original FICO or equivalent should be the score upon which the original
underwriting decision was based. If the bank does not have original FICO scores, map
the internal score or other bureau score used to the equivalent FICO score. Segment the
portfolio into the following three categories:
01 - <= 620
02 - > 620
03 - N/A – Original FICO or equivalent score is missing or unknown
B. Summary Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A. When calculating account numbers or balances, do not
include accounts which have been fully or partially charged off as of month-end unless
otherwise specified.
1. # Accounts – Total number of accounts on the book for the segment as of month-end.
2. $ Receivables – Total receivables for accounts on the book for the segment as of monthend.
3. $ Unpaid principal balance – Total Unpaid Principal Balance (UPB) on the book for the
segment as of month-end. Unlike receivables, total UPB should be net of any interest
and fees owed by the borrower.
4. $ Commitments – The total dollar amount of credit lines on the book for the segment as
of month- end (include drawn and undrawn credit lines). The internal automated limit
(shadow limit) should be used when there is no contractual limit.
5. # New accounts – The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end.

6. $ New commitments – The total dollar amount of new commitments on accounts
originated (or purchased) in the given month for the segment as of month-end. If
unknown for some accounts due to an acquisition or a merger, report the credit line at
acquisition.
7. $ Gross contractual charge-offs –The total unpaid principal balance of loans in the
segment that were contractually or otherwise (excluding bankruptcy) charged off
during the month, as of month-end. Do not include interest and fees. For the
Delinquency Status segment, categorize charge-offs by their delinquency status at
charge-off. Include all partial charge-off accounts. Do not include bankruptcy chargeoffs in this calculation.
8. $ Bankruptcy charge-offs –The total unpaid principal balance of loans in the segment
that was charged off due to bankruptcy during the month, as of month-end. Do not
include interest and fees. For the Delinquency Status segment, categorize charge-offs by
their delinquency status at charge-off.
9. $ Recoveries –The total dollar amount of any recovery collected during the month from
previously charged-off accounts for the segment, as of month-end. For the Delinquency
Status segment, categorize recoveries by their delinquency status at charge-off. Report
recoveries as a positive number.
10. # Accounts charged-off – The total number of accounts which experienced a charge-off
(contractual or bankruptcy) in the reference month. For the delinquency status
segmentation, categorize charge-offs by delinquency status at charge-off.
11. $ Net charge-offs – The total UPB for the segment that was charged-off in the reference
month, net of any recoveries in the reference month. Report principal charge-offs only,
not interest and fees. Generally, $ Net Charge-offs should equal [$ Gross Contractual
Charge-offs + $ Bankruptcy Charge-offs — $ Recoveries].
12. Adjustment factor to reconcile $ gross contractual charge-offs to $ net charge-offs
– If it is not the case that $ Net Charge-offs equals [$ Gross Contractual Charge-offs + $
Bankruptcy Charge-offs — $ Recoveries], provide the value of $ Net Charge-offs minus [$
Gross Contractual Charge-offs + $ Bankruptcy Charge-offs — $ Recoveries] in this
variable, and separately provide an explanation for the difference. In a separate
document included in the submission, provide an explanation for such a difference (for
example, fraud losses are also included in the reporting BHC’s $ Net Charge-offs
variable). If the adjustment factor variable represents more than one factor leading to
the difference, provide a separate breakout of the multiple factors.
13. $ O/S for accounts that were 30+ DPD in last 24 months – The total receivables for
the segment as of month-end that was 30 or more days past due at any given time in the
past 24 months ending in the reference month. Exclude charged-off accounts when
making this calculation.
14. # Accounts that were 30+ DPD in last 24 months – The total number of accounts for
the segment as of month-end that were 30 or more days past due at any given time in
the past 24 months ending in the reference month. Exclude charged-off accounts when
making this calculation.

Schedule A.3 International Credit Card Schedule
Please provide all Dollar Unit data in $ Millions.

Table A.3.a
Definition
Reference

Segments

Variable Name

Data Types

Format

Segment ID
Position

Attribute ID within Segment ID Positions
02
03
04
05
Bank Card
Charge Card
Other
<= Two years old
> Two years old
Region 1
Region 2
Region 3
Region 4
Current + 1 - 29 DPD
30 - 59 DPD
60 - 89 DPD 90 - 119 DPD 120+ DPD
<= 620
> 620
N/A
01

Report
Report
Report
Report
Report

Instruction
Instruction
Instruction
Instruction
Instruction

A-1
A-2
A-3
A-4
A-5

Product Type
Age
Geography
Delinquency Status
Original FICO or Equivalent

PRODUCT_TYPE
AGE
GEOGRAPHY
DLQ_STATUS
ORIG_FICO

Character
Character
Character
Character
Character

char(35)
char(35)
char(35)
char(35)
char(35)

1-2
3-4
5-6
7-8
9 - 10

Table A.3.b
Definition
Reference
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction

B-1
B-2
B-3
B-4
B-5
B-6
B-7
B-8
B-9
B - 10
B - 11

Report Instruction B - 12
Report Instruction B - 13
Report Instruction B - 14

Summary Variables
# Accounts
$ Receivables
$ Unpaid Principal Balance
$ Commitments
# New Accounts
$ New Commitments
$ Gross Contractual Charge-offs
$ Bankruptcy Charge-offs
$ Recoveries
# Accounts Charged-off
$ Net Charge-offs
Adjustment Factor to Reconcile $ Gross
Contractual Charge-off to $ Net Charge-offs
$ O/S for Accounts That Were 30+ DPD in Last 24 Months
# Accounts That Were 30+ DPD in Last 24 Months

Variable Name
N_ACCT
D_RECEIVABLES
D_UNPD_PRIN_BALA
D_COMMITMENTS
N_NEW_ACCOUNTS
D_NEW_COMMITMENTS
D_GROSS_CONTRACTUAL_CO
D_BANKRUPTCY_CO
D_RECOVERIES
N_ACCT_CO
D_NET_CO

Data Types
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric

Format
16.
16.6
16.6
16.6
16.
16.6
16.6
16.6
16.6
16.
16.6

D_ADJ_NET_CO
D_OS_ACCT_GE30_DPD_24M
N_ACCTS_GE30_DPD_24M

Numeric
Numeric
Numeric

16.6
16.6
16.

International Geographic Regions
Region 1
Canada
Region 2
EMEA -- Europe, Middle East, and Africa
Region 3
LATAM -- Latin America and Caribbean
Region 4
APAC -- Asia Pacific

A.4 – International Home Equity
This section provides general guidance and data definitions for the International Home
Equity Worksheet. In this worksheet, include all international home equity loans (not US or
US territories and possessions) secured by real estate as defined in the FR Y-9C, Schedule
HC-C, item 1, that meet the loan criteria of item 1.c.1 and 1.c.2.b. Note that this includes
international first lien and second lien home equity lines. For international first lien
mortgages, see instructions for Worksheet 5.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are two product type segments, three origination FICO score or equivalent
segments, four geography segments, two age segments, two origination LTV segments,
and five delinquency status segments; therefore, the portfolio must be divided into a total
of 2*3*4*2*2*5 = 480 distinct segments. Each segment should be identified by a unique
twelve-digit segment ID (variable name: SEGMENT_ID) based on the segment ID positions
and attribute codes listed in Table A.4.a. For example, the segment containing HELOCs
(product type segment “02”) that had an origination FICO score or equivalent of greater
than 660 (original FICO score or equivalent segment “02”), where the borrowers reside in
the Asia Pacific region (geography segment “04”), are greater than three years old (age
segment “02”), had an origination LTV of less than 80 percent (original LTV segment
“01”), and are 180+ DPD (delinquency status segment “05”) should be identified by the
segment ID “020204020105”. When reporting the segment ID, do not drop leading
zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 480 portfolio segments. First time filers must submit all data for
each month from January 2007 to the end of the current reporting period; returning filers
must submit all data for each month in the current reporting period only. BHCs should only
include owned loans, exclude loans serviced for other investors.
Start each row of data with your BHC name (Variable name: BHC_NAME), your RSSD ID
number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID) and segment ID
(variable name: SEGMENT_ID). Use the portfolio ID “IntHE" for this worksheet. For each
row, populate the segment variables listed in Table A.4.a and the summary variables listed
in Table A.4.b. Please provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product Type – Segment the portfolio into product types based on specific features of
the loan. The portfolio should be segmented into two product types:
01 - HELOAN
02 - HELOC
2. Original FICO or equivalent –Segment the portfolio by original FICO score or
equivalent. Original FICO score or equivalent should be the score upon which the
original underwriting decision was based. If the bank does not have original FICO
scores, map the internal score or other bureau score used to the equivalent FICO score.

Divide the portfolio into the following three segments:
01 - <= 660
02 - > 660
03 - N/A—Original FICO or equivalent score is missing or unknown
3. Geography – Report the region in which the property is located; divide the portfolio
into the following four geographical area designations:
01 - Region 1: Canada
02 - Region 2: EMEA—Europe, Middle East, and Africa
03 - Region 3: LATAM—Latin America and Caribbean
04 - Region 4: APAC—Asia-Pacific
4. Age – Age refers to the amount of time that has elapsed since the account was
originated. There are two possible ages to report:
01 - <= Three years old
02 - > Three years old
5. Original LTV (or CLTV for 2nds) – The original combined loan-to-value ratio is the
original amount of the loan or line, in addition to any senior liens, divided by the
property value at the time of origination. Divide the portfolio as follows:
01 - < 80
02 - >=80
6. Delinquency Status –Divide the portfolio into the following five delinquency statuses:
01 - Current & 1-29 days past due (DPD): Accounts that are not past due (accruing and
non- accruing) or are 1-29 DPD (accruing and non-accruing) as of month-end.
02 - 30-89 DPD: Accounts that are 30 to 89 days past due (accruing and non-accruing)
as of month-end.
03 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
04 - 120-179 DPD: Accounts that are 120 to 179 days past due (accruing and nonaccruing) as of month-end.
05 - 180+ DPD: Accounts that are 180 or more days past due (accruing and nonaccruing) as of month-end.
B. Summary Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A. When calculating account numbers or balances, do not
include accounts which have been fully or partially charged off as of month-end unless
otherwise specified.
1. # Accounts – Total number of accounts on the book for the segment as of month-end.
2. $ Outstandings – Total principal amount outstanding as of the end of the month. This
should be reported as unpaid principal balance (UPB) gross of any charge-offs. In other
words, the $ outstanding should not reflect any accounting based write-downs and
should only be reduced to zero when the loan has been liquidated – either paid in full,
charged off, or other real estate owned (OREO) sold.
3. $ Commitment (HELOC only) – The total dollar amount of HELOC credit lines on the
book for the segment as of month-end. If there is no credit limit on certain accounts,
report the purchase or shadow limit. A shadow limit is defined as an internal BHC credit
limit metric used for line management for lines that do not have a published credit limit.
Report this variable only for HELOC products.

4. # New accounts – The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end.
5. $ New accounts – The total dollar amount of new accounts originated (or purchased) in
the given month for the segment as of month-end.
6. $ New commitments (HELOC only) – The total dollar amount of new HELOC credit
lines booked on the system in the reporting month. Report this variable only for HELOC
products.
7. $ Commitment increases (HELOC only) – The dollar amount increase on existing
HELOC credit lines in the reporting-month. Report this variable only for HELOC
products.
8. $ Commitment decreases (HELOC only) – The dollar amount decrease on existing
HELOC credit lines in the reporting-month. Report this variable only for HELOC
products.
9. $ Gross contractual charge-offs – The total unpaid principal balance of loans in the
segment that was contractually or otherwise (excluding bankruptcy) charged off during
the month, as of month-end. All interim FFIEC write-downs should be included in gross
contractual charge-offs in the month that they are taken. Do not include interest and
fees. For the Delinquency Status segment, categorize charge-offs by their delinquency
status at charge-off. Include all partial charge-off accounts (i.e., taken at re-possession,
death of the borrower, etc., excluding bankruptcy).
10. $ Bankruptcy charge-offs –The total unpaid principal balance of loans in the segment
that was charged off due to bankruptcy during the month, as of month-end. Do not
include interest and fees. For the Delinquency Status segment, categorize charge-offs by
their delinquency status at charge-off.
11. $ Recoveries – The total dollar amount of any recovery collected during the month from
previously charged-off accounts for the segment, as of month-end. For the Delinquency
Status segment, categorize recoveries by their delinquency status at charge-off. Report
recoveries as a positive number. Recovery includes payments, credits and proceeds
from sale / disposition of the collateral.
12. $ Net charge-offs – The total unpaid principal balance for the segment that was
charged-off in the reference month, net of any recoveries in the reference month. Report
principal charge-offs only, not interest and fees. Generally, $ net contractual charge-offs
should equal [$ gross contractual charge-offs +$ bankruptcy charge-offs — $ recoveries].
13. Adjustment factor to reconcile $ gross contractual charge-offs to $ net charge-offs
– If it is not the case that $ Net Charge-offs equals [$ Gross Contractual Charge-offs + $
Bankruptcy Charge-offs — $ Recoveries], provide the value of $ Net Contractual Chargeoffs minus [$ Gross Contractual Charge-offs +$ Bankruptcy Charge-offs — $ Recoveries] in
this variable. As a separate document included in the submission, provide an
explanation for such a difference (for example, fraud losses are also included in the
BHC’s $ Net Charge-offs variable). If the adjustment factor variable represents more than
one factor leading to the difference, provide a separate breakout of the multiple factors.
14. $ Foreclosure - The total unpaid principal balance of loans in the foreclosure process.
These dollars are pre-OREO and should be coded as a foreclosure in the system.

15. $ New foreclosure - The total unpaid principal balance of loans that entered the
foreclosure process in the reporting month. These dollars are pre-OREO and should be
coded as a foreclosure in the system.
16. $ Other Real Estate Owned (OREO) - The total unpaid principal balance of mortgages
where the bank has obtained the title at foreclosure sale and the property is on the
market and available for sale. Also include instances where the bank has obtained the
title but the availability for sale is not known
17. $ New OREO - The total unpaid principal balance of foreclosed loans where the
institution has bought back the property.

Schedule A.4 - Retail International Home Equity Schedule
FR Y-14Q: International Home Equity Schedule
Table A.4.a
Definition Reference
Report Instruction A - 1
Report Instruction A - 2
Report Instruction A - 3
Report Instruction A - 4
Report Instruction A - 5
Report Instruction A - 6

Segments
Product Type
Original FICO or Equivalent
Geography
Age
Original LTV (or CLTV for 2nds)
Delinquency Status

Variable Name
PRODUCT_TYPE
ORIG_FICO
GEOGRAPHY
AGE
ORIG_LTV
DLQ_STATUS

Please provide all Dollar Unit data in $ Millions.
Attribute ID within Segment ID Positions
Segment ID
Position
Data Type Format
01
02
03
04
05
Character char(35)
1-2
HELOAN
HELOC
Character char(35)
3-4
> 660
N/A
< = 660
Character char(35)
5-6
Region 1
Region 2
Region 3
Region 4
Character char(35)
7-8
<= Three years old
> Three years old
Character char(35)
9-10
< 80
>= 80
Character char(35)
11-12
Current & 1-29DPD 30 -89 DPD
90-119 DPD 120-179 DPD 180+ DPD

Table A.4.b

Definition Reference
Report Instruction B - 1
Report Instruction B - 2
Report Instruction B - 3
Report Instruction B - 4
Report Instruction B - 5
Report Instruction B - 6
Report Instruction B - 7
Report Instruction B - 8
Report Instruction B - 9
Report Instruction B - 10
Report Instruction B - 11
Report Instruction B - 12
Report Instruction B - 13
Report Instruction B - 14
Report Instruction B - 15
Report Instruction B - 16
Report Instruction B - 17

Summary Variables
# Accounts
$ Outstandings
$ Commitment (for HELOC)
# New Accounts
$ New Accounts
$ New Commitments (for HELOC)
$ Commitment Increases (for HELOC)
$ Commitment Decreases (for HELOC)
$ Gross Contractual Charge-offs
$ Bankruptcy Charge-offs
$ Recoveries
$ Net Charge Offs
$ Net Charge Off Reconciliation
$ Foreclosure
$ New Foreclosure
$ REO
$ New REO

Variable Name
N_ACCT
D_OS
D_COMMITMENT
N_NEW_ACCOUNTS
D_NEW_ACCOUNTS
D_NEW_COMMITMENTS
D_COMMITMENT_INCREASES
D_COMMITMENT_DECREASES
D_GROSS_CONTRACTUAL_CO
D_BANKRUPTCY_CO
D_RECOVERIES
D_NET_CO
D_ADJ_NET_CO
D_FORECLOSURE
D_NEW_FORECLOSURE
D_REO
D_NEW_REO

Data Type
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric

Format
16.
16.6
16.6
16.
16.6
16.6
16.6
16.6
16.6
16.6
16.6
16.6
16.6
16.6
16.6
16.6
16.6

Regions
Region 1
Region 2
Region 3
Region 4

International Geographic Regions
Canada
EMEA--Europe, Middle East, and Africa
LATAM--Latin America and Caribbean
APAC--Asia Pacific

A.5 – International First Lien Mortgage
This section provides general guidance and data definitions for the International First Lien
Mortgage Worksheet. In this worksheet, include all international (not US or US territories
or possessions) first lien mortgage loans secured by real estate as defined in the FR Y-9C,
Schedule HC-C, item 1 which meet the loan criteria of item 1.c.2.a . Include international
first lien residential mortgage and international first lien closed-end home equity loans.
Include both held-for-investment (HFI) and held-for-sale (HFS) loans.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are two product type segments, three origination FICO score or equivalent
segments, four geography segments, two age segments, two origination LTV segments, and
five delinquency status segments; therefore, the portfolio must be divided into a total of
2*3*4*2*2*5 = 480 distinct segments. Each segment should be identified by a unique twelvedigit segment ID (variable name: SEGMENT_ID) based on the segment ID positions and
attribute codes listed in Table A.5.a. For example, the segment containing fixed-rate loans
(product type segment “01”) that had an origination FICO score or equivalent of greater than
660 (original FICO score or equivalent segment “02”), where the borrowers reside in the Asia
Pacific region (geography segment “04”), are greater than three years old (age segment
“02”), had an origination LTV of less than 80 percent (original LTV segment “01”), and are
180+ DPD (delinquency status segment “05”) should be identified by the segment ID
“010204020105”.. When reporting the segment ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 480 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC name (Variable name: BHC_NAME), your RSSD ID
number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID), and segment ID
(variable name: SEGMENT_ID). Use the portfolio ID “IntFM” for your Portfolio ID within this
worksheet. For each row, populate the segment variables listed in Table A.5.a and the
summary variables listed in Table A.5.b. Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product type – Segment the portfolio into product types based on payment terms of the
loan (at origination). The portfolio should be segmented into two product types:
01 - Fixed Rate
02 - Other
2. Original FICO score or equivalent – Segment the portfolio by original FICO score or
equivalent. Original FICO score or equivalent should be the score upon which the
original underwriting decision was based. If the bank does not have original FICO
scores, map the internal score or other bureau score used to the equivalent FICO score.
Segment the portfolio into the following three categories:
01 - <= 660

02 - > 660
03 - N/A—Original FICO or equivalent score is missing or unknown
3. Geography – Report the region in which the property is located. Segment the portfolio
into the following four geographical area designations:
01 - Region 1: Canada
02 - Region 2: EMEA—Europe, Middle East, and Africa
03 - Region 3: LATAM—Latin America and Caribbean
04 - Region 4: APAC—Asia Pacific
4. Age – Age refers to the time that has elapsed since the account was originated. There
are two possible ages to report:
01- <= Three years old
02 - > Three years old
5. Original LTV – The original loan-to-value ratio is the original amount of the loan
divided by the property value at the time of origination. Segment the portfolio as
follows:
01 - < 80
02 - >= 80
6. Delinquency status – Segment the portfolio into the following five delinquency
statuses:
01 - Current & 1-29 days past due (DPD): Accounts that are not past due (accruing and
non- accruing) or are 1-29 DPD (accruing and non-accruing) as of month-end.
02 - 30-89 DPD: Accounts that are 30 to 89 days past due (accruing and non-accruing)
as of month-end.
03 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
04 - 120-179 DPD: Accounts that are 120 to 179 days past due (accruing and nonaccruing) as of month-end.
05 - 180+ DPD: Accounts that are 180 or more days past due (accruing and nonaccruing) as of month-end.
B. Summary Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A. When calculating account numbers or balances, do not
include accounts which have been fully or partially charged off as of month-end unless
otherwise specified.
1. # Accounts – Total number of accounts on the book for the segment as of month-end.
2. $ Outstandings – Total principal amount outstanding as of the end of the month. This
should be reported as unpaid principal balance gross of any charge-offs. In other words,
the $ outstanding should not reflect any accounting based write-downs and should only
be reduced to zero when the loan has been liquidated – either paid in full, charged off, or
Other Real Estate Owned (OREO) sold.
3. # New accounts – The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end.
4. $ New accounts – The total dollar amount of new accounts originated (or purchased) in
the given month for the segment as of month-end.

5. $ Gross contractual charge-offs –The total unpaid principal balance of loans in the
segment that was contractually or otherwise (excluding bankruptcy) charged off during
the month, as of month-end. All interim FFIEC write-downs should be included in gross
contractual charge-offs in the month that they are taken. Do not include interest and
fees. For the Delinquency Status segment, categorize charge-offs by their delinquency
status at charge-off. Include all partial charge-off accounts (i.e., taken at re-possession,
death of the borrower, etc., excluding bankruptcy).
6. $ Bankruptcy charge-offs – The total unpaid principal balance of loans in the segment
that was charged off due to bankruptcy during the month, as of month-end. Do not
include interest and fees. For the Delinquency Status segment, categorize charge-offs by
their delinquency status at charge-off.
7. $ Recoveries – The total dollar amount of any recovery collected during the month from
previously charged-off accounts for the segment, as of month-end. For the Delinquency
Status segment, categorize recoveries by their delinquency status at charge-off. Report
recoveries as a positive number. Recovery includes payments, credits and proceeds
from sale / disposition of the collateral.
8. $ Net charge-offs – The total unpaid principal balance for the segment that was
charged-off in the reference month, net of any recoveries in the reference month.
Report principal charge-offs only, not interest and fees. Generally, $ net contractual
charge-offs should equal [$ gross contractual charge-offs + $ bankruptcy charge-offs — $
recoveries].
9. Adjustment factor to reconcile $ gross contractual charge-offs to $ net charge-offs
– If it is not the case that $ net charge-offs equals [$ gross contractual charge-offs + $
bankruptcy charge-offs — $ recoveries], please provide the value of $ net contractual
charge-offs minus [$ gross contractual charge-offs + $ bankruptcy charge-offs — $
recoveries] in this variable. In a separate document included in your submission,
provide an explanation for such a difference (for example, fraud losses are also included
in the BHC’s $ net charge-offs variable). If the adjustment factor variable represents
more than one factor leading to the difference, provide a separate breakout of the
multiple factors.
10. $ Foreclosure - The total unpaid principal balance of loans in the foreclosure process.
These dollars are pre-OREO and should be coded as a foreclosure in the system.
11. $ New foreclosure - The total unpaid principal balance of loans that entered the
foreclosure process in the reporting month. These dollars are pre-OREO and should be
coded as a foreclosure in the system.
12. $ Other Real Estate Owned (OREO) - The total unpaid principal balance of mortgages
where the bank has obtained the title at foreclosure sale and the property is on the
market and available for sale. Also include instances where the bank has obtained the
title but the availability for sale is not known.
13. $ New OREO - The total unpaid principal balance of foreclosed loans where the
institution has bought back the property in auction in the reporting month.

Schedule A.5 - Retail International First Lien Mortgage Schedule
FR Y-14Q: Retail International Mortgage Schedule
Table A.5.a

Definition
Reference
Report
Report
Report
Report
Report
Report

Segments

Instruction
Instruction
Instruction
Instruction
Instruction
Instruction

A-1
A-2
A-3
A-4
A-5
A-6

Please provide all Dollar Unit data in $ Millions

Variable Name

Product Type
Original FICO or Equivalent
Geography
Age
Original LTV
Delinquency Status

PRODUCT_TYPE
ORIG_FICO
GEOGRAPHY
AGE
ORIG_LTV
DLQ_STATUS

Data Type
Character
Character
Character
Character
Character
Character

Format
char(35)
char(35)
char(35)
char(35)
char(35)
char(35)

Segment ID
Position
1-2
3-4
5-6
7-8
9-10
11-12

01
Fixed Rate
< = 660
Region 1
<= Three years old
< 80
Current & 1-29DPD

Attribute ID within Segment ID Positions
02
03
04
05
Others
> 660
N/A
Region 2
Region 3
Region 4
> Three years old
>= 80
30 -89 DPD
90-119 DPD 120-179 DPD 180+ DPD

Table A.5.b
Definition
Reference
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction

B-1
B-2
B-3
B-4
B-5
B-6
B-7
B-8
B-9
B - 10
B - 11
B - 12
B - 13

Summary Variables
# Accounts
$ Outstandings
# New Accounts
$ New Accounts
$ Gross Contractual Charge-offs
$ Bankruptcy Charge-offs
$ Recoveries
$ Net Charge Offs
$ Net Charge Off Reconciliation
$ Foreclosure
$ New Foreclosure
$ REO
$ New REO

Variable Name
N_ACCT
D_OS
N_NEW_ACCOUNTS
D_NEW_ACCOUNTS
D_GROSS_CONTRACTUAL_CO
D_BANKRUPTCY_CO
D_RECOVERIES
D_NET_CO
D_ADJ_NET_CO
D_FORECLOSURE
D_NEW_FORECLOSURE
D_REO
D_NEW_REO

Data Type
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric

Format
16.
16.6
16.
16.6
16.6
16.6
16.6
16.6
16.6
16.6
16.6
16.6
16.6

Region
Region
Region
Region

Regions
1
2
3
4

International Geographic Regions
Canada
EMEA--Europe, Middle East, and Africa
LATAM--Latin America and Caribbean
APAC--Asia Pacific

A.6 – International Other Consumer Schedule
In this worksheet, include all international loans defined in the FR Y-9C, Schedule HC-C,
item 6.b and 6.d, excluding student loans and non-purpose securities based loans and
should also include all international non-auto leases as defined in the FR Y-9C, Schedule HCC, item 10.a.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are five product type segments, five delinquency status segments, three
original FICO score or equivalent segments, two original LTV ratio segments, and four
geography segments; therefore, the portfolio must be divided into a total of 5*5*3*2*4 =
600 distinct segments. Each segment should be identified by a unique ten-digit segment ID
(variable name: SEGMENT_ID) based on the segment ID positions and attribute codes listed
in Table A.6.a. For example, the segment containing secured installment loans (product
type segment “02”) that are 120+ DPD (delinquency status segment “05”), had an
origination FICO score or equivalent of greater than 620 (original FICO score or equivalent
segment “02”), had an origination LTV ratio of greater than 70 percent (original LTV ratio
segment “02”), and that were made to borrowers residing in the Asia Pacific region
(geography segment “04”) should be identified by the segment ID “0205020204”. When
reporting the segment ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 600 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC name (Variable name: BHC_NAME), your RSSD ID
number (Variable name: RSSD_ID), the reporting month ( Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID), and segment ID
(variable name: SEGMENT_ID). Use “IntlOthCons” for portfolio ID for this worksheet. For
each row, populate the segment variables listed in Table A.6.a and the summary variables
listed in Table A.6.b. Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product type – Reporting BHCs should segment the portfolio into the following five
product types based on the various features of the credit:
01 - Secured-Revolving
02 - Secured-Installment
03 - Unsecured-Revolving
04 - Unsecured-Installment
05 - Overdraft
2. Delinquency status – Reporting BHCs should segment the portfolio into the following
five delinquency statuses:
01 - Current and 1-29 days past due (DPD): Accounts that are not past due (accruing
and non-accruing) as of month-end and accounts that are 1 to 29 days past due
(accruing and non-accruing) as of month-end.
02 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.

03 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 - 120+ DPD: Accounts that are 120 days or more past due (accruing and nonaccruing) as of month-end.
3. Original FICO or equivalent – Segment the portfolio by original FICO score or
equivalent. Original FICO score or equivalent should be the score upon which the
original underwriting decision was based. If the bank does NOT have original FICO
scores, map the internal score or other bureau score used to the equivalent FICO score.
01 - <= 620
02 - > 620
03 - N/A— Original FICO or equivalent score is missing or unknown
4. Original LTV– The original combined loan-to-value ratio is the original amount of the
loan or line, in addition to any senior liens, divided by the collateral value at the time of
origination. For loans where the loan-to-value ratio is not applicable, include the lowest
ratio for a segment identifier. Segment the portfolio as follows:
01 - <= 70 or not applicable
02 - > 70
5. Geography –Segment the portfolio into the following four geographical area
designations. The borrower’s current place of residency should be used to define the
region.
01 - Region 1: Canada
02 - Region 2: EMEA—Europe, Middle East, and Africa
03 - Region 3: LATAM—Latin America and Caribbean
04 - Region 4: APAC—Asia-Pacific
B. Summary Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A. When calculating account numbers or balances, do not
include accounts which have been fully or partially charged off as of month-end unless
otherwise specified.
1. # Accounts – Total number of accounts on the book for the segment being reported as of
month-end.
2. $ Outstandings – The total unpaid principal balance for accounts on the book for the
segment being reported as of month-end.
3. $ Gross contractual charge-offs – The total unpaid principal balance of loans in the
segment that was contractually or otherwise (excluding bankruptcy) charged off during
the month, as of month-end. Do not include interest and fees. For the Delinquency
Status segment, categorize charge-offs by their delinquency status at charge-off. Include
all partial charge-off accounts (i.e., taken at re-possession, death of the borrower, etc.,
excluding bankruptcy).
4. $ Bankruptcy charge-offs –The total unpaid principal balance of loans in the segment
that was charged off due to bankruptcy during the month, as of month-end. Do not
include interest and fees. For the Delinquency Status segment, categorize charge-offs by
their delinquency status at charge-off.

5. $ Recoveries –The total dollar amount of any recovery collected during the month from
previously charged-off accounts for the segment, as of month-end. For the Delinquency
Status segment, categorize recoveries by their delinquency status at charge-off. Report
recoveries as a positive number.
6. $ Net charge-offs – The total unpaid principal balance for the segment being reported
that was charged-off in the reference month, net of any recoveries in the reference
month. Generally, $ Net Charge-offs should equal [$ Gross Contractual Charge-offs + $
Bankruptcy Charge-offs — $ Recoveries].
7. # New accounts – The total number of new accounts originated in the given month for
the segment being reported as of month-end.
8. $ New commitments – The total dollar amount of new commitments on accounts
originated in the given month for the segment being reported as of month-end. If
unknown for some accounts due to acquisition or merger, report the credit line at
acquisition.

Schedule A.6 – Retail International Other Consumer Schedule

Table A.6.a
Definition
Reference
Report
Report
Report
Report
Report

Instruction
Instruction
Instruction
Instruction
Instruction

Segments
A-1
A-2
A-3
A-4
A-5

Please provide all Dollar Unit data in $ Millions.
Variable Names

Product Type
Delinquency Status
Original FICO or Equivalent
Original Loan-to-Value
Geography

Data Types Format

PRODUCT_TYPE
DLQ_STATUS
ORIG_FICO
ORIG_LTV
GEOGRAPHY

Character
Character
Character
Character
Character

char(35)
char(35)
char(35)
char(35)
char(35)

Variable Names
N_ACCT
D_OS
D_GCO
D_BKCO
D_RECOVERIES
D_NET_CO
N_NEW_ACCOUNTS
D_NEW_COMMITMENTS

Data Types
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric

Format
16.
16.6
16.6
16.6
16.6
16.6
16.
16.6

Segment ID
Position
1-2
3-4
5-6
7-8
9-10

01
Secured-Revolving
Current + 1-29 DPD
<= 620
<=70 or not applicable
Region 1

Attribute ID within Segment ID Positions
02
03
04
Secured-Installment
Unsecured-Revolving
Unsecured-Installment
30-59 DPD
60-89 DPD
90-119 DPD
> 620
N/A
>70
Region 2
Region 3
Region 4

Table A.6.b
Definition
Reference
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction

B-1
B-2
B-3
B-4
B-5
B-6
B-7
B-8

Summary Variables
# Accounts
$ Outstandings
$ Gross contractual charge-offs
$ Bankruptcy charge-offs
$ Recoveries
$ Net Charge-offs
# New Accounts
$ New Commitments

Regions
Region
Region
Region
Region

1
2
3
4

International Geographic Regions
Canada
EMEA--Europe, Middle East, and Africa
LATAM--Latin America and Caribbean
APAC--Asia Pacific

05
Overdraft
120+ DPD

A.7 – US Other Consumer
In this worksheet, include all domestic loans as defined in the FR Y-9C, Schedule HC-C,
items 6.b and 6.d, excluding student loans and non-purpose securities based loans. Include
domestic non-auto leases included as defined in the FR Y-9C, Schedule HC-C, item 10.a.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are five product type segments, five delinquency status segments, three
original FICO score or equivalent segments, and three original LTV ratio segments;
therefore, the portfolio must be divided into a total of 5*5*3*3 = 225 distinct segments.
Each segment should be identified by a unique eight-digit segment ID (variable name:
SEGMENT_ID) based on the segment ID positions and attribute codes listed in Table A.7.a.
For example, the segment containing secured installment loans (product type segment “02”)
that are 120+ DPD (delinquency status segment “05”), had an origination FICO score or
equivalent of greater than 620 (original FICO score or equivalent segment “02”), and had an
origination LTV ratio of greater than or equal to 100 percent (original LTV ratio segment
“03”) should be identified by the segment ID “02050203”. When reporting the segment ID,
do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each each of the 225 portfolio segments described above. First time filers
must submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC name (Variable name: BHC_NAME), your RSSD ID
number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID), and segment ID
(variable name: SEGMENT_ID). Use “ USOthCons” for the portfolio ID within this
worksheet. For each row, populate the segment variables listed in Table A.7.a and the
summary variables listed in Table A.7.b. Please provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product type – Segment the portfolio into the following five product types based on the
various features of the credit:
01 - Secured-Revolving
02 - Secured-Installment
03 - Unsecured-Revolving
04 - Unsecured-Installment
05 - Overdraft
2. Delinquency status – Segment the portfolio into the following five delinquency
statuses:
01 - Current and 1-29 days past due (DPD): Accounts that are not past due (accruing
and non-accruing) as of month-end and accounts that are 1 to 29 days past due
(accruing and non-accruing) as of month-end.
02 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.

03 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 - 120+ DPD: Accounts that are 120 days or more past due (accruing and nonaccruing) as of month-end.
3. Original FICO or equivalent – Segment the portfolio by original FICO score or
equivalent. Original FICO score or equivalent should be the score upon which the
original underwriting decision was based. If the bank does NOT have original FICO
scores, map the internal score or other bureau score used to the equivalent FICO score.
01 - <= 620
02 - > 620
03 - N/A—Original FICO or equivalent score is missing or unknown
4. Original LTV– The original combined loan-to-value ratio is the original amount of the
loan or line, in addition to any senior liens, divided by the collateral value at the time of
origination. For unsecured loans for which loan-to-value is not applicable, report the
summary variables in the segment entitled <=70 or not applicable. Segment the portfolio
as follows:
01 - <= 70 or not applicable
02 - > 70 and < 100
03 - >= 100
B. Summary Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A. When calculating account numbers or balances, do not
include accounts which have been fully or partially charged off as of month-end unless
otherwise specified.
1. # Accounts – Total number of accounts on the book for the segment as of month-end.
2. $ Outstandings – The total unpaid principal balance for accounts on the book for the
segment as of month-end.
3. $ Gross contractual charge-offs – The total unpaid principal balance of loans in the
segment that was contractually or otherwise (excluding bankruptcy) charged off during
the month, as of month-end. Do not include interest and fees. For the Delinquency
Status segment, categorize charge-offs by their delinquency status at charge-off. Include
all partial charge-off accounts (i.e., taken at re-possession, death of the borrower, etc.,
excluding bankruptcy).
4. $ Bankruptcy charge-offs – The total unpaid principal balance of loans in the segment
that was charged off due to bankruptcy during the month, as of month-end. Do not
include interest and fees. For the Delinquency Status segment, categorize charge-offs by
their delinquency status at charge-off.
5. $ Recoveries – The total dollar amount of any recovery collected during the month from
previously charged-off accounts for the segment, as of month-end. For the Delinquency
Status segment, categorize recoveries by their delinquency status at charge-off. Report
recoveries as a positive number.
6. $ Net Charge-offs – The total unpaid principal balance for the segment that was
charged-off in the reference month, net of any recoveries in the reference month.

Generally, $ Net Charge-offs should equal [$ Gross Contractual Charge-offs + $
Bankruptcy Charge-offs — $ Recoveries].
7. # New accounts – The total number of new accounts originated in the given month for
the segment as of month-end.
8. $ New commitments – The total dollar amount of new commitments on accounts
originated in the given month for the segment as of month-end. If unknown for some
accounts due to acquisition or merger, report the credit line at acquisition.

Schedule A.7 - Retail US Other Consumer Schedule

FR Y-14Q: Retail US Other Consumer Segmentation and Variables
Table A.7.a
Definition
Reference

Segments

Please provide all Dollar Unit data in $ Millions.

Variable Names

Data Types Format

Segment ID
Position

Attribute ID within Segment ID Positions
02
03

01
Report Instruction A - 1
Report Instruction A - 2

Product Type
Delinquency Status

PRODUCT_TYPE
DLQ_STATUS

Character
Character

char(35)
char(35)

1-2
3-4

Secured-Revolving
Current + 1-29 DPD

Secured-Installment
30-59 DPD

Unsecured-Revolving
60-89 DPD

Report Instruction A - 3

Original FICO or Equivalent

ORIG_FICO

Character

char(35)

5-6

<= 620

> 620

N/A

Report Instruction A - 4

Original Loan-to-Value

ORIG_LTV

Character

char(35)

7-8

<=70 or not applicable

>70 and <100

>=100

Table A.7.b
Definition
Reference
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction

B-1
B-2
B-3
B-4
B-5
B-6
B-7
B-8

Summary Variables
Variable Names
# Accounts
N_ACCT
$ Outstandings
D_OS
$ Gross contractual charge-offs D_GCO
$ Bankruptcy charge-offs
D_BKCO
$ Recoveries
D_RECOVERIES
$ Net Charge-offs
D_NET_CO
# New Accounts
N_NEW_ACCOUNTS
$ New Commitments
D_NEW_COMMITMENTS

Data Types
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric

Format
16.
16.6
16.6
16.6
16.6
16.6
16.
16.6

04
Unsecured-Installment
90-119 DPD

05
Overdraft
120+ DPD

A.8 – International Small Business
In this worksheet, include all "scored" or "delinquency managed" international small
business loans. The main differentiating factor between corporate loans and small business
loans is how the consolidated holding company evaluates the creditworthiness of the
borrower. For small business lending, banks look at the credit score of the borrower
(scored rating) and/or use delinquency management. Therefore, small business loans are
loans that are “scored” or “delinquency managed” for which a commercial internal risk
rating is not used or that uses a different scale than other corporate loans. Include
international small business loans as defined in the FR Y-9C, Schedule HC-C included in
items 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.1, 9.b.2, and 10.b. Exclude corporate and SME credit card
loans as defined in the FR Y-9C, Schedule HC-C, item 4.b. For domestic small business loans,
see the instructions for Worksheet 9.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are three product type segments, two age segments, four geography
segments, three original FICO score or equivalent segments, five delinquency status
segments, and two secured or unsecured segments; therefore, the portfolio must be divided
into a total of 3*2*4*3*5*2 = 720 distinct segments. Each segment should be identified by a
unique twelve-digit segment ID (variable name: SEGMENT_ID) based on the segment ID
positions and attribute codes listed in Table A.8.a. For example, the segment containing
term loans (product type segment “02”) that are greater than three years old (age segment
“02”), were made to borrowers that reside in the Asia Pacific region (geography segment
“04”), had an origination FICO score or equivalent of greater than 620 (original FICO score
or equivalent segment “02”), are 120+ DPD (delinquency status segment “05”), and are
secured (secured or unsecured segment “01”) should be identified by the segment ID
“020204020501”. When reporting the segment ID, do not drop leading zeroes.
Start each row of data with your BHC name (Variable name: BHC_NAME), your RSSD ID
number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID), and segment ID
(variable name: SEGMENT_ID). Use “IntSB” for the portfolio ID within this worksheet. For
each row, populate the segment variables listed in Table A.8.a and the summary variables
listed in Table A.8.b. Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product type - Segment the portfolio into the following product types as of month-end:
01 - Line of Credit
02 - Term Loan
03 - Other
2. Age - Age refers to the time that has elapsed since the account was originated.
01 - <= Three years old
02 - > Three years old
3. Geography –Segment the portfolio into the following four geographical area
designations. The borrower’s current place of residency should be used to define the

region.
01 - Region 1: Canada
02 - Region 2: EMEA—Europe, Middle East, and Africa
03 - Region 3: LATAM—Latin America and Caribbean
04 - Region 4: APAC—Asia-Pacific
4. Original FICO or equivalent – Segment the portfolio by original FICO score or
equivalent. Original FICO or equivalent should be the score upon which the original
underwriting decision was based. If the bank does not have original FICO scores, map the
internal score or other bureau score used to the equivalent FICO score. Segment the
portfolio into the following three categories:
01 - <= 620
02 -> 620
03 - N/A – Original FICO or equivalent score is missing or unknown
5. Delinquency status - Segment the portfolio into the following five delinquency statuses:
01 - Current and 1-29 days past due (DPD): Accounts that are not past due (accruing
and non- accruing) as of month-end and accounts that are 1 to 29 days past due
(accruing and non-accruing) as of month-end.
02 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.
03 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 - 120+ DPD: Accounts that are 120 or more days past due (accruing and nonaccruing) as of month-end.
6. Secured or unsecured: Segment the portfolio based on the following two categories:
01 - Secured
02 - Unsecured
B. Summary Variables
For each of the segments described above and for each reference month, report the
following summary variables:
1. # Accounts – Total number of accounts on the book for the segment as of month-end.
2. $ Outstandings – Total unpaid principal balance for accounts on the book for the
segment as of month-end.
3. # New accounts – The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end.
4. $ New accounts – The total dollar amount of new accounts originated (or purchased) in
the given month for the segment as of month-end.
5. $ Commitments – The total dollar amount of commitments for the segment as of
month-end.
6. $ Modifications – Total unpaid principal balance of loans that have been adjusted as
part of a loan modification program. For purposes of this Schedule, a loan modification

occurs when the terms of the loan were changed from those stated in the original loan
contract as part of loss mitigation efforts.
7. $ Gross contractual charge-offs – The total unpaid principal balance of loans in the
segment that was contractually or otherwise (excluding bankruptcy) charged off during
the month, as of month-end. Do not include interest and fees. For the Delinquency
Status segment, categorize charge-offs by their delinquency status at charge-off. Include
all partial charge-off accounts (i.e., taken at re-possession, death of the borrower, etc.,
excluding bankruptcy).
8. $ Bankruptcy charge-offs – The total unpaid principal balance of loans in the segment
that was charged off due to bankruptcy during the month, as of month-end. Do not
include interest and fees. For the Delinquency Status segment, categorize charge-offs by
their delinquency status at charge-off.
9. $ Recoveries The total dollar amount of any recovery collected during the month from
previously charged-off accounts for the segment, as of month-end. For the Delinquency
Status segment, categorize recoveries by their delinquency status at charge-off. Report
recoveries as a positive number. Recovery includes payments, credits and proceeds
from sale / disposition of the collateral.
10. $ Net charge-offs – The total unpaid principal balance for the segment that was
charged-off in the reference month, net of any recoveries in the reference month.
Generally, $ net charge-offs should equal [$ gross contractual charge-offs + $ bankruptcy
charge-offs — $ recoveries].
11. Adjustment factor to reconcile $ gross contractual charge-offs to $ net charge-offs
– If it is not the case that $ net charge-offs equals [$ gross contractual charge-offs + $
bankruptcy charge-offs — $ recoveries], provide the value of $ net charge-offs minus [$
gross contractual charge-offs + $ bankruptcy charge-offs — $ recoveries] in this
variable, and separately provide an explanation for the difference. As a separate
document included in the submission, provide an explanation for such a difference (for
example, fraud losses are also included in the reporting BHC’s $ net charge-offs
variable). If the adjustment factor variable represents more than one factor leading to
the difference, provide a separate breakout of the multiple factors.

Schedule A.8 - Retail International Small Business Schedule

Please provide all Dollar Unit data in $ Millions.

Table A.8.a
Definition
Reference
Report
Report
Report
Report
Report
Report

Segments

Instruction
Instruction
Instruction
Instruction
Instruction
Instruction

A-1
A-2
A-3
A-4
A-5
A-6

Variable Name

Product Type
Age
Geography
Original FICO or equivalent
Delinquency Status
Secured or Unsecured

Data Type Format

PRODUCT_TYPE
AGE
GEOGRAPHY
ORIG_FICO
DLQ_STATUS
SECURED

Character
Character
Character
Character
Character
Character

char(35)
char(35)
char(35)
char(35)
char(35)
char(35)

Segment ID
Position
1-2
3-4
5-6
7-8
9-10
11-12

01
Line of Credit
<= Three years old
Region 1
< = 620
Current + 1-29 DPD
Secured

Attribute ID within Segment ID Positions
02
03
04
05
Term Loan
Other
> Three years old
Region 4
Region 2
Region 3
>620
N/A
30-59 DPD
60-89 DPD 90-119 DPD 120+ DPD
Unsecured

Table A.8.b
Definition
Reference
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction
Report Instruction

B-1
B-2
B-3
B-4
B-5
B-6
B-7
B-8
B-9
B - 10

Report Instruction B - 11

Summary Variables
# Accounts
$ Outstandings
# New Accounts
$ New Accounts
$ Commitments
$ Modifications
$ Gross Contractual Charge-offs
$ Bankruptcy Charge-offs
$ Recoveries
$ Net Charge-offs
Adjustment Factor to Reconcile $ Gross
Contractual Charge-off to $ Net Charge-offs

Variable Name
N_ACCT
D_OS
N_NEW_ACCOUNTS
D_NEW_ACCOUNTS
D_COMMITMENTS
D_MODIFICATIONS
D_GROSS_CONTRACTUAL_CO
D_BANKRUPTCY_CO
D_RECOVERIES
D_NET_CO

Data Type
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric

Format
16.
16.6
16.
16.6
16.6
16.6
16.6
16.6
16.6
16.6

D_ADJ_NET_CO

Numeric

16.6

Region
Region
Region
Region

Regions
1
2
3
4

International Geographic Regions
Canada
EMEA--Europe, Middle East, and Africa
LATAM--Latin America and Caribbean
APAC--Asia Pacific

A.9 – US Small Business
In this worksheet, include all "scored" or "delinquency managed" domestic small business
loans. The main differentiating factor between corporate loans and small business loans is
how the consolidated holding company evaluates the creditworthiness of the borrower. For
small business lending, banks look at the credit score of the borrower (scored rating)
and/or use delinquency management. Therefore, small business loans are loans that are
“scored” or “delinquency managed” for which a commercial internal risk rating is not used
or that uses a different scale than other corporate loans. Include domestic small business
loans as defined in the FR Y-9C, Schedule HC-C included in items 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a,
9.b.1, 9.b.2, and 10.b. Exclude corporate and SME credit card loans as defined in the FR Y9C, Schedule HC-C, item 4.a. . For international small business loans, see the instructions
for Worksheet 8.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are three product type segments, two age segments, three original FICO or
equivalent segments, five delinquency status segments, and two secured or unsecured
segments; therefore, the portfolio must be divided into a total of 3*2*3*5*2 = 180 distinct
segments. Each segment should be identified by a unique ten-digit segment ID (variable
name: SEGMENT_ID) based on the segment ID positions and attribute codes listed in Table
A.9.a. For example, the segment containing term loans (product segment “02”) that are less
than or equal to three years old (age segment “01”), had an origination FICO score or
equivalent of greater than 620 (original FICO score or equivalent segment “02”), are 120+
DPD (delinquency status segment “05”), and are secured (secured or unsecured segment
“01”) should be identified by the segment ID “0201020501”. When reporting the segment
ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 180 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC name (Variable name: BHC_NAME), your RSSD ID
number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID) and segment ID
(variable name: SEGMENT_ID). Use “USSB” for portfolio ID within this worksheet. For each
row, populate the segment variables listed in Table A.9.a and the summary variables listed
in Table A.9.b. Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product type - Segment the portfolio into the following product types as of month-end:
01- Line of Credit
02 - Term Loan
03 - Other
2. Age - Age refers to the time that has elapsed since the account was originated.
01 - <= Three years old
02 - > Three years old

3. Original FICO or equivalent – Segment the portfolio by original FICO score or
equivalent. Original FICO or equivalent should be the score upon which the original
underwriting decision was based. If the bank does not have original FICO scores, map the
internal score or other bureau score used to the equivalent FICO score. Segment the
portfolio into the following three categories:
01 - <= 620
02 - > 620
03 - N/A - Original FICO or equivalent score is missing or unknown
4. Delinquency status - Segment the portfolio into the following five delinquency statuses:
01 - Current and 1-29 (days past due) DPD: Accounts that are not past due (accruing
and non- accruing) as of month-end and accounts that are 1 to 29 days past due
(accruing and non-accruing) as of month-end.
02 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.
03 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 - 120+ DPD: Accounts that are 120 or more days past due (accruing and nonaccruing) as of month-end.
5. Secured or unsecured: Segment the portfolio based on the following two categories:
01 - Secured
02 - Unsecured
B. Summary Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A. When calculating account numbers or balances, do not
include accounts which have been fully or partially charged off as of month-end unless
otherwise specified.
1. # Accounts – Total number of accounts on the book for the segment as of month-end.
2. $ Outstandings – Total unpaid principal balance for accounts on the book for the
segment as of month-end.
3. # New accounts – The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end.
4. $ New accounts – The total dollar amount of new accounts originated (or purchased) in
the given month for the segment as of month-end.
5. $ Commitments – The total dollar amount of commitments for the segment as of
month-end.
6. $ Modifications – Total unpaid principal balance of loans that have been adjusted as
part of a loan modification program. For purposes of this Schedule, a loan modification
occurs when the terms of the loan were changed from those stated in the original loan
contract as part of loss mitigation efforts.

7. $ Gross contractual charge-offs – The total unpaid principal balance of loans in the
segment that was contractually or otherwise (excluding bankruptcy) charged off during
the month, as of month-end. Do not include interest and fees. For the Delinquency
Status segment, categorize charge-offs by their delinquency status at charge-off. Include
all partial charge-off accounts (i.e., taken at re-possession, death of the borrower, etc.,
excluding bankruptcy).
8. $ Bankruptcy charge-offs – The total unpaid principal balance of loans in the segment
that was charged off due to bankruptcy during the month, as of month-end. Do not
include interest and fees. For the Delinquency Status segment, categorize charge-offs by
their delinquency status at charge-off.
9. $ Recoveries – The total dollar amount of any recovery collected during the month
from previously charged-off accounts for the segment, as of month-end. For the
Delinquency Status segment, categorize recoveries by their delinquency status at
charge-off. Report recoveries as a positive number. Recovery includes payments,
credits and proceeds from sale / disposition of the collateral.
10. $ Net charge-offs – The total unpaid principal balance for the segment that was
charged-off in the reference month, net of any recoveries in the reference month.
Generally, $ net charge-offs should equal [$ gross contractual charge-offs + $ bankruptcy
charge-offs — $ recoveries].
11. Adjustment factor to reconcile $ gross contractual charge-offs to $ net charge-offs
– If it is not the case that $ net charge-offs equals [$ gross contractual charge-offs + $
bankruptcy charge-offs — $ recoveries], provide the value of $ net charge-offs minus [$
gross contractual charge-offs + $ bankruptcy charge-offs — $ recoveries] in this
variable, and separately provide an explanation for the difference. In a separate
document included in the submission, provide an explanation for such a difference (for
example, fraud losses are also included in the reporting BHC’s $ Net Charge-offs
variable). If the adjustment factor variable represents more than one factor leading to
the difference, provide a separate breakout of the multiple factors.

Schedule A.9 - Retail US Small Business Schedule
FR Y14-Q: US Small Business Schedule

Table A.9.a
Definition
Reference

Segments

Report Instruction A - 1
Report Instruction A - 2
Report Instruction A - 3
Report Instruction A - 4
Report Instruction A - 5

Product Type
Age
Original FICO or equivalent
Delinquency Status
Secured or Unsecured

Please provide all Dollar Unit data in $ Millions.
Variable Name

Data Type Format

PRODUCT_TYPE
AGE
ORIG_FICO
DLQ_STATUS
SECURED

Character
Character
Character
Character
Character

char(35)
char(35)
char(35)
char(35)
char(35)

Variable Name
N_ACCT
D_OS
N_NEW_ACCOUNTS
D_NEW_ACCOUNTS
D_COMMITMENTS
D_MODIFICATIONS
D_GROSS_CONTRACTUAL_CO
D_BANKRUPTCY_CO
D_RECOVERIES
D_NET_CO

Data Type
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric

Format
16.
16.6
16.
16.6
16.6
16.6
16.6
16.6
16.6
16.6

D_ADJ_NET_CO

Numeric

16.6

Table A.9.b
Definition
Reference
Report Instruction B - 1
Report Instruction B - 2
Report Instruction B - 3
Report Instruction B - 4
Report Instruction B - 5
Report Instruction B - 6
Report Instruction B - 7
Report Instruction B - 8
Report Instruction B - 9
Report Instruction B - 10
Report Instruction B - 11

Segment ID
Position
1-2
3-4
5-6
7-8
9-10

Attribute ID within Segment ID Positions
01
02
03
04
05
Line of Credit
Term Loan
Other
<= Three years old
> Three years old
< = 620
>620
N/A
Current + 1-29 DPD
30-59 DPD 60-89 DPD 90-119 DPD 120+ DPD
Secured
Unsecured

A.10 – Student Loan
In this worksheet, include all student loans as defined in the FR Y-9C, Schedule HC-C, lines
6.b and 6.d.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are two product type segments, five age segments, three original FICO score
or equivalent segments, five delinquency status segments, and four education level
segments; therefore, the portfolio must be divided into a total of 2*5*3*5*4 = 600 distinct
segments. Each segment should be identified by a unique ten-digit segment ID (variable
name: SEGMENT_ID) based on the segment ID positions and attribute codes listed in Table
A.10.a. For example, the segment containing government guaranteed student loans
(product type segment “01”) that are less than three years old (age segment “05”), had an
origination FICO score or equivalent of greater than 660 (original FICO score or equivalent
segment “02”), are 120+ DPD (delinquency status segment “05”), and were made to loan
recipients pursuing an undergraduate degree (education level segment “01”) should be
identified by the segment ID “0105020501”. When reporting the segment ID, do not drop
leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 600 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period
only.
Start each row of data with your BHC name (Variable name: BHC_NAME), your RSSD ID
number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID), and segment ID
(variable name: SEGMENT_ID). Use the portfolio ID “Student” for portfolio ID for this
worksheet. For each row, populate the segment variables listed in Table A.10.a and the
summary variables listed in Table A.10.b. Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product type – Reporting institutions should segment the portfolio into the following
two product types. An example of a government guaranteed loan is a FFELP loan.
01 - Managed - Government Guaranteed
02 - Managed – Private
2. Age – Refers to the time that has elapsed since the loan was originated. If there were
multiple disbursements tied to an original then use the time since the first disbursement.
There are five possible ages to report:
01 - 6 years <= Age
02 - 5 years <= Age < 6 years
03 - 4 years <= Age < 5 years
04 - 3 years <= Age < 4 years
05 - Age < 3 years
47

3. Original FICO or equivalent – Reporting institutions should segment the portfolio by
original FICO score (or equivalent). The FICO score can be based on the credit bureau
service the institution uses as its source. Original FICO reflects the score upon which the
original underwriting decision was based. If the bank does NOT obtain original FICO
scores, map the internal score or other bureau score used for the FICO scores and report
that score. Include borrower FICO in this calculation even if the borrower’s FICO score
was not used to make the underwriting decision because of the presence of a co-signer.
Segment the portfolio into the following three categories:
01 - <= 660
02 - > 660
03 - N/A— Original FICO or equivalent score is missing or unknown
4. Delinquency status - Reporting institutions should segment the portfolio into the
following five delinquency statuses:
01 - Current + 1-29 days past due (DPD): Accounts that are not past due (accruing and
non-accruing) as of month-end and accounts that are 1 to 29 days past due
(accruing and non-accruing) as of month-end.
02 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.
03 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 - 120+ DPD: Accounts that are 120 or more days past due (accruing and nonaccruing) as of month-end.
5. Education level – The level of education being pursued by the recipient of the loan. For
consolidated loans, report the highest level of education pursued by the borrower.
01 - Undergraduate – 4 year
02 - Graduate / Professional
03 - Other (e.g. community college, trade school, etc.)
04 - Not available
B. Summary Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A. When calculating account numbers or balances, do not
include accounts which have been fully or partially charged off as of month-end unless
otherwise specified.
1. # Accounts – Total number of accounts on the book for the segment as of month-end.
2. $ Outstandings – Total unpaid principal balance for accounts on the book for the
segment as of month-end.
3. # Accounts in repayment – Total number of accounts on the book for the segment as of
month- end that have entered the loan’s repayment period.
4. $ Outstandings in repayment – Total unpaid principal balance for accounts on the
book for the segment as of month-end that have entered the loan’s repayment period.
5. # New disbursements – The total number of new disbursements in the given month for
48

the segment as of month-end.
6. $ New disbursements – The total dollar amount disbursed in the given month for the
segment as of month-end.
7. $ of Unpaid principal balance with co-signer – The dollar amount of unpaid principal
balance in the segment that was underwritten with a co-signer reported as of the
month-end.
8. $ of Unpaid principal balance in grace – The dollar amount of unpaid principal
balance for accounts that are in grace status for the segment being reported as of monthend.
9. $ of Unpaid principal balance in deferment – The dollar amount of unpaid principal
balance for accounts that are in deferment status for the segment being reported as of
month-end.
10. $ of Unpaid principal balance in forbearance – The dollar amount of unpaid principal
balance for accounts that are in forbearance status for the segment being reported as of
month-end.
11. $ CDR [0% through 1.99%) - The total unpaid principal balance in the segment that
has a school cohort default rate as computed by the Department of Education falling
within 0% through 1.99% as of the month-end.
12. $ CDR [2% through 3.99%) – The total unpaid principal balance in the segment that
has a school cohort default rate as computed by the Department of Education falling
within 2% through 3.99% as of the month-end.
13. $ CDR [4% through 5.99%) – The total unpaid principal balance in the segment that
has a cohort default rate falling within 4% through 5.99% as of the month-end.
14. $ CDR [6% through 7.99%) – The total unpaid principal balance in the segment that
has a cohort default rate falling within 6% through 7.99% as of the month-end.
15. $ CDR [8% through 9.99%) – The total unpaid principal balance in the segment that
has a cohort default rate falling within 8% through 9.99% as of the month-end.
16. $ CDR > 10% - The total unpaid principal balance in the segment that has a cohort
default rate falling above 10%as of the month-end.
17. $ CDR = N/A - The total unpaid principal balance in the segment that has no cohort
default rate as of the month-end.
18. $ Gross contractual charge-offs – The total unpaid principal balance for the segment
that was contractually charged off as of month-end. Report principal charge-offs only,
not interest and fees. For the delinquency status segmentation, categorize charge-offs by
the delinquency status at charge-off.
19. $ Bankruptcy charge-offs – The total unpaid principal balance of loans in the segment
that was charged off due to bankruptcy during the month, as of month-end. Do not
include interest and fees. For the Delinquency Status segment, categorize charge-offs by
their delinquency status at charge-off.
49

20. $ Recoveries – The total dollar amount of any recovery collected during the month
from previously charged-off accounts for the segment, as of month-end. For the
Delinquency Status segment, categorize recoveries by their delinquency status at
charge-off. Report recoveries as a positive number.
21. $ Net Charge-offs – The total unpaid principal balance for the segment that was
charged-off in the reference month, net of any recoveries in the reference month.
Generally, $ Net Charge-offs should equal [$ Gross Contractual Charge-offs + $
Bankruptcy Charge-offs — $ Recoveries].
22. Adjustment factor to reconcile $ gross contractual charge-offs to $ net charge-offs
– If it is not the case that $ Net Charge-offs equals [$ Gross Contractual Charge-offs + $
Bankruptcy Charge-offs — $ Recoveries], provide the value of $ Net Charge-offs minus [$
Gross Contractual Charge-offs + $ Bankruptcy Charge-offs — $ Recoveries] in this
variable, and separately provide an explanation for the difference. As a separate
document included in the submission, provide an explanation for such a difference (for
example, fraud losses are also included in the Reporting Institution’s $ Net Charge-offs
variable). If the adjustment factor variable represents more than one factor leading to
the difference, provide a separate breakout of the multiple factors.

Schedule A.10 - Retail Student Loan Schedule

Table A.10.a
Definition
Reference

Report Instruction A - 1
Report Instruction A - 2
Report Instruction A - 3
Report Instruction A - 4
Report Instruction A - 5

Segments

Variable Names

Product Type
Age
Original FICO or equivalent
Delinquency Status
Education level

PRODUCT_TYPE
AGE
ORIG_FICO
DLQ_STATUS
EDUC_LEVEL

Please provide all Dollar Unit data in $ Millions.
Segment ID
Data Types Format
Position
Attribute ID within Segment ID Positions
01
02
03
04
Managed - Gov
Character char(35)
1-2
Guaranteed
Managed - Private
Character char(35)
3-4
6 years <= Age
5 years <= Age < 6 years
4 years <= Age < 5 years 3 years <= Age < 4 years
Character char(35)
5-6
<= 660
>660
NA
Character char(35)
7-8
Current + 1-29 DPD
30-59 DPD
60-89 DPD
90-119 DPD
Character char(35)
9-10
Undergraduate - 4 year
Graduate / Professional
Other
Not Available

Table A.10.b
Definition
Reference
Report Instruction B - 1
Report Instruction B - 2
Report Instruction B - 3
Report Instruction B - 4
Report Instruction B - 5
Report Instruction B - 6
Report Instruction B - 7
Report Instruction B - 8
Report Instruction B - 9
Report Instruction B - 10
Report Instruction B - 11
Report Instruction B - 12
Report Instruction B - 13
Report Instruction B - 14
Report Instruction B - 15
Report Instruction B - 16
Report Instruction B - 17
Report Instruction B - 18
Report Instruction B - 19
Report Instruction B - 20
Report Instruction B - 21
Report Instruction B - 22

Summary Variables
# Accounts
$ Outstandings
# Accounts in repayment
$ Outstandings in repayment
# New Disbursements
$ New Disbursements
$ UPB with Co-Signer
$ UPB In-Grace
$ UPB In-Deferment
$ UPB In-Forebearance
$ CDR [ 0% through 1.99%)
$ CDR [ 2% through 3.99%)
$ CDR [ 4% through 5.99%)
$ CDR [ 6% through 7.99%)
$ CDR [ 8% through 9.99%)
$ CDR >=10%
$ CDR = N/A
$ Gross Contractual Charge-offs
$ Bankruptcy Charge-offs
$ Recoveries
$ Net Charge-offs
Adjustment Factor to Reconcile $ Gross
Contractual Charge-off to $ Net Charge-offs

Variable Name
N_ACCT
D_OS
N_ACCT_REPAY
D_OS_REPAY
N_NEW_DISBURSEMENTS
D_NEW_DISBURSEMENTS
D_UPB_COSIGN
D_UPB_INGRACE
D_UPB_INDEF
D_UPB_INFORE
D_CDR_000199
D_CDR_200399
D_CDR_400599
D_CDR_600799
D_CDR_800999
D_CDR_GT1000
D_CDR_NA
D_GROSS_CONTRACTUAL_CO
D_BANKRUPTCY_CO
D_RECOVERIES
D_NET_CO

Data Type
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric
Numeric

Format
16.
16.6
16.
16.6
16.
16.6
16.6
16.6
16.6
16.6
16.6
16.6
16.6
16.6
16.6
16.6
16.6
16.6
16.6
16.6
16.6

D_ADJ_NET_CO

Numeric

16.6

Age < 3 years
120+ DPD

Schedule B—Securities
Each BHC should complete the three worksheets (Securities Coversheet, Securities 1, and
Securities 2) in this schedule. Do not rename any of the three worksheets (tabs), the
column headings, or the row headings. Do not add or delete any columns or rows in the
Securities Coversheet and Securities 2 worksheets. Do not add or delete any columns in the
Securities 1 worksheet. Do not change the formatting in any of the worksheets.
The completed file should be submitted with the following naming convention: FR_Y14Q_Securities_firm_mmddyyyy_v.??.xlsx, where firm = short name for the financial
institution, mmddyyyy = the date for the last day of the quarter, and v.?? = the version
submitted (“v.01” should be used for the initial quarterly submission: for each subsequent
resubmission, this value should be increased by .01).
Exclude from this schedule all securities held for trading and securities the holding
company has elected to report at fair value under a fair value option even if holding
company management did not acquire the securities principally for the purpose of selling
them in the near term. Amounts should be reported in millions of U.S. dollars.
B.1—Securities 1
The Securities 1 worksheet collects CUSIP-level details on positions, security type,
cumulative OTTI (credit and non-credit related impairments) by security, and accounting
intent (AFS or HTM).
Identifier Type and Identifier Value
Report CUSIP-level data for all available-for-sale (AFS) and held-to-maturity (HTM)
securities, including the identifier type (CUSIP, ISIN, or other) and identifier value (CUSIP
number, ISIN number, etc.), according to the security classifications provided in the Security
Description 1 column, adding new rows as necessary.
Security Description
Report the security description as indicated below.
Agency MBS: Report mortgage-backed securities (MBS) issued or guaranteed by U.S.
Government agencies.
Auction Rate Securities: Report auction rate securities. Auction-rate securities are variable
rate securities with long-term maturities whose interest rates are periodically reset through
auctions occurring at predetermined short-term intervals (generally 7, 14, 28, or 35 days).
CDO: Report collateralized debt obligations (CDOs). CDOs are asset-backed securities
collateralized by a discrete portfolio of fixed income assets and that make payments based
on the performance of those assets.
CLO: Report collateralized loan obligations (CLOs). CLOs are securitizations of portfolios of
loans through a bankruptcy-remote special-purpose vehicle (SPV) that issues asset-backed
securities in one or more classes (or tranches). In general, CLOs are backed by a variety of
assets, including whole commercial loans, revolving credit facilities, letters of credit, and
bankers’ acceptances.
CMBS: Report commercial mortgage-backed securities (CMBS).
52

Common Stock (Equity): Report common stock (equity). Provide the name of the issuer in
the Security Description 2 column.
Auto ABS: Report asset-backed securities (ABS) collateralized by auto loans.
Credit Card ABS: Report asset-backed securities (ABS) collateralized by credit card loans.
Student Loan ABS: Report asset-backed securities (ABS) collateralized by student loans.
Other ABS (excl HEL ABS): Report all other ABS that cannot properly be reported as auto
ABS, credit card ABS, student loan ABS or home equity loan ABS.
Corporate Bond: Report corporate bonds. Corporate bonds are debt obligations issued by
corporations and may be secured or unsecured. Report the issuer name in the Security
Description 2 column. Report the sector (i.e., the industry name) in the Security Description
3 column according to North American Industry Classification System (NAICS) industry. If a
NAICS industry is not available, report the relevant Global Industry Classification Standard
(GICS) industry. If neither NAICS nor GICs industries are available, report the relevant
Standard Industrial Classification (SIC) industry.
Domestic Non-Agency RMBS (incl HEL ABS): Report residential mortgage-backed securities
(RMBS), including securities backed by home equity loans, that are issued by domestic nongovernment agency entities.
Foreign RMBS: Report residential mortgage-backed securities of foreign issuers. Provide
the country in the Security Description 2 column.
Municipal Bond: Report bonds issued by states, cities, counties, and other governmental
entities at or below the state level.
Mutual Fund: Report investments in mutual funds, including money market mutual funds
and mutual funds that invest solely in U.S. government securities.
Preferred Stock (Equity): Refer to the FR Y-9C Glossary entry for “Preferred Stock.” Provide
the issuer name in the Security Description 2 column.
Sovereign Bond: Report bonds issued by the central governments of foreign countries.
Provide the two-letter Country ISO code in the Security Description 2 column.
US Treasuries & Agencies: Exclude mortgage-backed securities. Report U.S. government
agency obligations issued by U.S. government agencies and U.S. government-sponsored
agencies, including but not limited to, Small Business Administration “Guaranteed Loan Pool
Certificates,” U.S. Maritime Administration obligations, and Export–Import Bank
participation certificates. Include obligations (other than mortgage-backed securities)
issued by the Farm Credit System, the Federal Home Loan Bank System, the Federal Home
Loan Mortgage Corporation, the Federal National Mortgage Association, the Financing
Corporation, Resolution Funding Corporation, the Student Loan Marketing Association, and
the Tennessee Valley Authority.
Other: Report all securities that cannot properly be reported in the categories above.
Exposure to Debt/Equity Security (USD Equivalent)
Report exposure to the debt/equity security as indicated below.
53

Amortized Cost (USD Equivalent): In general, amortized cost is the purchase price of a debt
security adjusted for amortization of premium or accretion of discount if the debt security
was purchased at other than par or face value (for more information, refer to the FR Y-9C
Glossary entry for “premiums and discounts”).
Market Value (USD Equivalent): In general, market value is “the price that would be received
to sell an asset or paid to transfer a liability in an orderly transaction between market
participants at the measurement date.” For further information, refer to ASC Topic 820,
Fair Value Measurements and Disclosures (formerly FASB Statement No. 157, Fair Value
Measurements) and the FR Y-9C glossary entry for “fair value.”
Current Face Value: The nominal dollar amount of the security as of the report date.
Original Face Value: The nominal dollar amount originally assigned to the security by the
issuer.
OTTI Taken
Report the cumulative amount of other-than-temporary impairments (OTTI) taken by the
BHC on the security (this differs from the Securities 2 worksheet, which requests OTTI
taken only in the stated quarter).
Accounting Intent
Indicate whether the security is available-for-sale (AFS) or held-to-maturity (HTM).
Pricing Date
Report the pricing date of the security.
Book yield
Report the effective interest rate that would be used to determine credit losses on debt
instruments for other‐than‐temporary impairment (OTTI) purposes. This item is not
required for equity securities. For securitization debt, this relates to the yield implicit at the
time of acquisition. For further information, refer to ASC Topic 320, Investments—Debt and
Equity Securities (formerly FASB Statement No. 115, Accounting for Certain Investments in
Debt and Equity Securities).
Purchase Date
Report the date on which the security was purchased or acquired. This item is not required
for equity securities. The purchase date should be the date associated with the amortized
cost value of the security. If current holdings of the same security were acquired in
different periods, please provide the amounts and respective purchase dates for the
holdings.

B.2—Securities 2
The Securities 2 worksheet collects aggregate positions and OTTI taken into earnings. BHCs
should complete the unshaded cells only, providing the amortized cost, market and current
face values for the AFS and HTM exposures as of quarter-end.
OTTI recognized in earnings should be reported by type of exposure, and should only
include the amount taken in the stated quarter.
Realized gains and losses should represent the amount recognized based on sales of AFS
securities for the reporting quarter.
Report aggregate positions according to the securities descriptions as defined above for the
Securities 1 worksheet.
In a separate worksheet, provide details on “Other” AFS securities, including security type,
amortized cost, market value, current face value and OTTI for the reporting quarter,
utilizing the same template provided in the Securities 2 worksheet.
The total amortized cost of AFS and HTM securities (reported on lines 20 and 40,
respectively) must be equal to the sum of the amortized cost of AFS and HTM securities
reported in Schedule HC-B, Securities, of the FR Y-9C (item 8, Columns C and A ,
respectively).
The total market value of AFS and HTM securities (reported on lines 20 and 40,
respectively) must be equal to the sum of the fair value of AFS and HTM securities reported
in Schedule HC-B, Securities, of the FR Y-9C (item 8, Columns D and B, respectively).

Schedule C—Regulatory Capital Instruments
General guidance
The FR Y-14Q Regulatory Capital Instruments quarterly schedules collect historical data of
BHCs’ balances of the funded instruments that are included in regulatory capital. They
collect historical data at the CUSIP level on the balances of each funded regulatory capital
instrument, in addition to information on any issuances and redemptions of individual
instruments that occurred during the quarter.
Note: The quarterly schedule does not require BHCs to report changes in the balances of
capital instruments due to amortizations or accretions as either Redemptions or Issuances.
C.1—Regulatory Capital Instruments as of Quarter End
This worksheet collects historical information on the BHCs’ regulatory capital instruments
as of the end of the most recent quarter. Complete this worksheet with details on each of
the funded capital instruments your BHC includes in regulatory capital as of quarter end.
For each instrument, provide the applicable details below:
Column Instructions
Column B
Committee on Uniform Securities and Identification (CUSIP) or unique
identifier provided by BHC
Report the CUSIP number or unique identification number assigned to the instrument as
provided by the BHC.
Column C
Instrument type
Report the type of regulatory capital instrument. Instruments should be reported based on
whether they were included in Tier 1 or Tier 2 regulatory capital. Select from options in the
drop down box.
Column D
General risk based capital rules treatment
Report the regulatory capital treatment for the instrument under the Basel I rule set. Select
from options in the drop down box.
Column E
Revised regulatory capital rule (July 2013) treatment
Report the regulatory capital treatment for the instrument as per the revised regulatory
capital rule issued July 2013.
Column F
Cumulative/noncumulative
Report whether the instrument’s coupon/dividend is cumulative or noncumulative. Select
from options in the drop down box.
Column G
Notional amount ($Millions)
Report the notional dollar amount of the instrument as of quarter end.
Column H
Amount recognized in regulatory capital ($Millions)
Report the dollar amount of the instrument that qualified as regulatory capital as of quarter
end.
Column I
Comments
Use this field to report any supporting information regarding the instrument.
56

C.2—Regulatory Capital Instrument Repurchases/Redemptions During Quarter
BHCs are to complete this worksheet with details on any repurchase or redemption activity
for its capital instruments during the quarter. For each instrument that was subject to a
redemption or repurchase, provide the applicable details below:
Column Instructions
Column B

Committee on Uniform Securities and Identification (CUSIP) or unique
identifier provided by BHC
Report the CUSIP number or unique identification number assigned to the instrument as
provided by the BHC.
Column C
Instrument type
Report the type of regulatory capital instrument. Select from options in the drop down box.
Column D
General risk based capital rules treatment
Report the regulatory capital treatment for the instrument under the Basel I rule set. Select
from options in the drop down box.
Column E
Revised regulatory capital rule (July 2013) treatment
Report the regulatory capital treatment for the instrument as per the revised regulatory
capital rule issued July 2013.
Column F
Redemption action
Report the redemption action executed on the instrument. Select from options in the drop
down box.
Column G
Date on which action was executed (mm/dd/yyyy)
Report the date on which the redemption/repurchase action was executed.
Column H
Notional amount transacted ($Millions)
Report the notional dollar amount by which the instrument was reduced as a result of the
redemption/repurchase action.
Column I
Regulatory capital amount transacted ($Millions)
Report the dollar amount of regulatory capital by which the instrument was reduced as a
result of the redemption/repurchase action.
Column J
Notional amount remaining at quarter end ($Millions)
Report the remaining notional dollar amount of the instrument as of quarter end.
Column K
Amount recognized in regulatory capital remaining at quarter end
($Millions)
Report the remaining dollar amount of the instrument that was included in regulatory
capital as of quarter end.
Column L
Comments
Use this field to report any supporting information regarding the instrument.
Note: Do not use this worksheet to report decreases in the amount of any capital instrument
that are the result of amortizations of the remaining balance of the instrument. Any
changes due to amortizations of instruments that occurred during the quarter should be
57

reflected in the balances of those instruments as reported on the Regulatory Capital
Instruments as of Quarter End worksheet.
C.3 – Regulatory Capital Instruments Issuances During Quarter
BHCs are to complete this worksheet with details on any issuances of capital instruments
that were included in regulatory capital during the quarter. For each issued instrument,
provide the applicable details below:
Column Instructions
Column B

Committee on Uniform Securities and Identification (CUSIP) or unique
identifier provided by BHC
Report the CUSIP number or unique identification number assigned to the instrument as
provided by the BHC
Column C
Instrument type
Report the type of regulatory capital instrument. Instruments should be reported based on
whether they were actually included in Tier 1 or Tier 2 regulatory capital. Select from
options in the drop down box.
Column D
Is issuance result of conversion?
Report whether the issued instrument is the result of a conversion. Select from options in
the drop down box.
Column E
If conversion, indicate CUSIP of original instrument
For issuances that are the result of a conversion, report the CUSIP of the instrument from
which the new issuance was converted.
Column F
Date of issuance (mm/dd/yyyy)
Report the date the instrument was issued.
Column G
General risk based capital rules treatment
Report the regulatory capital treatment for the instrument under the Basel I rule set. Select
from options in the drop down box.
Column H
Revised regulatory capital rule (July 2013) treatment
Report the regulatory capital treatment for the instrument as per the revised regulatory
capital rule issued July 2013.
Column I
Cumulative/noncumulative
Report whether the instrument’s coupon/dividend is cumulative or noncumulative. Select
from options in the drop down box.
Column J
Notional amount transacted ($Millions)
Report the notional dollar amount of the issued instrument.
Column K
Regulatory capital amount transacted ($Millions)
Report the dollar amount of the instrument that qualified as regulatory capital as of quarter end.
Column L
Perpetual/dated
Report whether the issued instrument is of fixed maturity (“dated”) or of no fixed date
when capital will be returned to the investor (“perpetual”). Select from options in the drop
down box.
58

Column M
If dated, date of maturity (mm/dd/yyyy)
For instruments of fixed maturity (i.e., “dated” instruments), report the maturity date. For
“perpetual” instruments, report “NA”.
Column N
Issuer call
Report whether there is an issuer call option for the instrument. Select from options in the
drop down box.
Column O
If callable, optional call date (mm/dd/yyyy)
For instruments that feature an issuer call option, report the first date of call.
Column P
Fixed/floating
Report whether the instrument has a fixed or floating coupon/dividend. Select from
options in the drop down box.
Column Q
Coupon/dividend rate (bps)
For instruments with fixed coupon/dividends, report the coupon/dividend rate for the
instrument. For instruments that have a floating coupon/dividend or that have neither a
fixed nor floating coupon/dividend rate (such as common stock), input the
coupon/dividend rate paid in the reporting quarter.
Column R
Index
For instruments with a coupon/dividend rate that is linked to the rate of a particular index,
report the index to which it is linked. For instruments with a fixed coupon/dividend rate,
report “NA”. Select from options in the drop down box.
Column S
Spread over index (bps)
For instruments with a coupon/dividend rate that is linked to the rate of a particular index,
report the spread over the relevant index in basis points (e.g., 1M LIBOR+50bps should be
reported as “50”). For instruments that have a fixed coupon/dividend rate or that have
neither a fixed nor floating coupon/dividend rate, report “NA”.
Column T
Existence of step up or other incentive to redeem
Report whether the instrument features a step up or other incentive to redeem the security.
Step–up securities initially pay the investor an above–market yield for a short period and
then, if not called, ‘‘step up’’ to a higher coupon rate. Select from options in the drop down
box.
Column U
Convertible/non-convertible
Report whether the instrument is convertible into another instrument or non–convertible.
Select from options in the drop down box.
Column V
If convertible, mandatory or optional conversion?
For instruments that are convertible into another instrument, report whether the
conversion is mandatory or optional. For non–convertible instruments, report “NA”. Select
from options in the drop down box.
Column W
If convertible, specify the instrument type into which it will convert
For instruments that are convertible into another instrument, report the type of instrument
into which the instrument will convert. For non–convertible instruments, report “NA”.
Select from options in the drop down box.
Column X

Comments
59

Use this field to report any supporting information regarding the instrument.
Do not use this worksheet to report increases in the amount of any capital instruments that
are the result of accretions that occurred during the quarter. Any changes due to accretions
that occurred during the quarter should be reflected in the balances of those instruments as
reported on the Regulatory Capital Instruments as of Quarter End worksheet.
Issuances of common stock associated with employee compensation plans should be
reported on this worksheet.

Schedule D—Regulatory Capital Transitions
General Guidance
For the purposes of the Regulatory Capital Transitions Schedule, BHCs must reflect the
revised regulatory capital rules on a fully phased-in basis (e.g., BHCs should apply 100% of
all capital deductions, not assuming the transition provisions for implementation of
changes to the capital composition as in the revised regulatory capital rule).
The Regulatory Capital Transitions FR Y-14Q quarterly schedule is used for monitoring
actual progress against the forecasts provided in the FR Y-14A submission. Submit the FR
Y-14Q schedule with actual data as of the close of each quarter (Note actual Q3 data is
submitted on the FR Y-14Q report in addition to the actual data submitted separately
on the FR Y-14A report).
Relevant Reference
On July 2, 2013, the Federal Reserve finalized the regulatory capital rules that were
proposed on August 30, 2012 and also issued the market risk NPR. All BHCs are required to
follow the methodologies outlined in the revised regulatory capital rule (July 2013), the
final market risk capital rule (77 Federal Register 53060, August 30, 2012), and market risk
NPR (July 2013) for purposes of completing the Regulatory Capital Transitions schedules
for the entire forecast period. BHCs should reflect the revised regulatory capital framework
on a fully phased-in basis.
Links to these reference documents are listed below:
•

Basel global systemically important banks: updated assessment methodology and
the higher loss absorbency requirement (July 2013):
http://www.bis.org/publ/bcbs255.pdf

•

Revised Regulatory Capital Rule (July 2013) including Preamble:
http://www.federalreserve.gov/bcreg20130702a.pdf

•

Final Market Risk Rule (77 Federal Register 53060, August 30, 2012):
http://www.ecfr.gov/cgi-bin/textidx?c=ecfr&SID=f0820797886e39c4a17a3c2e0be5a594&rgn=div9&view=text&nod
e=12:3.0.1.1.6.12.8.2.14&idno=12

•

Market Risk NPR (July 2013):
http://www.federalreserve.gov/aboutthefed/boardmeetings/20130702__Market_R
isk_Capital_Proposed_Rule.pdf

Completing the Schedule
All data should be provided in the non-shaded cells in all worksheets; grey shaded cells
include embedded formulas and will be automatically populated.
All BHCs, including advanced approaches BHCs and non-advanced approaches BHCs must
complete the “RWA_General” worksheet for all reporting periods. For the purpose of
completing the “RWA_General” worksheet, BHCs are required to report credit risk-weighted
assets using the methodologies under the standardized approach of the revised regulatory
capital rule. Advanced approaches BHCs, including the BHCs that are considered mandatory
advanced approaches institutions or that have opted-in voluntarily as an advanced
61

approaches institution, are also required to complete the “RWA_Advanced” worksheet for all
reporting periods.
If a BHC does not have an exposure relevant to any particular line item in the worksheets
(except for the Planned Action worksheet); it should enter zero (0) in those cells. In order
for the embedded formulas to automatically populate the shaded cells in the schedule with
calculated numbers, BHCs must complete all unshaded cells in the schedule with a value. In
addition, BHCs should ensure that the version of Microsoft Excel they use to complete the
schedule is set to automatically calculate formulas. This is achieved by setting “Calculation
Options” (under the Formulas function) to “Automatic” within Microsoft Excel.

D.1—Capital Composition
The “Capital Composition” worksheet (along with the “Exceptions Bucket Calculator”
worksheet) collects the data necessary to calculate the composition of capital under the
guidelines set forth by t h e Revised Regulatory Capital Rule (July 2013). Please provide all
data on a fully phased-in basis (i.e., not assuming any transitional or phase- out
arrangements included in the revised regulatory capital rule (July 2013).
Line item 1 AOCI opt-out election
Non-advanced approaches BHCs have the option to select either 1 for opt-out, or 0 for optin. Note that there are no transition provisions if a BHC makes an AOCI opt-out election.
Those BHCs who elect to opt-out must do so on the holding company’s March 31, 2015
FR Y-9C report
Common Equity Tier 1 Capital
Line item 2 Common stock and related surplus (net of treasury stock and unearned
employee stock ownership plan (ESOP) shares
Report common shares and the related surplus issued by BHCs that meet the criteria of the
final rules. This should be net of treasury stock and other investments in own shares to the
extent that these are already not recognized on the balance sheet under the relevant
accounting standards. This line item should reflect the impact of share repurchases or
issuances projected in the CCAR forecast horizon. This line should also reflect the netting of
any treasury stock, unearned ESOP shares, and any other contra-equity components.
Line item 3 Retained earnings
Retained earnings reported by BHCs. This should reflect the impact of dividend pay-outs
projected in the CCAR forecast horizon.
Line item 4 Accumulated other comprehensive income (AOCI)
Report the amount of AOCI as reported under generally accepted accounting principles
(GAAP) in the U.S. that is included in Schedule HC, item 26.b.
Line item 5 Common equity tier 1 minority interest includable in common equity
tier 1 capital (report this on a fully phased-in basis)
Report the aggregate amount of common equity tier 1 minority interest that is consistent
with section 21 of the revised regulatory capital rules. Common equity tier 1 minority
interest means the common equity tier 1 capital of a depository institution or foreign bank
that is a consolidated subsidiary of the holding company and that is not owned by the
holding company. In addition, the capital instruments issued by the subsidiary must meet
all of the criteria for common equity tier 1 capital (qualifying common equity tier 1 capital).
Line item 6 Common equity tier 1 capital before adjustments and deductions
This captures the sum of line items 2 through 5.
Common equity tier 1 capital: adjustments and deductions
Line item 7 Goodwill net of associated deferred tax liabilities (DTLs)
Report the amount of goodwill included in Schedule HC, item 10(a).
However, if a BHC has a DTL that is specifically related to goodwill acquired in a taxable
63

purchase business combination that it chooses to net against the goodwill, the amount of
disallowed goodwill to be reported in this item should be reduced by the amount of the
associated DTL.
If a holding company has significant investments in the capital of unconsolidated financial
institutions in the form of common stock, the holding company should report in this item
goodwill embedded in the valuation of a significant investment in the capital of an
unconsolidated financial institution in the form of common stock (embedded goodwill).
Such deduction of embedded goodwill would apply to investments accounted for under the
equity method. Under GAAP, if there is a difference between the initial cost basis of the
investment and the amount of underlying equity in the net assets of the investee, the
resulting difference should be accounted for as if the investee were a consolidated
subsidiary (which may include imputed goodwill).
Line item 8 Intangible assets (other than goodwill and mortgage servicing assets
(MSAs)), net of associated DTLs
Report all intangible assets (other than goodwill and MSAs) net of associated DTLs, included
in Schedule HC-M, items 12.b and 12.c, that do not qualify for inclusion in common equity
tier 1 capital under the regulatory capital rules. Generally, all purchased credit card
relationships (PCCRs) and non-mortgage servicing rights, reported in Schedule HC-M, item
12.b, and all other identifiable intangibles, reported in Schedule HC-M, item 12.c, do not
qualify for inclusion in common equity tier 1 capital and should be included in this item.
Further, if the holding company has a DTL that is specifically related to an intangible asset
(other than servicing assets and PCCRs) acquired in a nontaxable purchase business
combination that it chooses to net against the intangible asset for regulatory capital
purposes, the amount of disallowed intangibles to be reported in this item should be
reduced by the amount of the associated DTL. However, a DTL that the holding company
chooses to net against the related intangible reported in this item may not also be netted
against DTAs when the holding company determines the amount of DTAs that are
dependent upon future taxable income and calculates the maximum allowable amount of
such DTAs for regulatory capital purposes.
Line item 9 Deferred Tax Assets (DTAs) that arise from net operating loss and tax
credit carryforwards, net of any related valuation allowances and net of DTLs
Report the amount of DTAs that arise from net operating loss and tax credit carryforwards,
net of any related valuation allowances and net of DTLs.
AOCI-related adjustments
Holding companies that entered “1” for “Yes” under item 1 must complete items 10
through 14 only for AOCI related adjustments.
Line item 10 Net unrealized gains (losses) on available-for-sale securities
Report the amount of net unrealized holding gains (losses) on available-for-sale securities,
net of applicable taxes, that is included in Schedule HC, item 26.b, “Accumulated other
comprehensive income.” If the amount is a net gain, report it as a positive value in this item.
If the amount is a net loss, report it as a negative value in this item.
Line item 11 Net unrealized loss on available-for-sale preferred stock classified as
an equity security under GAAP and available-for-sale equity exposures
Report as a positive value net unrealized loss on available-for-sale preferred stock classified
as an equity security under GAAP and available-for-sale equity exposures that is included in
Schedule HC, item 26.b, “Accumulated other comprehensive income.”
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Line item 12 Accumulated net gains (losses) on cash flow hedges
Report the amount of accumulated net gains (losses) on cash flow hedges that is included in
Schedule HC, item 26.b, “Accumulated other comprehensive income.” If the amount is a net
gain, report it as a positive value in this item. If the amount is a net loss, report it as a
negative value in this item.
Line item 13 Amounts recorded in AOCI attributed to defined benefit postretirement
plans resulting from the initial and subsequent application of the relevant GAAP
standards that pertain to such plans
Report the amounts recorded in AOCI and included in Schedule HC, item 26.b, “Accumulated
other comprehensive income,” resulting from the initial and subsequent application of ASC
Subtopic 715-20 (formerly FASB Statement No. 158, “Employers’ Accounting for Defined
Benefit Pension and Other Postretirement Plans”) to defined benefit postretirement plans
resulting from the initial and subsequent application of the relevant GAAP standards that
pertain to such plans. A holding company may exclude the portion related to pension assets
deducted in Schedule HC-R, item 10(b). If the amount is a net gain, report it as a positive
value in this item. If the amount is a net loss, report it as a negative value in this item.
Line item 14 Net unrealized gains (losses) on held-to-maturity securities that are
included in AOCI
Report the amount of net unrealized gains (losses) that are not credit-related on held-tomaturity securities and are included in AOCI as reported in Schedule HC, item 26.b,
“Accumulated other comprehensive income.” If the amount is a net gain, report it as a
positive value. If the amount is a net loss, report it as a negative value.

Holding companies that entered “0” for “No” under item1 must complete item 15 only
for AOCI related adjustments.
Line item 15 Accumulated net gain (loss) on cash flow hedges included in AOCI, net of
applicable tax effects, that relate to the hedging of items that are not recognized at
fair value on the balance sheet.
Report the amount of accumulated net gain (loss) on cash flow hedges included in AOCI, net
of applicable tax effects that relate to the hedging of items not recognized at fair value on
the balance sheet. If the amount is a net gain, report it as a positive value. If the amount is a
net loss, report it as a negative value.
Other deductions from (additions to) common equity tier 1 capital before thresholdbased deductions:
Line item 16 Unrealized net gain (loss) related to changes in the fair value of
liabilities that are due to changes in own credit risk
Report the amount of unrealized net gain (loss) related to changes in the fair value of
liabilities that are due to changes in the holding company’s own credit risk. If the amount is
a net gain, report it as a positive value in this item. If the amount is a net loss, report it as a
negative value in this item.
Advanced approaches holding companies only: include the credit spread premium over the
risk free rate for derivatives that are liabilities.
Line item 17 All other deductions from (additions to) common equity tier 1 capital
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before threshold-based deductions
Report the amount of other deductions from (additions to) common equity tier 1 capital
that are not included in items 1 through 15, as described below:
(1) After-tax gain-on-sale in connection with a securitization exposure
Include any after-tax gain-on-sale in connection with a securitization exposure.
Gain-on-sale means an increase in the equity capital of a holding company resulting
from a securitization (other than an increase in equity capital resulting from the
holding company’s receipt of cash in connection with the securitization or reporting
of a mortgage servicing asset on Schedule HC).
(2) Defined benefit pension fund assets, net of associated DTLs
A BHC must deduct defined benefit pension fund assets, net of associated DTLs, held
by a holding company. With the prior approval of the Federal Reserve, this
deduction is not required for any defined benefit pension fund net asset to the
extent the holding company has unrestricted and unfettered access to the assets in
that fund.
(3) Investments in the holding company’s own shares to the extent not excluded
as part of treasury stock.
Include the BHC’s investments in (including any contractual obligation to purchase)
its own common stock instruments, including direct, indirect, and synthetic
exposures to such instruments (as defined in the revised regulatory capital rules), to
the extent such instruments are not excluded as part of treasury stock, reported in
Line Item 54.
For example, if a BHC already deducts its investment in its own shares (for example,
treasury stock) from its common equity tier 1 capital elements, it does not need to
make such deduction twice.
A holding company may deduct gross long positions net of short positions in the
same underlying instrument only if the short positions involve no counterparty
credit risk.
The holding company must look through any holdings of index securities to deduct
investments in its own capital instruments.
In addition:
(i) Gross long positions in investments in a holding company’s own regulatory
capital instruments resulting from holdings of index securities may be netted
against short positions in the same underlying index;
(ii) Short positions in index securities that are hedging long cash or synthetic
positions may be decomposed to recognize the hedge; and
(iii) The portion of the index that is composed of the same underlying exposure that
is being hedged may be used to offset the long position if both the exposure
being hedged and the short position in the index are covered positions under
the market risk capital rule, and the hedge is deemed effective by the holding
company’s internal control processes which would have been assessed by the
Federal Reserve.
(4) Reciprocal cross-holdings in the capital of financial institutions in the form of
common stock
Include investments in the capital of other financial institutions (in the form of
common stock) that the holding company holds reciprocally (this is the
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corresponding deduction approach). Such reciprocal crossholdings may result from
a formal or informal arrangement to swap, exchange, or otherwise intend to hold
each other’s capital instruments.
(5) Equity investments in financial subsidiaries
A BHC must deduct the aggregate amount of its outstanding equity investment,
including retained earnings, in its financial subsidiaries (as defined in 12 CFR
208.77) and may not consolidate the assets and liabilities of a financial subsidiary
with those of the parent institution. No other deduction is required for these
investments in the capital instruments of financial subsidiaries.
(6) Amount of expected credit loss that exceeds its eligible credit reserves
(Advanced approaches institutions that exit parallel run only)
Include the amount of expected credit loss that exceeds the eligible credit reserves.
Line item 18 Non-significant investments in the capital of unconsolidated
financial institutions in the form of common stock that exceed the 10 percent
threshold for non-significant investments
A BHC has a non-significant investment in the capital of an unconsolidated financial
institution (as defined in section 2 of the revised regulatory capital rules) if it owns
10 percent or less of the issued and outstanding common shares of that institution.
Report the amount of non-significant investments in the capital of unconsolidated
financial institutions in the form of common stock that, in the aggregate, exceed the
10 percent threshold for non-significant investments, calculated as described below.
The BHC may apply associated DTLs to this deduction.
Line item 19 Subtotal
This item is a shaded cell and is derived from other items in the schedule; no input required.
This is the total of common equity tier 1 prior to adjustments less all of the regulatory
adjustments and deductions.
Line item 20 Significant investments in the capital of unconsolidated financial
institutions in the form of common stock, net of DTLs, that exceed the 10 percent
common equity tier 1 capital deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 21 MSAs, net of associated DTLs, that exceed the 10 percent common
equity tier 1 capital deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 22 DTAs arising from temporary differences that could not be realized
through net operating loss carrybacks, net of related valuation allowances and net of
DTLs, that exceed the 10 percent common equity tier 1 capital deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 23 Amount of significant investments in the capital of unconsolidated
financial institutions in the form of common stock; MSAs, net of associated DTLs; and
DTAs arising from temporary differences that could not be realized through net
operating loss carrybacks, net of related valuation allowances and net of DTLs; that
exceeds the 15 percent common equity tier 1 capital deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 24 Deductions applied to common equity tier 1 capital due to insufficient
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amounts of additional tier 1 capital and tier 2 capital to cover deductions
Report the total amount of deductions related to reciprocal cross holdings, non-significant
investments in the capital of unconsolidated financial institutions, and non-common stock
significant investments in the capital of unconsolidated financial institutions if the holding
company does not have a sufficient amount of additional tier 1 capital and tier 2 capital to
cover these deductions.
Line item 25 Total adjustments and deductions for common equity tier 1 capital
This is the sum of line item 20 through 24.
Line item 26 Common Equity Tier 1
This is the subtotal of line item 19 minus line item 25.
Line item 27 Additional tier 1 capital instruments plus related surplus
Report the portion of noncumulative perpetual preferred stock and related surplus included
in Schedule HC, item 23, that satisfy all the criteria for additional tier 1 capital in the revised
regulatory capital rules of the Federal Reserve.
Include instruments that were (i) issued under the Small Business Job’s Act of 2010, or,
prior to October 4, 2010, under the Emergency Economic Stabilization Act of 2008 and (ii)
were included in the tier 1 capital under the Federal Reserve’s general risk-based capital
rules (12 CFR part 225, appendix A, and, if applicable, appendix E) (for example, tier 1
instruments issued under the TARP program that are grandfathered permanently). Also
include additional tier 1 capital instruments issued as part of an ESOP, provided that the
repurchase of such instruments is required solely by virtue of ERISA for a banking
organization that is not publicly-traded.
Line item 28 Tier 1 minority interest not included in common equity tier 1 capital
(report on a fully phased-in basis)
Similar to item 5, this captures all qualifying tier 1 minority interest includable under
additional tier 1 capital.
Line item 29 Additional tier 1 capital before deductions
This is the sum of line items 27 and 28.
Line item 30 Additional tier 1 capital deductions
Report additional tier 1 capital deductions as the sum of the following elements:
(1) Investments in own additional tier 1 capital instruments:
Report the holding company’s investments in (including any contractual obligation to
purchase) its own additional tier 1 instruments, whether held directly or indirectly.
A holding company may deduct gross long positions net of short positions in the same
underlying instrument only if the short positions involve no counterparty risk.
The holding company must look through any holdings of index securities to deduct
investments in its own capital instruments. In addition:
(i) Gross long positions in investments in a holding company’s own regulatory capital
instruments resulting from holdings of index securities may be netted against short
positions in the same index;
(ii) Short positions in index securities that are hedging long cash or synthetic positions
can be decomposed to recognize the hedge; and
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(iii) The portion of the index that is composed of the same underlying exposure that is
being hedged may be used to offset the long position if both the exposure being
hedged and the short position in the index are covered positions under the market
risk capital rule, and the hedge is deemed effective by the holding company’s
internal control processes.
(2) Reciprocal cross-holdings in the capital of financial institutions.
Include investments in the additional tier 1 capital instruments of other financial
institutions that the holding company holds reciprocally, where such reciprocal
crossholdings result from a formal or informal arrangement to swap, exchange, or
otherwise intend to hold each other’s capital instruments. If the holding company does
not have a sufficient amount of a specific component of capital to effect the required
deduction, the shortfall must be deducted from the next higher (that is, more
subordinated) component of regulatory capital.
For example, if a holding company is required to deduct a certain amount from
additional tier 1 capital and it does not have additional tier 1 capital, then the deduction
should be from common equity tier 1 capital.
(3) Non-significant investments in additional tier 1 capital of unconsolidated financial
institutions that exceed the 10 percent threshold for non-significant investments.
Calculate this amount as follows:
(i) Determine the aggregate amount of non-significant investments in the capital of
unconsolidated financial institutions in the form of common stock, additional tier 1,
and tier 2 capital.
(ii) Determine the amount of non-significant investments in the capital of
unconsolidated financial institutions in the form of additional tier 1 capital.
(iii) If the amount in (i) is greater than the 10 percent threshold for non-significant
investments then multiply the difference by the ratio of (ii) over (i).
(iv) If the amount in (i) is less than the 10 percent threshold for non-significant
investments, report zero.
(4) Significant investments in the capital of unconsolidated financial institutions not in the
form of common stock to be deducted from additional tier 1 capital.
Report the total amount of significant investments in the capital of unconsolidated
financial institutions in the form of additional tier 1 capital.
(5) Other adjustments and deductions.
Include adjustments and deductions applied to additional tier 1 capital due to
insufficient tier 2 capital to cover deductions (related to reciprocal cross holdings, nonsignificant investments in the tier 2 capital of unconsolidated financial institutions, and
significant investments in the tier 2 capital of unconsolidated financial institutions).
Line item 31 Additional tier 1 capital (greater of item 29 minus item 30 or zero)
This item is a shaded cell and is derived from other items in the schedule. This provides the
total of additional tier 1 capital.
Tier 1 Capital
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Line item 32 Tier 1 capital (sum of items 26 and 31)
This item is a shaded cell and is derived from other items in the schedule. This provides the
total amount of tier 1 capital.
Periodic Changes in Common Stock
Line item 33 Common Stock and Related Surplus (Net of Treasury Stock)
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 34 Issuance of Common Stock (Including Conversion of Common Stock)
Captures the total issuance of common stock and related surplus in the reporting period.
Report the incremental issuance since the previously reported period on the worksheet.
This figure should equal the sum of “Total issuance of common stock” reported in the FR Y14A Summary Schedule, Capital worksheet for reporting periods that correspond on the
Summary schedule.
Line item 35 Repurchases of Common Stock
Captures the total repurchases of common stock in the reporting period. Report the
incremental repurchase since the previously reported period on the worksheet. This figure
should equal the “Total share repurchases” outlined reported in the FR Y-14A Summary
Schedule, Capital worksheet that correspond on the Summary schedule.
Periodic Changes in Retained Earnings
Line item 36 Net Income (Loss) Attributable to Bank Holding Company
Refer to FR Y-9C instructions for Schedule HI-A, item 4. Report losses as a negative value.
Note that income amounts should reflect the calendar year to date results.
Line item 37 Cash Dividends Declared on Preferred Stock
Refer to FR Y-9C instructions for Schedule HI-A, item 10.
Line item 38 Cash Dividends Declared on Common Stock
Refer to FR Y-9C instructions for Schedule HI-A, item 11.
Line item 39 Previously Issued Tier 1 Capital Instruments (Excluding Minority
Interest) that would No Longer Qualify (please report 100% value)
Report 100% of the value of previously issued Tier 1 capital instruments that will no longer
qualify as Tier 1 capital as per the revised regulatory capital rule (July 2013) (including
perpetual preferred stock and trust preferred securities subject to phase-out
arrangements). Report balances in full, without reflecting any phase-out arrangements
included in the revised regulatory capital rule (July 2013).
Line item 40 Previously Issued Tier 1 Minority Interest that Would No Longer
Qualify (Please Report 100% Value)
Report 100% of the value of previously issued tier 1 minority interest that will no longer
qualify as tier 1 capital as per the revised regulatory capital rule (July 2013). Report
balances in full, without reflecting any phase-out arrangements included in the revised
regulatory capital rule (July 2013).
Line item 41 Does Line 33, “Common Stock and Related Surplus” = Line 2 for
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“Common Stock and Related Surplus”?
This item is a shaded cell and is a validation check to ensure Line 33 equals the value in Line
2 within this worksheet; no input required. Ensure that “Yes” appears across all cells.
Line item 42 Data Completeness Check
If "No", please complete all non-shaded cells until all cells to the right say "Yes." Do not leave
cells blank; enter "0" if not applicable.

D.2—Exception Bucket Calculator
The Exception Bucket Calculator worksheet collects the data necessary to calculate the
items that may receive limited recognition in Common Equity Tier 1 (i.e., significant
investments in the common shares of unconsolidated financial institutions, mortgage
servicing assets and deferred tax assets arising from temporary differences). These items
may be recognized in Common Equity Tier 1 up to 10% of the BHC’s common equity on
an individual basis and 15% on an aggregated basis after application of all regulatory
adjustments.
Significant investments in the capital of unconsolidated financial institutions in the
form of common stock
Line item 1 Gross significant investments in the capital of unconsolidated financial
institutions in the form of common stock
Aggregate holdings of capital instruments relevant to significant investments in the capital
of unconsolidated financial entities, including direct, indirect and synthetic holdings in both
the banking book and trading book.
Line item 2 Permitted offsetting short positions in relation to the specific gross
holdings included above
Offsetting positions in the same underlying exposure where the maturity of the short
position either matches the maturity of the long position or has a residual maturity of at
least one year.
Line item 3 Significant investments in the capital of unconsolidated financial
institutions in the form of common stock net of short positions
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 4 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 5 Amount to be deducted from common equity tier 1 due to 10 percent
deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Mortgage servicing assets
Line item 6 Total mortgage servicing assets classified as intangible
Mortgage servicing assets may receive limited recognition when calculating common equity
tier 1, with recognition typically capped at 10% of the bank’s common equity (after the
application of all regulatory adjustments).
Line item 7 Associated deferred tax liabilities which would be extinguished if the
intangible becomes impaired or derecognized under the relevant accounting
standards
The amount of mortgage servicing assets to be deducted from common equity tier 1 is to be
offset by any associated deferred tax liabilities, with recognition capped at 10% of the
bank’s common equity tier 1(after the application of all regulatory adjustments). If the bank
chooses to net its deferred tax liabilities associated with mortgage servicing assets against
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deferred tax assets (in Line 17 of the Capital Composition worksheet), those deferred tax
liabilities should not be deducted again here.
Line item 8 Mortgage servicing assets net of related deferred tax liabilities
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 9 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 10 Amount to be deducted from common equity tier 1 due to 10 percent
deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Deferred tax assets due to temporary differences
Line item 11 DTAs arising from temporary differences that could not be realized
through net operating loss carrybacks, net of related valuation allowances and net of
DTLs
Net deferred tax assets arising from temporary differences may receive limited recognition
in common equity tier 1, with recognition capped at 10% of the bank’s common equity
(after the application of all regulatory adjustments).
Line item 12 10 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 13 Amount to be deducted from common equity tier 1 due to 10 percent
deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Aggregate of items subject to the 15% limit (significant investments, mortgage
servicing assets and deferred tax assets arising from temporary differences)
Line item 14 Sum of items 3, 8, and 11
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 15 15 percent common equity tier 1 deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 16 Sum of items 5, 10, and 15
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 17 Item 14 minus item 16
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 18 Amount to be deducted from common equity tier 1 due to 15 percent
deduction threshold
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 19 Data Completeness Check
If "No", please complete all non-shaded cells until all cells to the right say "Yes." Do not
leave cells blank; enter “0” if not applicable.
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D.3—Risk-Weighted Assets – Advanced
Advanced approaches BHCs, including BHCs that are considered as mandatory
advanced approaches institutions or that have opted-in voluntarily as an advanced
approaches institution, are required to complete the “RWA_Advanced” worksheet. All
BHCs, including advanced approaches BHCs and non-advanced approaches BHCs must
complete the “RWA_General” worksheet.
In the “RWA_Advanced” worksheet, BHCs should provide risk-weighted asset estimates
reflecting the final market risk capital rule (77 Federal Register 53060, August 30, 2012),
the market risk NPR (July 2013), and the advanced approaches of the revised regulatory
capital rule (July 2013) released by the U.S. banking agencies.
BHCs that are subject to market risk capital requirements at the as of date are required to
complete the market risk-weighted asset section within the worksheet. Please refer to the
final market risk capital rule released by the U.S. banking agencies (77 Federal Register
53060, August 30, 2012) for details of the requirements of the rule.
Advanced approaches BHCs that are unable to provide advanced approaches risk weighted
asset estimates should send formal written notification to the Federal Reserve and specify
the affected portfolios, current limitations that preclude the BHC from providing advanced
approaches RWA estimates as well as management's plan for addressing those limitations.
The notification should be sent to [email protected].
Credit Risk (including Counterparty Credit Risk (CCR) and non-trading credit risk) –
Applicable to Advanced Approaches Banking Organizations
Risk-weighted assets should reflect the 1.06 scaling factor to the Internal Rating-Based
Approach
(IRB) credit risk-weighted assets where relevant, unless noted otherwise.
Line item 1 Corporate
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 2 Corporate (not including receivables); Counterparty Credit Risk
Exposures (not including credit value adjustment (CVA) charges or charges for
exposures to central counterparties (CCPs))
Overall risk-weighted assets for corporate (not including receivables) counterparty credit
risk exposures, not including credit value adjustment (CVA) capital charges or exposures to
central counterparties (CCPs), after applying the 1.06 scaling factor to the Internal RatingBased Approach (IRB) credit risk-weighted assets.
Line item 3 Corporate (not including receivables); Other Exposures
Overall risk-weighted assets for other corporate exposures (not including receivables), after
applying the 1.06 scaling factor to the Internal Rating-Based Approach (IRB) credit riskweighted assets.
Line item 4 Sovereign
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 5 Sovereign; Counterparty Credit Risk Exposures (not including credit
value adjustment (CVA) charges or charges for exposures to central counterparties
74

(CCPs))
Overall risk-weighted assets for sovereign counterparty credit risk exposures, not including
credit value adjustment (CVA) capital charges or exposures to central counterparties
(CCPs), after applying the 1.06 scaling factor to the Internal Rating-Based Approach (IRB)
credit risk-weighted assets.
Line item 6 Sovereign; Other Exposures
Overall risk-weighted assets for other sovereign exposures, after applying the 1.06 scaling
factor to the Internal Rating-Based Approach (IRB) credit risk- weighted assets.
Line item 7 Bank
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 8 Bank; Counterparty Credit Risk Exposures (not including credit value
adjustment (CVA) charges or charges for exposures to central counterparties (CCPs))
Overall risk-weighted assets for bank counterparty credit risk exposures, not including
credit value adjustment (CVA) capital charges or exposures to central counterparties
(CCPs), after applying the 1.06 scaling factor to the Internal Rating-Based Approach (IRB)
credit risk-weighted assets.
Line item 9 Bank; Other Exposures
Overall risk-weighted assets for other bank exposures, after applying the 1.06 scaling factor
to the Internal Rating-Based Approach (IRB) credit risk-weighted assets.
Line item 10 Retail
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 11 Retail; Counterparty credit risk exposures (not including credit value
adjustment (CVA) charges or charges for exposures to Central counterparties (CCPs))
Overall risk-weighted assets for retail counterparty credit risk exposures, not including
credit value adjustment (CVA) capital charges or exposures to Central counterparties
(CCPs), after applying the 1.06 scaling factor to IRB credit risk-weighted assets.
Line item 12 Retail; Other Exposures
Overall risk-weighted assets for other retail exposures, after applying the 1.06 scaling factor
to the Internal Rating-Based Approach (IRB) credit risk-weighted assets.
Line item 13 Equity
Overall risk-weighted assets for equity exposures, where relevant after applying the 1.06
scaling factor to the Internal Rating-Based Approach (IRB) credit risk- weighted assets.
Line item 14 Securitization
Overall risk-weighted assets for securitizations that are held in the held-to-maturity or
available-for-sale portfolios, where relevant after applying the 1.06 scaling factor to the
Internal Rating-Based Approach (IRB) credit risk-weighted assets. For purposes of CCAR
submission, banking book securitization exposures subject to a 1250% risk weight or the
equivalent of a deduction (i.e. dollar-for-dollar capital requirement) should be included
here.
Line item 15 Trading Book Counterparty Credit Risk Exposures (if not included in
above)
Overall risk-weighted assets for counterparty credit risk exposures in the trading book if the
BHC is not able to include them in the portfolio of the counterparty as specified above.
75

Line item 16 Credit Valuation Adjustment (CVA) Capital Charge (Risk-Weighted
Asset Equivalent)
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 17 Advanced Credit Valuation Adjustment (CVA) Approach
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 18 Credit Valuation Adjustment (CVA) capital charge (Risk-Weighted Asset
Equivalent); Advanced CVA Approach: Unstressed Value at Risk (VaR) with
Multipliers
Stand-alone 10-day value-at-risk (VaR) calculated on the set of credit valuation adjustments
(CVAs) for all Over- the-counter (OTC) derivatives counterparties together with eligible
credit valuation adjustment (CVA) hedges. The reported value-at-risk should consist of both
general and specific credit spread risks and is restricted to changes in the counterparties
credit spreads. The bank must multiply the reported value-at-risk by three times, consistent
with the approach used in calculating market risk capital charge (three-time multiplier).
The 1.06 scaling factor does not apply.
BHC should report 0 if it does not use the advanced credit value adjustment (CVA) approach.
Line item 19 Credit Valuation Adjustment (CVA) Capital Charge (Risk-Weighted
Asset Equivalent); Advanced CVA Approach: Stressed Value at Risk (VaR) with
multipliers
Stand-alone 10-day stressed Value-at-risk (VaR) calculated on the set of credit valuation
adjustments (CVAs) for all over-the-counter (OTC) derivatives counterparties together with
eligible credit valuation adjustments (CVA) hedges. The reported value-at-risk should
consist of both general and specific credit spread risks and is restricted to changes in the
counterparties credit spreads. It should reflect three-times multiplier. The 1.06 scaling
factor does not apply. BHC should report 0 if it does not use the advanced credit valuation
adjustments (CVA) approach.
Line item 20 Simple CVA Approach: Credit Valuation Adjustment (CVA) Capital
Charge (Risk-Weighted Asset Equivalent)
Risk-weighted asset (RWA) equivalent using the simple credit valuation adjustment (CVA)
approach.
Line item 21 Other Credit Risk
If the BHC is unable to assign credit risk-weighted assets to one of the above categories,
even on a best-efforts basis, they should be reported in this line.
Line item 22 Total Credit Risk-Weighted Assets (RWA)
This item is a shaded cell and is derived from other items in the schedule; no input required.
Market Risk
If a BHC does not have a particular portfolio or no trading book at all, risk-weighted assets
should be reported as 0.
Line item 23 Standardized Specific Risk (excluding securitization and correlation)
Risk-weighted asset (RWA) equivalent for specific risk based on the standardized
measurement method as applicable. This should not include the risk-weighted assets
according to the standardized measurement method for exposures included in the
correlation trading portfolio or the standardized approach for other non- correlation related
traded securitization exposures.
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Line item 24 Value at Risk (VaR) with Multipliers (general and specific risk)
BHC-wide 10-day value-at-risk (VaR) inclusive of all sources of risks that are included in the
value-at-risk calculation. The reported value-at-risk should reflect actual multipliers as of
the reporting date.
Line item 25 Stressed Value-at-Risk (VaR) with Multipliers (general and specific
risk)
BHC-wide 10-day stressed value-at-risk (VaR) inclusive of all sources of risk that are
included in the stressed value- at-risk calculation. The reported stressed value-at-risk
should reflect actual multipliers as of the reporting date.
Line item 26 Incremental Risk Capital Charge (IRC)
Risk-weighted asset (RWA) equivalent for incremental risk in the trading book.
Line item 27 Correlation Trading
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 28 Correlation Trading: Comprehensive Risk Measurement (CRM), Before
Application of Surcharge
Risk-weighted asset (RWA) equivalent for exposures in the correlation trading portfolio
which are subject to the comprehensive risk measurement, before the application of the 8%
surcharge based on the standardized measurement method.
Line item 29 Correlation Trading: Standardized Measurement Method (100%) for
Exposures Subject to Comprehensive Risk Measurement (CRM)
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 30 Correlation Trading: Standardized Measurement Method (100%) for
Exposures Subject to Comprehensive Risk Measurement (CRM) - Net long
100% of the risk-weighted asset (RWA) equivalent according to the standardized
measurement method for net long exposures in the correlation trading portfolio which are
subject to the comprehensive risk measurement.
Line item 31 Correlation Trading; Standardized Measurement Method (100%) for
Exposures Subject to Comprehensive Risk Measurement (CRM) - Net Short
100% of the risk-weighted asset (RWA) equivalent according to the standardized
measurement method for net short exposures in the correlation trading portfolio which are
subject to the comprehensive risk measurement.
Line item 32 Non-modeled Securitization
Formula embedded in the schedule; no input required. The capital charge (or risk-weighted
asset equivalent) for non-modeled traded securitization, including securitization positions
that are not correlation trading positions and non-modeled correlation trading positions, is
the larger of the net long and net short positions. For purposes of CCAR submission, traded
securitization exposures subject to a dollar for dollar capital requirement (e.g. 1250% risk
weight or the equivalent of a deduction) should be captured here by including values in
lines 33 and 34.
Line item 33 Non-modeled Securitization: Net Long
Risk-weighted asset equivalent according to the standardized measurement method for net
long non- modeled securitization exposures including nth-to- default credit derivatives. For
purposes of CCAR submission, traded securitization exposures subject to a dollar for dollar
capital requirement (e.g. 1250% risk weight or the equivalent of a deduction) should be
77

included here.
Line item 34 Non-modeled Securitization: Net Short
Risk-weighted asset equivalent according to the standardized measurement method for net
short non- modeled securitization exposures including nth-to- default credit derivatives.
For purposes of CCAR submission, traded securitization exposures subject to a dollar for
dollar capital requirement (e.g. 1250% risk weight or the equivalent of a deduction) should
be included here.
Line item 35 Other Market Risk
If the BHC is unable to assign market risk-weighted assets to one of the above categories,
they should be reported in this line. If no such requirements exist, 0 should be entered.
Line item 36 Total Market Risk-Weighted Assets (RWA)
This item is a shaded cell and is derived from other items in the schedule; no input required.
Other
Line item 37 Other Capital Requirements
Risk-weighted assets (RWA) for settlement risk and other capital requirements. If no such
requirements exist, 0 should be entered.
Line item 38 Operational Risk
Risk-weighted assets (RWA) for operational risk.
Line item 39 Total Risk-Weighted Assets
This item is a shaded cell and is derived from other items in the schedule, no input required.
Line item 40 Data Completeness Check
This item is a shaded cell and to check that all nonshaded cells have been completed. If "No"
appears, please complete all non-shaded cells until all cells to the right say "Yes." Do not
leave cells blank; enter "0" if not applicable. Please ensure that “Yes” appears across all
cells.

D.4—Risk-Weighted Assets – General
All BHCs, including advanced approaches BHCs and non-advanced approaches BHCs
must complete “RWA_General” worksheet. In addition, advanced approaches BHCs are
required to complete “RWA_Advanced" worksheet due to the floor requirement per the
Collins Amendment under Section 171 of the DFA.
For the purpose of completing the “RWA_General” worksheet, BHCs are required to
report credit risk- weighted assets using the methodologies in the standardized approach
of the revised regulatory capital rule (July 2013). BHCs that are subject to market risk
capital requirements at the as of date are required to complete the market risk-weighted
asset section within the worksheet. Please refer to the final market risk capital rule
released by the U.S. banking agencies (77 Federal Register 53060, August 30, 2012) for
details of the requirements of the rule.
Credit Risk per Standardized Approach (Revised regulatory capital rule, July 2013)
Line item 1 Cash items in the process of collection
Report risk-weighted asset of cash items in process of collection. For more guidance refer
to the preamble to the Revised Regulatory Capital Rule for additional information (see link
under “Relevant References” of these instructions).
Line item 2 Exposures conditionally guaranteed by the U.S. government, its
central bank, or U.S. government agency
Report risk-weighted asset of claims conditionally guaranteed by the U.S. government, its
central bank, or a U.S. government agency. For more guidance refer to “Exposures to
Sovereigns” in Section VIII, “Standardized Approach for Risk-weighted Assets”, of the
preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of
these instructions).
Line item 3 Claims on government-sponsored entities
Report risk-weighted asset of claims on government-sponsored entities. For more
guidance refer to “Exposures to Government-sponsored Entities” in Section VIII,
“Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised
Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 4 Claims on U.S. depository institutions and NCUA-insured credit unions
Report risk-weighted asset of claims on U.S. depository institutions and NCUA-insured
credit unions. For more guidance refer to “Exposures to Depository Institutions, Foreign
Banks, and Credit Unions” in Section VIII, “Standardized Approach for Risk-weighted
Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under “Relevant
References” of these instructions).
Line item 5 Revenue bonds issued by state and local governments in the U.S., and
general obligation claims on and claims guaranteed by the full faith and credit of
state and local governments (and any other PSE) in the U.S.
Report risk-weighted asset of both revenue and general obligation bonds issued by state
and local governments in the U.S. For more guidance refer to “Exposures to Public-sector
Entities” in Section VIII, “Standardized Approach for Risk-weighted Assets”, of the
preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of
these instructions).
Line item 6 Claims on and exposures guaranteed by foreign governments and
their central banks
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Report risk-weighted asset of claims on and exposures guaranteed by foreign governments
and their central banks. For more guidance refer to “Exposures to Sovereigns” in Section
VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the Revised
Regulatory Capital Rule (see link under “Relevant References” of these instructions).
Line item 7 Claims on and exposures guaranteed by foreign banks
Report risk-weighted asset of claims and exposures guaranteed by foreign banks. For more
guidance refer to “Exposures to Depository Institutions, Foreign Banks, and Credit Unions”
in Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the
Revised Regulatory Capital Rule (see link under “Relevant References” of these
instructions).
Line item 8 Claims on and exposures guaranteed by foreign PSEs
Report risk-weighted asset of claims on and exposures guaranteed by foreign Public-sector
Entities. For more information refer to Section VIII, “Standardized Approach for Riskweighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under
“Relevant References” of these instructions).
Line item 9 Multifamily mortgage loans and presold residential construction loans
Report risk-weighted asset of multifamily mortgage loans and presold residential
construction loans. For more information refer to Section VIII, “Standardized Approach for
Risk-weighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link
under “Relevant References” of these instructions).
Line item 10 Residential mortgage loans subject to 50% risk-weight
Report risk-weighted asset of residential mortgage loans that qualify for a 50% riskweight. For more information refer to Section VIII, “Standardized Approach for Riskweighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under
“Relevant References” of these instructions).
Line item 11 Other residential mortgage loans
Report risk-weighted asset of residential mortgage loans not included in items 9 and 10
above. For more information refer to Section VIII, “Standardized Approach for Riskweighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under
“Relevant References” of these instructions).
Line item 12 Past due exposures
Report risk-weighted asset of past due exposures. Note the risk-weighted asset of these
exposures should be excluded from the other items in this section. For more information
refer to Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to
the Revised Regulatory Capital Rule (see link under “Relevant References” of these
instructions).
Line item 13 High-volatility commercial real estate loans
Report risk-weighted asset of high-volatility commercial real estate loans. For more
information refer to Section VIII, “Standardized Approach for Risk-weighted Assets”, of the
preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of
these instructions).
Line item 14 Commercial loans/Corporate exposures
Report risk-weighted asset of all commercial and corporate exposures, including bonds
and loans. For more information refer to Section VIII, “Standardized Approach for Riskweighted Assets”, of the preamble to the Revised Regulatory Capital Rule (see link under
“Relevant References” of these instructions).
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Line item 15 Consumer loans and credit cards
Report risk-weighted asset of consumer loans and credit cards. For more information refer
to the preamble to the Revised Regulatory Capital Rule (see link under “Relevant
References” of these instructions).
Line item 16 Other revised regulatory capital rule risk-weight items
Report risk-weighted asset of the threshold deduction items (mortgage servicing assets,
certain deferred tax assets, and investments in the common equity of financial institutions)
that are not deducted from capital and are subject to risk weight of 250 percent. In
addition, certain high-risk exposures such as credit-enhancing interest only (CEIO) strips
that receive 1,250 percent risk weight should be included in this line. For more information
refer to the preamble to the Revised Regulatory Capital Rule (see link under “Relevant
References” of these instructions).
Line item 17 Off-balance sheet commitments with an original maturity of one year
or less that are not unconditionally cancelable
Report risk-weighted asset of off-balance sheet commitments with an original maturity of
one year or less that are not unconditionally cancelable. For more information refer to the
preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of
these instructions).
Line item 18 Off-balance sheet commitments with an original maturity of more than
one year that are not unconditionally cancelable
Report risk-weighted asset of off-balance sheet commitments with an original maturity of
more than one year that are not unconditionally cancelable. For more information refer to
the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References”
of these instructions).
Line item 19 Other off-balance sheet exposures
Report risk-weighted asset of off-balance sheet exposures. For more information refer to
the preamble to the Revised Regulatory Capital Rule (see link under “Relevant References”
of these instructions).
Line item 20 Over-the-counter derivative contracts
Report risk-weighted asset of over-the-counter derivative contracts. For more information
refer to the preamble to the Revised Regulatory Capital Rule (see link under “Relevant
References” of these instructions).
Line item 21 Securitization exposures
Report risk-weighted asset of securitization exposures. For more information refer to
Section VIII, “Standardized Approach for Risk-weighted Assets”, of the preamble to the
Revised Regulatory Capital Rule (see link under “Relevant References” of these
instructions).
Line item 22 Equity exposures
Report risk-weighted asset of equity exposures. For more information refer to the
preamble to the Revised Regulatory Capital Rule (see link under “Relevant References” of
these instructions).
Line item 23 Other credit risk
Report risk-weighted asset of all other credit risk not captured above. For more
information refer to the preamble to the Revised Regulatory Capital Rule (see link under
“Relevant References” of these instructions).
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Line item 24 Total Credit RWA per Standardized Approach
This item is a shaded cell and is derived from other items in the schedule, no input required.
Market Risk
If a BHC does not have a particular portfolio or no trading book at all, risk-weighted assets
should be reported as 0.
For items 25 to 38, refer to instructions for items 23 to 36, respectively, for market risk
under Worksheet 3—Risk Weighted Assets – Advanced.
Other
Line item 39 Other Capital Requirements
Risk-weighted assets (RWA) for other capital requirements. Include in this line item the
amount of the BHC’s ALLL that is not included in tier 2 capital and any amounts of
allocated transfer risk reserves; these amounts should be included as negative values to
reflect their deduction from total RWA. If no such requirements exist, 0 should be entered.
Line item 40 Total Risk-Weighted Assets
This item is a shaded cell and is derived from other items in the schedule; no input required.
Line item 41 Data Completeness Check
This item is a shaded cell and to check that all nonshaded cells have been completed. If "No"
appears, please complete all non-shaded cells until all cells to the right say "Yes." Do not
leave cells blank; enter "0" if not applicable. Please ensure that “Yes” appears across all cells.

D.5—Leverage Exposure
All BHCs must complete the portion of the worksheet relevant to “Leverage Exposure for
Tier 1 Leverage Ratio” (lines 1 - 4). Advanced approaches BHCs must also complete the
portion of the worksheet relevant to “Leverage Exposure for Supplementary Leverage
Ratio” (lines 5 - 14).
The exposure measures for both leverage ratios are based upon methodologies in the
revised regulatory capital rule (July 2013). BHCs should report supplementary leverage
ratio components as calculated using the average as of quarter end for the relevant period
based upon the simple arithmetic mean of exposures calculated on a monthly basis. BHCs
that are unable to calculate monthly data may report exposures as of the quarter end.
Leverage Exposure for Tier 1 Leverage Ratio (applicable to all BHCs)
Line item 1 Average Total Assets
Report average total on-balance sheet assets as reported in the FR Y-9C, Schedule HC-K,
item 5.
Line item 2 Amounts Deducted from Common Equity Tier 1 and Additional Tier 1
Capital
Regulatory deductions from tier 1 capital. Deductions from tier 1 capital should be
calculated as per the revised regulatory capital rule.
Line item 3 Other Deductions from (Additions to) Assets for Leverage Ratio
Purposes
Other deductions from or additions to assets for purposes of the leverage ratio as per the
revised regulatory capital rule.
Line item 4 Total Assets for the Leverage Ratio
This item is a shaded cell and is derived from other items in the schedule; no input required
Leverage Exposure for Supplementary Leverage Ratio (applicable to advanced
approaches BHCs only)
Line item 5 On-Balance Sheet Derivatives
Total carrying value of derivatives reported on-balance sheet.
Line item 6 Derivatives, Potential Future Exposure
Potential future exposure amount for each derivative contract to which the BHC is a
counterparty (or each single- product netting set for such transactions).
Line item 7 On-Balance Sheet Repo-Style Transactions
Total carrying value of repo-style transactions (including repurchase agreements, securities
lending and borrowing transactions, and reverse repos) reported on-balance sheet.
Line item 8 Other On-Balance Sheet Items, (Excluding Derivatives and Repo-Style
Transactions)
Carrying value of all other on-balance sheet assets.
Line item 9 Off-Balance Sheet Items (Excluding Derivatives and Repo-Style
Transactions)
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This item is a shaded cell and is derived from other items in the schedule, no input required.
Line item 10 Off-Balance Sheet Items – Of which: Unconditionally Cancellable
Commitment eligible for 10% Credit Conversion Factor
Notional amount of unconditionally cancellable commitments made by the BHC.
Line item 11 Off-Balance Sheet Items – Of which: All Other
Notional amount of all other off-balance sheet exposures of the BHC (excluding derivatives
and repo-style transactions including securities lending, securities borrowing and reverse
repurchase transactions)
Line item 12 Amounts Deducted from Tier 1 Capital (Report as Negative)
Regulatory deductions from tier 1 capital. Deductions from tier 1 capital should be
calculated as per the revised regulatory capital rule. Input value as a negative number.
Line item 13 Other Deductions from (Additions to) Leverage Exposure
Other deductions from or additions to assets for purposes of the supplementary leverage
ratio as per the revised regulatory capital rule.
Line item 14 Total Leverage Exposure for Supplementary Leverage Ratio
This item is a shaded cell and is derived from other items in the schedule, no input required.
Data Completeness Check
Line item 15 Leverage Exposure for Tier 1 Leverage Ratio (applicable to all BHCs)
Check to ensure worksheet is complete. Please ensure that “Yes” appears across all cells.
Line item 16 Leverage Exposure for Supplementary Leverage Ratio (applicable to
advanced approaches institutions only)
This item is a shaded cell and to check that all nonshaded cells have been completed. If "No"
appears, please complete all non-shaded cells until all cells to the right say "Yes." Do not
leave cells blank; enter "0" if not applicable. Please ensure that “Yes” appears across all cells.

D.6—Planned Actions
The FR Y-14Q Planned Action worksheet collects information on the results of all material
planned actions that management outlined in its FR Y-14A Regulatory Capital Transitions
submission. The objective of this section is to track the BHC’s progress in its actual
strategic actions taken relative to its proposed planned actions as reported in its most
recently submitted FR Y-14A Regulatory Capital Transitions schedule Planned Action
worksheet.
For each reporting period, BHCs should report the incremental quantitative impact of each
action on:
•
•
•

•
•
•

Common equity tier 1 capital
Tier 1 capital
Risk-weighted assets (RWA)_General
RWA_Advanced
Average Total Assets for Leverage Capital Purposes (relevant to the tier 1 leverage ratio;
to be completed by all BHCs)
Total Leverage Exposure for the Supplementary Leverage Ratio (to be completed by
advanced approaches BHCs only); and
Balance sheet.

The quantitative impact of actions submitted by BHCs should represent the stand-alone,
incremental immediate impact of the action.
Column Instructions
Note that certain columns include an option of "other" in the drop down list that can be
used if the listed action cannot be described using the listed selections.
Column B
Description
Brief description of the planned action.
Column C
Action Type
Select from a list of available actions provided in the schedule. BHCs should select the type
of action that best describes the planned action.
Column D
Exposure Type
Select from a list of available exposure types provided in the schedule. BHCs should select
the type of exposure that is most impacted by the planned action.
Column E
RWA Type
Selection from a list of available RWA exposure types provided in the schedule. For planned
actions that have an impact on RWAs, the BHC should report the type of RWA (i.e.,
Counterparty Credit, Other Credit, Market, or Operational) that is most impacted by the
planned action.
Columns F-L Projected impact (for the as-of date) on:
 Common Equity Tier 1
 Tier 1
 Risk-Weighted Assets (RWA)_General (impact on the RWA projections shown on
RWA_General worksheet)
 RWA_Advanced (impact on the RWA projections shown on RWA_Advanced
85





worksheet)
Average Total Assets for Leverage Capital Purposes
Total Leverage Exposure for Supplementary Leverage Ratio
Balance Sheet

Projected incremental impact quarter-over-quarter on the BHC’s common equity tier 1
capital, Tier 1 capital, risk-weighted assets, leverage exposures and balance sheet in
$Millions as realized during the quarter ending on the as-of date.
Columns F
Report the incremental impact to date on the BHC’s Common Equity Tier 1 Capital in
$Millions.
Column G
Report the incremental impact to date on the BHC’s Tier 1 Capital in $Millions.
Column H
Report the incremental impact to date on the BHC’s risk-weighted assets (RWA) shown on RWA_General
worksheet in $Millions.
Column I
Report the incremental impact to date on the BHC’s risk-weighted assets (RWA) shown on RWA_Advanced
worksheet in $Millions. Only advanced approaches BHCs should complete Column I.
Column J
Report the incremental impact to date on the BHC’s Average Total Assets for Leverage Capital Purposes
(relevant to the Tier 1 Leverage Ratio; to be completed by all BHCs).
Column K
Report the incremental impact to date on the BHC’s Total Leverage Exposure for the Supplementary
Leverage Ratio in $Millions. Only advanced approaches BHCs should complete Column K.
Column L
Report the incremental impact to date on the BHC’s balance sheet in $Millions.
Column M
Confirm detailed description of action provided in separate attachment
Select “Yes” to confirm that your BHC has provided supporting documentation to describe the nature of the
planned action and key assumptions factored into the action’s projected impact. Also, clearly describe the
file name or location of the additional information associated with each reported action. See the Regulatory
Capital Transitions section of Appendix A: Supporting Documentation for more information.
Column N
Comments
Enter any additional comments including explanations for any significant changes in reported values from
previous quarter, as well as any significant deviations from the projection path that can be derived from the
most recent CCAR submission.

Schedule E—Operational Risk
General Instructions
Each quarter an institution must submit the Operational Loss History and Legal Reserve
Frequency data files.
E.1—Operational Loss History
Submit a complete history of operational losses at and above the institution’s established
collection threshold(s) in accordance with the following instructions.
The data file should contain all operational losses, with the exception of data on legal
reserves, captured by the institution as of the respective reporting quarter end, starting
from the point-in-time at which the institution began capturing operational loss event data
in a systematic manner.
An operational loss is defined as a financial loss (excluding insurance or tax effects) resulting
from an operational loss event and includes all expenses associated with an operational loss
event except for opportunity costs, forgone revenue, and costs related to risk management
and control enhancements implemented to prevent future operational losses. An
operational loss event is defined as an event that results in loss and is associated with any of
the seven operational loss event type categories (Level 1) identified and defined in
Reference Table E.1.a.
Each loss event must contain a unique reference number. A single operational loss event
could have multiple impacts (e.g., several accounting or recovery dates) and/or could be
assigned to multiple business lines. In cases where the institution submits a single loss
event that has multiple impacts and/or is assigned to multiple business lines, the same
reference number must be used to link these individual records to the same event.
The requirement for reporting a loss event is based on the event’s total loss amount,
regardless of how the loss amount is distributed. For example, if an institution’s collection
threshold is $10,000 and a single loss event of $12,000 was assigned evenly to three
business lines (i.e., $4,000 each), then the event needs to be included in the institution’s
submitted data file.
Do not report separate, distinct operational loss events on an aggregated basis. For
example, the “bundling” of separate loss events that fall below the institution’s established
threshold into one loss event record should not be reported.
Foreign banking institutions should report operational losses that impact the institution’s
U.S. operations in accordance with these reporting instructions.
Ensure that the information provided for each descriptive element conforms to the
reporting instructions in the Operational Loss Data Collection Schedule in Section 1.
E.2—Legal Reserves Frequency
Report the total number of outstanding/pending legal events by “Basel Business Line
(Level 1)” and “Basel Event Type (Level 1)” for which a legal reserve(s) has been established
in accordance with the following instructions.
87

The total number reported should be based on the number of legal events, not the number
of “reserve entries.” The total number of outstanding/pending legal events should be
reported by the quarter and year in which the first legal reserve for each respective legal
event was recorded. For example, a legal event that had three separate reserves recorded in
Q1-2011, Q4-2011, and Q2-2012 should be included as one event in the Q1-2011 total.
Previously reported legal events that have been settled or closed during the current
reporting quarter should not be included in the current or future submissions. These events
should be detailed as part of the Operational Loss History. Example: A reserve for a legal
event was first recorded in Q1-2011. The legal event was then settled in Q2-2012. In this
example, the legal event should not be included in the institution’s Q2-2012 Legal Reserve
Frequency submission or future Legal Reserve Frequency submissions, but should be
included in the firms Operational Loss History.
The total number outstanding/pending legal events for which the first legal reserve was
recorded on or prior to December 31, 2007 must be reported under “Q4-2007” by “Basel
Business Line (Level 1)” and “Basel Event Type (Level 1). To clarify, total numbers reported
by business line and event type under Q4-2007 should represent the total number of
outstanding/pending legal events for which a reserve(s) was established prior to December
31, 2007 and for which reserves are still in place as of the current reporting quarter.
Ensure the information provided for each descriptive element conforms to the
reporting instructions in the Legal Reserves Frequency Schedule in Section 5. For
illustrative purposes, an example of a Legal Reserves Frequency Schedule is provided in
Reference Table E.1.c.

Section 1. Operational Loss Data Collection Schedule
Field
Reference

Field Name

Reference
Number

Capture
Date

Description
Report the unique institution-established identifier assigned to each loss event. The
reference number should not include any white spaces, tabs, or special characters.

Format
N:Numeric
C: Character
A:Alphanumeric

A
Date
MM/DD/YYYY

Occurrence
Date

Report the date that the institution captured/recorded the loss event in its internal
operational loss database. The Capture Date must be submitted in the following format:
MM/DD/YYYY. For example, “January 5, 2011,” should be “01/05/2011.”
Report the date that the operational loss event occurred or began. The Occurrence must
be submitted in the following format: MM/DD/YYYY. For example, “January 5, 2011,
“should be “01/05/2011.”

Discovery Date Report the date that the operational loss event was first discovered by the institution.
The loss event’s discovery date should not be earlier than its occurrence date. The
Discovery Date must be submitted in the following format: MM/DD/YYYY. For example,
“January 5, 2011,” should be “01/05/2011.”

Date
MM/DD/YYYY

Accounting
Date

Applicable
Loss Data
Collection
Threshold

Gross Loss
Amount
($USD)

Date
MM/DD/YYYY

Date
Report the date that the financial impact of the operational loss event was recorded on the
MM/DD/YYYY
institution's financial statements. Generally, the loss event’s accounting date should not be
earlier than its occurrence date or discovery date; however, there are cases where
accounting date can accurately be reflected prior to discovery data. The Accounting Date
must be submitted in the following format: MM/DD/YYYY. For example, “January 5, 2011,”
N
Reportbethe
institution-established loss data collection threshold that was applicable to the
should
“01/05/2011.”
respective business line/function and in effect at the time the loss event was captured.

Report the total financial impact of the operational loss event before any recoveries and
excluding insurance and/or tax effects. The GLA should include all expenses associated
with an operational loss event except for opportunity costs, forgone revenue, and costs
related to risk management and control enhancements implemented to prevent future
operational losses.
Also, the following types of events should not be included in the gross loss amount
or the institution’s completed Schedule:
89

Field
Reference

Field Name

Description

Format
N:Numeric
C: Character
A:Alphanumeric

Near Misses: An operational risk event that did not result in an actual financial loss or
gain to the institution.
Timing Events: An operational risk event that causes a temporary distortion of the
institution’s financial statements in a particular financial reporting period but that
can be fully corrected when later discovered (e.g., revenue overstatement,
accounting and mark-to-market errors).
Credit Boundary Events: Losses that are related to both operational risk and credit risk.
For example, where a loan defaults (credit risk) and the bank discovers that the
collateral for the loan was not properly secured (operational risk). [Exception: Retail
credit card losses arising from non- contractual third-party initiated fraud (for example,
identity theft) should be treated as external fraud operational losses and should be
included in the institution’s submission.]
Forgone Revenues/Opportunity Costs: Inability to collect potential future revenues due
to operational risk related failures.
Gains: Situations where an operational risk related failure results in a financial gain for
the institution.
In addition, Gross Loss Amounts:
Should be reported in units of one (not thousands), rounded to the nearest unit (for
example, a one million dollar loss would be reported as 1,000,000).
Must be reported in $US dollars. Loss amounts recorded in foreign currency should be
converted to $US dollars using a foreign exchange rate as of the accounting date
associated with the respective loss.

Recovery
Amount
($USD)

Cannot be reported as a negative value.
A recovery is an independent occurrence, related to the original loss event, separate in
time, in which funds or outflows of economic benefits are received from a third party,
excluding funds received from insurance providers. Recovery Amounts:
90

Field
Reference

Field Name

Basel
Event-Type
Category:
Level 1

Basel
Event-Type
Category:
Level 2

Basel
Business Line
Level 1

Basel
Business Line
Level 2

Internal
Business Line
or Corporate
Function

Acquired or
Merged

Description
• Should not be included in the Gross Loss Amount column or netted into the gross
loss amount.
• Should have the same reference number as the associated loss event.
• Should be reported in units of one (not thousands), rounded to the nearest unit (for
example, a one million dollar loss would be reported as 1,000,000).
• Should be reported in $US dollars. Recoveries recorded in foreign currency
amounts should be converted to $US dollars using a foreign exchange rate as of
the accounting date associated with the respective recovery.
• Cannot be reported as a negative value.
All loss events reported by the institution must be mapped to one of the seven
“Level 1 Event Types” in Reference Table E.1.a. This field must contain the
respective Level 1 Event-Type code specified in Reference Table E.1.a (i.e., ET1,
ET2, ET3….ET7). The exact code provided must be used (e.g., “ET1”) with no
additional characters or spaces added.

Format
N:Numeric
C: Character
A:Alphanumeric

If the institution categorizes loss events to the “Level 2 Event-Types” in Reference Table
E.1.a, use the Level 2 Event-Type codes specified in Reference Table E.1.b (i.e., ET11 –
ET76). If the institution does not map loss events to those Level 2 Event-Types, or cannot
map a particular loss event to one of the Level 2 Event-Types contained in Reference
Table E.1.a, then “ET00” should be inserted in this field. The exact code provided must be
used (e.g., “ET41”) with no additional characters or spaces added.
All loss events reported by the institution must be mapped to one of the nine “Level 1
Business Lines” in Reference Table E.1.b. This field must contain the specific Level
1Business Line code identified in Reference Table E.1.b (i.e., BL1, BL2, BL3….BL9) which
corresponds to the Level 1 Business Line.

If the institution categorizes loss events to the “Level 2 Business Lines” (Column L) in
Reference Table E.1.b, use the Level 2 Business Line codes specified in Reference Table
E.1.b (i.e., BL11 – BL81). If the institution does not map loss events to those Level 2
Business Lines, then insert BL00 in the respective field(s) in this column.
Report the institution-specific business line (e.g., Equities) or corporate function (e.g., HR,
Finance or Compliance) to which the operational loss event has been assigned. This field
should contain a numeric code (i.e., 1, 2, 3…) with each unique internal business line
mapped to a unique digit representing that business line/corporate function. The
institution should provide this mapping using the schedule provided in Table 3 (‘Internal
Business Line’) of the attachment.

If the loss event being reported originated from an acquired or merged entity, then
include the name of the respective acquired or merged entity in this field. If not, then

Field
Reference

Field Name
Entities

Is Loss Event
Included in the
Institution’s
Most Recently
Reported
Operational
Risk Capital
Estimate?
Unit of
Measure

Detailed
Description of
Loss Event
(required for
events >
$250k)

Description

Format
N:Numeric
C: Character
A:Alphanumeric

insert “NA” (not applicable). “Events originating from acquired or merged entities” refer
to loss events that have a capture date prior to the acquisition/merger date. This
requirement should also apply to loss events originating from acquired or merged
entities that have capture dates after the acquisition/merger date, if those losses have
not yet been integrated into the business lines/functions of the merged entity.
If the institution uses statistical model to estimate operational risk capital, enter “Yes” or
C
“No” depending on whether or not the respective loss event is included in the institution's Y, N, or N/A
most recently reported operational risk estimate.
If the institution does not estimate operational risk using a statistical model, enter "N/A"
for this field.

The Unit-of-Measure (UOM), established by the institution, to which the loss has been
assigned for regulatory and/or economic capital calculation purposes. It is the level at
which the BHC's quantification model generates a separate distribution for estimating
potential operational losses (for example, organizational unit, operational loss event type,
risk category, etc.). Some institutions estimate a unique loss distribution for each business
line/event type combination while others may estimate scenario loss distributions that
span multiple business lines or events types (for example, "Retail Banking/External
Fraud"). The UOM field should contain a numeric code (i.e., 1, 2, 3….) that is mapped to a
unique UOM. The institution should provide this mapping using the schedule provided in
Table 4 (‘Unit-of-Measure’) of the attachment.
For all operational loss events with gross loss amounts greater than or equal to $250
thousand, include a detailed description of the loss event. Generally, the "short-form"
descriptions captured in an institutions' internal loss database should suffice.

Section 2. Internal Business Line
Field Name

Description

Internal
Business Line
Code
Internal
Business Line
Name
Internal Business
Line Description

Format

N: Numeric
C: Character

Report the unique numeric code assigned to the respective
Internal Business Line by the institution.

Report the name of the Internal Business Line.

Provide a brief description of the Internal Business Line.

Section 3. Unit-of-Measure (UOM)
Field Name

Description

Format
N: Numeric
C: Character

UOM Code

Report the unique numeric code assigned to the respective Unitof-Measure by the institution.
UOM Name Report the name of the Unit-of-Measure.
UOM
Provide additional details on Unit-of-Measure, as necessary.
Descriptio
n
Section 4. Threshold Information
Field Name

Description

N
C
C

Format
N: Numeric
C: Character

Collection
Threshold(s)
Applicable
Internal
Business
Line(s)
Effective
Time
Period of
Collection
Threshold
(FROM)
Effective
Time
Period of
Collection
Threshold
(TO)
Comments

Identify all loss data collection thresholds used for the data
reported.
Identify the "Applicable Internal Business Line(s)" for which the
threshold applies. If the same threshold is used for all data
reported, indicate "firm-wide" in the Applicable Internal
Business Line(s) field.

N
C

For all collection thresholds applicable to the data reported,
identify the time period for which the respective threshold is/was
in effect.

Date
MM/DD/YY
YY

For all collection thresholds applicable to the data reported,
identify the time period for which the respective threshold is/was
in effect.

Date
MM/DD/YY
YY

Use as necessary.

Section 5. Legal Reserves Frequency Schedule
Format

Field
Reference

Field Name

Quarter

Report the quarter in which the first legal
reserve was established for a legal event.

Year

Report the year in which the first legal
reserve was established for a legal event.

Basel Event Type

The number of outstanding/pending legal
events reported by the institution must be
mapped to one of the seven “Level 1 Event
Types” in Reference Table E.1.a. This field
must contain the respective Level 1 EventType code specified in Reference Table E.1.a
(i.e., ET1, ET2, ET3….ET7). The exact code
provided must be used (e.g., “ET1”) with no
additional characters or spaces added.

Basel Business Line The number of outstanding/pending
legal events reported by the institution must
be mapped to one of the nine “Level 1
Business Lines” in Reference Table E.1.b.
This field must contain the specific Level 1
Business Line code identified in Reference
Table E.1.b (i.e., BL1, BL2, BL3….BL9) which
corresponds to the Level 1 Business Line.

Number of
Outstanding/Pending
Legal Events

Description

Report the number of outstanding/pending
legal events.

N: Numeric C:
Character

Reference Table E.1.a: Level 1 and Level 2 Event-Types
Level 1 Event-Type Categories
Code

Name

ET1

Internal Fraud

ET2

External Fraud

ET3

Employment Practices and
Workplace
Workplace Safety

ET4

Clients, Products & Business
Practices
Practices

Level 2 Event-Type Categories
Code

Name

ET11

Unauthorized Activity

ET12

Theft and Fraud

ET21

Theft and Fraud

ET22

Systems Security

ET31

Employee Relations

ET32

Safe Environment

ET33

Diversity & Discrimination

ET41

Suitability, Disclosure & Fiduciary

ET42

Improper Business or Market Practices

ET43

Product Flaws

ET44

Selection, Sponsorship & Exposure

ET45

Advisory Activities

ET5

Damage to Physical Assets

ET51

Disasters and other events

ET6

Business Disruption and System Failures

ET61

Systems

ET71

Transaction, Capture, Execution and Maintenance

ET72

Monitoring and Reporting

Execution, Delivery and Process

ET73

Customer Intake and Documentation

Management

ET74

Customer/Client Account Management

ET75

Trade Counterparties

ET76

Vendors & Suppliers

ET00

Not Applicable

ET7

Level 1 Event-Type
Categories

Definition

Internal Fraud

Losses due to acts of a type intended to defraud, misappropriate property or
circumvent regulations, the law or company policy, excluding
diversity/discrimination events, which involves at least one internal party.

External Fraud

Losses due to acts of a type intended to defraud, misappropriate property or
circumvent the law, by a third party.

Employment Practices
and Workplace Safety

Losses arising from acts inconsistent with employment, health or safety laws or
agreements, from payment of personal injury claims, or from
diversity/discrimination events.

Clients, Products &
Business Practices

Losses arising from an unintentional or negligent failure to meet a
professional obligation to specific clients (including fiduciary and suitability
requirements), or from the nature or design of a product.

Damage to Physical
Assets

Losses arising from loss or damage to physical assets from a natural disaster
or other events.

Business Disruption and Losses arising from disruption of business or system failures.
System Failures
Execution, Delivery and
Process
Management

Losses from failed transaction processing or process management, from relations
with trade counterparties and vendors.

Reference Table E.1.b: Level 1 and Level 2 Business Lines
Level 1 Business Lines

Level 2 Business Lines
Name

Code

Name

Code

BL1

Corporate Finance

BL11

Corporate Finance

BL12

Municipal/Government
Finance

BL13

Merchant Banking

BL14

Advisory Services

BL21

Sales

BL22

Market Making

BL23

Proprietary Positions

BL24

Treasury

BL31

Retail Banking

BL2

BL3

Trading & Sales

Retail Banking

Activity Groups

BL32

Private Banking

BL33

Card Services

Mergers and acquisitions,
underwriting, privatizations,
securitization, research, debt
(government, high yield), equity,
syndications, IPO, secondary private
placements
Fixed income, equity, foreign
exchanges, commodities, credit,
funding, own position securities,
lending and repos, brokerage, debt,
prime brokerage
Retail lending and deposits,
banking services, trust and
estates
Private lending and deposits,
banking services, trust and estates,
investment advice
Merchant/commercial/corporat
e cards, private labels and retail
Project finance, real estate, export
finance, trade finance, factoring,
leasing, lending, guarantees, bills of
exchange
Payments and collections, funds
transfer, clearing and settlement

BL4

Commercial
Banking

BL41

Commercial Banking

BL5

Payment and
Settlement

BL51

External Clients

BL6

Agency Services

BL61

Custody

Escrow, depository receipts,
securities lending (customers)
corporate actions

BL62

Corporate Agency

Issuer and paying agents

BL63

Corporate Trust

BL71

Discretionary Fund
Management

Pooled, segregated, retail,
institutional, closed, open,
private equity

BL72

Non-Discretionary Fund
Management

Pooled, segregated, retail,
institutional, closed, open

BL81

Retail Brokerage

Execution and full service

BL00

Not Applicable

BL7

BL8
BL9

Asset Management

Retail Brokerage
Corporate Level
– Non- Business
Line Specific

Losses originating from a corporate/firm-wide function that cannot be
linked to a specific business line.

Reference Table E.1.c: Example of a Completed Legal Reserves Frequency Schedule
(for illustrative purposes only)

Quarter

Year

Basel
Event
Type
Level 1

Q4
Q4
Q4
Q1
Q3
Q2
Q2
Q3
Q3
Q4

2007
2007
2007
2008
2008
2009
2009
2009
2010
2010

ET4
ET4
ET1
ET4
ET4
ET4
ET3
ET7
ET4
ET7

Basel
Business
Line
Level 1

Number of
Outstanding
/Pending
Legal Events

BL2
BL7
BL2
BL3
BL2
BL1
BL4
BL2
BL1
BL7

4
6
5
1
1
2
1
1
3
1

Schedule F—Trading
A. Purpose of Schedule:
This schedule is designed to capture P/L sensitivities to assets firms hold in their
trading books, private equity investments, and certain other assets under fair value
accounting. These terms are defined as follows:
Trading Book assets are those assets which are reported as trading securities on
the FR Y- 9C report, i.e.
"Trading activities typically include (a) regularly underwriting or dealing in
securities; interest rate, foreign exchange rate, commodity, equity, and credit
derivative contracts; other financial instruments; and other assets for resale, (b)
acquiring or taking positions in such items principally for the purpose of selling in
the near term or otherwise with the intent to resell in order to profit from shortterm price movements, and (c) acquiring or taking positions in such items as an
accommodation to customers or for other trading purposes."
Private Equity includes all equity related investments such as common, preferred,
and convertible securities.
This includes investments made on a principal basis in standalone companies, real
estate, general and limited partnership interests and hedge funds, including seed
capital invested in hedge or mutual funds. This includes Private Equity that is mark
to market (MTM), held for sale (HFS) or under fair value option accounting (FVO).
Other Fair Value Assets are all assets held under fair value option (FVO)
accounting except for retail and wholesale loans which should be included in the
schedules for Retail and Wholesale FVO loans.
Examples would include legacy assets, community development assets and taxoriented investments, e.g. wind farms.
B. General Instructions:
Please see the Regional Groupings worksheet for definitions of country/currency
categorizations.
Credit Valuation Adjustment (CVA) hedges should be included in this schedule,
while CVA itself should be excluded.
Neither Mortgage Servicing Rights (MSR's) nor MSR hedges should be included in
this schedule.
All worksheets are required to be filled out.
White cells represent required inputs. Green cells represent required inputs for
parameters that are flexible and can be changed.
Gray cells represent calculations or fixed values, and do not need to be completed
by the BHC.
Examples of flexible parameters include tenor points and shock %s in some grids.
See sheet-specific instructions around acceptable ranges.
98

Sensitivities related to Exchange Traded Funds (ETFs) that are primarily backed by
direct asset holdings should be reported in the appropriate asset class. For example,
ETFs that are primarily backed by physical and financial commodities holdings (e.g.
XAU) should be included in the Commodities worksheets. Data related to all other
ETFs should be reported in the Equity worksheets, except in the case of currency
related ETFs. If possible, decompose currency related ETFs into separate currency
components and report the related sensitivities in the appropriate currency row of
the FX worksheets. If decomposition is not possible, report currency related ETFs in
the USD/Other row of the FX worksheets.
C. Item-Specific Instructions:
Worksheet-specific instructions are included within.

Glossary
API 2:

API 4:

ARS:
bp:
Carry Value:
CDS:

CER:
CMO:

Covered Bond:
CS01:
CVA:
Delta:
DV01:
EUA/ETS:
Gamma:

GICS:
HY:
IG:

The benchmark price reference for coal imported into northwest Europe. It is
calculated as an average of the Argus cost-insurance-freight (cif), AntwerpRotterdam-Amsterdam (ARA, major coal importing ports in northwest Europe)
assessment and McCloskey's northwest European steam coal marker.
The benchmark price reference for coal exported out of South Africa's Richards
Bay terminal, it is used in physical and over-the-counter (OTC) contracts. Its
value is calculated as the average of the Argus freight-on-board (fob) Richards
Bay assessment and McCloskey's fob Richards Bay market.
Auction Rate Security - Long term, variable rate bonds tied to short term
interest rates. ARS have a long term nominal maturity with interest rates reset
through a modified Dutch auction, at predetermined short term intervals.
Basis Point, 1/100th of 1%.
The amount of an investment as reflected in the consolidated financial
statements prepared in accordance with GAAP.
Credit Default Swap - A swap designed to transfer the credit exposure of fixed
income products between parties. The buyer of the credit swap receives credit
protection, whereas the seller of the swap guarantees the credit worthiness of
the product.
Certified Emission Reduction - A type of emissions unit, or carbon credits,
issued by the Clean Development Mechanism (CDM) Executive Board for
emission reductions.
Collateralized Mortgage Obligation - A type of mortgage backed that represent
claims to specific cash flows from large pools of home mortgages. The streams
of principal and interest payments on the mortgages are distributed to the
different classes of CMO interests, known as tranches. Each tranche may have
different principal balances, coupon rates, prepayments risks, and maturity
dates.
A corporate bond with recourse to a pool of assets that secures or "covers" the
bond if the originator (usually a financial institution) becomes insolvent.
The sensitivity of the portfolio to 1 bp adjustment to credit spreads.
Credit Valuation Adjustment - The market value of the credit risk due to any
failure of the counterparty to deliver.
The expected change in the value of a derivative for each dollar change in the
price of the underlying asset.
The dollar value (DV) impact on the value of an asset resulting from a one basis
point parallel shift downward in interest rates.
European Union Emissions Trading System - Cap and trade emission
allowances in the European Union. Companies can buy and sell from each other
as needed.
The expected change in delta exposure for a +1% relative change in the price of
the underlying entity. Gamma is used to gauge the sensitivity of a derivative
position to a price change in the underlying reference security or portfolio. A
large positive gamma can serve to magnify gains and cushion losses.
Global Industry Classification Standard - An industry taxonomy developed by
MSCI and Standard & Poor's for use by the global financial community.
High Yield - Bonds rated below investment grade (below BBB). Because these
bonds have a higher risk of default, they have higher yields than better quality
bonds.
Investment Grade - Bonds that are rated BBB or above.
100

iTraxx:
LATAM:
LCDX:
LPG:
LIBOR:

Lognormal
Vega:
MBS:

MENA:
MV:
Normal Vega
OAS:
Private
Equity:
TIBOR:
Unfunded
Commitments:
Vega:
VER:
Vol point:
Whole Loan:
XO:

A family of credit default swap index products covering regions of Europe,
Australia, Japan and Asia Ex-Japan.
An abbreviation for Latin America.
A North American loan credit default swap index. LCDX consists of 100
reference entities, referencing first lien loans listed on the Markit Syndicated
Secured List.
Liquefied Petroleum Gas (LPG) is a flammable mixture of hydrocarbon gases
used as a fuel in heating appliances and vehicles.
London Interbank Offered Rate - An interest rate at which banks can borrow
funds from other banks in the London interbank market. LIBOR is derived from
a filtered average of the world's most creditworthy banks' interbank deposit
rates for larger loans with maturities between overnight and one full year.
The expected change in the value of an option when the option's implied
volatility increases by 1%, i.e. goes from 25% to 26%.
Mortgage Backed Securities - Debt obligations that represent claims to the cash
flows from pools of mortgage loans, most commonly on residential property.
Mortgage loans are purchased from banks, mortgage companies, and other
originators and then assembled into pools by a governmental, quasigovernmental, or private entities. These entities then issue securities that
represent claims on the principal and interest payments made by borrowers on
the loans in the pool.
An abbreviation for Middle East and North Africa.
An abbreviation for market value.
The expected change in the value of an option when the volatility of the
security underlying the option increases by 1%, i.e. goes from 25% to 26%.
Option Adjusted Spread - A measurement tool for evaluating price differences
between similar products with different embedded options. A larger OAS
implies a greater return for greater risks.
Private equity is an asset class consisting of equity securities in operating
companies that are not publicly traded on a stock exchange.
Tokyo Interbank Offered Rate - A daily reference rate based on the interest
rates at which banks offer to lend unsecured funds to other banks in the
Japanese interbank market.
Funds pledged for investment but not yet drawn upon.
The expected change in the value of an option when the option's implied
volatility increases by 1%, i.e. goes from 25% to 26%. When not specified
otherwise, vega denotes lognormal vega as opposed to normal vega.
Voluntary Emission Reductions/Verified Emission Reductions - A type of
carbon offset exchanged in the OTC market for carbon credits.
A 1% absolute change in volatility, e.g. a change from 25% to 26%.
A mortgage loan which is sold in its entirety on a standalone basis rather than
being pooled with other mortgages.
XO (Crossover) refers to the CDX.NA.XO CDX index, an index of CDS's that are at
the crossover point between investment grade and junk (high yield).

101

Regional Groupings
Advanced Economies
Andorra
Australia
Austria
Belgium
Canada
Channel Islands
Cyprus
Denmark
Estonia
Finland
France
Germany
Gibraltar
Greece
Greenland
Guam
Guernsey
Ireland
Isle of Man
Italy
Japan
Jersey
Kosovo
Luxembourg
Malta
Monaco
Montenegro
Netherlands
New Zealand
Norway
Portugal
Samoa
San Marino
Slovakia
Slovenia
Spain
Sweden
Switzerland
United Kingdom
United States
Vatican City
Virgin Islands (US)
Virgin Islands (British)

Currency
EUR
AUD
EUR
EUR
CAD
GBP
EUR
DKK
EUR
EUR
EUR
EUR
GIP
EUR
DKK
USD
GGP
EUR
IMP
EUR
JPY
JEP
EUR
EUR
EUR
EUR
EUR
EUR
NZD
NOK
EUR
USD
EUR
EUR
EUR
EUR
SEK
CHF
GBP
USD
EUR
USD
USD

Emerging Europe
Albania
Belarus
Bosnia and
Herzegovina
Bulgaria
Croatia
Czech Republic
Hungary
Iceland
Latvia
Liechtenstein
Lithuania
Macedonia
Moldova
Poland
Romania
Russia
Serbia
Ukraine

102

Currency
ALL
BYR
BAM
BGL
HRK
CZK
HUF
ISK
LVL
CHF
LTL
MKD
MDL
PLN
ROL
RUB
RSD
UAH

Latin America &
Caribbean
Antigua and Barbuda
Argentina
Aruba
Bahamas
Barbados
Belize
Bermuda
Bolivia
Brazil
Cayman Islands
Chile
Colombia
Costa Rica
Cuba
Dominica
Dominican Republic
Ecuador
El Salvador
Grenada
Guatemala
Guyana
Haiti
Honduras
Jamaica
Mexico
Nicaragua
Panama
Paraguay
Peru
Saint Kitts and Nevis
Saint Lucia
Saint Vincent and the
Grenadines
Suriname
Trinidad and Tobago
Uruguay
Venezuela

Currency
XCD
ARS
AWG
BSD
BBD
BZD
BMD
BOB
BRL
KYD
CLP
COP
CRC
CUP
XCD
DOP
ECS
USD
XCD
GTQ
GYD
HTG
HNL
JMD
MXN
NIO
PAB
PYG
PEN
XCD
XCD
XCD
SRG
TTD
UYU
VEF

Asia Ex-Japan
Bangladesh
Bhutan
Brunei
Cambodia
China
Fiji
Hong Kong
India
Indonesia
Kazakhstan
Kyrgyzstan
Laos
Macau
Malaysia
Maldives
Mongolia
Myanmar
Nepal
North Korea
Philippines
Singapore
Solomon Islands
South Korea
Sri Lanka
Taiwan
Tajikistan
Thailand
Tonga
Turkmenistan
Uzbekistan
Vanuatu
Vietnam

Currency
BDT
BTN
BND
KHR
CNY
FJD
HKD
INR
IDR
KZT
KGS
LAK
MOP
MYR
MVR
MNT
MMK
NPR
KPW
PHP
SGD
SBD
KRW
LKR
TWD
TJR
THB
TOP
TMM
UZS
VUV
VND

Middle East &
North Africa
Afghanistan
Algeria
Armenia
Azerbaijan
Bahrain
Dubai
Egypt
Georgia
Iran
Iraq
Israel
Jordan
Kuwait
Lebanon
Libya
Morocco
Oman
Pakistan
Qatar
Saudi Arabia
Somalia
Syria
Tunisia
Turkey
United Arab
Emirates
Yemen

103

Currency
AFA
DZD
AMD
AZM
BHD
AED
EGP
GEL
IRR
IQD
ILS
JOD
KWD
LBP
LYD
MAD
OMR
PKR
QAR
SAR
SOS
SYP
TND
TRY
AED
YER

Sub-Saharan Africa
Angola
Benin
Botswana
Burkina Faso
Burundi
Cameroon
Cape Verde
Central African
Republic
Chad
Congo-Brazzaville
Comoros
Cote d'Ivoire
Democratic Republic
of the Congo
Djibouti
Equatorial Guinea
Eritrea
Ethiopia
Gabon
Gambia
Ghana
Guinea
Guinea-Bissau
Kenya
Lesotho
Liberia
Madagascar
Malawi
Mali
Mauritania
Mauritius
Mozambique
Namibia
Niger
Nigeria
Republic of the Congo
Rwanda
Senegal
Seychelles
Sierra Leone
South Africa
Sudan
Swaziland
Tanzania
Togo
Uganda
Zambia
Zimbabwe

Currency
AOA
XOF
BWP
XOF
BIF
XAF
CVE
XAF
XAF
XAF
KMF
XOF
CDF
DJF
GQE
ERN
ETB
XAF
GMD
GHC
GNF
XOF
KES
LSL
LRD
MGF
MWK
XOF
MRO
MUR
MZM
NAD
XOF
NGN
XAF
RWF
XOF
SCR
SLL
ZAR
SDG
SZL
TZS
XOF
UGX
ZMK
USD

F.1—Equity by Geography
General Instructions
For definitions of the "Other" categories in each section, reference the Regional
Groupings worksheet. For example, "Other Advanced Economies" would include entries
for any Advanced Economy country (as defined on the Regional Groupings worksheet)
that is not explicitly listed in the Advanced Economies section of this worksheet. This
Other Advanced Economies row would also include aggregated exposures from
explicitly listed countries where the exposures fall below minimal thresholds specified
below.
Note that each regional section has a row for cross-country indices, e.g. the Euro Stoxx
indices, which may be used if firms have difficulty decomposing sensitivities by country.
Vega should be reported in absolute terms ($MM / +1 vol point) regardless of
whether relative or absolute vols were provided on the Equity Spot-Vol Grids
worksheet.
Profit/(Loss) Calculation
Profit/(Loss) should be calculated assuming full revaluation where possible. In
completing the Profit/(Loss) section, firms should run full revaluations assuming all
equities move a given relative % and then allocate the resulting P/L by country/index.
For example, all entries in the -50% decline column would be calculated by running a
single full-revaluation simulation in which all equities decline by -50% regardless of
geography. P/L from this single simulation would then be allocated among the various
rows corresponding to different countries/indices.
Thresholds
Sensitivities for countries in Advanced Economies for which the delta is less than
$3mm may be aggregated and entered as a single entry on the "Other Advanced
Economies" row. For other regions, sensitivities for which the delta is less than $2mm
may be aggregated and entered in the appropriate "Other" row for that region.
Spot Shocks
The spot shocks listed in the green cells may be modified to fit what the firm has
available subject to the following constraints:
Spot shocks must at a minimum span 0% to -50% and at least 5 distinct spot shocks less
than 0% must be provided.
The difference between adjacent spot shocks must not exceed 25%.
Additional columns for other shock percent may be added. Unused columns should be
left blank.
Tenors
In the term structure section, please replace the tenor points shown in green with those
the firm has available. Insert additional term structure columns as needed. Unused
columns should be left blank.

104

F.2—Equity Spot-Vol Grid
General Instructions
Each point on the grid should be calculated using full revaluation and should represent firm-wide
Profit/(Loss) results.
Vega post spot shock must be provided in absolute terms (units of $MM / +1 vol point) even if the
spot-vol grid is populated using relative volatility shocks.
Additional rows and columns for other shock values may be added. Unused rows/columns should
be left blank.
Spot Shocks
The spot shocks provided must match those provided on the Equity by Geography worksheet and
are subject to the constraints outlined on that worksheet.
Volatility Shocks
The volatility shocks listed in the green cells may be modified subject to the following constraints:
Vol shocks must go out to at least +20 vol points (or an equivalent amount if using a relative
methodology).
If using relative volatility shocks, it may be necessary to modify the default volatility shocks
shown in the grid based on the level of the volatility surface on the effective date of this
submission. Firms must provide at least 3 absolute volatility shocks which are greater than zero.
Absolute Vol Shocks
When shocking spot, "sticky" (i.e., fixed) strike volatility must be kept constant. The implied
volatility at each strike should not change and the volatility curve within a given tenor should
remain unchanged (in terms of sticky / fixed strike vs. absolute volatility). This is illustrated as we
go from Table 1 to Table 2, below.
When shocking implied volatility within a given tenor, the absolute implied volatility at each strike
(of each option at each strike) should be shocked in a parallel manner by the same absolute amount.
This is illustrated as we go from Table 2 to Table 3.
Table 1:

Table 2:

Spot Shock: 0%
Implied
Strike
Vol
700
32
800
27
900
23
1000
20

Spot Shock: -30%
Strike
700
800
900
1000

Implied
Vol
32
27
23
20

Table 3:
Spot Shock: -30%,
Vol Shock: +10 pts
Implied
Strike
Vol
700
42
800
37
900
33
1000
30

Relative Vol Shocks
Firms applying relative volatility shocks would keep their volatility surface fixed in going from
Table 1 to Table 2. That is, the implied volatility given a -30% shock would be what the implied
volatility was before shocking spot by -30%.

105

F.3—Other Equity
General Instructions
Entries in the dividend table above should represent the Profit/(Loss) in $MM that the firm would
experience if dividend yields in the specified tenors were to decline by -1% in relative terms, i.e.
drop from 3% to 2.97%.
For a precise description of what countries constitute Europe, please refer to the UN GeoScheme:
(http://millenniumindicators.un.org/unsd/methods/m49/m49regin.htm#Europe).
Tenors
In the term structure section, replace the tenor points shown in green with those the firm has
available. Insert additional term structure columns as needed. Unused columns should be left
blank. The unspecified tenor column is to be used only if the firm is unable to break out its
sensitivities by tenor.

106

F.4—FX Spot Sensitivities
General Instructions
Enter currency symbols into the green cells of the Currency1 and Currency2 columns. Additional
rows may be inserted into this section as needed. Any unused rows should be left blank.
Report on-shore and off-shore currency sensitivities separately.
For non-USD currency pairs:
1) Delta is defined as USD delta equivalent of Currency1, with a positive number indicating long
Currency1 / short Currency2, and a negative number indicating short Currency1 / long Currency2.
2) If the currency delta positions are netted and shown only versus USD, then enter zero for delta
and show the P/L arising from gamma only in the corresponding currency pair row.
Profit/(Loss) Calculation
Profit/(Loss) should be calculated assuming full revaluation where possible. In completing the
Profit/(Loss) section, firms should complete each row independently. For example, a row for EUR
vs. USD would be calculated by shocking only the EUR vs. USD exchange rate and leaving all other
exchange rates fixed.
Thresholds
Entries for currencies where the absolute value of the delta is below $50mm and where no grid P/L
entries have an absolute value above $10mm may be aggregated and placed into the OTHER vs. USD
line.
Spot Shocks
The spot shocks listed in the green cells may be modified to fit what the firm has available subject to
the following constraints:
Spot shocks must at a minimum span -30% to +30% and at least four distinct spot shocks on each
side of 0% must be provided.
The difference between adjacent spot shocks must not exceed 10%.
Additional columns for other shock percent may be added. Unused columns should be left blank.
In computing the Profit/(Loss) entries, assume normal volatility does not change.

107

F.5—FX Vega
General Instructions
Enter currency symbols into the green cells of the Currency1 and Currency2 columns. Additional
rows may be inserted as needed. Unused rows should be left blank.
Report on-shore and off-shore currency sensitivities separately.
Thresholds
Enter all currency pairs for which the absolute value of the vega at any tenor (or in total) exceeds
$1 mm / +1 vol point; pairs with smaller vegas may be omitted.
Tenors
In the term structure section, replace the tenor points shown in green with those the firm has
available. Insert additional term structure columns as needed. Unused columns should be left
blank.

108

F.6—Rates DV01
General Instructions
For definitions of the "Other" categories in each section, reference the Regional Groupings
worksheet. For example, "Other Asia Ex-Japan" would include entries for any Asia Ex-Japan
currency (as defined on the Regional Groupings worksheet) that is not explicitly listed in the Asia
Ex-Japan section of this worksheet. This Other Asia Ex-Japan row would also include aggregated
exposures from explicitly listed currencies where the exposures fall below minimal thresholds
specified below.
**DV01s of instruments shocked by market value (MV) such as securitized products, ARS,
Loans and defaulted securities must be entered in aggregate on the "Instruments shocked by
Market Value" row for the appropriate currency. For the regional sections (Other Advanced
Economies, Emerging Europe, Latin America & Caribbean, etc.), DV01s of instruments
shocked by MV should not be included to avoid double counting.
Entries on this sheet should include ALL products with interest rate sensitivities including
those such as munis, agencies and ARS for which DV01s are also requested elsewhere in this
schedule.
DV01 for Corporates should be included in the Swaps / Discounting Curve line for the appropriate
currency. If the OIS curve is used as the discounting curve, report the sensitivities associated with
changes in the OIS curve in the Swaps/Discounting Curve rows.
Examples
Example 1: Consider a 5 year receive fixed swap versus 6-month LIBOR, where the standard curve
is 3 month LIBOR. The DV01 of the fixed side and the first fixing would appear in the Swaps /
Discounting Curve row as a positive directional risk number. The DV01 of the 0.5Y by 5Y year
basis swap would appear in the 6m row as a positive number as well since a 1 bp drop in that curve
would be beneficial. Note that this would correspond to a -1 bp change in x, where x is the spread
in the 6m vs. 3m + x basis swap.
Example 2: 3 year basis swap in which the bank pays 1m LIBOR + 10 bps vs. 3m LIBOR, where the
standard curve is 3 month LIBOR. The initial 1m and 3m fixings would appear in the Swaps /
Discounting Curve line as a directional risk number. The remaining 1m by 3Y basis swap would
appear in the 1m line as a positive number. Note that this would correspond to a +1 bp change in x,
where x is the spread in the 3m vs. 1m + x basis swap.
Sovereign Bonds
Sovereign bonds issued in the same currency as the reference sovereign's base currency should
have their DV01's entered on this worksheet. Examples would include U.S. government bonds
denominated in USD and U.K. government bonds denominated in GBP. Such instruments would
not lead to any credit spread entries on the Sovereign Credit worksheet, though they would lead to
entries in the MV (A) and Notional (B) sections of that worksheet.
Euro-denominated bond positions issued by countries using the euro should also be entered on this
worksheet only. Note that there are specific rows for "Government" exposures for those countries
defined as "Advanced Economies" on the Regional Groupings worksheet. For other countries, the
government exposures would be summed with other types of rates exposures and entered in
109

aggregate in the single row for the corresponding country. So, for example, Spanish government
bonds would be entered on this worksheet on the row in the "EUR Directional Risks" section
labeled "Governments: Spain", while Hungarian government bond exposures would be aggregated
along with any other Hungarian rates exposures and entered in the row labeled "HUF". Again, such
instruments would not lead to any credit spread entries on the Sovereign Credit worksheet, though
they would lead to entries in the MV (A) and Notional (B) sections of that worksheet.
In the case of sovereign bonds issued in a currency that differs from the reference sovereign's base
currency, the rates risk should be entered on this worksheet, while the corresponding credit risk
should be entered on the Sovereign Credit worksheet. Examples would include Japanese
government bonds denominated in USD and U.K. government bonds denominated in EUR.
Any rates exposure from Sovereign CDS should be entered on this worksheet, while the
corresponding credit risk should be entered on the Sovereign Credit worksheet.
These instructions with respect to sovereign bonds pertain solely to the entries on this worksheet.
Please see the instructions on the Sovereign Credit worksheet when entering the notionals and
market values there.
Profit/(Loss) Section
The shock entries listed in the green cells may be modified to fit what the firm has readily available.
Shock levels should range from -200 bps to +500 bps and the difference between adjacent shocks
should not exceed 100 bps.
Additional columns for other shock percent may be added. Unused columns should be left blank.
Floor rates at +1bp when calculating the Profit/(Loss) from negative rate shocks (i.e. assume rates
cannot become negative).
In computing Profit/(Loss), assume normal (absolute) volatility does not change and, to the
extent possible, preserve the skew by strike for all shock levels.
Do not include instruments shocked by market value (MV) in computing the Profit/(Loss)
points.
Tenors
In the term structure section, replace the tenor points shown in green with those the firm has
available. Insert additional term structure columns as needed. Unused columns should be left
blank.

110

F.7—Rates Vega
General Instructions
For definitions of the "Other" categories in each section, reference the Regional Groupings
worksheet. For example, the "Other Advanced Economies" section should include entries for any
Advanced Economy country (as defined on the Regional Groupings worksheet), when the currency
is not explicitly listed on this worksheet.
Similarly, the Totals sections, such as Total Emerging Europe, should contain the summation of the
vegas across all the currencies when issuing countries are defined as Emerging Europe on the
Regional Groupings worksheet.
Specify in the green cells at the top of the worksheet whether the vegas provided are normal or
lognormal and whether the units are $MM / +10% relative move or $MM / +10 bps absolute move.
Tenors
In the term structure section, replace the tenor points shown in green with those the firm has
available. Insert additional term structure rows and columns as needed. Unused rows and columns
should be left blank.

111

F.8—Other Rates
General Instructions
Cross-Currency vs. USD basis is defined as USD vs. CCY + x Basis Swap ($K).
Tenors
In the term structure section, replace the tenor points shown in green with those the firm has
available. Insert additional term structure columns as needed. Unused columns should be left
blank.

112

F.9—Energy
General Instructions
Delta for commodities is defined as dollarized delta exposure in ($MM).
"Total Gamma" is the unweighted sum of gammas across all tenors for each product. Similarly,
"Total Vega" is the unweighted sum of the vegas across all tenors for each product.
Vega may be reported in absolute ($MM / +1 vol point) or relative ($MM / +10% Rel) terms
regardless of whether relative or absolute vols are provided on the Commodity Spot-Vol
Grids worksheet, but should be consistent across the Energy, Metals, Ags & Softs and
Commodity Indices worksheets. The appropriate vega units may be selected from the list
provided in the Vega title cell.
Ideally, storage and other models, which do not qualify for derivatives accounting treatment, should
be excluded from this schedule while the underlying (exposure and P/L contribution) should be
included. In cases where such exclusion is computationally difficult due to system constraints,
firms may include the impacts of storage and other models provided it is immaterial (i.e., the
absolute value of the incremental P/L contributed by the model at both spot up +75% and spot
down -75% are both <$50mm).
BHCs should decompose the commodities sensitivities of complex products into their constituent
product sensitivities wherever possible. The column for Structured Products is meant to capture
commodity exposures that are not easily decomposed into their underlying components.
Examples include structured notes linked to commodity baskets and custom indices.
Tenors
The maturities/maturity buckets in column B may be modified to fit what the firm has available and
all should be considered as relative to the effective date of this submission. Please provide monthly
data for the first 12 months. Maturities greater than 12 months but less than 10 years from the
effective date must be supplied on a monthly, quarterly or annual basis. Maturities greater than 10
Years from the effective date may be grouped together.
Informational section
The columns in the "Informational" section are meant to be SUBSETS of the total exposures
entered in the other columns to the left of the "Total Energy" column. Additional informational
columns (e.g. Coal, Emissions, etc.) may be inserted if desired.

113

F.10—Metals
General Instructions
Delta for commodities is defined as dollarized delta exposure in ($MM).
"Total Gamma" is the unweighted sum of gammas across all tenors for each product. Similarly,
"Total Vega" is the unweighted sum of the vegas across all tenors for each product.
Vega may be reported in absolute ($MM / +1 vol point) or relative ($MM / +10% Rel) terms
regardless of whether relative or absolute vols are provided on the Commodity Spot-Vol
Grids worksheet, but should be consistent across the Energy, Metals, Ags & Softs and
Commodity Indices worksheets. The appropriate vega units may be selected from the list
provided in the Vega title cell of the Energy worksheet.
Ideally, storage and other models, which do not qualify for derivatives accounting treatment, should
be excluded from this schedule while the underlying (exposure and P/L contribution) should be
included. In cases where such exclusion is computationally difficult due to system constraints,
firms may include the impacts of storage and other models provided it is immaterial (i.e., the
absolute value of the incremental P/L contributed by the model at both spot up +75% and spot
down -75% are both <$50mm).
Tenors
The maturities/maturity buckets in column B may be modified to fit what the firm has available and
all should be considered as relative to the effective date of this submission. Please provide monthly
data for the first 12 months. Maturities greater than 12 months but less than 10 years from the
effective date must be supplied on a monthly, quarterly or annual basis. Maturities greater than 10
years from the effective date may be grouped together.

114

F.11—Ags & Softs
General Instructions
Delta for commodities is defined as dollarized delta exposure in ($MM).
"Total Gamma" is the unweighted sum of gammas across all tenors for each product. Similarly,
"Total Vega" is the unweighted sum of the vegas across all tenors for each product.
Vega may be reported in absolute ($MM / +1 vol point) or relative ($MM / +10% Rel) terms
regardless of whether relative or absolute vols are provided on the Commodity Spot-Vol
Grids worksheet, but should be consistent across the Energy, Metals, Ags & Softs and
Commodity Indices worksheets. The appropriate vega units may be selected from the list
provided in the Vega title cell of the Energy worksheet.
Ideally, storage and other models, which do not qualify for derivatives accounting treatment, should
be excluded from this schedule while the underlying (exposure and P/L contribution) should be
included. In cases where such exclusion is computationally difficult due to system constraints, firms
may include the impacts of storage and other models provided it is immaterial (i.e., the absolute
value of the incremental P/L contributed by the model at both spot up +75% and spot down -75%
are both <$50mm).
Tenors
The maturities/maturity buckets in column B may be modified to fit what the firm has available and
all should be considered as relative to the effective date of this submission. Provide monthly data
for the first 12 months. Maturities greater than 12 months but less than 10 years from the effective
date must be supplied on a monthly, quarterly or annual basis. Maturities greater than 10 years
from the effective date may be grouped together.

115

F.12—Commodity Indices
General Instructions
Delta for commodities is defined as dollarized delta exposure in ($MM).
"Total Gamma" is the unweighted sum of gammas across all tenors for each product. Similarly,
"Total Vega" is the unweighted sum of the vegas across all tenors for each product.
Vega may be reported in absolute ($MM / +1 vol point) or relative ($MM / +10% Rel) terms
regardless of whether relative or absolute vols are provided on the Commodity Spot-Vol
Grids worksheet, but should be consistent across the Energy, Metals, Ags & Softs and
Commodity Indices worksheets. The appropriate vega units may be selected from the list
provided in the Vega title cell of the Energy worksheet.
Ideally, storage and other models, which do not qualify for derivatives accounting treatment, should
be excluded from this schedule while the underlying (exposure and P/L contribution) should be
included. In cases where such exclusion is computationally difficult due to system constraints,
firms may include the impacts of storage and other models provided it is immaterial (i.e., the
absolute value of the incremental P/L contributed by the model at both spot up +75% and spot
down -75% are both <$50mm).
Firms should decompose their exposures to diversified commodity indices into their individual
constituents and enter them on the Energy, Metals and Ags & Softs worksheets to the extent
possible. Any residual exposures to diversified commodity indices should be entered on this
worksheet.
The column for Long/Short Commodity Indices is meant to capture exposures to indices that do not
contain outright commodity exposures but instead seek to generate alpha through long/short
commodity strategies.
Tenors
The maturities/maturity buckets in column B may be modified to fit what the firm has available and
all should be considered as relative to the effective date of this submission. Provide monthly data
for the first 12 months. Maturities greater than 12 months but less than 10 years from the effective
date must be supplied on a monthly, quarterly or annual basis. Maturities greater than 10 years
from the effective date may be grouped together.

116

F.13—Commodity Spot-Vol Grids
General Instructions
Please use full revaluation, if possible, in calculating the grid entries.
Ideally storage and other models which do not qualify for derivatives accounting treatment should
be excluded from this schedule while the underlying (exposure and P/L contribution) should be
included. In cases where such exclusion is computationally difficult due to system constraints,
firms may include the impacts of storage and other models provided it is immaterial (i.e. the
absolute value of the incremental P/L contributed by the model at both spot up +75% and spot
down -75% are both <$50mm).
In calculating the grid entries, shock the entire vol surface by the specified vol shock and shock all
spot prices by the specified spot shock. Recalculate the value of all options under these conditions
and compute the change in market value relative to current market value. This change in market
value is what should be entered in the appropriate grid cells.
Diversified Commodity Indices:
The grid for Diversified Commodity Indices should correspond to those exposures listed on the
Commodity Indices worksheet. It should not include the impact from diversified index exposures
which were decomposed and entered into other columns on the Energy, Metals or Ags & Softs
worksheets. The impact from these decomposed index positions should be factored into the other
spot-vol grids on this page. Firm choosing to decompose all diversified commodity index exposures
into their components would leave the Spot-Vol grid for Diversified Commodity Indices blank.
Long/Short Index exposures (detailed on the Commodity Indices worksheet) should be excluded
from the Spot-Vol grids.
Spot/Volatility Shocks:
The specific spot and vol shocks chosen need not be the same across each of the commodity grids.
Rows and columns for additional shock values may be added. Unused rows or columns should be
left blank.
Vol shocks may be specified as either absolute moves in vol points or as a relative (%) change in
volatility.
Indicate in the green cells above each grid which volatility units are being provided.
The spot and volatility shocks listed in the green cells may be modified to fit what the firm has
readily available subject to the following constraints:
Spot shocks must at a minimum span -75% to +75%. At least 5 distinct spot shocks less than
0% and 3 distinct spot shocks greater than 0% must be provided.
The difference between adjacent spot shocks must not exceed 25%.
117

If volatility shocks are specified in terms of absolute moves, volatility shocks must span at
least 0 to +50 vol pts. At least 4 distinct volatility shocks greater than 0 must be provided
and adjacent shocks must be no more than 15 vol points apart.
If volatility shocks are specified in terms of relative (%) moves, then the guidance above
must be converted to relative space using the at the money spot volatilities on the effective
date of this submission.

118

F.14—Securitized Products
Notional and MV amounts should be reported, by rating and vintage, for all relevant products.
* MV for CDS should be reported as the notional amount minus the current MTM of the CDS, i.e. the
bond-equivalent market value of the CDS.
Ratings information reflects current rating and not original rating.
If vintage information for a given product is not available, please enter exposures (MV and notional)
in the unspecified vintage bucket for the appropriate rating.
Agency loans that are in forward contract should be included on the Agencies worksheet, otherwise
they should be entered here under Whole Loans.
Warehouse should only include exposure to which there is first loss protection provided.
Otherwise, all residential whole loans and commercial real estate whole loans used for trading or
warehoused without first loss protection should be included in the respective whole loan
categories.
A category for European RMBS is provided. European ABS and CMBS exposures should not be
included in this column, but instead entered in the existing ABS and CMBS sections.

119

F.15—Agencies
General:
The top section above should contain sensitivities for US Agency securities only.
The lower section should contain sensitivities for non-US Agencies without an explicit sovereign
government guarantee. This includes bonds as well as CDS.
Non-US Agency securities that do have an explicit government guarantee should not be entered
here. They should be treated as government bonds and entered on the Rates DV01 worksheet
and/or the Sovereign Credit worksheets in accordance with the instructions on those pages.
Loans should be included on this worksheet only if they are in forward contract or if the loans have
FHA IDs and are in process of being reviewed for FHA insurance. Otherwise, the loans should be
entered on the Securitized Products worksheet under Whole Loans.
Note that the spread sensitivities here refer to Option Adjusted Spread (OAS).
Spread Shocks:
The spread widenings listed in the green cells may be modified to fit what the firm has readily
available subject to the following constraints:
OAS shocks must at a minimum range from 100 bps to at least 400 bps and at least 4 distinct spot
shocks greater than 1 bp must be provided.
Additional columns for other shock levels may be added. Unused columns should be left blank.

120

F.16—Munis
General:
* MV for CDS should be reported as the notional amount minus the current MTM of the CDS, i.e. the
bond-equivalent market value of the CDS.
This worksheet should contain exposures to all Municipals, regardless of geography and currency.
Munis with an explicit sovereign government guarantee should not be entered here. They should
be treated as government bonds and entered on either the Rates DV01 and/or the Sovereign Credit
worksheets in accordance with the instructions on those pages.
Profit/(Loss) Calculation:
Profit/(Loss) should be calculated assuming full revaluation where possible. In completing the
Profit/(Loss) section, firms should run full revaluations assuming all credit spreads (across all
geographies and products- Munis, Corporates, CDS, etc.) move a given amount and then allocate the
resulting P/L to the various rows and sections across all credit worksheets.
For example, firms should run a single full-revaluation simulation in which all spreads widen by
100% regardless of geography/product. P/L from this single simulation would then be allocated
among the various rows and worksheets corresponding to different products, countries and
indices.
Spread Shocks:
Profit/(Loss) from spread widenings should be entered using either the relative (%) section or the
absolute (bps) section, but not in both. Relative (%) spread sensitivities are strongly preferred.
Columns for additional slide points may be inserted, however do not remove or modify any of the
existing slide points shown in gray.
Tenors:
In the term structure section, replace the tenor points shown in green with those the firm has
available.
Insert additional term structure rows as needed. Unused rows should be left blank.

121

F.17—Auction Rate Securities (ARS)
General:
This worksheet is meant to collect basic sensitivities related to Auction Rate Securities (ARS).
Tenors:
In the term structure section, replace the tenor points shown in green with those the firm has
available.
Insert additional term structure rows as needed. Unused rows should be left blank.

122

F.18—Corporate Credit-Advanced
General:
Reference the Regional Groupings worksheet for the definition of which countries are included in
Advanced Economies.
Notional and MV amounts should be reported, by rating and tenor, for all relevant products.
* MV for CDS should be reported as the notional amount minus the current MTM of the CDS, i.e. the
bond-equivalent market value of the CDS.
"On-the-Run" refers to the two most recent series (i.e. the current and the prior) of the index.
The File Type application/pdf
Subject Retail Schedules
Author Phillip Basil
File Modified 2013-09-30
File Created 2013-09-30

File Type	application/pdf
Subject	Retail Schedules
Author	Phillip Basil
File Modified	2013-09-30
File Created	2013-09-30