Balances

Capital Assessment and Stress Testing

FR_Y-14Q_Instructions_20140930_i

Balances

OMB: 7100-0341

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Version	as	of	October	10,	2014	
 

OMB No. 7100-0341
Expiration Date: October 31, 2017

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.
 
 
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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 ............................................................................................................................................................ 10 
A.1	–	INTERNATIONAL	AUTO	LOAN ........................................................................................................................................................ 10 
A.2	–	US	AUTO	LOAN ............................................................................................................................................................................ 15 
A.3	–	INTERNATIONAL	CREDIT	CARD ..................................................................................................................................................... 21 
A.4	–	INTERNATIONAL	HOME	EQUITY .................................................................................................................................................... 25 
A.5	–	INTERNATIONAL	FIRST	LIEN	MORTGAGE ...................................................................................................................................... 29 
A.6	–	INTERNATIONAL	OTHER	CONSUMER	SCHEDULE ............................................................................................................................ 33 
A.7	–	US	OTHER	CONSUMER ................................................................................................................................................................. 36 
A.8	–	INTERNATIONAL	SMALL	BUSINESS ................................................................................................................................................ 39 
A.9	–	US	SMALL	BUSINESS..................................................................................................................................................................... 42 
A.10	–	STUDENT	LOAN ......................................................................................................................................................................... 45 

Schedule	B—Securities .................................................................................................................................................... 49 
B.1—SECURITIES	1	(“MAIN	SCHEDULE”) .............................................................................................................................................. 49 
B.2—SECURITIES	2	(“AGGREGATE	SCHEDULE”) .................................................................................................................................... 54 
B.3—SECURITIES	3	(“INVESTMENT	SECURITIES	WITH	DESIGNATED	ACCOUNTING	HEDGES”) .................................................................. 54 

Schedule	C—Regulatory	Capital	Instruments ............................................................................................................. 58 
C.1—REGULATORY	CAPITAL	INSTRUMENTS	AS	OF	QUARTER	END .......................................................................................................... 58 
C.2—REGULATORY	CAPITAL	INSTRUMENT	REPURCHASES/REDEMPTIONS	DURING	QUARTER ................................................................ 59 
C.3	–	REGULATORY	CAPITAL	INSTRUMENTS	ISSUANCES	DURING	QUARTER ............................................................................................. 60 

Schedule	D—Regulatory	Capital	Transitions .............................................................................................................. 64 
D.1—CAPITAL	COMPOSITION ............................................................................................................................................................... 66 
D.2—EXCEPTION	BUCKET	CALCULATOR ............................................................................................................................................... 75 
D.3—	ADVANCED	RISK‐WEIGHTED	ASSETS .......................................................................................................................................... 78 
D.4—STANDARDIZED	RISK‐WEIGHTED	ASSETS .................................................................................................................................... 83 
D.5—LEVERAGE	EXPOSURE .................................................................................................................................................................. 89 
D.6—PLANNED	ACTIONS ...................................................................................................................................................................... 94 

Schedule	E—Operational	Risk ........................................................................................................................................ 96 
E.1—OPERATIONAL	LOSS	HISTORY ....................................................................................................................................................... 96 
E.2.		INTERNAL	BUSINESS	LINE ............................................................................................................................................................ 103 
E.3.		UNIT‐OF‐MEASURE	(UOM) ......................................................................................................................................................... 103 
E.4.		THRESHOLD	INFORMATION .......................................................................................................................................................... 103 
E.5—LEGAL	RESERVES	FREQUENCY ..................................................................................................................................................... 103 

Schedule	F—Trading ...................................................................................................................................................... 107 
GLOSSARY ........................................................................................................................................................................................... 109 
REGIONAL	GROUPINGS ........................................................................................................................................................................ 111 
F.1—EQUITY	BY	GEOGRAPHY ............................................................................................................................................................. 114 
F.2—EQUITY	SPOT‐VOL	GRID ............................................................................................................................................................ 115 

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F.3—OTHER	EQUITY .......................................................................................................................................................................... 116 
F.4—FX	SPOT	SENSITIVITIES .............................................................................................................................................................. 117 
F.5—FX	VEGA .................................................................................................................................................................................... 118 
F.6—RATES	DV01 ............................................................................................................................................................................. 119 
F.7—RATES	VEGA .............................................................................................................................................................................. 121 
F.8—OTHER	RATES ............................................................................................................................................................................ 122 
F.9—ENERGY ..................................................................................................................................................................................... 123 
F.10—METALS .................................................................................................................................................................................. 124 
F.11—AGS	&	SOFTS ........................................................................................................................................................................... 125 
F.12—COMMODITY	INDICES ............................................................................................................................................................... 126 
F.13—COMMODITY	SPOT‐VOL	GRIDS ................................................................................................................................................. 127 
F.14—SECURITIZED	PRODUCTS .......................................................................................................................................................... 129 
F.15—AGENCIES ................................................................................................................................................................................ 130 
F.16—MUNIS ..................................................................................................................................................................................... 131 
F.17—AUCTION	RATE	SECURITIES	(ARS) .......................................................................................................................................... 132 
F.18—CORPORATE	CREDIT‐ADVANCED .............................................................................................................................................. 133 
F.19—CORPORATE	CREDIT‐EMERGING	MARKETS............................................................................................................................... 135 
F.20—SOVEREIGN	CREDIT ................................................................................................................................................................. 137 
F.21—CREDIT	CORRELATION ............................................................................................................................................................. 139 
F.22—IDR‐CORPORATE	CREDIT ........................................................................................................................................................ 141 
F.23—IDR‐JUMP	TO	DEFAULT ........................................................................................................................................................... 143 
F.24—PRIVATE	EQUITY ..................................................................................................................................................................... 144 
F.25—OTHER	FAIR	VALUE	ASSETS ..................................................................................................................................................... 145 

Schedule	G—PPNR .......................................................................................................................................................... 146 
G.1—PPNR	SUBMISSION	WORKSHEET ............................................................................................................................................... 149 
G.2—PPNR	NET	INTEREST	INCOME	(NII)	WORKSHEET ..................................................................................................................... 163 
G.3—PPNR	METRICS ........................................................................................................................................................................ 170 

Schedule	H—Wholesale	Risk ........................................................................................................................................ 183 
H.1	‐	 CORPORATE	LOAN	DATA	SCHEDULE ........................................................................................................................................... 183 
H.2	–	 COMMERCIAL	REAL	ESTATE	SCHEDULE ..................................................................................................................................... 218 

Schedule	I	–MSR	Valuation	Schedule ........................................................................................................................... 243 
Schedule	J	–	Retail	Fair	Value	Option/Held	for	Sale	(FVO/HFS) ............................................................................ 246 
Schedule	K	‐	Supplemental ............................................................................................................................................ 250 
Schedule	L	‐	Counterparty ............................................................................................................................................. 253 
Schedule	M—Balances ................................................................................................................................................... 276 
Appendix	A:		FR	Y‐14Q	Supporting	Documentation ................................................................................................. 280 
SUPPORTING	DOCUMENTATION	FOR	SCHEDULE	C	–	REGULATORY	CAPITAL	INSTRUMENTS .................................................................... 280 
SUPPORTING	DOCUMENTATION	FOR	SCHEDULE	D	–	REGULATORY	CAPITAL	TRANSITIONS ..................................................................... 281 
SUPPORTING	DOCUMENTATION	FOR	SCHEDULE	L	–	COUNTERPARTY ..................................................................................................... 281 

 

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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,	Regulatory	Capital	
Transitions,	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	Y‐
14A/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,	Regulatory	Capital	Transitions	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	
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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)).			
	
	

	

                                                            
1	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.	
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Risk	Factor	
Schedules	and	Sub‐
Worksheets	

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	
Balances	schedule	

Data	as‐of	each	calendar	
quarter	end.	

Trading	schedule	
Counterparty	schedule	

The	data would	be	due	47	
calendar	days	after	the	
notification	date	(notifying	
respondents	of	the	as‐of‐date)	
Due	to	the	CCAR	Market	
or,	for	the	3rd	quarter	data,	
Shock	exercise,	the	as‐of‐
December	15,	whichever	
date	for	the	third	quarter	
comes	earlier.		Unless	the	
would	be	communicated	in	
Board	requires	the	data	to	
the	subsequent	quarter.			
be	provided	over	a	different	
	
weekly	period,	BHCs	may	
For	all	other	quarters,	the	
provide	these	data	as‐of	the	
as‐of	date	would	be	the	
most	recent	date	that	
last	day	of	the	quarter,	
corresponds	to	their	weekly	
except	for	BHCs	that	are	
internal	risk	reporting	cycle	as	
required	to	re‐submit	their	
long	as	it	falls	before	the	as‐of‐
capital	plan.		
date.			
	
	
For	these	BHCs,	the	as‐of	
In	addition,	for	BHCs	that	are	
date	for	the	quarter	
required	to	re‐submit	a	capital	
preceding	the	quarter	in	
plan,	the	due	date	for	the	
which	they	are	required	to	
quarter	pre‐ceding	the	quarter	
re‐submit	a	capital	plan	
in	which	the	BHCs	are	
would	be	communicated	to	
required	to	re‐submit	a	capital	
the	BHCs		during	the	
plan	would	be	the	later	of	(1)	
subsequent	quarter.	
the	normal	due	date	or	(2)	the	
date	that	the	re‐submitted	
capital	plan	is	due,	including	
any	extensions.		

Seven	days	after	the	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).	

	
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,	
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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	quarter‐
end	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)
The	FR	Y‐14A	instructions;		
The	FR	Y‐14M	instructions;	
2)
3)				 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	
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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].	 	
	
	
Definition	of	Commercially	Available	Credit	Bureau	Score:	
	
For	the	purposes	of	the	FR	Y‐14Q,	a	credit	score	is	a	numerical	value	or	a	categorization	derived	from	a	statistical	
tool	or	modeling	system	that	characterizes	the	credit	risk	of	a	borrower	used	by	a	person	who	makes	or	arranges	a	
loan	to	predict	the	likelihood	of	credit	default.		A	credit	bureau	score	is	a	credit	score	based	solely	on	the	
borrower’s	credit	history	available	through	one	of	the	three	national	credit	reporting	agencies	(Equifax,	Experian,	
and	TransUnion).	
	
A	commercially	available	credit	bureau	score	is	a	credit	bureau	score	which	is	available	to	all	commercial	lenders.		
For	example,	FICO	08	and	VantageScore	3.0	are	commercially	available	credit	scores,	while	internally	developed	
credit	scores	and	custom	scores	tailored	to	a	lender’s	own	portfolio	and	provided	by	third	parties	are	not	
commercially	available	credit	scores.	
	
For	a	commercially	available	credit	bureau	score	to	qualify	for	submission	in	this	schedule,	the	Federal	Reserve	
must	be	able	to	obtain	sufficient	information	from	the	credit	score	vendor	to	(a)	determine	whether	the	credit	
score	is	empirically	derived	and	demonstrably	sound	(b)	evaluate	the	performance	of	the	credit	score	and	(c)	
compare	that	performance	to	other	commercially	available	credit	bureau	scores.		The	Federal	Reserve	reserves	the	
right	to	determine	whether	a	credit	score	qualifies	as	a	commercially	available	credit	bureau	score	for	the	
purposes	of	this	schedule.		
	
8 
 

	

	
Most	Recent	Capital	Framework:	
	
For	all	items	and	instructions	related	to	regulatory	capital,	particularly	where	the	“most	recent	capital	framework”	
is	referenced,	respondents	should	refer	to	12	CFR	parts	208,	217,	and	225.	
	
	
	
	

9 
 

	

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	industry	standard	credit	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	industry	standard	credit	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	Summary	Variable	line	items	(items	20‐23)	use	the	loan	level	parameters	defined	in	the	
most	recent	capital	framework	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	
10 
 

	

	
2.			 Original	commercially	available	credit	bureau	score	or	equivalent	–		
Segment	the	portfolio	by	the	credit	score	of	the	borrower	at	origination	using	a	
commercially	available	credit	bureau	score	(e.g.	FICO	Score,	VantageScore,	or	another	
qualifying	credit	score).		The	original	credit	score	used	to	assign	a	loan	to	a	segment	must	
be	the	score	upon	which	the	original	underwriting	decision	was	based.		If	the	
underwriting	decision	was	based	on	an	internal	score,	please	map	this	score	to	an	
industry	standard	credit	score.		Please	provide	supporting	documentation	listing	the	
credit	score	supplied	or	mapped	to.	
	
The	ranges	below	should	be	used	for	loans	for	which	FICO	was	either	the	original	credit	
score	used	at	origination	or	the	commercially	available	credit	bureau	score	to	which	an	
internal	credit	score	was	mapped.		Ranges	for	other	commercially	available	credit	
bureau	scores	will	be	provided	upon	request.	
	
01	‐	<=620	
02	‐	>620	
03	‐	N/A	–	Original	credit	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	month‐
end.		
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	non‐
accruing)	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.	
11 

 

	

	
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	dollar	amount	of		write‐downs	on	loans	in	the	
segment	that	were	charged‐off	during	the	reporting	month,	except	where	the	charge‐off	
arises	from	the	bankruptcy	of	the	borrower	(see	the	variable	$	Bankruptcy	Charge‐offs).		
Also	include	write‐downs	to	fair	value	on	loans	transferred	to	the	held‐for‐sale	account	
during	the	reporting	month.		The	amount	reported	here	should	be	consistent	with	the	
amount	reported	on	Schedule	HI‐B,	Part	I,	Column	A	of	the	FR	Y‐9C.		For	the	
Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	status	at	
charge‐off.	
	
12.	 $	 Bankruptcy	 charge‐offs	 –	 The	 dollar	 amount	 of	 	 write‐downs	 on	 loans	 in	 the	
segment	 that	 were	 charged‐off	 due	 to	 bankruptcy	 during	 the	 reporting	 month.	 	 The	
amount	reported	here	should	be	consistent	with	the	amount	reported	on	Schedule	HI‐B,	
Part	 I,	 Column	 A	 of	 the	 FR	 Y‐9C.	 	 For	 the	 Delinquency	 Status	 segment,	 categorize	
charged‐off	loans	by	their	delinquency	status	at	charge‐off.	
	
13.	 $	Recoveries	–	The	dollar	amount	recovered	during	the	reporting	month	on	loans	in	
the	segment	that	were	previously	charged‐off.		The	amount	reported	here	should	be	
consistent	with	the	amount	reported	on	Schedule	HI‐B,	Part	I,	Column	B	of	the	FR	Y‐9C.		
For	the	Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	
status	at	charge‐off.	
	
14.	 $	Net	charge‐offs	–	The	dollar	amount	of	write‐downs	net	on	loans	in	the	segment	that	
were	charged‐off	during	the	reporting	month,	net	of	any	recoveries	in	the	reporting	
month	on	loans	in	the	segment	that	were	previously	charged‐off.		Generally,	$	Net	
Charge‐offs	should	equal	[$	Gross	Contractual	Charge‐offs	+	$Bankruptcy	Charge‐offs	—	
12 

 

	

$	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.	Probability	of	Default	(PD)	‐	Report	the	average	Probability	of	Default	(PD)	as	defined	
in	the	most	recent	capital	framework	for	accounts	within	the	segment.	More	specifically,	
use	the	PD	associated	with	each	account’s	corresponding	segment	and	then	calculate	the	
account	weighted	average	PD	of	all	the	accounts	in	this	specific	Y‐14Q	segment.	Note:	
Applicable	only	to	the	advanced	approaches	reporting	banks.		A	one	in	ten	probability	of	
default	should	be	reported	as	0.1.	
	
21.		Loss	Given	Default	(LGD)	‐	Report	the	Loss	Given	Default	(LGD)	as	defined	in	the	most	
recent	capital	framework	for	accounts	within	the	segment.	More	specifically,	use	the	LGD	
associated	with	each	account’s	corresponding	segment	and	then	calculate	the	account	
weighted	average	LGD	of	all	the	accounts	in	this	specific	Y‐14Q	segment.	Note:	Applicable	
only	to	the	advanced	approaches	reporting	banks.		A	ninety	percent	loss	given	default	
should	be	reported	as	0.9.	
	
22.		Expected	Loss	Given	Default	(ELGD)	‐	Report	the	Expected	Loss	Given	Default	(ELGD)	
as	defined	in	the	most	recent	capital	framework	parameter	for	accounts	within	the	
segment.	More	specifically,	use	the	ELGD	associated	with	each	account’s	corresponding	
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	advanced	approaches	reporting	banks.		A	ninety	percent	expected	
loss	given	default	should	be	reported	as	0.9.	
	
23.		Risk‐Weighted	Asset	(RWA)	‐	Report	the	aggregate	dollar	Risk	Weighted	Asset	(RWA)	
for	accounts	within	the	segment	as	defined	in	the	most	recent	capital	framework.	More	
specifically,	calculate	the	RWA	associated	with	each	account	based	on	the	IRB	Risk‐Based	
Capital	Formula	and	then	calculate	the	account	weighted	average	RWA	of	all	the	
13 

 

	

accounts	in	this	specific	Y‐14Q	segment.	Note:	Applicable	only	to	banks	subject	to	the	
advanced	approaches	rule.	This	item	is	required	for	BHC‐owned	loans	only.

14 
 

 

	

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	non‐
securitized)	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.			
	
Segment	the	portfolio	along	all	combinations	of	the	segment	variables	listed	in	Section	A	
below.		There	are	three	product	type	segments,	six	age	segments,	four	original	LTV	segments,	
five	original	industry	standard	credit	score	or	equivalent	segments,	six	geography	segments,	
and	five	delinquency	status	segments;	therefore,	the	portfolio	must	be	divided	into	a	total	of	
3*6*4*5*6*5	=	10,800	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	industry	standard	credit	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	10,800	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	Summary	Variable	line	items	(items	28‐31)	related	to	the	most	recent	capital	
framework	use	the	loan	level	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	
15 

 

 

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	wholesale	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	
04	‐	N/A	–	Original	LTV	is	missing	or	unknown	
	
4.			 Original	commercially	available	credit	bureau	score	or	equivalent	–		
Segment	the	portfolio	by	the	credit	score	of	the	borrower	at	origination	using	a	
commercially	available	credit	bureau	score	(e.g.	FICO	Score,	VantageScore,	or	another	
qualifying	credit	score).		The	original	credit	score	used	to	assign	a	loan	to	a	segment	must	
be	the	score	upon	which	the	original	underwriting	decision	was	based.		If	the	
underwriting	decision	was	based	on	an	internal	score,	please	map	this	score	to	an	
industry	standard	credit	score.		Please	provide	supporting	documentation	listing	the	
credit	score	supplied	or	mapped	to.	
	
The	ranges	below	should	be	used	for	loans	for	which	FICO	was	either	the	original	credit	
score	used	at	origination	or	the	commercially	available	credit	bureau	score	to	which	an	
internal	credit	score	was	mapped.		Ranges	for	other	commercially	available	credit	
bureau	scores	will	be	provided	upon	request.	
	
01	‐	<=	620	
02	‐	>	620	and	<=	660	
03	‐	>	660	and	<=	720	
04	‐	>	720	
05	‐	N/A	—	Original	credit	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:	
16 
 

 

01	‐	Current	+	1‐29	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	non‐
accruing)	as	of	month‐end.	
05	‐	120+	DPD:	Accounts	that	are	120	or	more	days	past	due	(accruing	and	non‐
accruing)	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	
17 
 

 

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	dollar	amount	of		write‐downs	on	loans	in	the	
segment	that	were	charged‐off	during	the	reporting	month,	except	where	the	charge‐off	
arises	from	the	bankruptcy	of	the	borrower	(see	the	variable	$	Bankruptcy	Charge‐offs).		
Also	include	write‐downs	to	fair	value	on	loans	transferred	to	the	held‐for‐sale	account	
during	the	reporting	month.		The	amount	reported	here	should	be	consistent	with	the	
amount	reported	on	Schedule	HI‐B,	Part	I,	Column	A	of	the	FR	Y‐9C.		For	the	
Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	status	at	
charge‐off.	
	
13.	 $	Bankruptcy	charge‐offs	–	The	dollar	amount	of		write‐downs	on	loans	in	the	segment	
that	 were	 charged‐off	 due	 to	 bankruptcy	 during	 the	 reporting	 month.	 	 The	 amount	
reported	here	should	be	consistent	with	the	amount	reported	on	Schedule	HI‐B,	Part	I,	
Column	 A	of	the	FR	 Y‐9C.		For	the	Delinquency	Status	segment,	categorize	charged‐off	
loans	by	their	delinquency	status	at	charge‐off.	
	
14.	 $	Recoveries	–	The	dollar	amount	recovered	during	the	reporting	month	on	loans	in	
the	segment	that	were	previously	charged‐off.		The	amount	reported	here	should	be	
consistent	with	the	amount	reported	on	Schedule	HI‐B,	Part	I,	Column	B	of	the	FR	Y‐9C.		
For	the	Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	
status	at	charge‐off.	
	
15.	 $	Net	charge‐offs	–	The	dollar	amount	of	write‐downs	on	loans	in	the	segment	that	
were	charged‐off	during	the	reporting	month,	net	of	any	recoveries	in	the	reporting	
month	on	loans	in	the	segment	that	were	previously	charged‐off.		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	
18 
 

 

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.		Probability	of	Default	(PD)	‐	Report	the	average	Probability	of	Default	(PD)	as	defined	
in	the	most	recent	capital	framework	for	accounts	within	the	segment.	More	specifically,	
use	the	PD	associated	with	each	account’s	corresponding	segment	and	then	calculate	the	
account	weighted	average	PD	of	all	the	accounts	in	this	specific	Y‐14Q	segment.	Note:	
Applicable	only	to	the	advanced	approaches	reporting	banks.		A	one	in	ten	probability	of	
default	should	be	reported	as	0.1.	
	
29.		Loss	Given	Default	(LGD)	‐	Report	the	Loss	Given	Default	(LGD)	as	defined	in	the	most	
recent	capital	framework	for	accounts	within	the	segment.	More	specifically,	use	the	LGD	
associated	with	each	account’s	corresponding	segment	and	then	calculate	the	account	
weighted	average	LGD	of	all	the	accounts	in	this	specific	Y‐14Q	segment.	Note:	Applicable	
only	to	the	advanced	approaches	reporting	banks.		A	ninety	percent	loss	given	default	
should	be	reported	as	0.9.	
	
30.		Expected	Loss	Given	Default	(ELGD)	‐	Report	the	Expected	Loss	Given	Default	(ELGD)	
parameter	as	defined	in	the	most	recent	capital	framework	for	accounts	within	the	
segment.	More	specifically,	use	the	ELGD	associated	with	each	account’s	corresponding	
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	advanced	approaches	reporting	banks.		A	ninety	percent	expected	
loss	given	default	should	be	reported	as	0.9.	
	
	31.	Risk‐Weighted	Asset	(RWA)	‐	Report	the	aggregate	dollar	Risk	Weighted	Asset	(RWA)	
for	accounts	within	the	segment	as	defined	in	the	most	recent	capital	framework.	More	
specifically,	calculate	the	RWA	associated	with	each	account	based	on	the	IRB	Risk‐Based	
19 
 

 

Capital	Formula	and	then	calculate	the	account	weighted	average	RWA	of	all	the	
accounts	in	this	specific	Y‐14Q	segment.	Note:	Applicable	only	to	banks	subject	to	the	
advanced	approaches	rule.	This	item	is	required	for	BHC‐owned	loans	only.  

 

	
32.	$	Unpaid	Principal	Balance	at	Charge‐off	–		The	total	unpaid	principal	balance	of	loans	
in	the	segment	that	were	charged‐off	(either	partially	or	fully)	during	the	reporting	
month	and	had	not	been	partially	charged‐off	in	a	prior	reporting	month.		Report	the	
unpaid	principal	balance	at	the	time	of	the	charge‐off.		Do	not	include	interest	and	fees.		
For	the	Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	
status	at	charge‐off.	
	
33.	Percent	Loss	Severity	(3	month	Lagged)	–		Report	the	total	loss	net	of	all	recoveries	as	
a	percent	of	the	principal	balance	for	all	accounts	in	the	segment	that	were	charged‐off	
for	the	first	time	in	the	third	month	prior	to	the	current	reporting	month.		Do	not	include	
losses	or	recoveries	on	loans	charged‐off	for	the	first	time	in	later	months.		For	the	
Delinquency	Status	segment,	categorize	loans	by	their	delinquency	status	at	the	initial	
charge‐off.	
	
	

20 
 

 

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	industry	standard	credit	
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	industry	standard	credit	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	‐	Corporate	and	SME	cards	‐	Corporate	cards	are	employer‐sponsored	credit	cards	
for	use	by	a	company’s	employees	and	SME	cards	are	credit	card	accounts	where	
the	loan	is	underwritten	with	the	sole	proprietor	or	primary	business	owner	as	an	
applicant.		Corporate	and	SME	cards	only	include	cards	where	there	is	any	
individual	liability	associated	with	the	sub‐lines	such	that	the	individual	borrower	
21 
 

 

characteristics	are	taken	into	account	during	the	underwriting	decision	and/or	
performance	of	the	credit	is	reported	to	the	credit	bureaus;	corporate	and	SME	
cards	do	not	include	loans	for	which	a	commercially‐graded	corporation	is	
ultimately	responsible	for	repayment	of	credit	losses.	
	
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	non‐
accruing)	as	of	month‐end.	
05	‐120+	DPD:	Accounts	that	are	120	or	more	days	past	due	(accruing	and	non‐
accruing)	as	of	month‐end.	
	
5.			 Original	commercially	available	credit	bureau	score	or	equivalent	–		
Segment	the	portfolio	by	the	credit	score	of	the	borrower	at	origination	using	a	
commercially	available	credit	bureau	score	(e.g.	FICO	Score,	VantageScore,	or	another	
qualifying	credit	score).		The	original	credit	score	used	to	assign	a	loan	to	a	segment	must	
be	the	score	upon	which	the	original	underwriting	decision	was	based.		If	the	
underwriting	decision	was	based	on	an	internal	score,	please	map	this	score	to	an	
industry	standard	credit	score.		Please	provide	supporting	documentation	listing	the	
credit	score	supplied	or	mapped	to.	
	
The	ranges	below	should	be	used	for	loans	for	which	FICO	was	either	the	original	credit	
score	used	at	origination	or	the	commercially	available	credit	bureau	score	to	which	an	
internal	credit	score	was	mapped.		Ranges	for	other	commercially	available	credit	
bureau	scores	will	be	provided	upon	request.	
	
01	‐	<=	620	
02	‐	>	620	
03	‐	N/A	–	Original	credit	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	
22 
 

 

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	month‐
end.	
	
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	dollar	amount	of		write‐downs	on	loans	in	the	
segment	that	were	charged‐off	during	the	reporting	month,	except	where	the	charge‐off	
arises	from	the	bankruptcy	of	the	borrower	(see	the	variable	$	Bankruptcy	Charge‐offs).		
Also	include	write‐downs	to	fair	value	on	loans	transferred	to	the	held‐for‐sale	account	
during	the	reporting	month.		The	amount	reported	here	should	be	consistent	with	the	
amount	reported	on	Schedule	HI‐B,	Part	I,	Column	A	of	the	FR	Y‐9C.		For	the	
Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	status	at	
charge‐off.	
	
8.			 $	Bankruptcy	charge‐offs	– The	dollar	amount	of		write‐downs	on	loans	in	the	segment	
that	were	charged‐off	due	to	bankruptcy	during	the	reporting	month.		The	amount	
reported	here	should	be	consistent	with	the	amount	reported	on	Schedule	HI‐B,	Part	I,	
Column	A	of	the	FR	Y‐9C.		For	the	Delinquency	Status	segment,	categorize	charged‐off	
loans	by	their	delinquency	status	at	charge‐off.	
	
9.			 $	Recoveries	– The	dollar	amount	recovered	during	the	reporting	month	on	loans	in	the	
segment	that	were	previously	charged‐off.		The	amount	reported	here	should	be	
consistent	with	the	amount	reported	on	Schedule	HI‐B,	Part	I,	Column	B	of	the	FR	Y‐9C.		
For	the	Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	
status	at	charge‐off.			
	
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	dollar	amount	of	write‐downs	net	on	loans	in	the	segment	that	
were	charged‐off	during	the	reporting	month,	net	of	any	recoveries	in	the	reporting	
month	on	loans	in	the	segment	that	were	previously	charged‐off.		Generally,	$	Net	
Charge‐offs	should	equal	[$	Gross	Contractual	Charge‐offs	+	$Bankruptcy	Charge‐offs	—	
23 
 

 

 

$	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.	
	
 

24 
 

 

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	industry	standard	credit	
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	industry	standard	credit	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	commercially	available	credit	bureau	score	or	equivalent	–		
Segment	the	portfolio	by	the	credit	score	of	the	borrower	at	origination	using	a	
commercially	available	credit	bureau	score	(e.g.	FICO	Score,	VantageScore,	or	another	
qualifying	credit	score).		The	original	credit	score	used	to	assign	a	loan	to	a	segment	must	
be	the	score	upon	which	the	original	underwriting	decision	was	based.		If	the	
underwriting	decision	was	based	on	an	internal	score,	please	map	this	score	to	an	
25 
 

 

industry	standard	credit	score.		Please	provide	supporting	documentation	listing	the	
credit	score	supplied	or	mapped	to.	
	
The	ranges	below	should	be	used	for	loans	for	which	FICO	was	either	the	original	credit	
score	used	at	origination	or	the	commercially	available	credit	bureau	score	to	which	an	
internal	credit	score	was	mapped.		Ranges	for	other	commercially	available	credit	
bureau	scores	will	be	provided	upon	request.	
	
01	‐	<=	660	
02	‐	>	660	
03	‐	N/A—Original	credit	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	non‐
accruing)	as	of	month‐end.	
04	‐	120‐179	DPD:	Accounts	that	are	120	to	179	days	past	due	(accruing	and	non‐
accruing)	as	of	month‐end.	
05	‐	180+	DPD:	Accounts	that	are	180	or	more	days	past	due	(accruing	and	non‐
accruing)	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,	
26 
 

 

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	dollar	amount	of		write‐downs	on	loans	in	the	
segment	that	were	charged‐off	during	the	reporting	month,	except	where	the	charge‐off	
arises	from	the	bankruptcy	of	the	borrower	(see	the	variable	$	Bankruptcy	Charge‐offs).		
Also	include	write‐downs	to	fair	value	on	loans	transferred	to	the	held‐for‐sale	account	
during	the	reporting	month.		The	amount	reported	here	should	be	consistent	with	the	
amount	reported	on	Schedule	HI‐B,	Part	I,	Column	A	of	the	FR	Y‐9C.		For	the	
Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	status	at	
charge‐off.	
	
10.	 $	Bankruptcy	charge‐offs	– The	dollar	amount	of		write‐downs	on	loans	in	the	
segment	that	were	charged‐off	due	to	bankruptcy	during	the	reporting	month.		The	
amount	reported	here	should	be	consistent	with	the	amount	reported	on	Schedule	HI‐B,	
Part	I,	Column	A	of	the	FR	Y‐9C.		For	the	Delinquency	Status	segment,	categorize	
charged‐off	loans	by	their	delinquency	status	at	charge‐off.	
	
11.	 $	Recoveries	–	The	dollar	amount	recovered	during	the	reporting	month	on	loans	in	
the	segment	that	were	previously	charged‐off.		The	amount	reported	here	should	be	
consistent	with	the	amount	reported	on	Schedule	HI‐B,	Part	I,	Column	B	of	the	FR	Y‐9C.		
For	the	Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	
status	at	charge‐off.	
	
12.	 $	Net	charge‐offs	–	The	dollar	amount	of	write‐downs	net	on	loans	in	the	segment	that	
were	charged‐off	during	the	reporting	month,	net	of	any	recoveries	in	the	reporting	
month	on	loans	in	the	segment	that	were	previously	charged‐off.		Generally,	$	Net	
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	
27 
 

 

–	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	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	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.	
 

 

	

28 
 

 

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	industry	standard	credit	
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.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	industry	standard	credit	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	commercially	available	credit	bureau	score	or	equivalent	–		
Segment	the	portfolio	by	the	credit	score	of	the	borrower	at	origination	using	a	
commercially	available	credit	bureau	score	(e.g.	FICO	Score,	VantageScore,	or	another	
qualifying	credit	score).		The	original	credit	score	used	to	assign	a	loan	to	a	segment	must	
be	the	score	upon	which	the	original	underwriting	decision	was	based.		If	the	
underwriting	decision	was	based	on	an	internal	score,	please	map	this	score	to	an	
industry	standard	credit	score.		Please	provide	supporting	documentation	listing	the	
29 
 

 

credit	score	supplied	or	mapped	to.	
	
The	ranges	below	should	be	used	for	loans	for	which	FICO	was	either	the	original	credit	
score	used	at	origination	or	the	commercially	available	credit	bureau	score	to	which	an	
internal	credit	score	was	mapped.		Ranges	for	other	commercially	available	credit	
bureau	scores	will	be	provided	upon	request.	
	
01	‐	<=	660	
02	‐	>	660	
03	‐	N/A—Original	credit	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	non‐
accruing)	as	of	month‐end.	
04	‐	120‐179	DPD:	Accounts	that	are	120	to	179	days	past	due	(accruing	and	non‐
accruing)	as	of	month‐end.	
05	‐	180+	DPD:	Accounts	that	are	180	or	more	days	past	due	(accruing	and	non‐
accruing)	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	
30 
 

 

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	dollar	amount	of		write‐downs	on	loans	in	the	
segment	that	were	charged‐off	during	the	reporting	month,	except	where	the	charge‐off	
arises	from	the	bankruptcy	of	the	borrower	(see	the	variable	$	Bankruptcy	Charge‐offs).		
Also	include	write‐downs	to	fair	value	on	loans	transferred	to	the	held‐for‐sale	account	
during	the	reporting	month.		The	amount	reported	here	should	be	consistent	with	the	
amount	reported	on	Schedule	HI‐B,	Part	I,	Column	A	of	the	FR	Y‐9C.		For	the	
Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	status	at	
charge‐off.	
	
6.		$	Bankruptcy	charge‐offs	–	The	dollar	amount	of		write‐downs	on	loans	in	the	segment	
that	were	charged‐off	due	to	bankruptcy	during	the	reporting	month.		The	amount	
reported	here	should	be	consistent	with	the	amount	reported	on	Schedule	HI‐B,	Part	I,	
Column	A	of	the	FR	Y‐9C.		For	the	Delinquency	Status	segment,	categorize	charged‐off	
loans	by	their	delinquency	status	at	charge‐off.	
	
7.			 $	Recoveries	–	The	dollar	amount	recovered	during	the	reporting	month	on	loans	in	
the	segment	that	were	previously	charged‐off.		The	amount	reported	here	should	be	
consistent	with	the	amount	reported	on	Schedule	HI‐B,	Part	I,	Column	B	of	the	FR	Y‐9C.		
For	the	Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	
status	at	charge‐off.	
	
8.			 $	Net	charge‐offs	–	The	dollar	amount	of	write‐downs	net	on	loans	in	the	segment	that	
were	charged‐off	during	the	reporting	month,	net	of	any	recoveries	in	the	reporting	
month	on	loans	in	the	segment	that	were	previously	charged‐off.		Generally,	$	Net	
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	
31 
 

 

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.	
	
	

32 
 

 

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	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	industry	standard	credit	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	
industry	standard	credit	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)	
33 
 

 

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	non‐
accruing)	as	of	month‐end.	
05	‐	120+	DPD:		Accounts	that	are	120	days	or	more	past	due	(accruing	and	non‐
accruing)	as	of	month‐end.	
	
3.			 Original	commercially	available	credit	bureau	score	or	equivalent	–		
Segment	the	portfolio	by	the	credit	score	of	the	borrower	at	origination	using	a	
commercially	available	credit	bureau	score	(e.g.	FICO	Score,	VantageScore,	or	another	
qualifying	credit	score).		The	original	credit	score	used	to	assign	a	loan	to	a	segment	must	
be	the	score	upon	which	the	original	underwriting	decision	was	based.		If	the	
underwriting	decision	was	based	on	an	internal	score,	please	map	this	score	to	an	
industry	standard	credit	score.		Please	provide	supporting	documentation	listing	the	
credit	score	supplied	or	mapped	to.	
	
The	ranges	below	should	be	used	for	loans	for	which	FICO	was	either	the	original	credit	
score	used	at	origination	or	the	commercially	available	credit	bureau	score	to	which	an	
internal	credit	score	was	mapped.		Ranges	for	other	commercially	available	credit	
bureau	scores	will	be	provided	upon	request.	
	
01	‐	<=	620	
02	‐	>	620	
03	‐	N/A—	Original	credit	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	dollar	amount	of		write‐downs	on	loans	in	the	
34 
 

 

segment	that	were	charged‐off	during	the	reporting	month,	except	where	the	charge‐off	
arises	from	the	bankruptcy	of	the	borrower	(see	the	variable	$	Bankruptcy	Charge‐offs).		
Also	include	write‐downs	to	fair	value	on	loans	transferred	to	the	held‐for‐sale	account	
during	the	reporting	month.		The	amount	reported	here	should	be	consistent	with	the	
amount	reported	on	Schedule	HI‐B,	Part	I,	Column	A	of	the	FR	Y‐9C.		For	the	
Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	status	at	
charge‐off.	
	
4.	$	Bankruptcy	charge‐offs	– The	dollar	amount	of		write‐downs	on	loans	in	the	segment	
that	 were	 charged‐off	 due	 to	 bankruptcy	 during	 the	 reporting	 month.	 	 The	 amount	
reported	here	should	be	consistent	with	the	amount	reported	on	Schedule	HI‐B,	Part	I,	
Column	 A	of	the	FR	 Y‐9C.		For	the	Delinquency	Status	segment,	categorize	charged‐off	
loans	by	their	delinquency	status	at	charge‐off.	
	
5.	$	Recoveries	– The	dollar	amount	recovered	during	the	reporting	month	on	loans	in	the	
segment	 that	 were	 previously	 charged‐off.	 	 The	 amount	 reported	 here	 should	 be	
consistent	with	the	amount	reported	on	Schedule	HI‐B,	Part	I,	Column	B	of	the	FR	Y‐9C.		
For	the	Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	
status	at	charge‐off.			
	
6.			 $	Net	charge‐offs	–	The	dollar	amount	of	write‐downs	net	on	loans	in	the	segment	that	
were	charged‐off	during	the	reporting	month,	net	of	any	recoveries	in	the	reporting	
month	on	loans	in	the	segment	that	were	previously	charged‐off.		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.	
 
 

 

35 
 

 

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	industry	standard	credit	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	industry	standard	credit	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	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.	
36 
 

 

04	‐	90‐119	DPD:		Accounts	that	are	90	to	119	days	past	due	(accruing	and	non‐
accruing)	as	of	month‐end.	
05	‐	120+	DPD:		Accounts	that	are	120	days	or	more	past	due	(accruing	and	non‐
accruing)	as	of	month‐end.	
	
3.			 Original	commercially	available	credit	bureau	score	or	equivalent	–		
Segment	the	portfolio	by	the	credit	score	of	the	borrower	at	origination	using	a	
commercially	available	credit	bureau	score	(e.g.	FICO	Score,	VantageScore,	or	another	
qualifying	credit	score).		The	original	credit	score	used	to	assign	a	loan	to	a	segment	must	
be	the	score	upon	which	the	original	underwriting	decision	was	based.		If	the	
underwriting	decision	was	based	on	an	internal	score,	please	map	this	score	to	an	
industry	standard	credit	score.		Please	provide	supporting	documentation	listing	the	
credit	score	supplied	or	mapped	to.	
	
The	ranges	below	should	be	used	for	loans	for	which	FICO	was	either	the	original	credit	
score	used	at	origination	or	the	commercially	available	credit	bureau	score	to	which	an	
internal	credit	score	was	mapped.		Ranges	for	other	commercially	available	credit	
bureau	scores	will	be	provided	upon	request.	
	
01	‐	<=	620	
02	‐	>	620	
03	‐	N/A—Original	credit	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	dollar	amount	of		write‐downs	on	loans	in	the	
segment	that	were	charged‐off	during	the	reporting	month,	except	where	the	charge‐off	
arises	from	the	bankruptcy	of	the	borrower	(see	the	variable	$	Bankruptcy	Charge‐offs).		
Also	include	write‐downs	to	fair	value	on	loans	transferred	to	the	held‐for‐sale	account	
during	the	reporting	month.		The	amount	reported	here	should	be	consistent	with	the	
amount	reported	on	Schedule	HI‐B,	Part	I,	Column	A	of	the	FR	Y‐9C.		For	the	
Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	status	at	
charge‐off.	
	
4.			 $	Bankruptcy	charge‐offs	–	The	dollar	amount	of		write‐downs	on	loans	in	the	segment	
that	 were	 charged‐off	 due	 to	 bankruptcy	 during	 the	 reporting	 month.	 	 The	 amount	
37 
 

 

reported	here	should	be	consistent	with	the	amount	reported	on	Schedule	HI‐B,	Part	I,	
Column	 A	of	the	FR	 Y‐9C.		For	the	Delinquency	Status	segment,	categorize	charged‐off	
loans	by	their	delinquency	status	at	charge‐off.	
	
5.			 $	Recoveries	–	The	dollar	amount	recovered	during	the	reporting	month	on	loans	in	the	
segment	that	were	previously	charged‐off.		The	amount	reported	here	should	be	
consistent	with	the	amount	reported	on	Schedule	HI‐B,	Part	I,	Column	B	of	the	FR	Y‐9C.		
For	the	Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	
status	at	charge‐off.	
	
6.			 $	Net	Charge‐offs	–	The	dollar	amount	of	write‐downs	net	on	loans	in	the	segment	that	
were	charged‐off	during	the	reporting	month,	net	of	any	recoveries	in	the	reporting	
month	on	loans	in	the	segment	that	were	previously	charged‐off.		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.	
 
 

	

38 
 

 

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	industry	standard	credit	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	industry	standard	credit	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.	
	
For	each	month	in	the	required	reporting	period,	report	the	summary	variables	listed	below	
in	Section	B	for	each	of	the	720	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	“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.		
39 
 

 

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	commercially	available	credit	bureau	score	or	equivalent	–		
Segment	the	portfolio	by	the	credit	score	of	the	borrower	at	origination	using	a	
commercially	available	credit	bureau	score	(e.g.	FICO	Score,	VantageScore,	or	another	
qualifying	credit	score).		The	original	credit	score	used	to	assign	a	loan	to	a	segment	must	
be	the	score	upon	which	the	original	underwriting	decision	was	based.		If	the	
underwriting	decision	was	based	on	an	internal	score,	please	map	this	score	to	an	
industry	standard	credit	score.		Please	provide	supporting	documentation	listing	the	
credit	score	supplied	or	mapped	to.	
	
The	ranges	below	should	be	used	for	loans	for	which	FICO	was	either	the	original	credit	
score	used	at	origination	or	the	commercially	available	credit	bureau	score	to	which	an	
internal	credit	score	was	mapped.		Ranges	for	other	commercially	available	credit	
bureau	scores	will	be	provided	upon	request.	
	
01	‐	<=	620	
02	‐>	620	
03	‐	N/A	–	Original	credit	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	non‐	
accruing)	as	of	month‐end.	
05	‐	120+	DPD:	Accounts	that	are	120	or	more	days	past	due	(accruing	and	non‐	
accruing)	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	
40 
 

 

 

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	dollar	amount	of		write‐downs	on	loans	in	the	
segment	that	were	charged‐off	during	the	reporting	month,	except	where	the	charge‐off	
arises	from	the	bankruptcy	of	the	borrower	(see	the	variable	$	Bankruptcy	Charge‐offs).		
Also	include	write‐downs	to	fair	value	on	loans	transferred	to	the	held‐for‐sale	account	
during	the	reporting	month.		The	amount	reported	here	should	be	consistent	with	the	
amount	reported	on	Schedule	HI‐B,	Part	I,	Column	A	of	the	FR	Y‐9C.		For	the	
Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	status	at	
charge‐off.	
	
8.			 $	Bankruptcy	charge‐offs	–	The	dollar	amount	of		write‐downs	on	loans	in	the	segment	
that	were	charged‐off	due	to	bankruptcy	during	the	reporting	month.		The	amount	
reported	here	should	be	consistent	with	the	amount	reported	on	Schedule	HI‐B,	Part	I,	
Column	A	of	the	FR	Y‐9C.		For	the	Delinquency	Status	segment,	categorize	charged‐off	
loans	by	their	delinquency	status	at	charge‐off.	
	
9.			 $	Recoveries	The	dollar	amount	recovered	during	the	reporting	month	on	loans	in	the	
segment	that	were	previously	charged‐off.		The	amount	reported	here	should	be	
consistent	with	the	amount	reported	on	Schedule	HI‐B,	Part	I,	Column	B	of	the	FR	Y‐9C.		
For	the	Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	
status	at	charge‐off.	
	
10.	 $	Net	charge‐offs	–	The	dollar	amount	of	write‐downs	net	on	loans	in	the	segment	that	
were	charged‐off	during	the	reporting	month,	net	of	any	recoveries	in	the	reporting	
month	on	loans	in	the	segment	that	were	previously	charged‐off.		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.	
	
41 

 

 

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	Y‐
9C,	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	industry	
standard	credit	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*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	industry	standard	credit	
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	
42 
 

 

	
3.	Original	commercially	available	credit	bureau	score	or	equivalent	–		
Segment	the	portfolio	by	the	credit	score	of	the	borrower	at	origination	using	a	
commercially	available	credit	bureau	score	(e.g.	FICO	Score,	VantageScore,	or	another	
qualifying	credit	score).		The	original	credit	score	used	to	assign	a	loan	to	a	segment	must	
be	the	score	upon	which	the	original	underwriting	decision	was	based.		If	the	
underwriting	decision	was	based	on	an	internal	score,	please	map	this	score	to	an	
industry	standard	credit	score.		Please	provide	supporting	documentation	listing	the	
credit	score	supplied	or	mapped	to.	
	
The	ranges	below	should	be	used	for	loans	for	which	FICO	was	either	the	original	credit	
score	used	at	origination	or	the	commercially	available	credit	bureau	score	to	which	an	
internal	credit	score	was	mapped.		Ranges	for	other	commercially	available	credit	
bureau	scores	will	be	provided	upon	request.	
	
01	‐	<=	620	
02	‐	>	620	
03	‐	N/A	‐	Original	credit	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	non‐	
accruing)	as	of	month‐end.	
05	‐	120+	DPD:	Accounts	that	are	120	or	more	days	past	due	(accruing	and	non‐	
accruing)	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.	
	
43 
 

 

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	dollar	amount	of		write‐downs	on	loans	in	the	
segment	that	were	charged‐off	during	the	reporting	month,	except	where	the	charge‐off	
arises	from	the	bankruptcy	of	the	borrower	(see	the	variable	$	Bankruptcy	Charge‐offs).		
Also	include	write‐downs	to	fair	value	on	loans	transferred	to	the	held‐for‐sale	account	
during	the	reporting	month.		The	amount	reported	here	should	be	consistent	with	the	
amount	reported	on	Schedule	HI‐B,	Part	I,	Column	A	of	the	FR	Y‐9C.		For	the	
Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	status	at	
charge‐off.	
	
8.			 $	Bankruptcy	charge‐offs	–	The	dollar	amount	of		write‐downs	on	loans	in	the	segment	
that	were	charged‐off	due	to	bankruptcy	during	the	reporting	month.		The	amount	
reported	here	should	be	consistent	with	the	amount	reported	on	Schedule	HI‐B,	Part	I,	
Column	A	of	the	FR	Y‐9C.		For	the	Delinquency	Status	segment,	categorize	charged‐off	
loans	by	their	delinquency	status	at	charge‐off.	
	

9.			 $	Recoveries	–	The	dollar	amount	recovered	during	the	reporting	month	on	loans	in	the	
segment	that	were	previously	charged‐off.		The	amount	reported	here	should	be	
consistent	with	the	amount	reported	on	Schedule	HI‐B,	Part	I,	Column	B	of	the	FR	Y‐9C.		
For	the	Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	
status	at	charge‐off.	

	

 

10.	 $	Net	charge‐offs	–	The	dollar	amount	of	write‐downs	net	on	loans	in	the	segment	that	
were	charged‐off	during	the	reporting	month,	net	of	any	recoveries	in	the	reporting	
month	on	loans	in	the	segment	that	were	previously	charged‐off.		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.	
	
 
	

44 
 

 

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	industry	
standard	credit	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	industry	standard	
credit	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	‐	Gov	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	
	
3.	Original	commercially	available	credit	bureau	score	or	equivalent	–		
Segment	the	portfolio	by	the	credit	score	of	the	borrower	at	origination	using	a	
45 
 

 

commercially	available	credit	bureau	score	(e.g.	FICO	Score,	VantageScore,	or	another	
qualifying	credit	score).		The	original	credit	score	used	to	assign	a	loan	to	a	segment	must	
be	the	score	upon	which	the	original	underwriting	decision	was	based.		If	the	
underwriting	decision	was	based	on	an	internal	score,	please	map	this	score	to	an	
industry	standard	credit	score.		Please	provide	supporting	documentation	listing	the	
credit	score	supplied	or	mapped	to.	
	
The	ranges	below	should	be	used	for	loans	for	which	FICO	was	either	the	original	credit	
score	used	at	origination	or	the	commercially	available	credit	bureau	score	to	which	an	
internal	credit	score	was	mapped.		Ranges	for	other	commercially	available	credit	
bureau	scores	will	be	provided	upon	request.	
	
01	‐	<=	660	
02	‐	>	660	
03	‐	N/A—	Original	credit	score	is	missing	or	unknown	
	
4.			Delinquency	status	‐	Reporting	institutions	should	segment	the	portfolio	into	the	
following	five	delinquency	statuses:	
01	‐	Current	+	1‐29	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	non‐
accruing)	as	of	month‐end.	
05	‐	120+	DPD:	Accounts	that	are	120	or	more	days	past	due	(accruing	and	non‐
accruing)	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.	
	

46 
 

 

5.			 #	New	disbursements	–	The	total	number	of	new	disbursements	in	the	given	month	for	
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	month‐
end.	
	

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	dollar	amount	of		write‐downs	on	loans	in	the	
segment	that	were	charged‐off	during	the	reporting	month,	except	where	the	charge‐off	
arises	from	the	bankruptcy	of	the	borrower	(see	the	variable	$	Bankruptcy	Charge‐offs).		
Also	include	write‐downs	to	fair	value	on	loans	transferred	to	the	held‐for‐sale	account	
during	the	reporting	month.		The	amount	reported	here	should	be	consistent	with	the	
amount	reported	on	Schedule	HI‐B,	Part	I,	Column	A	of	the	FR	Y‐9C.		For	the	
Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	status	at	
charge‐off.	
	

19.	 $	Bankruptcy	charge‐offs	–	The	dollar	amount	of		write‐downs	on	loans	in	the	
47 
 

 

segment	that	were	charged‐off	due	to	bankruptcy	during	the	reporting	month.		The	
amount	reported	here	should	be	consistent	with	the	amount	reported	on	Schedule	HI‐B,	
Part	I,	Column	A	of	the	FR	Y‐9C.		For	the	Delinquency	Status	segment,	categorize	
charged‐off	loans	by	their	delinquency	status	at	charge‐off.	
	

20.	 $	Recoveries	–	The	dollar	amount	recovered	during	the	reporting	month	on	loans	in	
the	segment	that	were	previously	charged‐off.		The	amount	reported	here	should	be	
consistent	with	the	amount	reported	on	Schedule	HI‐B,	Part	I,	Column	B	of	the	FR	Y‐9C.		
For	the	Delinquency	Status	segment,	categorize	charged‐off	loans	by	their	delinquency	
status	at	charge‐off.	
	

21.	 $	Net	Charge‐offs	–	The	dollar	amount	of	write‐downs	net	on	loans	in	the	segment	that	
were	charged‐off	during	the	reporting	month,	net	of	any	recoveries	in	the	reporting	
month	on	loans	in	the	segment	that	were	previously	charged‐off.		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.	
 
 

 

	

48 
 

 

Schedule	B—Securities	
	
Each	BHC	should	submit	the	three	files	comprising	the	FR‐Y‐14	Quarterly	Securities	data	
schedule.	The	BHCs	should	refer	to	the	separate	Technical	Submission	Instructions	for	
details	on	the	technical	specifications	of	these	files	including	the	file	naming	convention,	
row	headers,	and	value	formats.	The	first	file	(Securities	1)	is	the	Main	Schedule	containing	
the	individual	security‐level	data.	The	second	(Securities	2)	is	the	Aggregate	Schedule	
containing	aggregate	securities	positions,	which	are	consolidated	by	the	first	security	
description	field	defined	in	the	Main	Schedule.	The	third	(Securities	3)	provides	additional	
detail	on	securities	in	the	Main	Schedule	that	are	part	of	designated	hedge	accounting	
relationships.		
	
A	unique	identifier	must	be	included	to	identify	each	unique	record	for	each	of	the	sub‐
schedules	B.1,	B.2,	and	B.3.	
	
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.			
	
	
B.1—Securities	1	(“Main	Schedule”)	
	
The	Securities	1	schedule	collects	individual	security‐level	details	on	positions,	security	
type,	cumulative	OTTI	(credit	and	non‐credit	related	impairments)	by	security,	and	
accounting	intent	(AFS	or	HTM).		Amounts	should	be	reported	in	U.S.	dollars	(USD).	The	
method	of	reporting	individual	security‐level	information	should	be	consistent	with	the	
level	of	aggregation	the	company	uses	to	assess	impairment	and	measure	realized	and	
unrealized	gains	and	losses	on	investment	securities	under	GAAP.	Please	refer	to	
Accounting	Standards	Codification	paragraph	320‐10‐35‐20	for	guidance.	
	
The	following	information	should	be	reported	in	this	file.		
	
Unique	ID	
A	unique	identifier	must	be	included	to	identify	each	unique	record.	
	
Identifier	Type	and	Identifier	Value	
Report	individual	security‐level	data	for	all	available‐for‐sale	(AFS)	and	held‐to‐maturity	
(HTM)	securities,	adding	new	rows	as	necessary.	Generally,	securities	should	always	be	
reported	with	a	public	identifier,	if	available,	such	as	a	valid	CUSIP,	ISIN,	or	SEDOL.	If	a	valid	
CUSIP,	ISIN	or	SEDOL	identifier	exists	for	the	security,	please	report	the	value	of	the	chosen	
identifier	(the	CUSIP,	ISIN,	or	SEDOL	code)	and	indicate	the	identifier	type	as	“CUSIP”,	
“ISIN”,	or	“SEDOL”.	If	a	CUSIP,	ISIN,	or	SEDOL	identifier	is	not	available	for	a	given	security,	
please	report	an	alternative	public	identifier	value,	if	available,	and	report	the	identifier	
type.	If	only	a	private	or	internal	identifier	is	available	and	provided,	please	report	the	
identifier	type	as	“INTERNAL.”		
	
Private	Placement	
Please	enter	“Y”	if	the	security	is	a	private	placement	security	or	other	non‐publicly	offered	
security	or	“N”	if	it	is	a	publicly	offered	security.	For	clarity,	please	enter	"Y"	for	Rule	144A	
securities.	
	
Security	Description	
Report	the	security	description	as	indicated	below.	
49 
 

 

	
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).	Exclude	securities	that	have	
been	issued	or	guaranteed	by	the	Federal	National	Mortgage	Association	(FNMA)	or	the	
Federal	Home	Loan	Mortgage	Corporation	(FHLMC)	or	guaranteed	by	the	Government	
National	Mortgage	Association	(GNMA).	Report	these	securities	as	“Agency	MBS”	(above).		
	
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.		
	
Covered	Bond:	Report	securities	generally	classified	as	“covered	bonds”	that	feature	
recourse	to	cash	flows	of	a	pool	of	mortgages	or	public‐sector	loans	on	the	balance	sheet	of	
an	issuing	financial	institution.	
	
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	non‐
government	agency	entities.	
	
Foreign	RMBS:		Report	residential	mortgage‐backed	securities	of	foreign	issuers.		Provide	
the	country	in	the	Security	Description	2	column.	
	
50 
 

 

Municipal	Bond:		Report	bonds	issued	by	U.S.	states,	cities,	counties,	and	other	governmental	
entities	at	or	below	the	state	level.	Include	bonds	issued	by	Canadian	provinces	or	other	
local	government	entities	and	bonds	issued	by	other	non‐US	local	government	entities.		In	
the	Description	2	column,	report	the	sector	from	the	list	below	that	best	describes	the	
principal	source	of	repayment	and	intended	use	of	the	capital	raised	by	the	offering.	
	
 General	Obligation	‐	State		
 General	Obligation	‐	Local		
 Revenue	‐	Single	Family	Housing	
 Revenue	‐	Multi‐Family	Housing		
 Revenue	‐	Hospitals	and	Health	Care	
 Revenue	‐	Education	
 Revenue	‐	Industrial	Development	Revenue		
 Revenue	‐	Utilities	
 Revenue	‐	Transportation		
 Revenue	‐	Tax		
 Revenue	–	Other	
 Other	
	
Mutual	Fund:		Report	investments	in	mutual	funds,	including	money	market	mutual	funds	
and	mutual	funds	that	invest	solely	in	U.S.	government	securities.	In	the	Description	2	
column,	enter	either	“Money	Market	Mutual	Fund”	for	investments	in	money	market	mutual	
funds	or	similar	cash	reserve	instruments	or	“Non‐Money	Market	Mutual	Fund”	for	all	other	
categories	of	mutual	funds.	Provide	the	name	of	the	fund	in	the	Description	3	column.	
	
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.	Also,	include	
in	this	category	obligations	of	foreign	country	central	banks,	foreign	central	government	
units	or	agencies,	fully	government‐guaranteed	obligations	of	state‐owned	enterprises;	and	
obligations	of	supranational	organizations	such	as	the	International	Bank	for	
Reconstruction	and	Development	(World	Bank),	Inter‐American	Development	Bank,	and	
Asian	Development	Bank.	
	
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,	and	the	Student	Loan	Marketing	Association.	 	
	
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.	
	
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	
51 
 

 

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)	recognized	in	
earnings	in	the	calendar	year	to	date	by	the	BHC	on	the	security	(this	differs	from	the	“OTTI	
Taken”	request	in	the	Securities	2	worksheet,	which	requests	OTTI	taken	only	in	the	stated	
quarter).	For	clarity,	please	include	only	the	portion	of	OTTI	recorded	in	form	FR	Y‐9C,	
Schedule	HI,	memoranda	item	17(c).	
	
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	in	accordance	with	ASC	
Topic	320,	Investments—Debt	and	Equity	Securities	(formerly	FASB	Statement	No.	115,	
Accounting	for	Certain	Investments	in	Debt	and	Equity	Securities).		This	item	is	not	required	
for	equity	and	mutual	fund	securities.		For	securitization	debt,	this	relates	to	the	yield	
implicit	at	the	time	of	acquisition.		This	value	should	be	the	original	unamortized	yield,	
without	subsequent	adjustments	for	paydowns	or	accretion.	However,	if	the	reported	book	
yield	differs	from	the	yield	determined	according	to	the	methodology	above,	document	the	
reason	for	the	use	of	the	alternative	in	supplemental	materials.	
	
	
	
	
	
	
	
	
	
	
	
	
	
Purchase	Date	
Report	the	date	on	which	the	security	was	purchased	or	acquired	in	the	case	of	credit	
sensitive	securities	that	are	evaluated	for	other‐than‐temporary	impairment	(OTTI)	
purposes	in	accordance	with	ASC	Topic	320,	Investments—Debt	and	Equity	Securities	
(formerly	FASB	Statement	No.	115,	Accounting	for	Certain	Investments	in	Debt	and	Equity	
Securities).		The	purchase	date	should	be	the	date	associated	with	the	amortized	cost	and	
book	yield	of	the	security.		If	current	holdings	of	the	same	security	were	acquired	in	
different	periods,	please	provide	the	amounts	and	respective	purchase	dates	distinct	trade	
lots	in	separate	rows	of	the	worksheets.	The	preferred	method	for	reporting	the	purchase	
date	of	such	lots	is	to	report	the	trade	date.	However,	if	any	date	other	than	trade	date	(e.g.,	
settlement	date)	is	used,	document	the	reason	for	the	use	of	an	alternative	purchase	date		
convention	in	supplemental	materials..		
	
	
	
	
	
	
	
Currency	
Indicate	the	currency	denomination	of	contractual	payments	on	the	security,	or	for	an	
equity	security,	the	currency	in	which	it	trades	in	its	principal	exchange,	using	the	standard	
ISO	4217	three‐letter	currency	code	(e.g.,	USD,	EUR,	GBP,	CAD,	etc.).	For	the	avoidance	of	
52 
 

 

	

doubt,	whether	or	not	the	value	of	this	field	is	USD	(U.S.	dollars),	all	amounts	reported	in	
this	schedule	must	be	in	USD‐equivalent	terms	as	of	the	reporting	date.	
	
	
	
	
	
	
	
	
	

53 
 

	

 

B.2—Securities	2	(“Aggregate	Schedule”)	
	
The	Securities	2	schedule	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,	aggregated	by	the	Intent	and	
Description	1	value	in	the	Securities	1	schedule.		Amounts	should	be	reported	in	millions	of	
U.S.	dollars	(USD).		
	
The	BHCs	should	refer	to	the	separate	Technical	Submission	Instructions	for	details	on	the	
technical	specifications	of	this	file.	
	
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.		
	
In	a	separate	file,	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	for	the	Securities	2	schedule.	
	
The	total	amortized	cost	of	AFS	and	HTM	securities	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	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).		
	
	
B.3—Securities	3	(“Investment	Securities	with	Designated	Accounting	Hedges”)	
	
The	Securities	3	file	contains	information	on	investment	security	hedging	relationships	
designated	under	GAAP	as	cash	flow	or	fair	value	hedges	of	AFS	or	HTM	securities.	All	
amounts	should	be	reported	in	U.S.	dollars.	Gains	and	losses	should	be	reported	gross	of	tax.	
	
In	each	row,	report	the	unique	ID,	identifier	type	and	identifier	value	using	the	
corresponding	instructions	for	Securities	1	for	each	investment	security	for	which	the	BHC	
has	an	existing	qualifying	hedging	relationship.	Security	holdings	listed	in	this	worksheet	
should	be	a	subset	of	the	line‐by‐line	holdings	reported	in	the	Securities	1	schedule	and	use	
a	consistent	ID,	Identifier	Type	and	Identifier	Value	for	matching	purposes.	In	addition,	for	
qualifying	hedging	relationships	reported	on	Securities	3,	the	unique	ID	reported	for	the	
investment	security	on	Securities	1	must	also	be	reported.	
	
There	should	be	one	row	submitted	for	each	distinct	investment	security	hedging	
relationship.	Use	multiple	rows	to	reflect	one‐to‐many	relationships:	For	example,	if	
multiple	hedging	relationships	apply	to	a	single	security	holding,	please	list	each	hedging	
relationship	affecting	the	security	in	a	separate	row	of	the	Securities	3	file,	repeating	
relevant	details	about	the	hedged	security.	(This	treatment	would	apply,	for	example,	if	
distinct	hedging	instruments	–	such	as	interest	rate	and	foreign	exchange	hedging	
instruments	–	hedge	different	risks	of	the	same	holding	and	are	accounted	for	separately,	or	
if	a	fair	value	hedge	co‐exists	with	a	cash	flow	hedge	to	address	distinct	risks.)		Similarly,	if	a	
portfolio	hedge	is	used	to	hedge	more	than	one	security	under	a	single	hedging	relationship,	
please	list	each	of	the	hedged	security	holdings	in	separate	rows	alongside	the	
54 
 

 

characteristics	and	allocable	amount	of	the	associated	portfolio	hedging	instrument.	
	
Please	refer	to	the	following	table	for	detailed	instructions	on	each	column	of	this	
worksheet.	The	abbreviation	ASC	stands	for	the	Financial	Accounting	Standards	Board	
Accounting	Standards	Codification.	In	general,	in	the	instructions	that	follow,	the	terms	
hedging	instrument	and	hedged	item	follow	their	usage	in	the	ASC.	Note	that	hedging	
instrument	may	refer	either	to	a	single	instrument	or	derivative	that	hedges	the	hedged	
item	in	a	hedging	relationship,	or	a	group	of	instruments	jointly	considered	a	hedging	
instrument	under	a	single	hedging	relationship.		
	
	
Field	
No.	

Field	Name	
	

Description	

Allowable	Values	

1	

Identifier	Type	

Report	the	identifier	type	for	an	investment	security	for	which	the	 	See	Securities	1	
BHC	 has	 an	 existing	 qualifying	 accounting	 hedging	 relationship,	 instructions	
and	 whose	 identifier	 value	 is	 provided	 in	 Field	 2	 (“Identifier	
Value”).	 If	 more	 than	 one	 distinct	 qualifying	 hedging	 relationship	
exists	for	the	security,	please	list	the	security	more	than	once.	

2	

Identifier	Value	

Report	 the	 identifier	 value	 for	 an	 investment	 security	 for	 which	 See	Securities	1	
the	 BHC	 has	 an	 existing	 qualifying	 accounting	 hedging	 instructions	
relationship.	 If	 more	 than	 one	 distinct	 qualifying	 hedging	
relationship	 exists	 for	 the	 security,	 please	 list	 the	 security	 more	
than	once.	

3	

Amortized	Cost	

Report	 the	 amortized	 cost	 (USD	 equivalent)	 of	 the	 security	 being	 See	Securities	1	
hedged.	 This	 amount	 should	 equal	 the	 amount	 recorded	 in	 the	 instructions	
Securities	1	file	for	this	security,	unless	the	amount	in	Securities	1	
contains	 trade	 lots	 or	 holdings	 that	 are	 not	 part	 of	 the	 hedging	
relationship,	in	which	case	only	include	the	amortized	cost	of	the	
holdings	 of	 the	 security	 that	 are	 hedged	 under	 the	 qualifying	
hedging	relationship.	

(USD	Equivalent)	

	
Market	Value	(USD	 Report	 the	 market	 value	 (USD	 equivalent)	 of	 the	 security	 being	 See	Securities	1	
hedged.	 	 This	 amount	 should	 equal	 the	 amount	 recorded	 in	 the	 instructions	
Equivalent)	
Securities	1	file	for	this	security,	unless	the	amount	in	Securities	1	
contains	 trade	 lots	 or	 holdings	 that	 are	 not	 part	 of	 the	 hedging	
relationship,	in	which	case	only	include	the	amortized	cost	of	the	
holdings	 of	 the	 security	 that	 are	 hedged	 under	 the	 qualifying	
hedging	relationship.	

4	

	
5	

Accounting	Intent	
(AFS,	HTM)	

Indicate	 whether	 the	 security	 being	 hedged	 is	 available‐for‐sale	 See	Securities	1	
instructions	
(AFS)	or	held‐to‐maturity	(HTM).	

6	

Type	of	Hedge(s)	

Report	the	type	of	hedge	(fair	value	or	cash	flow	hedge)	associated	 1=	Fair	Value	Hedge,	
with	 the	 holding	 as	 defined	 by	 ASC	 815.	 Make	 this	 indication	 for	 2=Cash	Flow	Hedge.			
each	 hedged	 security,	 whether	 it	 is	 hedged	 individually	 or	 is	
hedged	 as	 part	 of	 a	 portfolio	 of	 assets	 with	 similar	 risk	 that	 are	
hedged	as	a	group	in	line	with	ASC	815‐20‐25‐12	(b)	or	ASC	815‐
10‐25‐15.		

	

55 
 

 

Field	
No.	

Field	Name	
	

7	

Hedged	Risk	
	

Description	

Allowable	Values	

Indicate	 the	 risk	 being	 hedged,	 among	 the	 potential	 hedged	 risks	 1=Overall	Change	in	Fair	
described	under	ASC	815‐20‐25‐12	and	ASC	815‐20‐25‐15.	
Value	or	Variability	in	
	
	
Cash	Flows,	2=Interest	
Rate	Risk,	3=Foreign	
Exchange	Risk,	4=Credit	
Risk,	5	=	Interest	Rate	
Risk	&	Foreign	Exchange	
Risk	,	6=	Interest	Rate	
Risk	&	Credit	Risk,	7=	
Foreign	Exchange	Risk	&	
Credit	Risk	,	8	=	Interest	
Rate	Risk	&	Foreign	
Exchange	Risk	&	Credit	
Risk,	9=	Change	in	Fair	
Value	of	Embedded	Call	
or	Put	Option,	10=Other	,	
11=	Not	applicable.	

8	

Hedge	Interest	Rate	 For	 hedges	 of	 interest	 rate	 risk,	 indicate	 the	 benchmark	 interest	 1=US	Treasury	Security	
rates	 from	 among	 those	 eligible	 under	 ASC	 815‐20‐25‐6A	 and	 Interest	Rate,	2=London	
	
other	relevant	guidance.			
Interbank	Offered	Rate	
(LIBOR)	Swap	Rate,	
3=Federal	Funds	
Effective	Swap	Rate,	4	
=Other,	5	=	Not	
applicable.	

9	

Hedge	Percentage	

Indicate,	in	the	case	of	a	designated	fair	value	hedge,	the	portion	of	 Enter	a	numeral	in	
the	 asset	 being	 hedged,	 as	 determined	 according	 to	 ASC	 815‐20‐ decimal	format	with	up	
to	4	decimal	places	
25‐12	(b).	Enter	a	decimal	value.		
between	0	and	1,	
If	the	hedge	is	allocated	to	100	percent	of	the	securities	notional	or	 inclusive.	
100	 percent	 of	 the	 hedged	 risk	 associated	 with	 the	 investment	
amounts	 reported	 in	 Fields	 3	 and	 4	 (amortized	 cost	 and	 market	
value),	please	enter	a	value	of	1.		
If	the	associated	hedge	is	a	designated	cash	flow	hedge	of	foreign	
currency	fluctuation,	please	indicate	the	percentage	of	principal	or	
interest	 cash	 flows	 (as	 applicable)	 being	 hedged	 in	 accordance	
with	ASC	815‐20‐25‐41.		

10	

Hedge	Horizon	

If	 the	 hedge	 is	 a	 fair	 value	 hedge,	 report	 the	 latest	 date	 of	 the	
remaining	 effectiveness	 horizon	 (e.g.,	 the	 remaining	 life	 of	 the	
derivative	 instrument	 or	 an	 applicable	 shorter	 period,	 as	
discussed	in	ASC	815‐20‐25‐118),	consistent	with	the	documented	
risk	management	strategy	for	the	fair	value	hedge.	
	
If	 the	 hedge	 is	 a	 cash	 flow	 hedge,	 report	 the	 latest	 date	 within	
which	 the	 latest	 transaction	 covered	 by	 the	 hedge	 is	 expected	 to	
occur,	 in	 line	 with	 the	 documentation	 requirements	 under	 ASC	
815‐20‐25‐3	and	the	effectiveness	testing	requirements	under	ASC	
815‐20‐25.	

56 
 

Must	be	in	yyyy‐	mm‐dd	
format,	e.g.:	
2005‐02‐01	
1999‐12‐14	

 

Field	
No.	

Field	Name	
	

Description	

11	

Hedged	Cash	Flow	

Indicate	 the	 type	 of	 cash	 flow	 associated	 with	 the	 hedge	 if	 it	 is	 a	 1=Principal	and	Interest	
Cash	Flows,	2=Interest	
cash	flow	hedge.	
Only,	3=Principal	Only,	
4=A	Fixed	Portion	of	
Either	Principal	or	
Interest	Cash	Flows,	
5=Other	6=	Not	
applicable.	

12	

Sidedness	

Indicate	 whether	 the	 hedging	 instrument	 provides	 a	 one‐sided	 1=One‐sided.	2=	Not	One‐
effective	offset	of	the	hedged	risk,	as	permitted	under	ASC	815‐20‐ sided.	
25‐76.		

13	

Hedging	
Instrument	at	Fair	
Value	

Indicate	 the	 USD‐equivalent	 fair	 value	 of	 the	 hedging	 instrument	
used	 to	 hedge	 the	 security	 under	 the	 indicated	 hedging	
relationship.	 The	 hedging	 instrument	 associated	 with	 the	 hedged	
security	may	consist	of	a	proportion	of	a	whole	derivative	(see	ASC	
815‐20‐25‐45),	in	which	case	report	the	applicable	portion	of	the	
hedging	 derivative’s	 fair	 value.	 In	 addition,	 more	 than	 one	
instrument	may	be	used	in	combination	as	a	hedging	instrument,	
in	 which	 case	 report	 the	 sum	 of	 the	 allocable	 fair	 values	 of	 these	
instruments.	

Supply	numeric	values	
without	any	non‐	
numeric	formatting	(no	
dollar	sign,	commas	or	
decimal).	For	negative	
values	use	a	negative	sign	
‘‐‘,	not	parentheses.	

Effective	Portion	of	 ndicate	the	effective	portion	of	the	gains	and	losses	in	the	quarter	 Rounded	positive	or	
Cumulative	Gains	 in	 USD	 of	 the	 hedging	 instrument(s),	 associated	 with	 the	 hedged	 negative	whole	dollar	
risk	and	hedged	percentage	of	the	security.	
amount	with	no	cents,	
and	Losses	
e.g.:	20000000	
Supply	numeric	values	
without	any	non‐	
numeric	formatting	(no	
dollar	sign,	commas	or	
decimal).	For	negative	
values	use	a	negative	sign	
‘‐‘,	not	parentheses.	

15	

Ineffective	Portion	 Indicate	 the	 ineffective	 portion	 of	 the	 gains	 and	 losses	 in	 the	
quarter	 in	 USD	 of	 the	 hedging	 instrument(s),	 associated	 with	 the	
of	Cumulative	
hedged	 risk	 and	 hedged	 percentage	 of	 the	 security,	 which	 have	
Gains	and	Losses	
been	recognized	in	earnings.	

	
57 

 

Rounded	positive	or	
negative	whole	dollar	
amount	with	no	cents,	
e.g.:	20000000	

14	

	
	
	

Allowable	Values	

Rounded	positive	or	
negative	whole	dollar	
amount	with	no	cents,	
e.g.:	20000000	
Supply	numeric	values	
without	any	non‐	
numeric	formatting	(no	
dollar	sign,	commas	or	
decimal).	For	negative	
values	use	a	negative	sign	
‘‐‘,	not	parentheses.	

 

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.	Beginning	with	the	submission	as	of	Q3	
2014,	all	subordinated	debt	instruments	must	be	included,	regardless	of	whether	or	
not	the	instrument	is	included	in	regulatory	capital.	
	
Additionally,	a	one‐time	submission	of	all	subordinated	debt	as	of	quarter	end,	
separate	from	the	regular	quarterly	submission,	must	be	reported	that	includes	all	of	
the	information	required	in	schedule	C.3	(Issuances	During	Quarter)	for	each	
subordinated	debt	instrument	outstanding	as	of	quarter	end.	For	respondents	that	
are	filing	the	Regulatory	Capital	Instruments	schedule	for	the	Q3	2014	reporting	
period,	this	one‐time	submission	should	be	made	for	the	Q3	2014	reporting	period.	
For	all	other	respondents	this	one‐time	submission	should	be	made	concurrently	
with	their	initial	submission	of	the	Regulatory	Capital	Instruments	schedule.	This	
one‐time	submission	should	be	submitted	separately	with	a	file	name	that	includes	
“One‐Time	Sub	Debt,”	and	should	be	made	on	the	Issuances	During	Quarter	
worksheet	of	the	FR	Y‐14Q	Regulatory	Capital	Instruments	Excel	template.	
	
		
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	general	risk‐based	
capital	rule	set.		Select	from	options	in	the	drop	down	box.	If	the	instrument	being	reported	
is	a	subordinated	debt	instrument	not	included	in	regulatory	capital,	“NA”	should	be	
reported.	
	
58 
 

 

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.	If	the	instrument	being	reported	is	a	subordinated	debt	
instrument	not	included	in	regulatory	capital,	“NA”	should	be	reported.	
	
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.	
	
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	general	risk‐based	
capital	rule	set.		Select	from	options	in	the	drop	down	box.	If	the	instrument	being	reported	
is	a	subordinated	debt	instrument	not	included	in	regulatory	capital,	“NA”	should	be	
reported.	
	
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.	If	the	instrument	being	reported	is	a	subordinated	debt	
instrument	not	included	in	regulatory	capital,	“NA”	should	be	reported.	
	
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)	 	
59 
 

 

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	
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		
60 
 

 

Report	the	regulatory	capital	treatment	for	the	instrument	under	the	general	risk‐based	
capital	rule	set.		Select	from	options	in	the	drop	down	box.	If	the	instrument	being	reported	
is	a	subordinated	debt	instrument	not	included	in	regulatory	capital,	“NA”	should	be	
reported.	
	
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.	If	the	instrument	being	reported	is	a	subordinated	debt	
instrument	not	included	in	regulatory	capital,	“NA”	should	be	reported.	
	
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.	
	
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	
61 
 

 

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	
	
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.		
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

62 
 

 

 
 
 
 
 
 
 
 
 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

 

	

63 
 

 

Schedule	D—Regulatory	Capital	Transitions	
	
General	Guidance	
	
For	 the	 purposes	 of	 the	 Regulatory	 Capital	 Transitions	 Schedule,	 BHCs	 must	 reflect	 the	
revised	regulatory	capital	and	supplementary	leverage	ratio		rules	on	a	fully	phased‐in	basis	
for	 the	 reporting	 quarter	 (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).		Where	applicable,	BHCs	should	also	
reference	 the	 methodology	 descriptions	 outlined	 within	 the	 FR	 Y‐9C,	 HC‐R,	 Part	 IB	 (final)	
and	 part	 II	 (draft).	 Please	 note,	 however,	 that	 numbers	 do	 not	 need	 to	 tie	 to	 the	 FR	 Y‐9C	
reports,	given	that	the	FR	Y‐14	Transitions	schedule	requires	calculations	on	a	fully	phased‐
in	basis.	
	
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	
	
All	BHCs	are	required	to	follow	the	methodologies	outlined	in	the	revised	regulatory	capital	
rule	(78	Federal	Register	62018,	October	11,	2013),	the	updated	market	risk	capital	rule	
(78	Federal	Register	76521,	December	18,	2013),	and	the	supplementary	leverage	ratio	
final	rule	(September	2014)	for	purposes	of	completing	the	Regulatory	Capital	Transitions	
schedules	on	a	quarterly	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	(78	Federal	Register	62018,	October	11,	2013):		
http://www.gpo.gov/fdsys/pkg/FR‐2013‐10‐11/pdf/2013‐21653.pdf	
	
•	
Updated	Market	Risk	Rule	(78	Federal	Register	76521,	December	18,	2013):	
	
	
•	
Supplementary	Leverage	Ratio	Final	Rule	(September	2014):		
http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20140903b1.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	“Standardized	RWA”	worksheet	for	all	reporting	periods.		For	the	purpose	of	
completing	the	“Standardized	RWA”	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	
64 
 

 

mandatory	advanced	approaches	institutions	or	that	have	opted‐in	voluntarily	as	an	
advanced	approaches	institution,	are	also	required	to	complete	the	“Advanced	RWA”	
worksheet	for	all	reporting	periods.		Note	that	all	data	must	be	complete	on	a	fully	phased‐in	
basis.	
	
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.	
	
	

65 
 

 

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.		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.	
	
Line	item	1	 AOCI	opt‐out	election	
Non‐advanced	approaches	BHCs	have	the	option	to	select	either	1	for	opt‐out,	or	0	for	opt‐
in.		Note	that	there	are	no	transition	provisions	applied.			
	
As	provided	in	section	22(b)(ii)	of	the	revised	regulatory	capital	framework,	a	non‐
advanced	approaches	banking	organization	that	seeks	to	make	an	AOCI	opt‐out	election	is	
required	to	do	so	upon	filing	its	first	Call	Report	or	FR	Y‐9	series	report	after	the	date	upon	
which	it	becomes	subject	to	the	final	rule	(January	1,	2015).		Thus,	a	banking	organization’s	
response	to	line	item	53	of	the	“Capital	Composition”	tab	for	the	purposes	of	the	2014	CCAR	
and	stress	test	cycles	would	not	be	binding	upon	it	when	that	response	is	provided	prior	to	
it	making	the	one‐time,	permanent	AOCI	opt‐out	election	in	the	relevant	Call	Report	or	FR	
Y‐9	series	report.		However,	the	banking	organization	should	provide	a	response	to	line	
item	53	of	the	“Capital	Composition”	tab	that	best	reflects	its	expected	choice	with	regard	to	
the	AOCI	opt‐out	election.	
	
	
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)	
eport	the	amount	of	AOCI	as	reported	under	generally	accepted	accounting	principles	
(GAAP)	in	the	U.S.	that	is	consistent	with	the	definitions	included	in	Schedule	HC‐R,	Part	
I.B.,	item	3,	with	no	transition	provisions.			
	
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	the	definitions	provided	in	Schedule	HC‐R,	Part	I.B.,	item	4,	with	no	transition	
provisions.	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).	
	
66 
 

 

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)	
eport	the	amount	of	goodwill	that	is	consistent	with	the	definitions	provided	in	Schedule	
HC‐R,	Part	I.B.,	item	6,	with	no	transition	provisions.	
However,	if	a	BHC	has	a	DTL	that	is	specifically	related	to	goodwill	acquired	in	a	taxable	
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	
67 
 

 

Report	the	amount	of	net	unrealized	holding	gains	(losses)	on	available‐for‐sale	securities,	
net	of	applicable	taxes,	that	is	consistent	with	the	definitions	provided	in	Schedule	HC‐R,	
Schedule	I.B.,	item	9a,	“Accumulated	other	comprehensive	income,”	With	no	transition	
provisions.	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,	consistent	with	
the	definitions	that	is	included	in	Schedule	HC‐R,	Schedule	I.B.,	item	9b,	with	no	transition	
provisions.		

	

Line	item	12	 Accumulated	net	gains	(losses)	on	cash	flow	hedges	
Report	the	amount	of	accumulated	net	gains	(losses)	on	cash	flow	hedges,	consistent	with	
the	definitions	that	is	included	in	Schedule	HC‐R,	Schedule	I.B.,	item	9c,	“Accumulated	other	
comprehensive	income,”	With	no	transition	provisions.			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	is	consistent	with	the	definitions	included	in	
Schedule	HC‐R,	Schedule	I.B.,	item	9d,	“Accumulated	other	comprehensive	income,”	with	no	
transition	provisions,	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.			

	

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‐to‐
maturity	securities	and	are	included	in	AOCI,	consistent	with	the	definitionsas	reported	in	
Schedule	HC‐R,	Schedule	I.B.,	item	9e,	“Accumulated	other	comprehensive	income,	”	with	no	
transition	provisions.			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	item	1,	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	threshold‐
based	deductions:	
68 
 

 

	
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	
before	threshold‐based	deductions	
Report	the	amount	of	other	deductions	from	(additions	to)	common	equity	tier	1	capital	
that	are	not	captured	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.	
	
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	
69 
 

 

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	
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	
	BHC	has	a	non‐significant	investment	in	the	capital	of	an	unconsolidated	financial	
institution	(as	defined	in	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	
70 
 

 

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	
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	as	
defined	by	Schedule	HC‐R,	Part	I.B.,	item	20,	with	zero	transition	provisions,	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:		
	
71 
 

 

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	
(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.	
	
72 
 

 

(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,	non‐
significant	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	
	
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.			
	
	
Other	(reflect	all	items	on	a	quarterly	basis)	
	
	
Line	item	33	 Issuance	of	Common	Stock	(Including	Conversion	of	Common	Stock)	
Captures	the	total	issuance	of	common	stock	and	related	surplus	in	the	reporting	period	on	
a	quarterly	basis.			 	

 

Line	item	34	 Repurchases	of	Common	Stock	
Captures	the	total	repurchases	of	common	stock	in	the	reporting	period	on	a	quarterly	basis.			 	

 

Line	item	35	 Net	Income	(Loss)	Attributable	to	Bank	Holding	Company	
efer	to	FR	Y‐9C	instructions	for	Schedule	HI‐A,	item	4	and	report	on	a	quarterly	basis.		
Report	losses	as	a	negative	value.i			

 

Line	item	36	 Cash	Dividends	Declared	on	Preferred	Stock	
Refer	to	FR	Y‐9C	instructions	for	Schedule	HI‐A,	item	10	and	report	on	a	quarterly	basis.			

 

Line	item	37	 Cash	Dividends	Declared	on	Common	Stock	
Refer	to	FR	Y‐9C	instructions	for	Schedule	HI‐A,	item	11	and	report	on	a	quarterly	basis.			

 

Line	item	38	 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	(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	.	

 

Line	item	39	 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.				Report	balances	in	full,	
without	reflecting	any	phase‐out	arrangements	included	in	the	revised	regulatory	capital	
rule.	
73 
 

 

 

	
	
	

Line	item	40	 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.	
	
	

74 
 

 

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	
deferred	tax	assets	(in	Line	17	of	the	Capital	Composition	worksheet),	those	deferred	tax	
75 
 

 

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	(item	19	in	the	
Capital	Composition	tab	minus	item	14,	multiplied	by	17.65	percent)	 	
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	
76 
 

 

	
 

leave	cells	blank;	enter	“0”	if	not	applicable.	
	
	

77 
 

 

D.3—	Advanced	Risk‐Weighted	Assets	

 

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	“Advanced	RWA”	worksheet.		All	
BHCs,	including	advanced	approaches	BHCs	and	non‐advanced	approaches	BHCs	must	
complete	the	“Standardized	RWA”	worksheet.	
 

In	the	“Advanced	RWA”	worksheet,	BHCs	should	provide	risk‐weighted	asset	estimates	
reflecting	the	revised	regulatory	capital	rule	(78	Federal	Register	62018,	October	11,	2013)	
and	the	updated	market	risk	capital	rule	(78	Federal	Register	76521,	December	18,	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.		However,	if	a	BHC	
projects	to	meet	the	trading	activity	threshold	that	would	require	it	to	be	subject	to	the	
market	risk	capital	requirements	during	the	forecast	period,	then	the	BHC	should	complete	
the	market	risk‐weighted	asset	section	within	the	worksheet.	 Please	refer	to	the	revised	
regulatory	capital	rule	(78	Federal	Register	62018,	October	11,	2013)	and	the	updated	
market	risk	capital	rule	(78	Federal	Register	76521,	December	18,	2013)	released	by	the	
U.S.	banking	agencies	for	details	of	the	requirements.	

 

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].	
 

 

MDRM	codes	have	been	included	in	the	worksheet	(column	C)	and	correspond	to	the	
definitions	for	the	FFIEC	101	line	items	where	applicable.	
 

Advanced	Approaches	Credit	Risk	(Including	CCR	and	non‐trading	credit	risk),	with	
1.06	scaling	factor	where	applicable		
	
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	 Credit	RWA	
This	item	is	a	shaded	cell	and	is	derived	from	other	items	in	the	schedule;	no	input	required.	

 

Line	item	2	through	30	
Various	
Definition	of	the	BHC’s	projections	should	correspond	to	the	definitions	outlined	by	the	
corresponding	MDRM	code	(shown	in	column	C)	of	the	FFIEC	101	report	per	the	revised	
regulatory	capital	rule	(78	Federal	Register	62018,	October	11,	2013).	
	 
Line	item	31	 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	32	 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	33	 Credit	Valuation	Adjustment	(CVA)	capital	charge	(Risk‐Weighted	Asset	
78 
 

 

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	34	 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	35	 Credit	Valuation	Adjustment	(CVA)	Capital	Charge	(Risk‐Weighted	
Asset	Equivalent):	Simple	CVA	Approach	
Risk‐weighted	asset	(RWA)	equivalent	using	the	simple	credit	valuation	adjustment	(CVA)	
approach.	

 
 

Advanced	Approaches	Operational	Risk	
Line	item	36	 Operational	RWA	
Definition	of	the	BHC’s	projections	should	correspond	to	the	definitions	outlined	by	the	
corresponding	MDRM	code	(shown	in	column	C)	of	the	FFIEC	101	report	per	the	revised	
regulatory	capital	rule	(78	Federal	Register	62018,	October	11,	2013).	
	
	
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	37	 Market	RWA	
This	item	is	a	shaded	cell	and	is	derived	from	other	items	in	the	schedule;	no	input	required.	
	
Line	item	38	 Value	at	Risk	(VaR)	with	Multipliers	(general	and	specific	risk)	
Report	the	greater	of	previous	day’s	VaR‐based	measure	or	average	of	daily	VaR‐based	
measure	for	each	of	the	preceding	60	business	days	with	applicable	multiplication	factor.	
VaR‐based	measure	should	be	inclusive	of	all	sources	of	risks	that	are	included	in	the	VaR	
calculation.	
B	
	
Line	item	39	 Stressed	Value‐at‐Risk	(VaR)	with	Multipliers	(general	and	specific	
risk)		
Report	the	greater	of	most	recent	stressed	VaR‐based	measure	or	average	of	weekly	
stressed	VaR‐based	measures	for	the	preceding	12	weeks	with	applicable	multiplication	
factor.	 Stressed	VaR‐based	measure	should	be	inclusive	of	all	sources	of	risks	that	are	
79 
 

 

included	in	the	stressed	VaR	calculation.	
B	

 

Line	item	40	 Incremental	Risk	Capital	Charge	(IRC)	
Report	the	greater	of	most	recent	increment	risk	measure	or	average	of	daily	incremental	
risk	measures	for	the	preceding	12	weeks.	

 

Line	item	41	 Correlation	Trading	
This	item	is	a	shaded	cell	and	is	derived	from	other	items	in	the	schedule;	no	input	required.	

 

Line	item	42	 Correlation	Trading:	Comprehensive	Risk	Measurement	(CRM),	Before	
Application	of	Surcharge	
Risk‐weighted	asset	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.		Report	the	greater	of	most	recent	
comprehensive	risk	measure	or	average	of	daily	comprehensive	risk	measures	for	the	
preceding	12	weeks.			

 

Line	item	43	 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	44	 Correlation	Trading:	Standardized	Measurement	Method	(100%)	for	
Exposures	Subject	to	Comprehensive	Risk	Measurement	(CRM)	‐	Net	long	
100%	of	the	risk‐weighted	asset	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	45	 Correlation	Trading;	Standardized	Measurement	Method	(100%)	for	
Exposures	Subject	to	Comprehensive	Risk	Measurement	(CRM)	‐	Net	Short	
100%	of	the	risk‐weighted	asset	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	46	 Non‐modeled	Securitization	
This	item	is	a	shaded	cell	and	is	derived	from	other	items	in	the	schedule;	no	input	required.	
F	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	47	and	48.	
	
Line	item	47	 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	
included	here.	

 

Line	item	48	 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.		
80 
 

 

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	49	 Standardized	Specific	Risk	(excluding	securitization	and	correlation)	
This	item	is	a	shaded	cell	and	is	derived	from	other	items	in	the	schedule;	no	input	required.	
Risk‐weighted	asset	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.	
	
Line	item	50	 Sovereign	debt	positions	
Report	specific	risk	add‐ons	for	sovereign	debt	positions	for	which	the	BHC’s	VaR‐based	
measure	does	not	capture	all	material	aspects	of	specific	risk.	

 

Line	item	51	 Government	sponsored	entity	(GSE)	debt	positions	
Report	specific	risk	add‐ons	for	GSE	debt	positions	for	which	the	BHC’s	VaR‐based	measure	
does	not	capture	all	material	aspects	of	specific	risk.	

 

Line	item	52	 Depository	institution,	foreign	bank,	and	credit	union	debt	positions	
Report	specific	risk	add‐ons	for	depository	institutions,	foreign	banking	organization,	and	
credit	union	debt	positions,	for	which	the	BHC’s	VaR‐based	measure	does	not	capture	all	
material	aspects	of	specific	risk.	

 

Line	item	53	 Public	sector	entity	(PSE)	debt	positions	
Report	total	specific	risk	add‐on	for	PSE	debt	positions,	for	which	the	BHC’s	VaR‐based	
measure	does	not	capture	all	material	aspects	of	specific	risk.	

 

Line	item	54	 Corporate	debt	positions	
Report	Specific	risk	add‐on	for	corporate	debt	positions,	for	which	the	BHC’s	VaR‐based	
measure	does	not	capture	all	material	aspects	of	specific	risk.	

 

Line	item	55	 Equity	
Report	specific	risk	add‐on	for	equity	positions,	for	which	the	BHC’s	VaR‐based	measure	
does	not	capture	all	material	aspects	of	specific	risk.	
	
Line	item	56	 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.	
	
	
Other	

 

Line	item	57	 Assets	subject	to	the	general	risk‐based	capital	requirements	
Definition	of	the	BHC’s	projections	should	correspond	to	the	definitions	outlined	by	the	
corresponding	MDRM	code	(shown	in	column	C)	of	the	FFIEC	101	report	per	the	revised	
regulatory	capital	rule	(78	Federal	Register	62018,	October	11,	2013).	
	
Line	item	58	 Other	RWA	
If	the	BHC	is	unable	to	assign	RWA	to	one	of	the	above	categories,	even	on	a	best‐efforts	
basis,	they	should	be	reported	in	this	line.	

 
81 
 

 

Line	item	59	 Excess	eligible	credit	reserves	not	included	in	tier	2	capital	
Include	excess	eligible	credit	reserves	not	included	in	tier	2	capital,	consistent	with	the	
revised	regulatory	capital	rule	(78	Federal	Register	62018,	October	11,	2013).		Definition	of	
the	BHC’s	projections	should	correspond	to	the	definitions	outlined	by	the	corresponding	
MDRM	code	(shown	in	column	C)	of	the	FFIEC	101	report.	

 

	

Line	item	60	 Total	Risk‐Weighted	Assets	
This	item	is	a	shaded	cell	and	is	derived	from	other	items	in	the	schedule,	no	input	required.	
	
Line	item	61	 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.	
	

82 
 

 

D.4—Standardized	Risk‐Weighted	Assets		
	
All	BHCs,	including	advanced	approaches	BHCs	and	non‐advanced	approaches	BHCs	
must	complete	“Standardized	RWA”	worksheet.		In	addition,	advanced	approaches	BHCs	
are	required	to	complete	“Advanced	RWA"	worksheet	due	to	the	floor	requirement	per	
the	Collins	Amendment	under	Section	171	of	the	DFA.	
 
For	 	 the	 	 purpose	 	 of	 	 completing	 	 the	 	 “Standardized	 RWA”	 	 worksheet,	 	 BHCs	 	 are		
required	 	 to	 	 report	 credit	 	 risk‐	 weighted	 assets	 using	 the	 methodologies	 in	 the	
standardized	 approach	 of	 the	 revised	 regulatory	 capital	 rule	 (78	 Federal	 Register	 62018,	
October	11,	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.	
However,	if	a	BHC	projects	to	meet	the	trading	activity	threshold	that	would	require	it	to	be	
subject	 to	 the	 market	 risk	 capital	 requirements	 during	 the	 forecast	 period,	 then	 the	 BHC	
should	 complete	 the	 market	 risk‐weighted	 asset	 section	 within	 the	 worksheet.	 	 Please	
refer	 to	 the	 revised	regulatory	 capital	rule	(78	Federal	Register	62018,	October	 11,	2013)	
and	 the	 updated	market	 risk	 capital	 rule	 (78	 Federal	Register	 76521,	 December	 18,	 2013)	
released	by	the	U.S.	banking	agencies	for	details	of	the	requirements.	
	
Where	 possible,	 please	 reference	 the	 definitions	 on	 Standardized	 RWA	 that	 is	 provided	 in	
the	draft	version	of	the	HC‐R,	Part	II,	on	a	fully	phased‐in	basis.			

 
 

Standardized	Approach	Credit	Risk	
 
Line	item	1	 Credit	RWA	
This	item	is	a	shaded	cell	and	is	derived	from	other	items	in	the	schedule;	no	input	required.	
	
Line	item	2	 Balance	Sheet	Asset	Category	RWA	
This	item	is	a	shaded	cell	and	is	derived	from	other	items	in	the	schedule;	no	input	required.	
	
Line	item	3	 Cash	and	balances	due	from	depository	institutions	
Report	the	total	risk‐weighted	asset	amount	of	cash	and	balances	due	from	depository	
institutions.			
	
Line	item	4	 Federal	funds	sold	and	securities	purchased	under	agreements	to	
resell	
Report	the	total	risk‐weighted	asset	amount	of	federal	funds	sold	and	securities	purchased	
under	agreements	to	resell,	including	reverse	repurchase	agreements.					
	
	
Securities	(Excluding	securitization)	
Line	item	5	 Held‐to‐maturity	
Report	the	total	risk‐weighted	asset	amount	of	amortized	cost	of	held‐to‐maturity	(HTM)	
securities	excluding	those	securities	that	qualify	as	securitization	exposures	as	defined	in	
§.2	of	the	revised	regulatory	capital	rules.			
	
Line	item	6	 Available‐for‐sale	
Report	the	total	risk‐weighted	fair	value	of	available‐for‐sale	(AFS)	securities,	excluding	
those	securities	that	qualify	as	securitization	exposures	as	defined	in	§.2	of	the	regulatory	
capital	rules.	
	
	
Loans	and	leases	on	held	for	sale	
83 
 

 

Line	item	7	 Residential	Mortgage	exposures	
Report	the	total	risk‐weighted	asset	amount	of	the	carrying	value	of	loans	and	leases	held	
for	sale	(HFS)	composed	of	items	related	to	residential	mortgage	exposures.	
	
Line	item	8	 High	Volatility	Commercial	Real	Estate		
Report	the	total	risk‐weighted	asset	amount	of	the	carrying	value	of	loans	and	leases	held	
for	sale	(HFS)	related	to	high	volatility	commercial	real	estate	exposures	(HVCRE),	as	
defined	in	§.2	of	the	revised	regulatory	capital	rules,	including	HVCRE	exposures	that	are	90	
days	or	more	past	due	or	on	non‐accrual	status.	
	
Line	item	9	 Past	due	exposures		
Report	the	total	risk‐weighted	asset	amount	of	the	carrying	value	of	loans	and	leases	held	
for	sale	(HFS)	that	are	90	days	or	more	past	due	or	on	non‐accrual	status	according	to	the	
requirements	set	forth	in	§.32(k)	of	the	revised	regulatory	capital	rules.		Do	not	include	
exposures	to	sovereigns	or	residential	real	estate,	as	described	in	§.32(a)	and	§.32(g)	
respectively,	that	are	past	due	or	on	non‐accrual	status.	Also	do	not	include	HVCRE	
exposures	that	are	past	due	or	on	non‐accrual	status.			
	
Line	item	10	 All	other	exposures		
Report	the	total	risk‐weighted	asset	amount	of	the	carrying	value	of	loans	and	leases	held	
for	sale	(HFS)	that	are	not	reported	in	items	7	through	9.			
	
	
Loans	and	leases,	net	of	unearned	income	
Line	item	11	 Residential	mortgage	exposures	
Report	the	total	risk‐weighted	asset	amount	of	loans	and	leases,	net	of	unearned	income,	
composed	of	items	related	to	residential	mortgage	exposures,	including	the	carrying	value	
of	the	guaranteed	portion	of	FHA	and	VA	mortgage	loans,	loans	secured	by	1‐4	family	
residential	properties	and	by	multifamily	residential	properties,	as	well	as	loans	that	meet	
the	definition	of	statutory	multifamily	mortgage	according	to	§.2	of	the	revised	regulatory	
capital	rules.			
	
Line	item	12	 High	Volatility	Commercial	Real	Estate	
Report	the	total	risk‐weighted	asset	amount	of	loans	and	leases,	net	of	unearned	income	
that	are	related	to	high	volatility	commercial	real	estate	exposures	(HVCRE),	including	
HVCRE	exposures	that	are	90	days	or	more	past	due	or	on	non‐accrual	status.			
	
Line	item	13	 Past	due	exposures	
Report	the	total	risk‐weighted	asset	amount	of	loans	and	leases,	net	of	unearned	income,	
that	are	90	days	or	more	past	due	or	on	non‐accrual	status	according	to	the	requirements	
set	forth	in	§.32(k)	of	the	revised	regulatory	capital	rules.		Do	not	include	exposures	to	
sovereigns	or	residential	real	estate,	as	described	in	§.32(a)	and	§.32(g)	respectively,	that	
are	past	due	or	on	non‐accrual	status.	Also	do	not	include	HVCRE	exposures	that	are	past	
due	or	on	non‐accrual	status.			
	
Line	item	14	 All	other	exposures	
Report	the	total	risk‐weighted	asset	amount	of	loans	and	leases,	net	of	unearned	income	
that	are	not	reported	in	items	11	through	13.			
	
Line	item	15	 Trading	assets	(excluding	securitizations	that	receive	standardized	
charges)	
If	the	BHC	is	subject	to	the	market	risk	capital	rules,	report	the	total	risk‐weighted	fair	value	
of	trading	assets	that	do	not	meet	the	definition	of	a	covered	position	per	the	market	risk	
capital	rules,	excluding	those	trading	assets	that	do	not	meet	the	definition	of	a	covered	
84 
 

 

position	per	the	market	risk	capital	that	are	securitization	exposures	as	defined	in	§.2	of	the	
regulatory	capital	rules.			
	
If	the	BHC	is	not	subject	to	the	market	risk	capital	rules,	report	the	total	risk‐weighted	fair	
value	of	trading	assets,	excluding	those	trading	assets	that	are	securitization	exposures	as	
defined	in	§.2	of	the	regulatory	capital	rules.			
	
Line	item	16	 All	other	assets	
Include	total	risk‐weighted	amounts	of	items	such	as	“Premises	and	fixed	assets,”	“Other	
real	estate	owned,”	“Investments	in	unconsolidated	subsidiaries	and	associated	companies,”	
“Direct	and	indirect	investments	in	real	estate	ventures,”	“Goodwill,”	“Other	intangible	
assets,”	and	“Other	assets,”	excluding	those	trading	assets	that	are	securitization	exposures	
as	defined	in	§.2	of	the	regulatory	capital	rules.		Also	include	the	total	risk‐weighted	amount	
of	default	fund	contributions	made	by	the	banking	organization	to	central	counterparties	
(CCP)	and	collateral	provided	by	the	banking	organization	to	CCPs	that	is	not	bankruptcy	
remote	as	described	in	§.35	of	the	regulatory	capital	rules.			
	
	
Securitization	exposures	
Line	item	17	 Held‐to‐maturity	
Report	the	total	risk‐weighted	asset	amount	of	amortized	cost	of	held‐to‐maturity	(HTM)	
securities	that	are	securitization	exposures.			
	
Line	item	18	 Available‐for‐sale	
Report	the	total	risk‐weighted	asset	amount	of	available‐for‐sale	(AFS)	securities	that	are	
securitization	exposures.			
	
Line	item	19	 Trading	assets	that	are	securitization	exposures	that	receive	
standardized	charges	
If	the	BHC	is	subject	to	the	market	risk	capital	rules,	report	the	total	risk‐weighted	fair	value	
of	the	portion	of	trading	assets	reported	that	are	securitization	exposures	that	do	not	meet	
the	definition	of	a	covered	position	per	the	market	risk	capital	rules.		
	
If	the	BHC	is	not	subject	to	the	market	risk	capital	rules,	report	the	total	risk‐weighted	fair	
value	of	trading	assets	that	are	securitization	exposures.		
	
Line	item	20	 All	other	on‐balance	sheet	securitization	exposures	
Report	the	total	risk‐weighted	amount	of	any	qualifying	on‐balance	sheet	securitization	
exposures	which	are	not	included	above.			
	
Line	item	21	 Off‐balance	sheet	securitization	exposures	
Consistent	with	the	draft	HC‐R,	part	II	instructions,	report	the	total	risk‐weighted	amount	of	
all	off‐balance	sheet	items	included	in	Schedule	HC‐L	or	HC‐S	that	qualify	as	securitization	
exposures.				
	
	
Derivatives	and	Off‐Balance	Sheet	Items	
Line	item	22	 Derivatives	and	Off‐Balance	Sheet	Items	RWA	
This	item	is	a	shaded	cell	and	is	derived	from	other	items	in	the	schedule;	no	input	required.	
	
Line	item	23	 Financial	standby	letters	of	credit	
Report	the	total	risk‐weighted	amount	of	all	financial	standby	letters	of	credit	that	do	not	
meet	the	definition	of	a	securitization	exposure	as	described	in	§.2	of	the	regulatory	capital	
85 
 

 

rules.				
	
Line	item	24	 Performance	standby	letters	of	credit	and	transaction	related	
contingent	items	
Report	the	total	risk‐weighted	amount	of	transaction	related	contingent	items,	which	
includes	the	face	amount	of	performance	standby	letters	of	credit	and	any	other	transaction	
related	contingent	items	that	do	not	meet	the	definition	of	a	securitization	exposure	as	
described	in	§.2	of	the	regulatory	capital	rules.			
	
Line	item	25	 Commercial	and	similar	letters	of	credit	
Report	the	the	total	risk‐weighted	amounts	of	commercial	and	similar	letters	of	credit,	
including	self‐liquidating,	trade‐related	contingent	items	that	arise	from	the	movement	of	
goods,	with	an	original	maturity	of	one	year	or	less that	do	not	meet	the	definition	of	a	
securitization	exposure	as	described	in	§.2	of	the	regulatory	capital	rules.			
	
Line	item	26	 Retained	recourse	on	small	business	obligations	sold	with	recourse	
Report	the	total	risk‐weighted	amount	of	retained	recourse	on	small	business	obligations 
that	do	not	meet	the	definition	of	a	securitization	exposure	as	described	in	§.2	of	the	
regulatory	capital	rules.		Under	Section	208	of	the	Riegle	Community	Development	and	
Regulatory	Improvement	Act	of	1994,	a	"qualifying	institution"2	that	transfers	small	
business	loans	and	leases	on	personal	property	(small	business	obligations)	with	recourse	
in	a	transaction	that	qualifies	as	a	sale	under	generally	accepted	accounting	principles	
(GAAP)	must	maintain	risk‐based	capital	only	against	the	amount	of	recourse	retained,	
provided	the	institution	establishes	a	recourse	liability	account	that	is	sufficient	under	
GAAP.		Only	loans	and	leases	to	businesses	that	meet	the	criteria	for	a	small	business	
concern	established	by	the	Small	Business	Administration	under	Section	3(c)	of	the	Small	
Business	Act	(12	U.S.C.	631)	are	eligible	for	this	favorable	risk‐based	capital	treatment.		
	
Line	item	27	 Repo‐style	transactions	(excluding	reverse	repos)	
Report	the	total	risk‐weighted	amount	of	repo‐style	transactions,	which	is	composed	of	the	
sum	of	the	amount	of	securities	lent,	the	amount	of	securities	borrowed,	and	the	amount	of	
securities	sold	under	agreements	to	repurchase that	do	not	meet	the	definition	of	a	
securitization	exposure	as	described	in	§.2	of	the	regulatory	capital	rules.		Exclude	the	
amount	of	securities	purchased	under	agreements	to	resell	(i.e.,	reverse	repos).		
	
Line	item	28	 All	other	off‐balance	sheet	liabilities	
Report	the	total	risk‐weighted	amount	of	all	other	off‐balance	sheet	liabilities	that	are	
covered	by	the	regulatory	capital	rules	as	well	as	the	amount	of	those	credit	derivatives	that	
are	covered	by	the	regulatory	capital	rules,	but	do	not	meet	the	definition	of	a	securitization	
exposure	as	described	in	§.2	of	the	regulatory	capital	rules,	and	have	not	been	included	in	
any	of	the	preceding	items	in	the	Derivatives	and	Off‐Balance	Sheet	section.		
	
	
Unused	commitments	
Line	item	29	 Original	maturity	of	one	year	or	less,	excluding	ABCP	conduits	
Report	the	total	risk‐weighted	amount	of	the	unused	portion	of	an	eligible	liquidity	facility	
with	an	original	maturity	of	one	year	or	less,	excluding	ABCP	facilities	that	do	not	meet	the	
                                                            
2

  In general, a "qualifying institution" is one that is well capitalized without regard to the Section 208 provisions. If a bank ceases to
be a qualifying institution or exceeds the retained recourse limit set forth in banking agency regulations implementing Section 208, all
new transfers of small business obligations with recourse would not be treated as sales. However, the reporting and risk-based capital
treatment described above will continue to apply to any transfers of small business obligations with recourse that were consummated
during the time the bank was a "qualifying institution" and did not exceed the limit. 

86 
 

 

definition	of	a	securitization	exposure	as	described	in	§.2	of	the	regulatory	capital	rules.		
The	unused	portion	of	commitments	(facilities)	that	are	unconditionally	cancelable	
(without	cause)	at	any	time	by	the	holding	company	have	a	zero	percent	credit	conversion	
factor.		The	unused	portion	of	such	commitments	should	be	excluded	from	this	item	and	
included	in	line	item	32.		
	
Note	that	“original	maturity”	is	defined	as	the	length	of	time	between	the	date	a	
commitment	is	issued	and	the	date	of	maturity,	or	the	earliest	date	on	which	the	banking	
organization:	(1)	is	scheduled	to,	and	as	a	normal	practice	actually	does,	review	the	facility	
to	determine	whether	or	not	it	should	be	extended	and;	(2)	can	unconditionally	cancel	the	
commitment.			
	
Line	item	30	 Original	maturity	of	one	year	or	less	to	ABCP	
Report	the	total	risk‐weighted	amount	of	the	unused	portion	of	an	eligible	liquidity	facility	
with	an	original	maturity	of	one	year	or	less	to	ABCP	facilities	that	do	not	meet	the	
definition	of	a	securitization	exposure	as	described	in	§.2	of	the	regulatory	capital	rules.		
Under	the	regulatory	capital	rules,	the	unused	portion	of	commitments	(facilities)	which	are	
unconditionally	cancelable	(without	cause)	at	any	time	by	the	banking	organization	have	a	
zero	percent	conversion	factor.		The	unused	portion	of	such	commitments	should	be	
excluded	from	this	item	and	included	in	line	item	32.			
	
Line	item	31	 Unused	commitments:	Original	maturity	exceeding	one	year	
Report	the	total	risk‐weighted	amount	of	the	unused	portion	of	the	eligible	liquidity	facility	
with	an	original	maturity	exceeding	one	year,	are	subject	to	the	risk‐based	capital	rules,	and	
do	not	meet	the	definition	of	a	securitization	exposure	as	described	in	§.2	of	the	regulatory	
capital	rules.		Under	the	regulatory	capital	rules,	the	unused	portion	of	commitments	
(facilities)	which	are	unconditionally	cancelable	(without	cause)	at	any	time	by	the	banking	
organization	have	a	zero	percent	conversion	factor.	The	unused	portion	of	such	
commitments	should	be	excluded	from	this	item	and	included	in	line	item	32.			
	
Line	item	32	 Unconditionally	cancelable	commitment	
Report	the	total	risk‐weighted	amount	unconditionally	cancelable	commitments	that	are	
subject	to	the	regulatory	capital	rules	that	do	not	meet	the	definition	of	a	securitization	
exposure	as	described	in	§.2	of	the	regulatory	capital	rules.		The	unused	portion	of	
commitments	(facilities)	that	are	unconditionally	cancelable	(without	cause)	at	any	time	by	
the	banking	organization	have	a	zero	percent	conversion	factor.		The	unused	portion	of	such	
commitments	should	be	reported	in	this	item.	
	
Line	item	33	 Over‐the‐counter	derivatives	
Report	the	total	risk‐weighted	credit	equivalent	amount	of	over‐the‐counter	derivative	
contracts	covered	by	the	regulatory	capital	rules.		Include	over‐the‐counter	credit	
derivative	contracts	held	for	trading	purposes	and	subject	to	the	market	risk	capital	rules.		
Do	not	include	centrally	cleared	derivative	contracts.		Do	not	include	over‐the‐counter	
credit	derivative	contracts	that	meet	the	definition	of	a	securitization	exposure	as	described	
in	§.2	of	the	regulatory	capital	rules.			
	
Line	item	34	 Centrally	cleared	derivatives	
Report	the	total	risk‐weighted	credit	equivalent	amount	of	centrally	cleared	derivative	
contracts	covered	by	the	regulatory	capital	rules.		Include	centrally	cleared	credit	derivative	
contracts	held	for	trading	purposes	and	subject	to	the	market	risk	capital	rules.		Do	not	
include	over‐the‐counter	derivative	contracts.		Do	not	include	centrally	cleared	derivative	
contracts	that	meet	the	definition	of	a	securitization	exposure	as	described	in	§.2	of	the	
regulatory	capital	rules.	 
T	
87 
 

 

	
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	35	to	54,	refer	to	instructions	for	items	37	to	56,	respectively,	for	market	risk	
under	Advanced	RWA	worksheet.	
 
 

Other  
Line	item	55	 Excess	allowance	for	loan	and	lease	losses	
Report	the	amount	(report	as	positive	value),	if	any,	by	which	the	banking	organization’s	
allowance	for	loan	and	lease	losses	exceeds	1.25%	of	the	banking	organization’s	gross	risk‐
weighted	assets.			
 

Line	item	56	 Allocated	transfer	risk	reserve	
Report	the	entire	amount	(report	as	positive	value)	of	any	allocated	transfer	risk	serve	
(ATRR)	the	reporting	banking	organization	is	required	to	establish	and	maintain	as	
specified	in	Section	905(a)	of	the	International	Lending	Supervision	Act	of	1983,	in	the	
agency	regulations	implementing	the	Act	(Subpart	D	of	Federal	Reserve	Regulation	K,	Part	
347	of	the	FDIC's	Rules	and	Regulations,	and	12	CFR	Part	28,	Subpart	C	(OCC)),	and	in	any	
guidelines,	letters,	or	instructions	issued	by	the	agencies.		The	entire	amount	of	the	ATRR	
equals	the	ATRR	related	to	loans	and	leases	held	for	investment	(which	is	reported	in	
Schedule	RI‐B,	part	II,	Memorandum	item	1)	plus	the	ATRR	for	assets	other	than	loans	and	
leases	held	for	investment.	
	
Line	item	57	 Total	Risk‐Weighted	Assets	
This	item	is	a	shaded	cell	and	is	derived	from	other	items	in	the	schedule;	no	input	required.	

 

 

Line	item	58	 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.	
	
	

88 
 

 

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	‐	24).	
	
The	exposure	measure	for	the	tier	1	leverage	ratio	is	based	upon	methodology	in	the	
revised	regulatory	capital	rule.	The	exposure	measure	for	the	supplementary	leverage	ratio	
has	been	revised	from	the	2014	CCAR	instructions	to	reflect	the	changes	to	the	definition	of	
leverage	exposure,	per	the	final	rule	on	the	Supplementary	Leverage	Ratio	issued	by	the	
banking	agencies	on	September	3,	2014.3		The	final	rule	modifies	“leverage	exposure,”	
which	is	the	denominator	calculation	for	the	supplementary	leverage	ratio,	in	a	manner	
consistent	with	recent	changes	agreed	to	by	the	Basel	Committee	on	Banking	Supervision.		
The	revisions	in	the	final	rule	would	apply	to	all	advanced	approaches	banking	
organizations.			
	
Consistent	with	the	final	rule,	an	advanced	approaches	banking	organization	should	
calculate	its	supplementary	leverage	ratio	as	the	ratio	of	its	tier	1	capital	to	total	leverage	
exposure.		The proposed rule would have required banking organizations to use daily

averages to calculate both on- and off-balance sheet items in total leverage exposure.
However, under the final rule, institutions are required to calculate total leverage
exposure as the mean of the on-balance sheet assets calculated as of each day of the
reporting quarter, plus the mean of the off-balance sheet exposures calculated as of the
last day of each of the most recent three months, minus the applicable deductions under
the 2013 revised capital rule.		For	purposes	of	calculating	projections	for	the	
supplementary	leverage	ratio	denominator,	BHCs	that	are	unable	to	calculate	averages	
based	on	the	averages	of	daily	or	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	consolidated	assets	 	
Report	average	total	on‐balance	sheet	assets	as	reported	in	the	FR	Y‐9C,	Schedule	HC‐K,	
item	5.	
	
Line	item	2	 LESS:	Deductions	from	Common	Equity	Tier	1	and	Additional	Tier	1	
Capital	(report	as	a	positive	number)	
Regulatory	deductions	from	common	equity	tier	1	and	additional	tier	1	capital.	Deductions	
should	be	calculated	as	defined	in	the	FR	Y‐9C,	Schedule	HC‐R,	Part	I.B.,	item	37.			
	
Line	item	3	 LESS:	Other	Deductions	from	(Additions	to)	Assets	for	Leverage	Ratio	
Purposes	(report	as	a	positive	number)	
Other	deductions	from	or	additions	to	assets	for	purposes	of	the	leverage	ratio	as	defined	in	
the	FR	Y‐9C,	Schedule	HC‐R,	Part	I.B.,	item	38.	
	
Line	item	4	 Total	Assets	for	the	Leverage	Ratio	(item	1	less	the	sum	of	items	2	and	
3)	
This	item	is	a	shaded	cell	and	is	derived	from	other	items	in	the	schedule;	no	input	required.	
	
                                                            
3	See	http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20140903b1.pdf.	

89 
 

 

	
Leverage	Exposure	for	Supplementary	Leverage	Ratio	(applicable	to	advanced	
approaches	BHCs	only)	
Refer	to	section	217.10(c)(4)(ii)(A)	of	the	final	rule.	
		
Line	item	5	 On‐Balance	Sheet	Assets	(excluding	on‐balance	sheet	assets	for	repo‐
style	transactions	and	derivative	exposures,	but	including	cash	collateral	received	in	
derivative	transactions)	
On‐balance	sheet	assets	(excluding	on‐balance	sheet	assets	for	repo‐style	transactions	and	
derivative	exposures,	but	including	cash	collateral	received	in	derivative	transactions).			

	

Line	item	6	 LESS:	Deductions	from	common	equity	tier	1	capital	and	additional	tier	
1	capital	(report	as	a	positive	number)	
Regulatory	deductions	from	common	equity	tier	1	and	additional	tier	1	capital,	as	applicable	
to	advanced‐approaches	BHCs	per	the	revised	capital	rules	under	section	217.22(a),(c),	and	
(d).	
			
Line	item	7	 Total	On‐Balance	Sheet	Exposures	(excluding	on‐balance	sheet	assets	
for	repo‐style	transactions	and	derivative	exposures,	but	including	cash	collateral	
received	in	derivative	transactions)		(item	5	less	item	6)	
This	item	is	a	shaded	cell	and	is	derived	from	other	items	in	the	schedule;	no	input	required.	

	
	

Derivative	exposures	
Refer	to	sections	217.10(c)(4)(ii)	(B),	(C),	(D),	or	(I)	of	the	final	rule	as	appropriate.	
	
Line	item	8	 Replacement	cost	for	derivative	exposures	(net	of	cash	variation	
margin).	
eport	the	total	amount	of	the	replacement	cost	for	all	derivative	exposures,	generally	
consistent	with	the	US	GAAP	balance	sheet	numbers,	and	adjusted	for	cash	variation	margin	
that	does	not	meet	the	criteriadescribed	in	section	217.10	(c)(4)(ii)(C)	of	the	final	rule.	
	
Line	item	9	 Add‐on	amounts	for	potential	future	exposure	(PFE)	for	derivatives	
exposures	
Report	the	total	amount	of	PFE	for	each	derivative	contract,	including	for	cleared	
transactions	except	as	provided	in	section	217.10	(c)(4)(ii)(I)	of	the	final	rule,	to	which	the	
banking	organization	is	a	counterparty	(or	each	single‐product	netting	set	of	such	
transactions),	as	described	in	section	34	of	the	revised	regulatory	capital	rule,	but	without	
regard	to	section	217.34(b).		Specifically,	a	banking	organization	may	not	use	cash	variation	
margin	to	reduce	the	net	current	credit	exposure	or	the	gross	current	credit	exposure	in	
calculation	of	the	net‐to‐gross	ratio.	
	
Line	item	10	 Gross‐up	for	cash	collateral	posted	if	deducted	from	the	on‐balance	
sheet	assets,	except	for	cash	variation	margin	
Report	cash	collateral	posted	to	a	counterparty	in	a	derivative	transaction	if	a	banking	
organization	offsets	a	negative	mark‐to‐fair	value	of	a	derivative	contract	by	the	amount	of	
cash	collateral	posted	to	the	counterparty	and	does	not	include	such	cash	collateral	in	its	
on‐balance	sheet	assets	(as	permitted	under	the	GAAP	offset	option),	but	the	posted	cash	
collateral	does	not	meet	the	final	rule’s	requirements	for	cash	variation	margin.			
	
Line	item	11	 LESS:	Deductions	of	receivable	assets	for	cash	variation	margin	posted	
in	derivatives	transactions,	if	included	in	on‐balance	sheet	assets	(report	as	a	positive	
value)		
Report	the	value	of	cash	collateral	that	is	posted	to	a	counterparty	to	a	derivative	contract	
90 
 

 

and	that	has	been	included	on	the	banking	organization’s	balance	sheet	as	a	receivable	if	the	
posted	cash	collateral	satisfies	the	requirements	described	in	section	217.10	(c)(4)(ii)(C)	of	
the	final	rule.		If	not	applicable,	report	zero.			
	
Line	item	12	 LESS:	Exempted	CCP	leg	of	client‐cleared	transactions	(report	as	a	
positive	value)		
A	clearing	member	banking	organization	that	does	not	guarantee	the	performance	of	a	CCP	
with	respect	to	a	transaction	cleared	on	behalf	of	a	clearing	member	client	may	exclude	its	
exposure	to	the	CCP	for	purposes	of	determining	its	total	leverage	exposure	(if	such	
exposure	is	included	in	the	on‐balance	sheet	items).			
	
A	clearing	member	banking	organization	that	guarantees	the	performance	of	a	CCP	with	
respect	to	a	transaction	cleared	on	behalf	of	a	clearing	member	client	must	treat	its	
exposure	to	the	CCP	as	a	derivative	contract	for	purposes	of	determining	its	total	leverage	
exposure.			
	
Line	item	13	 Effective	notional	principal	amount	of	sold	credit	protection		
The	effective	notional	principal	amount	(that	is,	the	apparent	or	stated	notional	principal	
amount	multiplied	by	any	multiplier	in	the	derivative	contract)	of	a	credit	derivative,	or	
other	similar	instrument,	through	which	the	banking	organization	provides	credit	
protection	(for	example,	credit	default	swaps	or	total	return	swaps	that	reference	
instruments	with	credit	risk,	such	as	a	bond).			
	
Line	item	14	 LESS:	Effective	notional	principal	amount	offsets	and	PFE	adjustments	
for	sold	credit	protection	(report	as	a	positive	value)		
A	banking	organization	may	reduce	the	effective	notional	principal	amount	of	sold	credit	
protection	by	a	reduction	in	the	mark‐to‐fair	value	of	the	sold	credit	protection	if	the	
reduction	is	recognized	in	common	equity	tier	1	capital.			
	
A	banking	organization	may	further	reduce	the	effective	notional	principal	amount	of	sold	
credit	protection	by	the	effective	notional	principal	amount	of	a	credit	derivative	or	similar	
instrument	through	which	the	banking	organization	has	purchased	credit	protection	from	a	
third	party	(purchased	credit	protection)	if	the	requirements	of	section	217.10	(c)(4)(ii)(D)	
of	the	final	rule	are	satisfied.		When	a	banking	organization	reduces	the	effective	notional	
principal	amount	of	sold	credit	protection	by	purchased	credit	protection	in	accordance	
with	this	section,	the	banking	organization	must	reduce	the	effective	notional	principal	
amount	of	purchased	credit	protection	by	the	amount	of	any	increase	in	the	mark‐to‐fair	
value	of	the	purchased	credit	protection	that	is	recognized	in	common	equity	tier	1	capital.			
	
If	a	banking	organization	purchases	credit	protection	through	a	total	return	swap	and	
records	the	net	payments	received	as	net	income	but	does	not	record	offsetting	
deterioration	in	the	mark‐to‐fair	value	of	the	sold	credit	protection	on	the	reference	
exposure	(either	through	reductions	in	fair	value	or	by	additions	to	reserves)	in	common	
equity	tier	1	capital,	the	banking	organization	may	not	reduce	the	effective	notional	
principal	amount	of	the	sold	credit	protection.	
	
A	banking	organization	may	also	adjust	PFE	for	sold	credit	protection	as	described	in	
section	217.10	(c)(4)(ii)(B)	of	the	final	rule,	to	avoid	double‐counting	of	the	notional	
amounts	of	these	exposures.			
	
Line	item	15	 Total	derivative	exposures	(sum	of	items	8,	9,	10,	and	13,	minus	items	
11,	12,	and	14)	
This	item	is	a	shaded	cell	and	is	derived	from	other	items	in	the	schedule;	no	input	required.	
	
91 
 

 

	
Repo‐style	transactions	
Refer	to	sections	(c)(4)(ii)	(E),	(F),	or	(G)	of	the	final	rule	as	appropriate.	
	
Line	item	16	 On‐balance	sheet	assets	for	repo‐style	transactions	
Report	the	on‐balance	sheet	assets	for	repo‐style	transactions,	except	include	the	gross	
value	of	receivables	for	reverse	repurchase	transactions.		Exclude	from	this	item	the	value	
of	securities	received	in	a	security‐for‐security	repo‐style	transaction	where	the	securities	
lender	has	not	sold	or	re‐hypothecated	the	securities	received.		Include	in	this	item	the	
value	of	securities	sold	under	a	repo‐style	arrangement.	
	
Line	item	17	 LESS:	Reduction	of	the	gross	value	of	receivables	in	reverse	repurchase	
transactions	by	cash	payables	in	repurchase	transactions	under	netting	agreements	
(report	as	a	positive	value)	
Where	a	banking	organization	acting	as	a	principal	has	more	than	one	repo‐style	
transaction	with	the	same	counterparty	and	has	applied	the	GAAP	offset	for	repo‐style	
transactions,	report	the	reduction	of	the	gross	value	of	receivables	in	reverse	repurchase	
transactions	if	the	criteria	in	section	217.10(c)(4)(ii)(E),	(1)	through	(3)	of	the	final	rule	are	
satisfied.	
	
Line	item	18	 Counterparty	credit	risk	for	all	repo‐style	transactions	
To	determine	the	counterparty	exposure	for	a	repo‐style	transaction,	including	a	
transaction	in	which	a	banking	organization	acts	as	an	agent	for	a	customer	and	indemnifies	
the	customer	against	loss,	the	banking	organization	would	subtract	the	fair	value	of	the	
instruments,	gold,	and	cash	received	from	a	counterparty	from	the	fair	value	of	any	
instruments,	gold	and	cash	lent	to	the	counterparty.		If	the	resulting	amount	is	greater	than	
zero,	it	would	be	included	in	total	leverage	exposure.		For	repo‐style	transactions	that	are	
not	subject	to	a	qualifying	master	netting	agreement	or	that	are	not	cleared	transactions,	
the	counterparty	exposure	measure	must	be	calculated	on	a	transaction‐by‐transaction	
basis.		However,	if	a	qualifying	master	netting	agreement	is	in	place,	or	the	transaction	is	a	
cleared	transaction,	the	banking	organization	could	net	the	total	fair	value	of	instruments,	
gold,	and	cash	lent	to	a	counterparty	against	the	total	fair	value	of	instruments,	gold	and	
cash	received	from	the	counterparty	for	those	transactions.	
	
Line	item	19	 Exposure	for	repo‐style	transactions	where	a	banking	organization	
acts	as	an	agent	
Where	a	banking	organization	acts	as	agent	for	a	repo‐style	transaction	and	provides	a	
guarantee	(indemnity)	to	a	customer	with	regard	to	the	performance	of	the	customer’s	
counterparty	that	is	greater	than	the	difference	between	the	fair	value	of	the	security	or	
cash	lent	and	the	fair	value	of	the	security	or	cash	borrowed,	the	banking	organization	must	
include	the	amount	of	the	guarantee	that	is	greater	than	this	difference.		Include	both	on	
and	off‐balance	sheet	repos	in	this	line.			
	
Line	item	20	 Total	exposures	for	repo‐style	transactions	(sum	of	items	16,	18,	and	
19	minus	item	17)	
This	item	is	a	shaded	cell	and	is	derived	from	other	items	in	the	schedule;	no	input	required.	
	
Other	off‐balance	sheet	exposures	
Refer	to	section	(c)(4)(ii)	(H)	of	the	final	rule.	
	
Line	item	21	 Off‐balance	sheet	exposures	at	gross	notional	amounts	
The	notional	amount	of	all	off‐balance	sheet	exposures	(excluding	off‐balance	sheet	
exposures	associated	with	securities	lending,	securities	borrowing,	reverse	repurchase	
transactions,	and	derivatives).	
92 
 

 

	
Line	item	22	 LESS:	Adjustments	for	conversion	to	credit	equivalent	amounts	(report	
as	a	positive	value)	
The	final	rule	retains	the	10	percent	CCF	for	unconditionally	cancellable	commitments,	but	
it	would	replace	the	uniform	100	percent	CCF	for	other	off‐balance	sheet	items	with	the	
CCFs	applicable	under	the	standardized	approach	for	risk‐weighted	assets	in	section	217.33	
of	the	revised	regulatory	capital	rule.			
	
Line	item	23	 Off‐balance	sheet	exposures	(item	21	less	item	22)	
This	item	is	a	shaded	cell	and	is	derived	from	other	items	in	the	schedule;	no	input	required.	
	
Line	item	24	 Total	Leverage	Exposure	(sum	of	items	7,	15,	20	and	23)	
This	item	is	a	shaded	cell	and	is	derived	from	other	items	in	the	schedule;	no	input	required.	
	
Data	Completeness	Check	
	
Line	item	25	 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	26	 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.	
	
	

	

93 
 

 

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	
RWA_Standardized	
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	 Report	the	actual	impact	of	planned	action	on	the	applicable	
category	in	$	millions.			
For	each	planned	action	please	input	the	actual	dollar	amount	impact	on	tier	1	common,	
tier	1	capital,	risk‐weighted	assets,	average	total	assets,	leverage	exposures,	and	the	firm's	
balance	sheet	based	on	progress	made	on	the	action	in	the	past	quarter.		In	a	separate	
attachment,	please	provide	additional	information	to	describe	the	progress	made	on	each	
planned	action	during	the	reporting	quarter.	
	
94 
 

 

Columns	M‐N	
Where	applicable,	please	provide	supporting	documentation	and	addition	comments.		
	

 

	

95 
 

 

Schedule	E—Operational	Risk	
	
General	Instructions	
Each	quarter	an	institution	must	submit	the	Operational	Loss	History	and	Legal	Reserve	
Frequency	data	files.	In	addition	to	the	Loss	Reference	Number,	please	include	a	unique	
identifier	for	each	row	of	data	in	the	firm’s	FR‐Y14Q	data	submission	in	section	E.1.	Also	
include	a	unique	identifier	for	each	row	of	data	in	the	firm’s	FR‐Y14Q	submission	in	Section	
E.8.		Unique	identifiers in	Section	E.1	and	Section	E.8	should	remain	constant	with	the	
specified	row	of	data	in	subsequent	submissions,	and	become	a	permanent	element	of	the	
data	for	those	schedules.		
 
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	loss	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	loss	
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	reporting	field	conforms	to	the	
instructions	in	the	Operational	Loss	Data	Collection	Schedule	in	Section	E.1.

96 
 

 

Section E.1. Operational Loss Data Collection Schedule
	

Field	
Reference	
A	
AB	

	
Field	Name	

	

Report	the	unique	identifier	for	each	row	of	data	in	the	institution’s	FR‐Y14Q	data	
submission	for	Section	E.1.		The	unique	identifier	should	remain	constant	with	the	
specified	row	of	data	in	subsequent	submissions,	and	become	a	permanent	element	of	the	
d
Th
i
id ifi
h ld
i l d
hi
b
i l
Report	the	unique	institution‐established	identifier	assigned	to	each	loss	event.	The	
reference	number	should	not	include	any	white	spaces,	tabs,	or	special	characters.	

Section	E.1	
Unique	
Identifier	
Reference	
Number	

BC	

Capture	
Date	

Description	

A	
A	
Date	
MM/DD/YYYY

CD	

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.”	

DE	

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

EF	

Accounting	
Date	

FG	

Applicable	
Loss	Data	
Collection	
Threshold	

								H	

Date
MM/DD/YYYY

Date
Report	the	date	that	the	financial	impact	of	the	operational	loss	event	was	recorded	on	the	
institution's	financial	statements.	Generally,	the	loss	event’s	accounting	date	should	not	be	 MM/DD/YYYY
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
Report	the	institution‐established	loss	data	collection	threshold	that	was	applicable	to	the	
respective	business	line/function	and	in	effect	at	the	time	the	loss	event	was	captured.	

Gross	Loss	
Amount	
($USD)	
	

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.	
97 

 

Format	
N:Numeric	
C:	Character	
A:Alphanumeric

N

 

	

Field	
Reference	

	
Field	Name	

	

Description	
Also,	 the	following types of events should not be	included	in	the	gross loss amount
or	the	institution’s	completed	Schedule:	

	
	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.	
	
Cannot	be	reported	as	a	negative	value.	
98 
 

Format	
N:Numeric	
C:	Character	
A:Alphanumeric

 

	

Field	
Reference	

	
Field	Name	

HI	

Recovery	
Amount	
($USD)	

IJ	

Basel	
Event‐Type	
Category:		
Level	1	

JK	

Basel	
Event‐Type	
Category:		
Level	2	

KL	

Basel	
Business	Line	
Level	1	

L
M	

Basel	
Business	Line	
Level	2	

	

Description	
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:	
•	 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.	

N

A	

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.a	(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.	

N	

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.

N

99 
 

Format	
N:Numeric	
C:	Character	
A:Alphanumeric

N	

 

	

Field	
Reference	

	
Field	Name	

MN	

Internal	
Business	Line	
or	Corporate	
Function	

NO	

Acquired	or	
Merged	
Entities	

OP	

PQ	

QR	

	

Description	
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	Section	E.2	
(‘Internal	Business	Line’).	

N

If	the	loss	event being reported originated from an acquired	or	merged entity, then
C	
include	the	name	of	the	respective	acquired	or	merged	entity	in	this	field.	If	not,	then	
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
Is	Loss	Event	
C
Included	in	the	 “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.	
Institution’s	
	
Most	Recently	
If	the	institution	does	not	estimate	operational	risk	using	a	statistical	model,	enter	"N/A"	
Reported	
for	this	field.	
Operational	
Risk	Capital	
Estimate?	
The	Unit‐of‐Measure	(UOM),	established	by	the	institution,	to	which	the	loss	has	been	
Unit	of		
N	
assigned	for	regulatory	and/or	economic	capital	calculation	purposes.	It	is	the	level	at	
Measure	
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	
Section	E.3	(‘Unit‐of‐Measure’).
For	all	operational loss events with gross loss amounts	greater	than	or	equal	to	$250	
Detailed	
C
Description	of	 thousand,	include	a	detailed	description	of	the	loss	event.	Generally,	the	"short‐form"	
descriptions	captured	in	an	institutions'	internal	loss	database	should	suffice.	
Loss	Event	
(required	for	
events	>	
$250k)	
100 

 

Format	
N:Numeric	
C:	Character	
A:Alphanumeric

 
 
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	Safety	
 	
		

ET4
  
  

  
  

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	

ET73	

Customer	Intake	and	Documentation	

ET74	

Customer/Client	Account	Management	

ET75	

Trade	Counterparties	

ET76	

Vendors	&	Suppliers	

ET00	

Not	Applicable	

ET7
  

		
Clients,	Products	&	Business	
Practices 
 	

Level	2	Event‐Type	Categories	

		
Execution,	Delivery	and	Process	
Management	
 	
  

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

101 
 

 
Management	

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

Level	2	Business	Lines	

Code	

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	

Trading	&	Sales	

BL3	

Retail	Banking	
	
	

BL32	

	

BL33	
	
	

BL4	

	
	

Commercial	
Banking	

	
	

BL41	

Private	Banking	
Card	Services	

	

Commercial	Banking	

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	

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	

Asset	Management	

Retail	Brokerage	

	
BL9	

Corporate	Level	
–	Non‐	Business	
Line	Specific	

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

 

102 
 

Activity	Groups	

Name	

Name	

BL2	

	

 
E.2.		Internal	Business	Line	
	
	
Field	Name	
Internal	
Business	Line	
Code	
Internal	
Business	Line	
Name	
Internal	Business	
Line	Description	

Description	

Format
N:	Numeric	
C:	Character	

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

N

Report	the	name of the Internal Business Line.

C

Provide	a	brief	description of the Internal Business Line.	

C

	
E.3.		Unit‐of‐Measure	(UOM)	
	
	
Field	Name	

Description	

Format
N:	Numeric	

C:	Character	

UOM	Code	 Report	the	unique	numeric code assigned to the respective Unit‐	
of‐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
	
E.4.		Threshold	Information	
	
	
Field	Name	
Collection	
Threshold(s)	
Applicable	
Internal	
Business	
Line(s)	
Effective	
Time	
Period	of	
Collection	
Threshold	
(FROM)	
Effective	
Time	
Period	of	
Collection	
Threshold	
(TO)	
Comments	

	

Description	

N
C
C

Format
N:	Numeric	

C:	Character	

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.		

C

 
E.5—Legal	Reserves	Frequency	
	
Report	the	total	number	of	outstanding/pending	legal	events	by	Business	Line	and	Event	
Type	for	which	a	legal	reserve(s)	has	been	established	in	accordance	with	the	following	
103 
 

 
instructions.	
	
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	Business	
Line	and	Event	Type	in	accordance	with	the	following	instructions.		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	E.5.		For	
illustrative	purposes,	an	example	of	a	Legal	Reserves	Frequency	Schedule	is	provided	in	
Reference	Table	E.5.a.

104 
 

 

SSection E.5.  Legal Reserves Frequency Schedule 
	

Field	
Reference	

	

Field	Name	

Description	

A	

Quarter	

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

C	

B	

Year	

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

N

C	

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	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.	

C

D	

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.	

C

E	

Number	of	
Report	the	number	of	outstanding/pending	
Outstanding/Pending	 legal	events.	
Legal	Events	

105 
 

Format
N:	Numeric	C:	
Character	

N	

 
RReference Table E.5.a: Example of a Completed Legal Reserves Frequency Schedule 
	(for	illustrative	purposes	only)	
	
	
	

	
	

Quarter	

Year	

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	

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	

	
	
	
 
 

 

106 
 

 

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	short‐
term	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	tax‐
oriented	investments,	e.g.	wind	farms.		
	
	
	
	
	
B.	General	Instructions:	

	

	

	

	

	

	

	

	

Please	see	the	Regional	Groupings	worksheet	for	definitions	of	country/currency	
categorizations.	
Credit	Valuation	Adjustments	(CVA)	should	NOT	be	included	in	this	schedule,	while	
CVA	hedges	should	be	reported	separately	in	its	own	FR	Y‐14Q	Trading	schedule..	
	
	
	
	
	
	
	
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.		
107 
 

	
	

 
See	sheet‐specific	instructions	around	acceptable	ranges.	

	

	

	

	

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.	 	
	
	
	

	

	

	

	

	

	

	

108 
 

	

 
Glossary	

	

 
API	2:	

API	4:	

ARS:	
bp:	
Carry	Value:	
CDS:	

CER:	
CMO:	

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

GICS:	
HY:	

The	benchmark	price	reference	for	coal	imported	into	northwest	Europe.	It	is	
calculated	as	an	average	of	the	Argus	cost‐insurance‐freight	(cif),	Antwerp‐
Rotterdam‐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.	
109 

 

 
IG:	
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:	
 

Investment	Grade	‐ Bonds	that	are	rated	BBB	or	above.
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,	quasi‐
governmental,	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).	
 

110 
 

 
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

 
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 

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

 
 
 

 
 
 
 
 
 
 
 
 

 
 
 
 
111 

 

Currency
ALL
BYR

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

112 
 

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 

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

 
Zimbabwe 

USD 

113 
 

 
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.	
	

114 
 

 
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: 
  
  
Table 3: 
  
  
Spot Shock: ‐30%,  
Spot Shock: 0% 
  
Spot Shock: ‐30% 
  
Vol Shock: +10 pts 
Implied 
Implied 
Implied 
Strike 
Vol 
  
Strike 
Vol 
  
Strike 
Vol 
  
700 
32 
  
700 
32 
  
700 
42 
  
800 
27 
  
800 
27 
  
800 
37 
  
900 
23 
  
900 
23 
  
900 
33 
  
1000 
20 
  
1000 
20 
  
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%.   
	
 

115 
 

	

 
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.	 	
	
	
	

	

116 
 

 
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.	
	
	
	

	

	

	

	

	

	

	

117 
 

	

	

 
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.	
	
	

	

118 
 

	

 
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	
119 
 

 
government	exposures	would	be	summed	with	other	types	of	rates	exposures	and	entered	in	
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.	 	
	
	

	

120 
 

 
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.	 	
	
	
	
	
	
	
	
	
	
	
	
	
	

	

121 
 

 
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.	
	

	

122 
 

	

 
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.	
	

	

123 
 

 
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.	
	

	

124 
 

 
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.	
	

	

125 
 

 
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.	
	
	

	

126 
 

 
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%.	
	
	
	
127 
 

	

 
	
	
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.	
	
	
	
	
	

128 
 

 
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.		For	CLO	Warehouse	exposures,	the	traded	amount	should	be	reported.	
	
The	Total	Protection	column	should	contain	the	total	first	loss	protection	that	is	applicable	to	the	
firm’s	warehouse	exposures.	The	reported	first	loss	protection	can	be	in	the	form	of	cash	or	assets.	
	
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.	
	
	
	

129 
 

 
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.	
	
	
	
	
	
	
	
	
	
	
	
	
	
	

	

130 
 

	

 
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.					
	
	
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.	 	
	
	
	
	
	
	
	

	

131 
 

	

 
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.	 	
	

	

132 
 

	

	

 
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	 | ”.
268 
 

 

L.5.2—SFT	assets	posted	and	received	by	consolidated/parent	counterparty 

Line item Instructions
Report the information required by each column for all CCPs, G-7 sovereign countries, and the top 25
counterparties that are not CCPs or G-7 sovereign countries. For the submission of data from the three quarters
that are not the as-of quarter for CCAR, the top 25 non-CCP and non-G-7 counterparties should be reported as
ranked by the respondents’ internally defined stress metric(s). Supporting documentation must be submitted that
describes the internal stress metric(s) in detail. For the submission of data from the as-of quarter for CCAR, the
top 25 non-CCP and non-G-7 counterparties should be reported as ranked by Stressed Net CE of the
parent/consolidated counterparty under both the the supervisory severely adverse scenario and the supervisory
adverse scenario. The top 25 counterparties as ranked by Stressed Net CE under the supervisory adverse scenario
must be reported on sub-schedule L.5.2.a; however, if a top 25 counterparty under the adverse scenario is also a
top 25 counterparty under the severely adverse scenario, only the identifying information and rank of the
counterparty is required to be reported on sub-schedule L.5.2.a.

Information must be reported for each consolidated counterparty organization as reported in subschedule L.5.1.

Column Instructions
 
Rank
The rank of the consolidated/parent counterparty as ordered according to the instructions above. For CCPs,
specify rank as “CCP”; for G-7 sovereigns, specify rank as “G7”.
Counterparty Name (consolidated organization)
The name of the consolidated organization that is either a CCP, G-7 sovereign country, or one of the top 25
counterparties.
Parent/Consolidated Entity Counterparty ID
A unique identifier(for example, alphanumeric) assigned to the counterparty reported in the Counterparty Name
column. The counterparty ID must be unique and consistent across sub-schedules in this schedule.
Asset	Categories	
	
Posted: the aggregate mark-to-market value of the asset category/sub-category posted to a parent/consolidated
counterparty as part of a securities lending/borrowing or repurchase/reverse repurchase agreement. Include
situations in which the firm is acting as a principal or on behalf of a client for which lender indemnification has
been provided against the borrower’s default. For each FR stress scenario, report the sum of the posted values for
those netting sets that are “in the money”, i.e. for those netting sets for which the net (stressed) exposure (i.e.
exposure net of collateral) is positive under that scenario.
Received: the aggregate mark-to-market value of the asset category/sub-category received from a
parent/consolidated counterparty as part of a securities lending/borrowing or repurchase/reverse repurchase
agreement. Include situations in which the firm is acting as a principal or on behalf of a client for which lender
indemnification has been provided against the borrower’s default. For each FR stress scenario report the sum of
the received values for those netting sets that are “in the money”, i.e. for those netting sets for which the net
(stressed) exposure (i.e. exposure net of collateral) is positive under that scenario.
Central Debt
his category includes debt obligations issued by a sovereign entity or a government-sponsored enterprise (G.S.E.).
This category does not include inflation-indexed securities.
269 
 

 

Equity
his category includes publicly traded and privately issued equity securities.
Corporate Bonds – Advanced Economies
This category includes all debt obligations issued by any public or private entity that is not backed by the full faith
and credit of a single sovereign country; specifically it includes supranationals. This category does not include
commercial paper. The issuing entity must be domiciled in a sovereign that is defined as an advanced economy in
the instructions for schedule F.
Corporate Bonds – Other Economies
This category includes all debt obligations issued by any public or private entity that is not backed by the full faith
and credit of a single sovereign country; specifically, it includes supranationals. This category does not include
commercial paper. The issuing entity must be domiciled in a sovereign that is not an advanced economy as
defined in the instructions for schedule F.
	
Exchange-Traded Funds
This category includes equity shares of exchange-traded investment funds (ETFs).
U.S. Agency MBS/CMBS
his category includes mortgage-backed securities (MBS) and commercial mortgage-backed securities (CMBS)
issued by U.S. government agencies and U.S. government-sponsored enterprises (GSEs), as defined in the FR Y9C.
Non-Agency RMBS/ABS/CMBS
This category includes residential mortgage-backed securities (RMBS), asset-backed securities (ABS), and
CMBS issued by an entity other than U.S. government agencies or U.S. GSEs.
Cash
This category includes cash in USD equivalent.
Other
This category includes all asset types that are not reported in the other defined asset categories. For the amount
reported in Other, supporting documentation must be submitted that provides details of each of the asset types
within the sub-category.
L.5.3—	Aggregate	SFTs	by	Internal	Rating 

Line Item Instructions
Line Item Instructions
Information must be reported for all counterparties as grouped by internal rating, one line of information for each
internal rating.

Column Instructions (Asset Categories)
US Treasury & Agency
his category includes all U.S. Treasury securities, obligations issued by U.S. government agencies, and
obligations issued by U.S. government-sponsored enterprises (GSEs)( as defined in the FR Y-9C.
Agency MBS
This category includes mortgage-backed securities issued by a U.S. government agency as defined above.
Equities
270 
 

 

This category includes publicly traded and privately issued equity securities.
Corporate Bonds
his category includes all debt obligations issued by any public or private entity that is not backed by the full faith
and credit of a single sovereign country; specifically, it includes supranationals.
Non-Agency (ABS, RMBS)
This category includes asset-backed securities and residential mortgage-backed securities not issued by a U.S.
government agency as defined above.
Sovereigns
This category includes debt issued by any sovereign state or organization backed by the full faith and credit of a
sovereign state other than debt issued by the U.S. Treasury or any U.S. Agency.
Other
This category includes any asset not defined in any of the above asset categories (US Treasury, Agency MBS,
Equities, Corporate Bonds, Non-Agency (ABS, RMBS), and Sovereigns) and excludes cash.
Cash
This category includes currency to be reported in U.S. dollar amount.
L.6—	Derivative	Profile	by	Counterparty	and	Aggregate	
 
L.6.1—	Aggregate	derivative	information	by	counterparty	legal	entity	and	netting	set 

Line item Instructions 	
Report the information required by each column for all CCPs, G-7 sovereign countries, and the top 25
counterparties that are not CCPs or G-7 sovereign countries. For the submission of data from the three quarter that
are not the as-of quarter for CCAR, the top 25 non-CCP and non-G-7 counterparties should be reported as ranked
by the respondents’ internally defined stress metric(s). Supporting documentation must be submitted that
describes the internal stress metric(s) in detail. For the submission of data from the as-of quarter for CCAR, the
top 25 non-CCP and non-G-7 counterparties should be reported as ranked by Stressed Net CE of the
parent/consolidated counterparty under both the the supervisory severely adverse scenario and the supervisory
adverse scenario. The top 25 counterparties as ranked by Stressed Net CE under the supervisory adverse scenario
must be reported on table L.6.1.a; however, if a top 25 counterparty under the adverse scenario is also a top 25
counterparty under the severely adverse scenario, only the identifying information and rank of the counterparty is
required to be reported on table L.6.1.a.
Information must be reported for each netting set held with a legal entity of a consolidated counterparty
organization. For example, if a counterparty has two subsidiaries, and two netting sets have been executed with
the first subsidiary and one netting set with the second subsidiary, then three lines of information would be
reported for that counterparty.

Column Instructions
 
Rank
The rank of the consolidated/parent counterparty as ordered according to the instructions above. For CCPs,
specify rank as “CCP”; for G-7 sovereigns, specify rank as “G7”.
Counterparty Name (consolidated organization)
The name of the consolidated organization that is either a CCP, G-7 sovereign country, or one of the top 25
counterparties.
Parent/Consolidated Entity Counterparty ID
271 
 

 

A unique identifier(for example, alphanumeric) assigned to the counterparty reported in the Counterparty Name
column, which must be the parent/consolidated entity. The counterparty ID must be unique and consistent across
sub-schedules.
Counterparty Legal Entity Name
The name of the legal entity with whom the netting agreement was executed. This could be a subsidiary or
affiliate of the consolidated organization or the consolidated organization itself.
Legal Entity ID
A unique identifier(for example, alphanumeric) assigned to the legal entity reported in the Counterparty Legal
Entity column, which must correspond to the parent/consolidated entity. This ID must be unique and consistent
across sub-schedules
Netting Agreement ID
A unique identifier (for example, alphanumeric) assigned to the netting agreement being reported.
Industry, Country, and Rating
s defined in sub-schedules L.1.a through L.1.e. as applicable to the counterparty legal entity.
CSA Type
Identifies the type of credit support annex (CSA) defined in the netting agreement. Possible options are: No CSA,
1-way CSA, 2-way SCSA, 2-way old CSA, and Centrally Cleared. “No CSA” refers to positions with the
counterparty where no bilateral close-out netting agreement exists, or close-out netting is not legally enforceable
in the jurisdiction of the counterparty legal entity.
Independent Amount (non CCP) or Initial Margin (CCP)
The net amount of margin posted by the CP legal entity at the time of execution of the agreement. If the netting
agreement is with a CCP legal entity, this amount is the net initial margin posted to the CCP legal entity. The
initial margin may be in the form of cash and/or securities; report the aggregate MtM value of cash and securities.
Non-Cash Collateral Type
Identify the type(s) of non-cash collateral or initial margin allowed under the agreement. All posted
collateral/initial margin types should be reported and separated by a comma. Possible options are: U.S. Debt,
Non-U.S. Sovereign Debt, Investment Grade Corporate Debt, Public Equity, Public Convertibles, and Other.
Excess Variation Margin (for CCPs)
The total amount of excess variation margin (mark-to-market margin posted by the BHC in excess of the CCP’s
requirements) posted to the CCP legal entity under the agreement.
Default Fund (for CCPs)
The amount required under the agreement to be contributed to the default fund of a CCP legal entity.
Threshold CP
The threshold amount for each party is the amount of exposure that one party is willing to have to the other party
before the other party is required to post collateral.
Threshold BHC
The threshold amount for each party is the amount of exposure that one party is willing to have to the other party
before the other party is required to post collateral.
Minimum Transfer Amount CP
The minimum amount that must be transferred to the counterparty for any margin call.
Minimum Transfer Amount BHC
The minimum amount that must be transferred to the BHC for any margin call.
272 
 

 

argining Frequency
The frequency (in days) of margin calls, per the netting agreement.
CSA contractual features (non-vanilla)
Indicates if any of the transactions conducted under the agreement have any non-vanilla contractual features.
Possible options are: Downgrade Trigger, Break Clause – Mandatory, Break Clause – Optional, and Other. If
more than one applies for a given netting set, list them all (comma separated).
Wrong Way Risk Position
Indicates if any of the transactions conducted under the agreement are considered wrong-way risk positions.
Possible options are Specific, General, and None. The BHC should use its internal BAU risk management process
to determine whether an given transation with the specific counterparty legal entity is a wrong-way risk position,
and if so whether it constitutes “specific” WWR or not.
Total Net Stressed CE
The full revaluation of Net CE for both derivative and SFT exposures to the legal entity under the FR stressed
market environment – one value for each supervisory global market shock scenario. The global market shock
should be applied to all assets, including collateral, prior to application of the max function. For a single netting
agreement, this is calculated as the greater of zero and the difference between the aggregate stressed mark-tomarket value of securities or cash posted to the counterparty legal entity and the aggregate stressed mark-tomarket value of securities or cash received from that counterparty legal entity.
Net Stressed CE
The full revaluation of Net CE for derivative exposures only under the FR stressed market environment – one
value for each supervisory global market shock scenario. The global market shock should be applied to all assets,
including collateral, prior to application of the max function. For a single netting agreement, this is calculated as
the greater of zero and the difference between the aggregate stressed mark-to-market value of securities or cash
posted to the counterparty legal entity and the aggregate stressed mark-to-market value of securities or cash
received from that counterparty legal entity.
Unstressed Exposure MtM
The mark-to-market value under the agreement, not including collateral. This could be a positive or negative
value.
Stressed Exposure MtM
The mark-to-market value based on the full revaluation of all derivatives under the agreement, as revalued
according to the supervisory global market shock scenarios, not including collateral. This could be a positive or
negative value.
Total Unstressed MtM Cash Collateral (non-CCPs)
The mark-to-market value of net cash collateral posted by the non-CCP legal entity under the netting agreement.
This could be a positive or negative value. All collateral reported should be eligible financial collateral. This
amount is sub-divided by currency in the subsequent columns.
Cash collateral (non CCPs) or Variation Margin (CCPs) MtM - USD, EUR, GBP, JPY, Other
The mark-to-market value of net cash collateral posted under the netting agreement by a non-CCP legal entity or
the variation margin posted to the CCP legal entity, in the respective currency. For CCP legal entities, if non-cash
variation margin has been posted/received, report its MtM value in USD equivalent under the Other category. For
non-CCP legal entities, the total of these columns should be equal to the amount reported in the column Total
MtM Unstressed Cash Collateral (non-CCPs).
Total Unstressed MtM Collateral (non-CCPs)
The net mark-to-market value of all collateral posted by the non-CCP legal entity under the netting agreement. All
collateral reported should be eligible financial collateral.
273 
 

 

TStressed Cash Collateral MtM
For non-CCP legal entities, the mark-to-market value of the cash collateral reported in column Total Unstressed
MtM Cash Collateral (non-CCPs) as revalued under the supervisory global market shock scenarios. For CCP legal
entities, the mark-to-market value of the cash initial margin and non-USD cash variation margin, as revalued
under the supervisory global market shock scenarios.
T
Stressed Total Collateral MtM
For non-CCPs legal entities, the mark-to-market value of all collateral reported in the column Total Unstressed
MtM Collateral, as revalued under the supervisory global market shock scenarios. For CCP legal entities, the
mark-to-market value of the total (cash + non-cash) initial margin and (non-USD cash + non-cash) variation
margin, as revalued under the supervisory global market shock scenarios.
CDS Reference Entity Type
The institution for which the five-year CDS spread is reported. The possible options are CP Legal Entity, CP
Parent, and Proxy. Use Proxy if and only if there is no internal mark for the CP legal entity or its parent and
provide the BHC’s internal proxy CDS spread under Five-Year CDS Spread and a commercially available CDS
identifier under Counterparty Legal Entity Identifier (see below). In all other cases, if there is an internal mark for
the CP Legal Entity, choose “CP Legal Entity”, otherwise choose “CP Parent”.
Five-Year CDS Spread
The quoted five-year CDS spread of the reference entity.
CDS Recovery
The recovery rate associated with the quoted CDS spread.
Counterparty Legal Entity Identifier
The official globally recognized legal entity identifier (LEI) of the CP legal entity. If an LEI is unavailable, report
a CDS identifier that is commercially available associated with the reported CDS spread (such as a Markit RED
code or Bloomberg CDS ticker). In case a commercially available CDS identifier is used, specify the identifier as
a string in the form “ | ”.
Wrong Way Risk Hedge
Indicates if the CDS hedges are wrong-way risk positions with respect to the CDS counterparty and the CDS
reference entity. The BHC should use its internal BAU risk management process to determine whether the CDS
protection (e.g. sovereign CDS) with the specific counterparty legal entity (e.g. bank in the sovereign) is a wrongway hedge. Possible options are Yes and No.
CDS Hedge Notional
The notional amount of specific CDS hedges on the derivatives under the agreement. The specific CDS hedges
that are allowed to be included are bought plain-vanilla CDS protection (single-name and index, where the index
includes the CP legal entity as one of the reference entitities) which do not have any non-vanilla contractual
features, and do not constitute wrong-way positions.
CDS Hedge CR01
The CR01 of the CDS hedge, for the specific CDS positions.
Stressed Five-Year CDS Spread
The five-year CDS spread as stressed under the supervisory global market shock scenarios.
SCDS Hedge Stressed CR01
CR01 of the CDS hedge under the supervisory global market shock scenarios, for the specific CDS positions,
under the supervisory global market shock scenarios.
Stressed CVA
274 
 

 

CVA for the derivatives within the agreement as evaluated under the supervisory global market shock scenarios.
L.6.2—Derivative	assets	posted	and	received	by	consolidated/parent	counterparty. 

Line item Instructions
Report the information required by each column for all CCPs, G-7 sovereign countries, and the top 25
counterparties that are not CCPs or G-7 sovereign countries. For the submission of data from the three quarters
that are not the as-of quarter for CCAR, the top 25 non-CCP and non-G-7 counterparties should be reported as
ranked by the respondents’ internally defined stress metric(s). Supporting documentation must be submitted that
describes the internal stress metric(s) in detail. For the submission of data from the as-of quarter for CCAR, the
top 25 non-CCP and non-G-7 counterparties should be reported as ranked by Stressed Net CE of the
parent/consolidated counterparty under both the the supervisory severely adverse scenario and the supervisory
adverse scenario. The top 25 counterparties as ranked by Stressed Net CE under the supervisory adverse scenario
must be reported on sub-schedule L.6.2.a; however, if a top 25 counterparty under the adverse scenario is also a
top 25 counterparty under the severely adverse scenario, only the identifying information and rank of the
counterparty is required to be reported on sub-schedule L.6.2.a.
Information must be reported for each consolidated counterparty organization reported in sub-schedule L.6.1.
Report only the gross exposure; one table for each FR stress scenario. Report the sum of the posted values for
those netting sets that are “in the money”, i.e. for those netting sets for which the net exposure is positive under
the appropriate FR stress scenario.
Rank
The rank of the consolidated/parent counterparty as ordered according to the instructions above. For CCP legal
entities, specify rank as “CCP”; for G-7 sovereigns, specify rank as “G7”.
Counterparty Name (consolidated organization)
The name of the consolidated organization that is either a CCP, G-7 sovereign country, or one of the top 25
counterparties.
Parent/Consolidated Entity Counterparty ID
A unique identifier(for example, alphanumeric) assigned to the counterparty reported in the Counterparty Name
column. The counterparty ID must be unique and consistent across sub-schedules in this schedule.
Derivative Types
Report the unstressed and stressed mark-to-market exposure amounts for the following categories of derivatives:
Vanilla Interest Rate Derivatives, Vanilla FX Derivatives, Vanilla Commodity (Cash) Derivatives, Vanilla
Equity Derivatives, Structured Interest Rate Derivatives, Flow Exotic and Structured FX Derivatives,
Other Cash & Physical Commodity, Other (Single Name) Credit Derivatives, Structured (Multi-Name)
Credit Derivatives, Exotic Equity Derivatives, Hybrids, Structured Products (MBS, ABS), Other (provide
details, breakdown)FL.7—	Notes	to	the	CCR	Schedule	
	
Use	this	sub‐schedule	to	submit	voluntarily	any	additional	information	(e.g.,	data)	that	gives	clarity	on	the	
portfolio.	More	than	one	additional	tab	may	be	provided.		If	the	BHC	elects	to	provide	additional	data,	this	
should	include	an	explanation	of	the	additional	data	and	why	it	is	provided.	If	the	data	links	to	data	in	other	
tabs	of	the	CCR	schedule,	then	a	clear	data	identifier	must	be	provided	such	that	tabs	may	be	merged	if	
necessary	(see	mergeability	requirements	above).	
	
	
 
	

275 
 

 

Schedule	M—Balances	
	
Schedule	M.1	–	Quarter‐end	Balances	
	
For	each	line	item	listed	below,	report	all	loans	and	leases	held	for	investment	(HFI)	or	held	for	sale	(HFS).		
Include	the	fair	value	of	all	loans	held	for	investment	and	all	loans	held	for	sale	that	the	holding	company	
has	elected	to	report	at	fair	value	under	a	fair	value	option	(FVO).		In	column	A	report	loans	held	for	
investment	at	amortized	cost	(HFI	at	AC)	in	domestic	offices.		In	column	B	report	loans	held	for	sale	or	
measured	at	fair	value	under	a	fair	value	option	in	domestic	offices.		In	column	C	report	loans	held	for	
investment	at	amortized	cost	in	international	offices.		In	column	D	report	loans	held	for	sale	or	measured	at	
fair	value	under	a	fair	value	option	in	international	offices.	Report	all	dollar	amounts	in	millions.	
	
The	balances	reported	here	should	be	consistent	with	the	balances	reported	on	Schedule	HC‐C	of	the	FR	Y‐
9C	for	corresponding	line	items.		For	example,	the	reported	balance	of	loans	held	in	domestic	offices	
secured	by	first	liens	on	residential	real	estate	(line	1.a.(1).(a),	column	A	+	line	1.a.(1).(a),	column	B	+	line	
1.a.(1).(b),	column	A,	+	line	1.a.(1).(b),	column	B)	should	equal	the	balance	of	such	loans	reported	on	
Schedule	HC‐C	of	the	FR	Y‐9C	(line	1.c.(2).(a),	column	B).		A	more	comprehensive	list	of	relationships	
between	this	schedule	and	the	FR	Y‐9C	will	be	included	with	the	technical	instructions	provided	to	all	
submitting	institutions.	
	
Line	item	1.a.(1).(a),	First	mortgages	
Report	first	mortgage	loans	that	meet	the	loan	criteria	defined	in	FR	Y‐9C,	Schedule	HC‐C,	line	1.c.(2).(a).		
Do	not	include	first	lien	closed‐end	home	equity	loans.	
	
Line	item	1.a.(1).(b),	First	lien	HELOANs	
Report	first	lien	closed‐end	home	equity	loans	(HELOANs)	that	meet	the	loan	criteria	defined	in	FR	Y‐9C,	
Schedule	HC‐C,	line	1.c.(2).(a).		Do	not	include	first	mortgages.	
	
Line	item	1.a.(2).(a),	Junior	lien	HELOANs	
Report	junior	lien	closed‐end	home	equity	loans	(HELOANs)	that	meet	the	loan	criteria	defined	in	FR	Y‐9C,	
Schedule	HC‐C,	line	1.c.(2).(b).	
	
Line	item	1.a.(2).(b),	HELOCs	
Report	home	equity	lines	of	credit	(HELOCs)	that	meet	the	loan	criteria	defined	in	FR	Y‐9C,	Schedule	HC‐C,	
line	1.c.(1).	
	
Line	item	1.b.(1),	Construction	and	land	development	
Report	construction	and	land	development	(CLD)	loans	that	meet	the	loan	criteria	defined	in	FR	Y‐9C,	
Schedule	HC‐C,		lines	1.a.(1)	and	1.a.(2).	
	
Line	item	1.b.(2),	Multifamily	real	estate	
Report	multifamily	real	estate	loans	that	meet	the	loan	criteria	defined	in	FR	Y‐9C,	Schedule	HC‐C,	line	1.d.	
	
Line	item	1.b.(3).(a),	Owner‐occupied	nonfarm	nonresidential	
Report	owner	occupied	nonfarm	nonresidential	loans	that	meet	the	loan	criteria	defined	in	FR	Y‐9C,	
Schedule	HC‐C,	line	1.e.(1).	
	
Line	item	1.b.(3).(b),	Non‐owner‐occupied	nonfarm	nonresidential	
Report	non‐owner‐occupied	loans	that	meet	the	loan	criteria	defined	in	FR	Y‐9C,	Schedule	HC‐C,	line	1.e.(2).	
	
276 
 

 

Line	item	1.c,	Secured	by	farmland	
Report	loans	secured	by	farmland	that	meet	the	loan	criteria	defined	in	FR	Y‐9C,	Schedule	HC‐C,	line	1.b.	
	
Line	item	2.a,	Graded	C&I	loans	
Report	graded	C&I	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,		lines	4.a	and	4.b.		Do	not	include	scored	or	
delinquency	managed	small	business	loans,	small/medium	enterprise	(SME)	cards,	or	corporate	cards.	
	
Line	item	2.b,	Small	business	loans	
Report	small	business	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,	lines	2.a,	2.b,	3,	4.a,	4.b,	7,	9.a,	9.b.(1),	
9.b.(2),	and	10.b.		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.		Do	not	
include	graded	loans,	SME	cards,	or	corporate	cards.	
	
Line	item	2.c,	SME	cards	and	corporate	cards	
Report	SME	card	and	corporate	card	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,		lines	4.a,	4.b,	6.a,	6.b,	6.d,	
and	9.b.(2).		SME	cards	are	credit	card	accounts	where	the	loan	is	underwritten	with	the	sole	proprietor	or	
primary	business	owner	as	an	applicant.		Corporate	cards	are	employer‐sponsored	credit	cards	for	use	by	a	
company’s	employees.		Only	include	cards	where	there	is	any	individual	liability	associated	with	the	sub‐
lines	such	that	the	individual	borrower	characteristics	are	taken	into	account	during	the	underwriting	
decision	and/or	performance	of	the	credit	is	reported	to	the	credit	bureaus.		Do	not	include	loans	for	which	
a	commercially‐graded	corporation	is	ultimately	responsible	for	repayment	of	credit	losses	(such	loans	
should	be	reported	as	graded	C&I	loans	above).	
	
Line	item	3.a,	Bank	cards	
Report	bank	card	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,		line	6.a.		Do	not	include	SME	card	and	
corporate	card	loans.	
	
Line	item	3.b,	Charge	cards	
Report	charge	card	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,		line	6.a	and	9.b.(2).		Do	not	include	SME	card	
and	corporate	card	loans.	
	
Line	item	4.a,	Auto	loans	
Report	auto	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,		line	6.c.	
	
Line	item	4.b,	Student	loans	
Report	student	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,		lines	6.b	and	6.d.	
	
Line	item	4.c,	Non‐purpose	lending	
Report	non‐purpose	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,		lines	6.b,	6.d,	and	9.b.(2).	
	
Line	item	4.d,	Auto	leases	
Report	auto	leases	included	in	FR	Y‐9C,	Schedule	HC‐C,		line	10.a.	
	
Line	item	4.e,	Other	consumer	loans	
Report	all	other	consumer	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,	lines	6.b	and	6.d	that	are	not	reported	
elsewhere	on	this	schedule.	
	
Line	item	4.f,	Other	consumer	leases	
Report	all	other	consumer	leases	included	in	FR	Y‐9C,	Schedule	HC‐C,		line	10.athat	are	not	reported	
elsewhere	on	this	schedule.	
277 
 

 

	
Line	item	5.a,	Loans	to	foreign	governments	
Report	graded	loans	to	foreign	governments	included	in	FR	Y‐9C,	Schedule	HC‐C,		line	7.		Do	not	include	
scored	or	delinquency	managed	loans	(such	loans	should	be	reported	as	small	business	loans	above).	
	
Line	item	5.b,	Agricultural	loans	
Report	graded	agricultural	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,		line	3.		Do	not	include	scored	or	
delinquency	managed	loans	(such	loans	should	be	reported	as	small	business	loans	above).	
	
Line	item	5.c,	Securities	lending	
Report	graded	loans	for	purchasing	or	carrying	securities	included	in	FR	Y‐9C,	Schedule	HC‐C,	line	9.b.(1).		
Do	not	include	scored	or	delinquency	managed	loans	(such	loans	should	be	reported	as	small	business	
loans	above).	
	
Line	item	5.d,	Loans	to	financial	institutions	
Report	graded	loans	to	financial	institutions	included	in	FR	Y‐9C,	Schedule	HC‐C,		lines	2.a,	2.b,	and	9.a.		Do	
not	include	scored	or	delinquency	managed	loans	(such	loans	should	be	reported	as	small	business	loans	
above).	
	
Line	item	5.e,	Other	commercial	loans	
Report	other	graded	commercial	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,		line	9.b.(2).		Do	not	include	
scored	or	delinquency	managed	loans	(such	loans	should	be	reported	as	small	business	loans	above).	
	
Line	item	5.f,	Other	commercial	leases	
Report	other	graded	commercial	leases	included	in	FR	Y‐9C,	Schedule	HC‐C,		line	10.b.		Do	not	include	
scored	or	delinquency	managed	loans	(such	loans	should	be	reported	as	small	business	loans	above).	
	
	
Schedule	M.2	‐	FR	Y‐9C	Reconciliation	
	
For	the	select	portfolios	from	Schedule	M.1	listed	below,	report	the	balance	of	loans	included	in	the	
indicated	line	items	on	Schedule	HC‐C	of	the	FR	Y‐9C.		In	column	A	report	loans	held	for	investment	at	
amortized	cost	(HFI	at	AC).		In	column	B	report	loans	held	for	sale	(HFS)	or	measured	at	fair	value	under	a	
fair	value	option	(FVO).	Report	all	dollar	amounts	in	millions.	
	
The	balances	reported	here	should	be	consistent	with	the	balances	reported	on	Schedule	M.1	for	the	
corresponding	portfolios.		For	example,	the	reported	balance	of	small	business	loans	held	for	investment	at	
amortized	cost	(lines	1.a	to	1.h,	column	A)	should	equal	the	balance	of	such	loans	reported	on	Schedule	M.1	
(line	2.b,	column	A	+	line	2.b,	column	C).		A	more	comprehensive	list	of	relationships	between	this	schedule,	
Schedule	M.1,	and	the	FR	Y‐9C	will	be	included	with	the	technical	instructions	provided	to	all	submitting	
institutions.	
	
1.		Small	business	loans	
For	each	of	the	following	line	items	under	line	1,	report	the	small	business	loans	reported	in	line	2.b	in	
Schedule	M.1	that	are	included	in	the	indicated	line	item	on	Schedule	HC‐C	of	the	FR	Y‐9C:	
	
Line	item	1.a	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,	lines	2.a	and	2.b.	
Line	item	1.b	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,		line	3.	
Line	item	1.c	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,		lines	4.a	and	4.b.	
Line	item	1.d	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,		line	7.	
278 
 

 

Line	item	1.e	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,	line	9.a.	
Line	item	1.f	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,	line	9.b.(1).	
Line	item	1.g	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,		line	9.b.(2).	
Line	item	1.h	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,	line	10.b.	
	
2.		SME	cards	and	corporate	cards	
For	each	of	the	following	line	items	under	line	2,	report	the	SME	card	and	corporate	card	loans	reported	in	
line	2.c	in	Schedule	M.1	that	are	included	in	the	indicated	line	item	on	Schedule	HC‐C	of	the	FR	Y‐9C:	
	
Line	item	2.a	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,	lines	4.a	and	4.b.	
Line	item	2.b	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,	line	6.a.	
Line	item	2.c	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,	line	6.b.	
Line	item	2.d	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,	line	6.d.	
Line	item	2.e	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,	line	9.b.(2).	
	
3.		Charge	cards	
For	each	of	the	following	line	items	under	line	3,	report	the	charge	card	loans	reported	in	line	3.b	in	
Schedule	M.1	that	are	included	in	the	indicated	line	item	on	Schedule	HC‐C	of	the	FR	Y‐9C:	
	
Line	item	3.a	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,		line	6.a.	
Line	item	3.b	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,	line	9.b.(2.	
	
4.		Student	loans	
For	each	of	the	following	line	items	under	line	4,	report	the	student	loans	reported	in	line	4.b	in	Schedule	
M.1	that	are	included	in	the	indicated	line	item	on	Schedule	HC‐C	of	the	FR	Y‐9C:	
	
Line	item	4.a	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,	line	6.b.	
Line	item	4.b	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,		line	6.d.	
	
5.		Non‐purpose	lending	
For	each	of	the	following	line	items	under	line	5,	report	the	non‐purpose	loans	reported	in	line	4.c	in	
Schedule	M.1	that	are	included	in	the	indicated	line	item	on	Schedule	HC‐C	of	the	FR	Y‐9C:	
	
Line	item	5.a	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,	line	6.b.	
Line	item	5.b	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,		line	6.d.	
Line	item	5.c	‐	Report	loans	included	in	FR	Y‐9C,	Schedule	HC‐C,	line	9.b.(2).	
	
	
Schedule	M.3	‐	Principal	Balance	of	Retail	Loans	in	Domestic	Offices	Held	for	Investment	at	
Amortized	Cost	by	Purchase	Credit	Impairment	
	
For	each	line	item	listed	below,	report	the	book	value	and	unpaid	principal	balance	(UPB)	of	all	retail	loans	
and	leases	held	for	investment	at	amortized	cost	(HFI	at	AC)	in	domestic	offices	by	purchase	credit	
impairment	status.		Do	not	include	loans	held	for	sale	or	loans	measured	at	fair	value	under	a	fair	value	
option.		Do	not	include	loans	held	in	international	offices.		In	column	A	report	the	book	value	of	non‐
purchase	credit	impaired	(non‐PCI)	loans.		In	column	B	report	the	UPB	of	non‐PCI	loans.		In	column	C	
report	the	book	value	of	purchase	credit	impaired	(PCI)	loans.		In	column	D	report	the	UPB	of	PCI	loans.	
Report	all	dollar	amounts	in	millions.	
	
For	the	purposes	of	this	schedule,	the	book	value	of	a	loan	held	for	investment	at	amortized	cost	is	the	
279 
 

 

original	cost	of	the	loan	less	any	write‐downs	associated	with	depreciation,	amortization,	or	impairment	
costs.		The	UPB	of	the	loan	is	the	principal	amount	outstanding	as	of	the	end	of	the	reporting	period	and	
should	not	reflect	any	accounting	based	write‐downs	or	purchase	credit	impairments.	
	
The	book	value	reported	here	should	be	consistent	with	the	balances	reported	on	Schedule	M.1	for	the	
corresponding	portfolios.		For	example,	the	book	value	of	first	mortgages	held	for	investment	at	amortized	
cost	in	domestic	offices	(line	1.a.(1).(a),	column	A	+	line	1.a.(1).(a),	column	C)	should	equal	the	balance	of	
such	loans	reported	on	Schedule	M.1	(line	1.a.(1).(a),	column	A).		A	more	comprehensive	list	of	
relationships	between	this	schedule	and	Schedule	M.1	will	be	included	with	the	technical	instructions	
provided	to	all	submitting	institutions.	
	
1.a.(1).(a),	First	mortgages	
Report	first	mortgage	loans	that	are	reported	in	line	1.a.(1).(a)	in	Schedule	M.1.	
	
1.a.(1).(b),	First	lien	HELOANs	
Report	first	lien	closed‐end	home	equity	loans	(HELOANs)	that	are	reported	in	line	1.a.(1).(b)	in	Schedule	
M.1.	
	
1.a.(2).(a),	Junior	lien	HELOANs	
Report	junior	lien	closed‐end	home	equity	loans	(HELOANs)	that	are	reported	in	line	1.a.(2).(a)	in	Schedule	
M.1.		
	
1.a.(2).(b),	HELOCs	
Report	home	equity	lines	of	credit	(HELOCs)	that	are	reported	in	line	1.a.(2).(b)	in	Schedule	M.1.	
	
2.a,	Bank	cards	
Report	bank	card	loans	that	are	reported	in	line	3.a	in	Schedule	M.1.	
	
2.b,	Charge	cards	
Report	charge	card	loans	that	are	reported	in	line	3.b	in	Schedule	M.1.	
	
3.a,	Auto	loans	
Report	auto	loans	that	are	reported	in	line	4.a	in	Schedule	M.1.	
	
3.b	All	other	consumer	loans	and	leases	
Report	all	other	consumer	loans	and	leases	that	are	reported	in	lines	4.b,	4.c,	4.d,	4.e,	and	4.f	in	Schedule	
M.1.	
	

Appendix	A:		FR	Y‐14Q	Supporting	Documentation	
 

	
Supporting	Documentation	for	Schedule	C	–	Regulatory	Capital	Instruments	
	
Additional	Information	Required	for	capital	instrument	issued	(Tied	to	C.	3:	Regulatory	Capital	
Instruments	Issuances	During	Quarter)	
For	all	capital	instruments	except	for	common	stock	that	were	issued	during	the	quarter,	include	as	a	
separate	attachment	to	the	schedule	submission	the	prospectus	supplement,	certificate	of	designation,	or	
the	indenture	for	the	instrument.		
280 
 

 

Supporting	Documentation	for	Schedule	D	–	Regulatory	Capital	Transitions	
	
Additional	Information	Required	for	Each	Planned	Action	(Tied	to	D.6)	
In	addition	to	the	information	provided	within	the	Planned	Action	worksheet,	BHCs	are	also	required	to	
submit	additional	information	related	to	the	actual	progress	made	on	its	planned	actions	through	the	
report	date.			
At	a	minimum,	the	document	should	address	the	following:	




The	status	of	the	action	during	the	reporting	quarter,	and	how	it	compares	to	the	BHC’s	projection	for	
the	planned	action	to	date.		This	should	state	whether	the	BHC	is	on‐track	in	terms	of	meeting	its	
planned	action	strategy	relative	to	the	impact	it	projected	for	the	corresponding	action	in	its	most	
recent	FR	Y‐14A	Regulatory	Capital	Transitions	schedule	submission,	and/or	how	it	has	deviated	from	
the	strategy	and	the	rationale	behind	the	changes.			
The	supplemental	document	should	also	describe	in	detail	any	new	actions	the	BHC	has	taken,	which	
was	not	part	of	its	proposed	planned	actions	as	submitted	per	the	FR	Y‐14A	Regulatory	Capital	
Transitions	schedule.			

	
This	quarterly	information	related	to	each	planned	action	must	be	provided	in	a	separate	attachment	and	
should	be	titled:	BHCRSSD_BHCMNEMONIC_	REGCAPTRANS_QTRLYUPDATE_ACTION#_YYMMDD.										
Note	that	the	“#”	in	this	file	name	must	correspond	with	the	appropriate	“Action	#”	in	column	A	of	the	
Planned	Actions	Worksheet	of	the	most	recent	FR	Y‐14A	submission.	
	
Supporting	Documentation	for	Schedule	L	–	Counterparty		
	
The	supporting	document	should	be	titled	BHCRSSD_BHCMNEMONIC_CCR_METHODOLOGY_YYMMDD.	
BHCs	should	submit	separate	documents	for	different	models	and/or	methodologies.	The	documents	
should	be	titled:	BHCRSSD_BHCMNEMONIC_CCR_METHODOLOGY_MODELTYPE_YYMMDD.	Model	Type	
refers	to	Trading	IDR,	CVA,	CCR	IDR,	and	Other	CCR	Losses.	These	instructions	are	also	provided	in	the	FR	
Y‐14A	instructions.	
	
The	documentation	should	include	a	detailed	description	of	the	methodologies	used	to	estimate	Trading	
Issuer	Default,	CVA,	and	Counterparty	Default	losses	under	the	stress	scenarios	reported	on	the	FR	Y‐14A	
Summary	schedule	as	well	as	methodologies	used	to	produce	the	data	in	the	FR	Y‐14Q	CCR	schedule	(only	
for	the	CCAR	as	of	quarter).	All	information	relevant	for	supervisors	to	understand	the	approach	should	
be	included,	and	it	should	be	transparent	in	the	documentation	where	to	find	the	response	to	each	item.	
Any	differences	between	the	BHC	and	the	FR	scenarios	in	methodology,	position	capture,	or	other	material	
elements	of	the	loss	modeling	approach	should	be	clearly	described.	It	is	expected	that	for	some	BHCs,	
there	will	be	BHC‐specific	or	other	material	methodological	items	in	addition	to	those	specifically	listed	in	
the	instructions.	These	additional	items	should	be	included	in	the	documentation	as	well.	
	
As	part	of	the	detailed	methodology	document,	BHCs	should	provide	an	Executive	Summary	that	gives	an	
overview	of	each	model	and	answers	each	of	the	questions	below.	If	one	of	the	questions	below	is	not	fully	
addressed	in	the	Executive	Summary,	cite	the	document	name	and	page	number(s)	of	the	methodology	
document	that	fully	addresses	the	question.		
	
In	addition	to	the	Executive	Summary,	there	should	be	a	section	of	the	methodology	document	devoted	to	
any	divergence	from	the	instructions	to	the	Counterparty	Risk	sub‐schedule	or	the	FR_Y‐14A	Schedule.	Use	
this	section	to	explain	any	data	that	is	missing	or	not	provided	as	requested.	This	section	should	also	be	
used	to	describe	where	and	how	judgment	was	used	to	interpret	an	instruction.		
	
281 
 

 

a.
b.
c.

d.

e.

f.

a.
b.
c.

a.

a.
I.

II.

 

Supporting	documentation	for	a	given	model	should	be	submitted	at	the	same	time	as	the	loss	estimates	
derived	from	that	model.	For	example,	Trading	IDR	supporting	documentation	should	be	submitted	along	
with	the	Trading	piece	of	the	FR_Y‐14A	schedule	in	December,	rather	than	in	January	with	the	rest	of	the	
FR_Y‐14A_CCR	submission.	
	
Trading	Incremental	Default	Losses	(Trading	IDR)	
	
1.	Data	and	systems		
What	product	types	are	included	and	excluded?	Specifically,	comment	on	whether	equities	are	excluded	
and	what	types	of	securitized	products,	if	any,	are	excluded.	Comment	on	the	materiality	of	any	exclusions.		
Are	there	any	issuer	type	exclusions?	Comment	on	the	materiality	of	any	exclusions.		
Are	there	any	exposure	measurement	or	trade	capture	limitations	impacting	the	Trading	IDR	loss	estimate	
in	Item	1	on	the	Counterparty	Risk	sub‐schedule	in	the	SUMMARY_SCHEDULE	or	the	data	provided	in	sub‐
schedules	Corporate	Credit‐Advanced,	Corporate	Credit‐EM,	Sovereign	Credit,	Credit	Correlation,	IDR‐
Corporate	Credit,	or	IDR‐Jump	To	Default	in	the	FR_Y‐14Q_TRADING	Schedule?	If	so,	make	sure	to	elaborate	
in	the	documentation,	particularly	where	these	limitations	understate	losses.		
Are	there	any	discrepancies	in	position	capture	between	the	MV	and	Notionals	reported	in	sub‐schedules	
Corporate	Credit‐Advanced,	Corporate	Credit‐EM,	Sovereign	Credit,	Credit	Correlation,	or	IDR‐	Corporate	
Credit	in	the	FR_Y‐14Q_TRADING	Schedule?	If	so,	elaborate	on	the	discrepancies	in	the	documentation.		
Are	any	index	or	structured	exposures	decomposed/unbundled	into	single	name	exposures	on	the	IDR	
Corp	Credit	or	IDR	Jump	to	Default	sub‐schedules	in	the	FR_Y‐14Q_TRADING	Schedule?	If	so,	provide	a	
description	of	the	exposures	that	are	decomposed	and	the	methodology	used.		
What	types	of	CVA	hedges	are	included	in	the	FR_Y‐14Q_TRADING	Schedule	and	Item	10	on	the	Trading	
sub‐schedule	of	the	SUMMARY_SCHEDULE	(e.g.,	market	risk	hedges,	counterparty	risk	hedges)?	Which,	if	
any,	of	these	hedges	are	excluded	from	the	Trading	IDR	loss	estimates	(Item	1	on	the	Counterparty	Risk	
sub‐schedule	of	the	SUMMARY_SCHEDULE)?	Confirm	that	hedges	modeled	in	Trading	IDR	are	excluded	
from	CCR	IDR.		
	
2.	PD	methodology		
	
How	is	the	severity	of	default	risk	treated?	Is	a	stressed	expected	PD	used,	or	is	it	an	outcome	in	the	tail	of	
the	default	distribution?	If	an	outcome	in	the	tail	is	used,	what	is	the	tail	percentile?		
How	is	default	risk	represented	over	the	horizon	of	the	stress	test?	Is	a	cumulative	two‐	year	PD	or	a	one‐
year	PD	used	as	a	model	input?	How	is	migration	risk	captured?		
What	data	sources	and	related	time	periods	are	used	to	generate	the	assumptions	on	stressed	expected	PD	
or	the	default	distribution?	In	the	documentation,	provide	a	breakdown	of	PDs	(e.g.,	by	rating,	asset	
category).	Provide	stressed	PDs	if	a	stressed	PD	is	used,	or	provide	PD	inputs	if	an	outcome	in	the	tail	is	
used.		
	
3.	Correlation	assumptions		
	
What	correlation	assumptions	are	used	in	the	Trading	IDR	models?		
	
4.	LGD	methodology		
	
Do	the	models	assume	a	static	LGD	or	a	stochastic	LGD	with	a	non‐zero	recovery	rate	volatility?		
If	a	static	LGD	is	used,	were	the	mean	LGDs	stressed?	What	data	sources	and	related	time	periods	were	
used	to	determine	the	LGDs?	In	the	methodology	documentation,	provide	the	relevant	breakdown	of	LGDs	
used	in	the	model	(e.g.,	by	ratings,	asset	category).		
If	a	stochastic	LGD	is	used,	elaborate	on	the	assumptions	generating	the	stochastic	LGD	in	the	
documentation,	including	assumptions	on	the	LGD	mean	and	volatility	and	rationale	for	modeling	choices.		
282 

 

a.

a.

a.

a.

b.

a.
b.

c.
d.

e.
f.

a.

	
5.	Liquidity	horizon		
	
What	liquidity	horizon	assumptions	are	used?		
	
6.	Exposure	at	default	(EAD)		
	
What	Exposure	at	Default	(EAD)	is	used	for	Trading	IDR?	For	example,	is	the	calculation	based	on	actual	
issuer	exposures,	stressed	exposures,	a	mix	of	both,	or	something	else?	If	exposures	are	stressed,	please	
explain	how	the	exposures	were	stressed.		
	
7.	Treatment	of	gains		
	
Are	any	gains	being	reflected	in	the	Trading	IDR	calculations?	If	so,	elaborate	in	the	documentation	how	
gains	are	treated.		
	
8.	Model	validation	and	documentation		
	
For	any	models	used	to	report	numbers	in	the	SUMMARY_SCHEDULE	or	the	FR_Y‐14A_Trading	that	are	also	
used	in	Business	as	Usual	(BAU)	production,	have	those	models	been	validated	as	used	in	BAU?	If	so,	attach	
model	validation	documents.	If	not,	elaborate	in	the	documentation	on	any	review	process.		
For	any	ad‐hoc	models	used	for	CCAR	that	would	not	have	been	previously	validated,	what	review	if	any	
has	occurred?	Elaborate	in	the	documentation	where	appropriate.		
	
CVA		
	
1.	Divergence	from	instructions		
	
In	the	FR_Y‐14A_CCR	or	Summary	Schedules,	is	liability‐side	CVA	(i.e.,	DVA)	included	in	any	element	of	the	
submission?	If	so,	elaborate	in	the	documentation.		
In	the	FR_Y‐14A_CCR	or	Summary	Schedules,	is	bilateral	CVA	included	in	any	element	of	the	submission	
(i.e.,	CVA	where	the	counterparty	default	probabilities	are	conditional	on	the	survival	of	the	BHC)?	If	so,	
elaborate	in	the	documentation.		
Is	there	any	place	where	CVA	data	is	reported	net	of	hedges	on	the	FR_Y_14A_CCR	Schedule	or	Item	2	on	the	
Counterparty	Risk	sub‐schedule	in	the	SUMMARY_SCHEDULE?		
In	calculating	Stressed	Net	CE	in	sub‐schedules	1a,	1b,	1c,	1d,	and	1e	in	FR_Y‐14A_CCR,	are	there	any	
occasions	where	it	is	assumed	additional	collateral	has	been	collected	after	the	shock?	If	so,	elaborate	in	the	
documentation.		
Are	there	any	counterparties	for	which	your	firm	did	not	fully	implement	the	FR	specification	for	the	EE	
profiles	on	sub‐schedule	2	in	the	FR_Y‐14A_CCR?	If	so,	elaborate	in	the	documentation.		
Are	there	any	counterparties	for	which	your	firm	substituted	‘Country	of	Risk’	for	‘Country	of	Domicile’	In	
the	FR_Y‐14A_CCR?	If	so,	elaborate	in	the	documentation.	
	
2.	Data	and	systems	
	
In	the	documentation,	clearly	identify,	describe,	and	comment	on	the	materiality	of	any	exclusions	that	
prevent	100%	capture	of	counterparties	or	trades.	At	a	minimum,	address	the	questions	below	and	
elaborate	in	the	documentation	where	appropriate.		
	
Are	any	counterparties	on	sub‐schedule	1a	of	FR_Y‐14A_CCR	excluded	from	sub‐schedule	2?	Where	specific	
283 

 

 

b.

c.
d.

e.

f.
g.

h.

i.

j.
k.

l.

a.
b.

a.
b.

c.

counterparties	are	reported	as	Top	counterparties	by	95%	of	Total	CVA	on	one	sub‐schedule	of	the	
Schedule,	but	are	not	listed	on	other	sub‐schedules,	list	these	counterparties	in	the	documentation	by	name	
and	provide	a	reason	for	their	exclusion.		
Are	any	counterparties	excluded	from	the	unstressed	or	stressed	aggregate	data	reported	in	sub‐schedules	
1e,	2,	or	3	of	FR_Y‐14A_CCR	or	the	losses	reported	in	the	SUMMARY_SCHEDULE	SUMMARY_SCHEDULE	
(Item	2	in	the	Counterparty	Risk	sub‐schedule)?	In	the	documentation,	elaborate	on	the	nature,	materiality,	
and	rationale	for	these	exclusions.		
Please	ensure	that	the	methodology	documentation	includes	a	description	of	how	stressed	or	unstressed	
discount	factors	are	included	in	the	CVA	calculation.	
Do	the	expected	exposure	(EE)	profiles,	CDS	spreads,	PDs,	LGDs,	discount	factors,	as	provided	on	sub‐
schedule	2,	come	from	the	same	systems	as	that	used	for	the	calculation	of	CVA	losses	as	provided	in	the	
SUMMARY_SCHEDULE	(Item	2	in	the	Counterparty	Risk	sub‐schedule)?	If	not,	elaborate	in	the	
documentation.		
For	unstressed	and	stressed	CVA	reported	in	the	FR_Y‐14A_CCR	Schedule,	which	counterparties,	
counterparty	types,	or	trade	types	are	calculated	offline	or	using	separate	methodologies?	Why	are	they	
calculated	offline	or	with	a	different	methodology?	Elaborate	in	the	documentation.		
Are	any	add‐ons	used	to	calculate	stressed	CVA	in	the	FR_Y‐14A_CCR	Schedule?	Elaborate	regarding	the	
nature	and	rationale	for	each	type	of	add‐on	in	the	documentation.		
Are	there	any	additional/	offline	CVA	reserves	are	reported	in	sub‐schedule	1e	in	theFR_Y‐14A_CCR	
Schedule?	If	so,	elaborate	about	the	nature	of	these	reserves	in	the	documentation.	Explain	what	
counterparties,	counterparty	types,	or	trade	types	are	included,	why	are	they	calculated	as	reserves,	and	
how	they	are	stressed.		
Are	there	any	exposure	measurement	or	product	capture	limitations	impacting	the	loss	estimate	in	Item	2	
on	the	Counterparty	Risk	sub‐schedule	in	the	SUMMARY_SCHEDULE?	If	so,	make	sure	to	elaborate	in	the	
documentation,	particularly	where	these	limitations	understate	losses.		
Does	the	firm	conduct	a	reconciliation	between	the	sum	of	items	15(a)	in	Schedule	HC‐L	of	the	FRY‐9C	and	
the	aggregate	unstressed	Gross	CE	on	sub‐schedule	1e	of	the	FRY‐14A_CCR	Schedule?	Note	that	the	figures	
in	the	FRY‐9C	are	called	"net	current	credit	exposure",	as	the	"net"	refers	to	counterparty	netting.		
Are	all	sensitivities/	slides	provided	as	requested?	If	slides	are	not	provided	as	requested	in	the	FR_Y‐
14A_CCR	Schedule,	elaborate	in	the	documentation	why	they	are	missing	or	not	provided	correctly.		
Are	the	sensitivities/	slides	provided	in	sub‐schedule	4	of	FR_Y‐14A_CCR	sourced	from	the	same	calculation	
engine	and	systems	as	used	for	the	firm's	loss	estimates	(Item	2	in	the	Counterparty	Risk	sub‐schedule	in	
the	SUMMARY_SCHEDULE)?	If	not,	elaborate	in	the	documentation.		
Elaborate	on	how	sensitivities/	slides	in	sub‐schedule	4	of	FR_Y‐14A_CCR	were	determined	to	be	material.	
What	qualifies	a	risk	factor	as	immaterial?		
	
3.	LGD	methodology		
	
For	the	LGD	used	to	calculate	PD,	are	market	implied	recovery	rates	used?	If	not,	elaborate	on	the	source	of	
the	LGD	assumption	in	the	methodology	documentation.		
Is	the	same	recovery/LGD	used	in	the	CVA	calculation	as	is	used	to	calculate	PDs	from	the	CDS	spread?	If	
not,	in	the	documentation	provide	a	detailed	rationale	and	backup	data	to	support	the	use	of	a	different	
LGD,	and	provide	the	source	of	the	LGD	used	to	calculate	CVA.		
	
4.	Exposure	at	default	(EAD)		
	
What	Margin	Period	of	Risk	(MPOR)	assumptions	are	used	for	unstressed	and	stressed	CVA?		
Are	collateral	values	stressed	in	the	numbers	reported	in	the	FR_Y_14A_CCR	Schedule	or	Items	2	or	3	on	the	
Counterparty	Risk	sub‐schedule	in	the	SUMMARY_SCHEDULE?	If	so,	elaborate	on	the	stress	assumptions	
applied.		
In	the	FR_Y‐14A_CCR	sub‐schedule	2,	for	the	BHC	specification,	are	downgrade	triggers	modeled	in	the	
284 

 

 

a.

b.

a.
b.

c.

a.

b.

a.
b.
c.

a.

a.
b.

c.

exposure	profiles?		
	
5.	Application	of	shocks		
	
Are	the	shocks	applied	to	CVA	(for	calculating	Item	2	in	the	Counterparty	Risk	sub‐schedule	in	the	
SUMMARY_SCHEDULE	as	well	as	the	Stressed	figures	reported	in	FR_Y‐14A_CCR)	the	same	as	those	applied	
to	the	Trading	Book	(Item	10	in	the	Trading	sub‐schedule	in	the	SUMMARY_SCHEDULE)?	Where	they	are	
different,	or	where	shocks	applied	diverge	from	the	FR	shock	scenario,	elaborate	in	the	documentation.		
Have	the	models	for	CVA	been	validated?	If	not,	elaborate	on	the	review	process,	if	any.		
	
6.	Model	validation	and	documentation		
	
For	any	models	used	to	report	numbers	in	the	SUMMARY_SCHEDULE	or	the	FR_Y‐		
14A_CCR	that	are	also	used	in	Business	as	Usual	(BAU)	production,	have	those	models	been	validated	as	
used	in	BAU?	If	so,	attach	model	validation	documents.	If	not,	elaborate	in	the	documentation	on	any	review	
process.		
For	any	ad‐hoc	models	used	for	CCAR	that	would	not	have	been	previously	validated,	what	review	if	any	
has	occurred?	Elaborate	in	the	documentation	where	appropriate.		
	
CCR	IDR		
	
1.	Data	and	systems		
	
Are	there	any	exposure	measurement	or	product	capture	limitations	impacting	the	loss	estimate	in	Item	3	
on	the	Counterparty	Risk	sub‐schedule	in	the	SUMMARY_SCHEDULE?	If	so,	make	sure	to	elaborate	in	the	
documentation,	particularly	where	these	limitations	understate	losses.		
What	types	of	CVA	hedges	are	included	in	CCR	IDR?	Confirm	that	hedges	modeled	in	CCR	IDR	were	
excluded	from	Trading	IDR.		
	
2.	PD	methodology		
	
How	is	the	severity	of	default	risk	treated?	Is	a	stressed	expected	PD	used,	or	is	it	an	outcome	in	the	tail	of	
the	default	distribution?	If	an	outcome	in	the	tail	is	used,	what	is	the	tail	percentile?		
How	is	default	risk	represented	over	the	horizon	of	the	stress	test?	Is	a	cumulative	two‐	year	PD	or	a	one‐
year	PD	used	as	a	model	input?	How	is	migration	risk	captured?		
What	data	sources	and	related	time	periods	are	used	to	generate	the	assumptions	on	stressed	expected	PD	
or	the	default	distribution?	In	the	documentation,	provide	a	breakdown	of	PDs	(e.g.,	by	rating,	counterparty	
type).	Provide	stressed	PDs	if	a	stressed	PD	is	used,	or	provide	PD	inputs	if	an	outcome	in	the	tail	is	used.		
	
3.	Correlation	assumptions		
	
What	correlation	assumptions	are	used	in	the	CCR	IDR	models?		
	
4.	LGD	methodology		
	
Do	the	models	assume	a	static	LGD	or	a	stochastic	LGD	with	a	non‐zero	recovery	rate	volatility?		
If	a	static	LGD	is	used,	are	the	mean	LGDs	stressed?	What	data	sources	and	related	time	periods	are	used	to	
determine	the	LGDs?	In	the	methodology	documentation,	provide	the	relevant	breakdown	of	LGDs	used	in	
the	model	(e.g.,	by	ratings,	counterparty	type).		
If	a	stochastic	LGD	is	used,	elaborate	on	the	assumptions	generating	the	stochastic	LGD	in	the	
285 

 

 

documentation,	including	assumptions	on	the	LGD	mean	and	volatility	and	rationale	for	modeling	choices.		
	
5.	Liquidity	horizon		
	
a. What	liquidity	horizon	assumptions	are	used?		
	
6.	Exposure	at	default	(EAD)		
	
a. Provide	an	overview	of	how	EAD	is	modeled	for	CCR	IDR.		
b. Are	any	downgrade	triggers	assumed	in	the	CCR	IDR	model?	If	so,	elaborate	in	the	documentation.		
c. What	Margin	Period	of	Risk	(MPOR)	assumptions	are	modeled	in	CCR	IDR?		
	
7.	Treatment	of	gains		
	
a. Are	any	gains	being	reflected	in	the	CCR	IDR	calculations?	If	so,	elaborate	in	the	documentation	how	gains	
are	treated.		
	
8.	Model	validation	and	documentation		
	
a. For	any	models	used	to	report	numbers	in	the	SUMMARY_SCHEDULE	or	the	FR_Y‐14A_CCR	that	are	also	
used	in	Business	as	Usual	(BAU)	production,	have	those	models	been	validated	as	used	in	BAU?	If	so,	attach	
model	validation	documents.	If	not,	elaborate	in	the	documentation	on	any	review	process.		
b. For	any	ad‐hoc	models	used	for	CCAR	that	would	not	have	been	previously	validated,	what	review	if	any	
has	occurred?	Elaborate	in	the	documentation	where	appropriate.		
	
Other	CCR	Losses		
	
1.	Data	and	Systems		
	
What	types	of	CCR	losses	are	included	in	the	"Other	CCR	Losses"	Counterparty	Risk	sub‐schedule	of	the	
SUMMARY_SCHEDULE?	What	are	the	loss	amounts	for	each	major	category	of	"Other	CCR	Losses"?	For	any	
material	losses,	discuss	the	methodology	and	rationale	in	the	documentation.	
 

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