FDIC DFAST-14A Counterparty Template

''Annual Stress Test Reporting Templates and Documentation for Covered Banks with Total Consolidated Assets of $10 Billion or More under Dodd-Frank''

Copy of dfast-14a_counterparty_template.xlsx

"Annual Stress Test Reporting Template and Documentation for Covered Banks with Total Consolidated Assets of $50 Billion or More under the Dodd-Frank Wall Street Reform and Consumer Protection Act.''

OMB: 3064-0189

Document [xlsx]
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Overview

Sheet1
1a) Top CPs 95% of Firm CVA
1b) Top 20 CPs by Stressed CVA
1c) Top 20 CPs by Net CE
1d) Top 20 Coll CPs by Gross CE
1e) Agg CVA by ratings and coll
2) EE profile by CP
3) Credit quality by CP
4) CVA sensitivities and slides
5) SFT Exposure
6) Derivs Exposure
Notes to the CCR Schedule


Sheet 1: Sheet1

DFAST 14A: Counterparty Credit Risk / CVA Data Submission Cover Sheet





Banks should complete all relevant cells in the corresponding worksheets, including this cover page. Data should be reported in millions of dollars.



Institution Name:
Submission date:
Data as of date:
Version:
When Received: 1/25/21 6:39 AM

Sheet 2: 1a) Top CPs 95% of Firm CVA

1a) Top counterparties comprising 95% of firm CVA, ranked by CVA




















$ Millions











































Counterparty identifiers Credit Quality Data Exposure Data CVA Data Credit Mitigants Credit Hedges
Rank Counterparty name Counterparty ID Netting set ID
(optional)
Sub-netting set ID
(optional)
Industry Country Internal rating External rating Gross CE Stressed Gross CE
Scenario (Severely Adverse)
Stressed Gross CE
Scenario (Adverse)
Net CE Stressed Net CE
Scenario (Severely Adverse)
Stressed Net CE
Scenario (Adverse)
CVA Stressed CVA
Scenario and Specification (Severely Adverse)
Stressed CVA
Scenario and Specification (Adverse)
CSA in place? %
Gross CE with CSAs
Downgrade trigger modeled? Single Name Credit Hedges























































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































Sheet 3: 1b) Top 20 CPs by Stressed CVA

1b) Top 20 counterparties ranked by Severely Adverse Scenario Stressed CVA




















$ Millions











































Counterparty identifiers Credit Quality Data Exposure Data CVA Data Credit mitigants Credit Hedges
Rank Counterparty name Counterparty ID Netting set ID
(optional)
Sub-netting set ID
(optional)
Industry Country Internal rating External rating Gross CE Stressed Gross CE
Scenario (Severely Adverse)
Stressed Gross CE
Scenario (Adverse)
Net CE Stressed Net CE
Scenario (Severely Adverse)
Stressed Net CE
Scenario (Adverse)
CVA Stressed CVA
Scenario and FR Specification (Severely Adverse)
Stressed CVA
Scenario and FR Specification (Adverse)
CSA in place? %
Gross CE with CSAs
Downgrade trigger modeled? Single Name Credit Hedges
1




















2




















3




















4




















5




















6




















7




















8




















9




















10




















11




















12




















13




















14




















15




















16




















17




















18




















19




















20










































1b) Top 20 counterparties ranked by BHC Scenario Stressed CVA




















$ Millions











































Counterparty identifiers Credit Quality Data Exposure Data CVA Data Credit mitigants Credit Hedges
Rank Counterparty name Counterparty ID Netting set ID
(optional)
Sub-netting set ID
(optional)
Industry Country Internal rating External rating Gross CE Stressed Gross CE
Federal Reserve scenario (Severely Adverse)
Stressed Gross CE
Federal Reserve scenario (Adverse)
Net CE Stressed Net CE
Federal Reserve scenario (Severely Adverse)
Stressed Net CE
Federal Reserve scenario (Adverse)
CVA Stressed CVA
FR scenario and FR specification (Severely Adverse)
Stressed CVA
FR scenario and FR specification (Adverse)
CSA in place? % Gross CE with CSAs Downgrade trigger modeled? Single Name Credit Hedges
1




















2




















3




















4




















5




















6




















7




















8




















9




















10




















11




















12




















13




















14




















15




















16




















17




















18




















19




















20





















Sheet 4: 1c) Top 20 CPs by Net CE

1c) Top 20 counterparties ranked by Net CE




















$ Millions











































Counterparty identifiers Credit Quality Data Exposure Data CVA Data Credit Mitigants Credit Hedges
Rank Counterparty name Counterparty ID Netting set ID
(optional)
Sub-netting set ID
(optional)
Industry Country Internal rating External rating Gross CE Stressed Gross CE
Scenario (Severely Adverse)
Stressed Gross CE
Scenario (Adverse)
Net CE Stressed Net CE
Scenario (Severely Adverse)
Stressed Net CE
Scenario (Adverse)
CVA Stressed CVA
Scenario and FR Specification (Severely Adverse)
Stressed CVA
Scenario and FR Specification (Adverse)
CSA in place? %
Gross CE with CSAs
Downgrade trigger modeled? Single Name Credit Hedges
1




















2




















3




















4




















5




















6




















7




















8




















9




















10




















11




















12




















13




















14




















15




















16




















17




















18




















19




















20










































1c) Top 20 counterparties ranked by Federal Reserve Severely Adverse Scenario Stressed Net CE




















$ Millions











































Counterparty identifiers Credit Quality Data Exposure Data CVA Data Credit Mitigants Credit Hedges
Rank Counterparty name Counterparty ID Netting set ID
(optional)
Sub-netting set ID
(optional)
Industry Country Internal rating External rating Gross CE Stressed Gross CE
FR Scenario (Severely Adverse)
Stressed Gross CE
FR Scenario (Adverse)
Net CE Stressed Net CE
FR Scenario (Severely Adverse)
Stressed Net CE
FR Scenario (Adverse)
CVA Stressed CVA
FR Scenario and FR Specification (Severely Adverse)
Stressed CVA
FR Scenario and FR Specification (Adverse)
CSA in place? % Gross CE with CSAs Downgrade trigger modeled? Single Name Credit Hedges
1




















2




















3




















4




















5




















6




















7




















8




















9




















10




















11




















12




















13




















14




















15




















16




















17




















18




















19




















20










































1c) Top 20 counterparties ranked by BHC Scenario Stressed Net CE




















$ Millions











































Counterparty identifiers Credit Quality Data Exposure Data CVA Data Credit Mitigants Credit Hedges
Rank Counterparty name Counterparty ID Netting set ID
(optional)
Sub-netting set ID
(optional)
Industry Country Internal rating External rating Gross CE Stressed Gross CE
FR Scenario (Severely Adverse)
Stressed Gross CE
FR Scenario (Adverse)
Net CE Stressed Net CE
FR Scenario (Severely Adverse)
Stressed Net CE
FR Scenario (Adverse)
CVA Stressed CVA
FR Scenario and FR Specification (Severely Adverse)
Stressed CVA
FR Scenario and FR Specification (Adverse)
CSA in place? %
Gross CE with CSAs
Downgrade trigger modeled? Single Name Credit Hedges
1




















2




















3




















4




















5




















6




















7




















8




















9




















10




















11




















12




















13




















14




















15




















16




















17




















18




















19




















20





















Sheet 5: 1d) Top 20 Coll CPs by Gross CE

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




















$ Millions











































Counterparty Identifiers Credit Quality Data Exposure Data CVA Data Credit Mitigants Credit Hedges
Rank Counterparty name Counterparty ID Netting set ID
(optional)
Sub-netting set ID
(optional)
Industry Country Internal rating External rating Gross CE Stressed Gross CE
Scenario (Severely Adverse)
Stressed Gross CE
Scenario (Adverse)
Net CE Stressed Net CE
Scenario (Severely Adverse)
Stressed Net CE
Scenario (Adverse)
CVA Stressed CVA
Scenario and FR Specification (Severely Adverse)
Stressed CVA
Scenario and FR Specification (Adverse)
CSA in place? %
Gross CE with CSAs
Downgrade trigger modeled? Single Name Credit Hedges
1




















2




















3




















4




















5




















6




















7




















8




















9




















10




















11




















12




















13




















14




















15




















16




















17




















18




















19




















20
































































1d) Top 20 collateralized counterparties ranked by Federal Reserve Severely Adverse Scenario Stressed Gross CE (counterparties with at least one netting set with a CSA agreement in place)




















$ Millions











































Counterparty Identifiers Credit Quality Data Exposure Data CVA Data Credit Mitigants Credit Hedges
Rank Counterparty name Counterparty ID Netting set ID
(optional)
Sub-netting set ID
(optional)
Industry Country Internal rating External rating Gross CE Stressed Gross CE
FR Scenario (Severely Adverse)
Stressed Gross CE
FR Scenario (Adverse)
Net CE Stressed Net CE
FR Scenario (Severely Adverse)
Stressed Net CE
FR Scenario (Adverse)
CVA Stressed CVA
FR Scenario and FR Specification (Severely Adverse)
Stressed CVA
FR Scenario and FR Specification (Adverse)
CSA in place? % Gross CE with CSAs Downgrade trigger modeled? Single Name Credit Hedges
1




















2




















3




















4




















5




















6




















7




















8




















9




















10




















11




















12




















13




















14




















15




















16




















17




















18




















19




















20










































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




















$ Millions











































Counterparty Identifiers Credit Quality Data Exposure Data CVA Data Credit Mitigants Credit Hedges
Rank Counterparty name Counterparty ID Netting set ID
(optional)
Sub-netting set ID
(optional)
Industry Country Internal rating External rating Gross CE Stressed Gross CE
FR Scenario (Severely Adverse)
Stressed Gross CE
FR Scenario (Adverse)
Net CE Stressed Net CE
FR Scenario (Severely Adverse)
Stressed Net CE
FR Scenario (Adverse)
CVA Stressed CVA
FR Scenario and FR Specification (Severely Adverse)
Stressed CVA
FR Scenario and FR Specification (Adverse)
CSA in place? % Gross CE with CSAs Downgrade trigger modeled? Single Name Credit Hedges
1




















2




















3




















4




















5




















6




















7




















8




















9




















10




















11




















12




















13




















14




















15




















16




















17




















18




















19




















20





















Sheet 6: 1e) Agg CVA by ratings and coll

1e) Aggregate CVA by ratings and collateralization
















$ Millions


































Aggregate CVA
















Ratings Category Exposure Data CVA Data Credit Hedges
Internal Rating External Rating Gross CE Gross CE of which is to CCPs Stressed Gross CE of which is to CCPs Scenario (Severely Adverse) Stressed Gross CE of which is to CCPs Scenario (Adverse) Stressed Gross CE
Scenario (Severely Adverse)
Stressed Gross CE
Scenario (Adverse)
Net CE Net CE of which is to CCPs Stressed Net CE of which is to CCPs Scenario (Severely Adverse) Stressed Net CE of which is to CCPs Scenario (Adverse) Stressed Net CE
Scenario (Severely Adverse)
Stressed Net CE
Scenario (Adverse)
CVA Stressed CVA
Scenario and Specification (Severely Adverse)
Stressed CVA
Scenario and Specification (Adverse)
Single Name Credit Hedges




































Additional/Offline CVA reserves
















Ratings Category Exposure Data CVA Data Credit Hedges
Internal Rating External Rating Gross CE Gross CE of which is to CCPs Stressed Gross CE of which is to CCPs Scenario (Severely Adverse) Stressed Gross CE of which is to CCPs Scenario (Adverse) Stressed Gross CE
Scenario (Severely Adverse)
Stressed Gross CE
Scenario (Adverse)
Net CE Net CE of which is to CCPs Stressed Net CE of which is to CCPs Scenario (Severely Adverse) Stressed Net CE of which is to CCPs Scenario (Adverse) Stressed Net CE
Scenario (Severely Adverse)
Stressed Net CE
Scenario (Adverse)
CVA Stressed CVA
Scenario and Specification (Severely Adverse)
Stressed CVA
Scenario and Specification (Adverse)
Single Name Credit Hedges
N/A N/A



















































Collateralized Netting Sets (netting sets with a CSA agreement in place) sorted by Internal Rating
















Ratings Category Exposure Data CVA Data Credit Hedges
Internal Rating External Rating Gross CE Gross CE of which is to CCPs Stressed Gross CE of which is to CCPs Scenario (Severely Adverse) Stressed Gross CE of which is to CCPs Scenario (Adverse) Stressed Gross CE
Scenario (Severely Adverse)
Stressed Gross CE
Scenario (Adverse)
Net CE Net CE of which is to CCPs Stressed Net CE of which is to CCPs Scenario (Severely Adverse) Stressed Net CE of which is to CCPs Scenario (Adverse) Stressed Net CE
Scenario (Severely Adverse)
Stressed Net CE
Scenario (Adverse)
CVA Stressed CVA
Scenario and Specification (Severely Adverse)
Stressed CVA
Scenario and Specification (Adverse)
Single Name Credit Hedges




















































































































































































Uncollateralized netting sets (netting sets without a CSA agreement in place), sorted by Internal Rating
















Ratings Category Exposure Data CVA Data Credit Hedges
Internal rating External rating Gross CE Gross CE of which is to CCPs Stressed Gross CE of which is to CCPs Scenario (Severely Adverse) Stressed Gross CE of which is to CCPs Scenario (Adverse) Stressed Gross CE
Scenario (Severely Adverse)
Stressed Gross CE
Scenario (Adverse)
Net CE Net CE of which is to CCPs Stressed Net CE of which is to CCPs Scenario (Severely Adverse) Stressed Net CE of which is to CCPs Scenario (Adverse) Stressed Net CE
Scenario (Severely Adverse)
Stressed Net CE
Scenario (Adverse)
CVA Stressed CVA
Scenario and Specification (Severely Adverse)
Stressed CVA
Scenario and Specification (Adverse)
Single Name Credit Hedges



































































































































































Sheet 7: 2) EE profile by CP

2) EE profile by counterparty: Top counterparties comprising 95% of firm CVA, ranked by CVA



















$ Millions









































Counterparty Identifiers


CVA Inputs Stressed CVA Inputs
Rank Counterparty name Counterparty ID Netting set ID
(optional)
Sub-netting set ID
(optional)
Industry Country Internal Rating External Rating Tenor Bucket in Years Marginal PD LGD (CVA) Discount Factor Stressed EE - Scenario & Specification
(Severely Adverse)
Stressed EE - Scenario & Specification
(Adverse)
Stressed Marginal PD Scenario (Severely Adverse) Stressed Marginal PD Scenario (Adverse) Stressed LGD (CVA) Scenario
(Severely Adverse)
Stressed LGD (CVA) Scenario (Adverse) Stressed LGD (PD) Scenario
(Severely Adverse)
Stressed LGD (PD) Scenario (Adverse)








































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































Sheet 8: 3) Credit quality by CP

3) Credit quality by counterparty: Top counterparties ranked by CVA comprising 95% of firm CVA















































Counterparty and Time Identifiers Data Inputs Type of Credit Quality Input
Rank Counterparty name Counterparty ID Netting set ID
(optional)
Sub-netting set ID
(optional)
Industry Country Internal rating External rating Time period (years) Market spread (bps) Spread adjustment (bps) Spread (bps) used in CVA calculation Stressed spreads (bps)
FR Scenario
(Severely Adverse)
Stressed spreads (bps)
FR Scenario
(Adverse)
Stressed spreads (bps)
BHC Scenario
Mapping approach Proxy mapping approach Proxy name Market input type Ticker / identifier Report date Source (Bloomberg, Markit, KMV, etc.) Comments

















































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































Sheet 9: 4) CVA sensitivities and slides

4) CVA sensitivities and slides: Change to asset-side CVA for a given change in the underlying, gross of any hedges

















$ Millions, Increase in CVA reported as positive figure






































Aggregate CVA sensitivities and slides
Sensitivities for Top 10 Counterparties, ranked by CVA









Top 1 Cpty Top 2 Cpty Top 3 Cpty Top 4 Cpty Top 5 Cpty Top 6 Cpty Top 7 Cpty Top 8 Cpty Top 9 Cpty Top 10 Cpty









<<insert name>> <<insert name>> <<insert name>> <<insert name>> <<insert name>> <<insert name>> <<insert name>> <<insert name>> <<insert name>> <<insert name>>









<<insert Cpty ID>> <<insert Cpty ID>> <<insert Cpty ID>> <<insert Cpty ID>> <<insert Cpty ID>> <<insert Cpty ID>> <<insert Cpty ID>> <<insert Cpty ID>> <<insert Cpty ID>> <<insert Cpty ID>>

Credit Spreads -50% -10% +1bp +10% +100% +300%
1bp 1bp 1bp 1bp 1bp 1bp 1bp 1bp 1bp 1bp

Counterparty Spread

















Aggregate

















Aggregate by rating:

















AAA

















AA

















A

















BBB

















BB

















B

















CCC

















CC

















C

















NR

















Reference Spread

















Aggregate

















Aggregate by rating:

















AAA

















AA

















A

















BBB

















BB

















B

















CCC

















CC

















C

















NR

















Interest Rates (bps) -100bps -10bps +1bp +10bps +100bps +300bps
1bp 1bp 1bp 1bp 1bp 1bp 1bp 1bp 1bp 1bp

EUR

















<=1Y

















1-5Y

















>=5-10Y

















>=10Y

















All Maturities

















GBP

















<=1Y

















1-5Y

















>=5-10Y

















>=10Y

















All Maturities

















USD

















<=1Y

















1-5Y

















>=5-10Y

















>=10Y

















All maturities

















Other material IR sensitivities

















<<Insert name/ definition>>

















<<Insert name/ definition>>

















<<Insert name/ definition>>

















<<Insert name/ definition>>

















<<Insert name/ definition>>

















FX (%) -50% -10% +1% +10% +100% +300%
+1% +1% +1% +1% +1% +1% +1% +1% +1% +1%

EUR

















GBP

















Other material FX sensitivities

















<<Insert name/ definition>>

















<<Insert name/ definition>>

















<<Insert name/ definition>>

















<<Insert name/ definition>>

















<<Insert name/ definition>>

















Equity (%) -50% -10% +1% +10% +100% +300%
+1% +1% +1% +1% +1% +1% +1% +1% +1% +1%

US <<Define>>

















Europe <<Define>>

















Other <<Define>>

















Other material equity sensitivities

















<<Insert name/ definition>>

















<<Insert name/ definition>>

















<<Insert name/ definition>>

















<<Insert name/ definition>>

















<<Insert name/ definition>>

















Commodities (%) -50% -10% +1% +10% +100% +300%
+1% +1% +1% +1% +1% +1% +1% +1% +1% +1%

Oil & Oil Products

















Natural Gas

















Power

















Coal & Freight

















Softs & Ags

















Precious Metals

















Base Metals

















Other material commodity sensitivities

















<<Insert name/ definition>>

















<<Insert name/ definition>>

















Other material sensitivities -50 -10 +1 +10 +100 +300
+1 +1 +1 +1 +1 +1 +1 +1 +1 +1

<<Insert name/ definition/units>>

















<<Insert name/ definition/units>>

















<<Insert name/ definition/units>>


















-50% -10% +1% +10% +100% +300%
+1% +1% +1% +1% +1% +1% +1% +1% +1% +1%

<<Insert name/ definition/units>>

















<<Insert name/ definition/units>>

















<<Insert name/ definition/units>>










































































Sheet 10: 5) SFT Exposure

All CCPs and G7 sovereigns + Top 25 non-CCP/G7 SFT counterparties sorted and ranked by internal (stressed) metric/scenario [for 14Q] or stressed net current exposure [for 14A].




























































































































For the Y14A provide one table for each of the stress scenarios ranked by the corresponding stressed net CE of the parent/consolidated CP.




























































































































Report each CP legal entity (within a parent/consolidated CP) and (close-out) netting agreement separately. If there is more than one business line, list each one separately. List all netting agreements with a given CP legal entity consecutively.




























































































































$ Millions


























































































































































































































































Sub-schedule L.5.1 - Aggregate SFT information by CP legal entity and master netting agreement




























































































































Counterparty, Netting Agreement identifiers Master Netting Agreement Exposure and Collateral MtM Values Credit Quality




























































































Rank CP Name (parent/consolidated) Parent/Consolidated Entity CP ID CP Legal Entity Name Legal Entity ID Netting Agreement ID Industry Country Internal rating External rating Agreement Type Agreement Role Agreement Detail Netting Level Netting Set Detail Legal Enforceability WWR position Total Net Stressed CE scenario (Severely Adverse) Toal Net Stressed CE scenario (Adverse) Net Stressed CE scenario (Severely Adverse) Net Stressed CE scenario (Adverse)
Stressed MtM Posted scenario (Severely Adverse)
Stressed MtM Received scenario (Severely Adverse) Stressed MtM Posted scenario (Adverse) Stressed MtM Received scenario (Adverse) Net CE MtM Posted MtM Received CP Credit Entity Type CP Credit Spread (bp) CP Legal Entity Identifier CP Stressed Spread scenario (Adverse) CP Stressed Spread scenario (Severely Adverse)




























































































1 CPName1 CP1 CP1_Legal_Ent_1
NA1_1_1



Cross-product (combined) Agent Proprietary - MNA with SLA and MRA CPEntity-Principal Liquid Y None












































































































2 CPName1 CP1 CP1_Legal_Ent_1
NA1_1_2



Cross-product (combined) Agent Proprietary - MNA with SLA and MRA CPEntity-Principal Less Liquid Y None












































































































3 CPName2 CP2 CP2_Legal_Ent_1
NA2_1_1



Repo Principal GMRA (2011 version) CPEntity-Principal Liquid Y None












































































































4 CPName3 CP3 CP3_Legal_Ent_1
NA3_1_1



Sec Lending Agent MSLA (2005 version) - Indemnified sec lending Client Liquid Y None












































































































5 CPName3 CP3 CP3_Legal_Ent_2
NA3_2_1



Sec Lending Agent GMSLA (2010 version) Client Liquid Y None












































































































6 CPName4 CP4 CP4_Legal_Ent_2
NA4_1_1



Sec Lending Principal MSLA (2005 version, modified) CPEntity-Principal Liquid N Specific





































































































































































































































































































































































































































































































Report unstressed MtM values for each of the product categories below, for all of the CP legal entities and netting agreements listed in the table above.




























































































































For the Y14Q, provide one table of unstressed MtM values ranked by ranked by the internal (stressed) metric. For the Y14A provide one table of unstressed and corresponding stressed MtM values for each of the stress scenarios ranked by the corresponding stressed net CE of the parent/consolidated CP.




























































































































Report MtM values for both posted and received sides, irrespective of whether close-out netting is legally enforceable or not.




























































































































$ Millions


























































































































































































































































Sub-schedule L.5.2 - SFT exposure MtM values by CP legal entity and master netting agreement




























































































































Counterparty identifiers Unstressed MtM (Posted)


















Unstressed MtM (Received)




























Stressed MtM (Posted)




























Stressed MtM (Received)




























Rank CP Name (parent/consolidated) Parent/Consolidated Entity CP ID CP Legal Entity Name Legal Entity ID Netting Agreement ID Central Debt MtM (Posted) Equity MtM (Posted) Corporate Bonds Advanced Economies MtM (Posted) Corporate Bonds, Other Economies MtM (Posted) ETF (Posted) US Agency MBS/CMBS MtM (Posted) Non-Agency RMBS/ABS/CMBS MtM (Posted) Cash MtM (Posted) Other MtM (Posted) Central Debt MtM (Received) Equity MtM (Received) Corporate Bonds Advanced Economies MtM (Received) Corporate Bonds, Other Economies MtM (Received) ETF (Received) US Agency MBS/CMBS MtM (Received) Non-Agency RMBS/ABS/CMBS MtM (Received) Cash MtM (Received) Other MtM (Received) Central Debt MtM (Posted) Equity MtM (Posted) Corporate Bonds Advanced Economies MtM (Posted) Corporate Bonds, Other Economies MtM (Posted) ETF (Posted) US Agency MBS/CMBS MtM (Posted) Non-Agency RMBS/ABS/CMBS MtM (Posted) Cash MtM (Posted) Other MtM (Posted) Central Debt MtM (Received) Equity MtM (Received) Corporate Bonds Advanced Economies MtM (Received) Corporate Bonds, Other Economies MtM (Received) ETF (Received) US Agency MBS/CMBS MtM (Received) Non-Agency RMBS/ABS/CMBS MtM (Received) Cash MtM (Received) Other MtM (Received)






USD Germany UK/ ance Other Eurozone Japan Other US CAD UK Eurozone Other Economies (specify) IG Sub-IG IG Sub-IG Equity Fixed Income Pass-Throughs Other (specify) Investment Grade Non-Investment Grade USD EUR GBP JPY Other Inflation-indexed securities Commercial paper Municipals Other (specify) USD Germany UK/France Other Eurozone Japan Other US CAD UK Eurozone Other Economies (specify) IG Sub-IG IG Sub-IG Equity Fixed Income Pass-Throughs Other (specify) Investment Grade Non-Investment Grade USD EUR GBP JPY Other Inflation-indexed securities Commercial paper Municipals Other (specify) USD Germany UK/France Other Eurozone Japan Other US CAD UK Eurozone Other Economies (specify) IG Sub-IG IG Sub-IG Equity Fixed Income Pass-Throughs Other (specify) Investment Grade Non-Investment Grade USD EUR GBP JPY Other Inflation-indexed securities Commercial paper Municipals Other (specify) USD Germany UK/France Other Eurozone Japan Other US CAD UK Eurozone Other Economies (specify) IG Sub-IG IG Sub-IG Equity Fixed Income Pass-Throughs Other (specify) Investment Grade Non-Investment Grade USD EUR GBP JPY Other Inflation-indexed securities Commercial paper Municipals Other (specify)
1




























































































































2

























































































































































































































































25
























































































































































































































































































































































































Sub-schedule L.5.3 - Aggregate SFTs by Internal Rating





Repo and Reverse Repo - Gross Value of Instruments on Reporting Date Securities Lending and Borrowing - Gross Value of Instruments on Reporting Date




















































































Ratings Category Exposure Data

US Treasury Agency MBS Equities Corporate Bonds Non-Agency (ABS, RMBS) Sovereigns Sovereigns Other Cash (+/-) US Treasury Agency MBS Equities Corporate Bonds Non-Agency (ABS, RMBS) Sovereigns Other Cash (+/-)




















































































Internal rating External rating Net CE Stressed Net CE
BHC scenario
Stressed Net CE
scenario
Indeminified Securities Lent (Notional Balance) Indeminified Cash Collateral Reinvestment
(Notional Balance)
Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received
































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































































Sub-schedule L.5.1.a - Aggregate SFT information by CP legal entity and master netting agreement (as ranked by Stressed Net CE scenario (Adverse))




























































































































Counterparty, Netting Agreement identifiers Master Netting Agreement Exposure and Collateral MtM Values Credit Quality



























































































Rank CP Name (parent/consolidated) Parent/Consolidated Entity CP ID CP Legal Entity Name Legal Entity ID Netting Agreement ID Industry Country Internal rating External rating Author: The "cross-product (combined)" agreement allows netting across repo/rev repo and securities lending/borrowing positions. Agreement Agreement Type Agreement Detail Netting Level Netting Set Detail Specify if close-out netting is legally enforceable, per the CP's jurisdiction. Legal Enforceability Author: Choose "None" only if none of the trades under the netting set are WWR positions. WWR position Total Net Stressed CE scenario (Severely Adverse) Toal Net Stressed CE scenario (Adverse) Stressed Net CE scenario (Severely Adverse)
Stressed Net CE scenario (Adverse)

Stressed MtM Posted scenario (Severely Adverse)
Stressed MtM Received scenario (Severely Adverse) Stressed MtM Posted scenario (Adverse) Stressed MtM Received scenario (Adverse) Unstressed Net CE Unstressed MtM Posted Unstressed MtM Received CP Credit Entity Type CP Credit Spread (bp) CP Credit Recovery CP Legal Entity Identifier CP Stressed Spread scenario (Adverse) CP Stressed Spread FR scenario (Severely Adverse)



























































































1 CPName1 CP1 CP1_Legal_Ent_1
NA1_1_1



Cross-product (combined) Agent Proprietary - MNA with SLA and MRA CPEntity-Principal Liquid Y None












































































































2 CPName1 CP1 CP1_Legal_Ent_1
NA1_1_2



Cross-product (combined) Agent Proprietary - MNA with SLA and MRA CPEntity-Principal Less Liquid Y None












































































































3 CPName2 CP2 CP2_Legal_Ent_1
NA2_1_1



Repo Principal GMRA (2011 version) CPEntity-Principal Liquid Y None












































































































4 CPName3 CP3 CP3_Legal_Ent_1
NA3_1_1



Sec Lending Agent MSLA (2005 version) - Indemnified sec lending Client Liquid Y None












































































































5 CPName3 CP3 CP3_Legal_Ent_2
NA3_2_1



Sec Lending Agent GMSLA (2010 version) Client Liquid Y None












































































































6 CPName4 CP4 CP4_Legal_Ent_2
NA4_1_1



Sec Lending Principal MSLA (2005 version, modified) CPEntity-Principal Liquid N Specific





































































































































































































































































































































































































































































































Report unstressed MtM values for each of the product categories below, for all of the CP legal entities and netting agreements listed in the table above.




























































































































For the Y14Q, provide one table of unstressed MtM values ranked by ranked by the internal (stressed) metric. For the Y14A provide one table of unstressed and corresponding stressed MtM values for each of the stress scenarios ranked by the corresponding stressed net CE of the parent/consolidated CP.




























































































































Report MtM values for both posted and received sides, irrespective of whether close-out netting is legally enforceable or not.




























































































































$ Millions


























































































































































































































































Sub-schedule L.5.2.a - SFT exposure MtM values by CP legal entity and master netting agreement (as ranked by Stressed Net CE scenario (Adverse))




























































































































Counterparty identifiers Unstressed MtM (Posted)


















Unstressed MtM (Received)




























Stressed MtM (Posted)




























Stressed MtM (Received)




























Rank CP Name (parent/consolidated) Parent/Consolidated Entity CP ID CP Legal Entity Name Legal Entity ID Netting Agreement ID Central Debt MtM (Posted) Equity MtM (Posted) Corporate Bonds Advanced Economies MtM (Posted) Corporate Bonds, Other Economies MtM (Posted) ETF (Posted) US Agency MBS/CMBS MtM (Posted) Non-Agency RMBS/ABS/CMBS MtM (Posted) Cash MtM (Posted) Other MtM (Posted) Central Debt MtM (Received) Equity MtM (Received) Corporate Bonds Advanced Economies MtM (Received) Corporate Bonds, Other Economies MtM (Received) ETF (Received) US Agency MBS/CMBS MtM (Received) Non-Agency RMBS/ABS/CMBS MtM (Received) Cash MtM (Received) Other MtM (Received) Central Debt MtM (Posted) Equity MtM (Posted) Corporate Bonds Advanced Economies MtM (Posted) Corporate Bonds, Other Economies MtM (Posted) ETF (Posted) US Agency MBS/CMBS MtM (Posted) Non-Agency RMBS/ABS/CMBS MtM (Posted) Cash MtM (Posted) Other MtM (Posted) Central Debt MtM (Received) Equity MtM (Received) Corporate Bonds Advanced Economies MtM (Received) Corporate Bonds, Other Economies MtM (Received) ETF (Received) US Agency MBS/CMBS MtM (Received) Non-Agency RMBS/ABS/CMBS MtM (Received) Cash MtM (Received) Other MtM (Received)






USD Germany UK/ ance Other Eurozone Japan Other US CAD UK Eurozone Other Economies (specify) IG Sub-IG IG Sub-IG Equity Fixed Income Pass-Throughs Other (specify) Investment Grade Non-Investment Grade USD EUR GBP JPY Other Inflation-indexed securities Commercial paper Municipals Other (specify) USD Germany UK/France Other Eurozone Japan Other US CAD UK Eurozone Other Economies (specify) IG Sub-IG IG Sub-IG Equity Fixed Income Pass-Throughs Other (specify) Investment Grade Non-Investment Grade USD EUR GBP JPY Other Inflation-indexed securities Commercial paper Municipals Other (specify) USD Germany UK/France Other Eurozone Japan Other US CAD UK Eurozone Other Economies (specify) IG Sub-IG IG Sub-IG Equity Fixed Income Pass-Throughs Other (specify) Investment Grade Non-Investment Grade USD EUR GBP JPY Other Inflation-indexed securities Commercial paper Municipals Other (specify) USD Germany UK/France Other Eurozone Japan Other US CAD UK Eurozone Other Economies (specify) IG Sub-IG IG Sub-IG Equity Fixed Income Pass-Throughs Other (specify) Investment Grade Non-Investment Grade USD EUR GBP JPY Other Inflation-indexed securities Commercial paper Municipals Other (specify)
1




























































































































2

























































































































































































































































25





























































































































Sheet 11: 6) Derivs Exposure

All CCPs and G7 Sovereigns + Top 25 non-CCP/G7 Derivatives counterparties sorted and ranked by internal (stressed) metric/scenario [for 14Q] or stressed net current exposure [for 14A]. Rank CCPs by initial margin posted + default fund contribution.


















































For the Y14A provide one table for each of the stress scenarios ranked by the corresponding stressed net CE of the parent/consolidated CP.


















































Report each CP legal entity (within a parent/consolidated CP) and (close-out) netting agreement separately. If there is more than one business line, list each one separately. List all netting agreements with a given CP legal entity consecutively.


















































$ Millions






































































































Sub-schedule L.6.1 - Aggregate derivative information by counterparty legal entity and master netting agreement



















































Counterparty, Netting Agreement identifiers Master Netting Agreement Stressed Current Exposure Exposure MtM Values Collateral MtM Values Credit Quality and CDS Hedges




























Cash Collateral (non CCPs) or Variation Margin (CCPs) MtM

















Rank CP Name (parent/consolidated) Parent/Consolidated Entity CP ID CP Legal Entity Name Legal Entity ID Netting Agreement ID Industry Country Rating CSA Type Independent Amount (non CCP) or Initial Margin (CCP) Non-cash collateral type Excess Variation Margin (for CCPs) Default Fund (for CCPs) Threshold CP Threshold BHC Minimum Transfer Amount CP Minimum Transfer Amount BHC Margining equency CSA contractual features (non-vanilla) WWR position Total Net Stressed CE Scenario (Severely Adverse) Total Net Stressed CE Scenario (Adverse) Net Stressed CE Scenario (Severely Adverse) Net Stressed CE Scenario (Adverse) Unstressed MtM Exposure Stressed Exposure MtM
scenario (Severely Adverse)
Stressed Exposure MtM
scenario (Adverse)
Total Unstressed MtM Cash Collateral (non CCPs) USD EUR GBP JPY Other Total Unstressed MtM Collateral (non CCPs) Stressed Cash Collateral MtM
scenario (Severely Adverse)
Stressed Cash Collateral MtM
scenario (Adverse)
Stressed Total Collateral MtM
scenario (Severely Adverse)
Stressed Total Collateral MtM
scenario (Adverse)
CDS Reference Entity Type 5Y CDS Spread (bp) CDS Recovery CP Legal Entity Identifier WWR hedge? CDS Hedge Notional CDS Hedge CR01 5Y CDS Stressed Spread scenario (Adverse) 5Y CDS Stressed Spread scenario (Severely Adverse) CDS Stressed CR01 scenario (Adverse) CDS Hedge Stressed CR01 Stressed CVA scenario (Adverse) Stressed CVA scenario (Severely Adverse)
1 CPName1 CP1 CP1_Legal_Ent_1
NS1_1_1













None






























2 CPName2 CP2 CP2_Legal_Ent_1
NS2_1_1













None






























3 CPName2 CP2 CP2_Legal_Ent_1
NS2_1_2













None






























4 CPName2 CP2 CP2_Legal_Ent_2
NS2_2_1













None






























5 CPName3 CP3 CP3_Legal_Ent_1
NS3_1_1













None






























6 CPName4 CP4 CP4_Legal_Ent_1
NS4_1_1













Specific






























7 CPName5 CP5 CP5_Legal_Ent_1
NS5_1_1













General





































































































































Report unstressed MtM values for each of the product categories below, for all of the CP legal entities and netting agreements listed in the table above.


















































For the Y14Q, provide one table of unstressed MtM values ranked by ranked by the internal (stressed) metric. For the Y14A provide one table of unstressed and corresponding stressed MtM values for each of the stress scenarios ranked by the corresponding stressed net CE of the parent/consolidated CP.


















































$ Millions






































































































Sub-schedule L.6.2 - Derivative exposure MtM values by CP legal entity and master netting agreement



















































Counterparty identifiers Unstressed Exposure MtM by Asset category Stressed Exposure MtM by Asset category





































































Rank CP Name (parent/consolidated) Parent/Consolidated Entity CP ID CP Legal Entity Name Legal Entity ID Netting Agreement ID Vanilla Interest Rate Derivatives, MTM Vanilla FX Derivatives, MtM Vanilla Commodity (Cash) Derivatives MtM Vanilla Credit Derivatives, MtM Vanilla Equity Derivatives, MtM Structured Interest Rate Derivatives, MTM Flow Exotic and Structured FX Derivatives, MtM Other Cash + Physical Commodity Derivatives MtM Other (single name) Credit Derivatives, MtM Structured (Multi-name) Credit Derivatives, MtM Exotic Equity Derivatives, MtM Hybrids MtM Structued Products (MBS, ABS) Other MtM (provide details, breakdown) Vanilla Interest Rate Derivatives, MTM Vanilla FX Derivatives, MtM Vanilla Commodity (Cash) Derivatives MtM Vanilla Credit Derivatives, MtM Vanilla Equity Derivatives, MtM Structured Interest Rate Derivatives, MTM Flow Exotic and Structured FX Derivatives, MtM Other Cash + Physical Commodity Derivatives MtM Other (single name) Credit Derivatives, MtM Structured (Multi-name) Credit Derivatives, MtM Exotic Equity Derivatives, MtM Hybrids MtM Structued Products (MBS, ABS) Other MtM (provide details, breakdown)

















1


















































2


















































3


















































4


















































5

























































































































































Sub-schedule L.6.1.a - Aggregate derivative information by counterparty legal entity and master netting agreement (as ranked by Stressed Net CE Scenario (Adverse))



















































Counterparty, Netting Agreement identifiers Master Netting Agreement Stressed Current Exposure Exposure MtM Values Collateral MtM Values Credit Quality and CDS Hedges




























Cash Collateral (non CCPs) or Variation Margin (CCPs) MtM

















Rank CP Name (parent/consolidated) Parent/Consolidated Entity CP ID CP Legal Entity Name Legal Entity ID Netting Agreement ID Industry Country Rating CSA Type Independent Amount (non CCP) or Initial Margin (CCP) Non-cash collateral type Excess Variation Margin (for CCPs) Default Fund (for CCPs) Threshold CP Threshold BHC Minimum Transfer Amount Minimum Transfer Amount BHC Margining equency CSA contractual features (non-vanilla) WWR position Total Net Stressed CE Scenario (Severely Adverse) Total Net Stressed CE Scenario (Adverse) Net Stressed CE Scenario (Severely Adverse) Net Stressed CE Scenario (Adverse) Unstressed MtM Exposure Stressed Exposure MtM
scenario (Severely Adverse)
Stressed Exposure MtM
scenario (Adverse)
Total Unstressed MtM Cash Collateral (non CCPs) USD EUR GBP JPY Other Total Unstressed MtM Collateral (non CCPs) Stressed Cash Collateral MtM
scenario (Severely Adverse)
Stressed Cash Collateral MtM
scenario (Adverse)
Stressed Total Collateral MtM
scenario (Severely Adverse)
Stressed Total Collateral MtM
scenario (Adverse)
CDS Reference Entity Type 5Y CDS Spread (bp) CDS Recovery CP Legal Entity Identifier WWR hedge? CDS Hedge Notional CDS Hedge CR01 5Y CDS Stressed Spread scenario (Adverse) 5Y CDS Stressed Spread scenario (Severely Adverse) CDS Stressed CR01 scenario (Adverse) CDS Hedge Stressed CR01 Stressed CVA scenario (Adverse) Stressed CVA scenario (Severely Adverse)
1 CPName1 CP1 CP1_Legal_Ent_1
NS1_1_1













None






























2 CPName2 CP2 CP2_Legal_Ent_1
NS2_1_1













None






























3 CPName2 CP2 CP2_Legal_Ent_1
NS2_1_2













None






























4 CPName2 CP2 CP2_Legal_Ent_2
NS2_2_1













None






























5 CPName3 CP3 CP3_Legal_Ent_1
NS3_1_1













None






























6 CPName4 CP4 CP4_Legal_Ent_1
NS4_1_1













Specific






























7 CPName5 CP5 CP5_Legal_Ent_1
NS5_1_1













General





































































































































Sub-schedule L.6.2.a - Derivative exposure MtM values by CP legal entity and master netting agreement (as ranked by Stressed Net CE Scenario (Adverse))



















































Counterparty identifiers Unstressed Exposure MtM by Asset category Stressed Exposure MtM by Asset category





































































Rank CP Name (parent/consolidated) Parent/Consolidated Entity CP ID CP Legal Entity Name Legal Entity ID Netting Agreement ID Vanilla Interest Rate Derivatives, MTM Vanilla FX Derivatives, MtM Vanilla Commodity (Cash) Derivatives MtM Vanilla Credit Derivatives, MtM Vanilla Equity Derivatives, MtM Structured Interest Rate Derivatives, MTM Flow Exotic and Structured FX Derivatives, MtM Other Cash + Physical Commodity Derivatives MtM Other (single name) Credit Derivatives, MtM Structured (Multi-name) Credit Derivatives, MtM Exotic Equity Derivatives, MtM Hybrids MtM Structued Products (MBS, ABS) Other MtM (provide details, breakdown) Vanilla Interest Rate Derivatives, MTM Vanilla FX Derivatives, MtM Vanilla Commodity (Cash) Derivatives MtM Vanilla Credit Derivatives, MtM Vanilla Equity Derivatives, MtM Structured Interest Rate Derivatives, MTM Flow Exotic and Structured FX Derivatives, MtM Other Cash + Physical Commodity Derivatives MtM Other (single name) Credit Derivatives, MtM Structured (Multi-name) Credit Derivatives, MtM Exotic Equity Derivatives, MtM Hybrids MtM Structued Products (MBS, ABS) Other MtM (provide details, breakdown)

















1


















































2


















































3


















































4


















































5






































































































Sheet 12: Notes to the CCR Schedule

Notes to the CCR Schedule
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File Modified0000-00-00
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