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pdfBoard of Governors of the Federal Reserve System
Instructions for Preparation of
Banking Organization Systemic Risk Report
Reporting Form FR Y-15
Reissued December 20132015
Contents
GENERAL INSTRUCTIONS FOR PREPARATION OF THE BANKING ORGANIZATION
SYSTEMIC RISK REPORT
Who Must Report .................................................................................................................... GEN-1
A. Reporting Criteria .................................................................................................................. GEN-1
B. Shifts in Reporting Status ...................................................................................................... GEN-1
C. Rules of Consolidation .......................................................................................................... GEN-1
D. Exclusions from coverage of the consolidated report ............................................................. GEN-2
Where to Submit the Report .................................................................................................... GEN-2
When to Submit the Report ..................................................................................................... GEN-2
How to Prepare the Report ...................................................................................................... GEN-2
A. Applicability of GAAP .......................................................................................................... GEN-2
B. Report Form Captions and Instructional Detail ...................................................................... GEN-2
C. Rounding ............................................................................................................................... GEN-3
D. Negative Entries .................................................................................................................... GEN-3
E. Confidentiality ....................................................................................................................... GEN-3
F. Verification and Signatures .................................................................................................... GEN-3
G. Amended Reports .................................................................................................................. GEN-4
H. Data Items Automatically Retrieved from Other Reports ....................................................... GEN-4
FR Y-15
Contents
December 2015
Contents-1
Contents
LINE ITEM INSTRUCTIONS FOR THE BANKING ORGANIZATION SYSTEMIC RISK
REPORT
Schedule A – Size Indicator ............................................................................................................ A-1
Schedule B – Interconnectedness Indicators .................................................................................... B-1
Schedule C – Substitutability Indicators .......................................................................................... C-1
Schedule D – Complexity Indicators ............................................................................................... D-1
Schedule E – Cross-Jurisdictional Activity Indicators ..................................................................... E-1
Schedule F – Ancillary Indicators ................................................................................................... F-1
Schedule G – Short-Term Wholesale Funding Indicator .................................................................. G-1
Optional Narrative Statement ......................................................................................................ONS-1
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FR Y-15
Contents
December 2015
Contents-2
GLOSSARY OF TERMS AND EDITS FOR THE BANKING ORGANIZATION SYSTEMIC
RISK REPORT
Glossary ........................................................................................................................................ GL-1
Validity Edits ............................................................................................................................ CHK-1
Quality Edits ............................................................................................................................. EDIT-1
FR Y-15
Contents
December 2015
Contents-3
INSTRUCTIONS FOR PREPARATION OF
Banking Organization
Systemic Risk Report
FR Y-15
GENERAL INSTRUCTIONS
Who Must Report
A. Reporting Criteria
The following banking organizations must file the
Banking Organization Systemic Risk Report (FR Y15) as of the last calendar day of March, June,
September, and December:
(1) Holding
Companies
with
Total
Consolidated Assets of $50 Billion or
More. Bank holding companies (BHCs)
andthat and covered savings and loan
holding companies (SLHCs) 1 that have
total consolidated assets of $50 billion or
more as of the June 30th prior to the
December 31st as-of date, including those
U.S. top-tier BHCsholding companies that
are subsidiaries of foreign banking
organizations, must file the FR Y-15 for
that year., subject to applicable phase-in
arrangements. Only the top tier BHC of a
multi-tiered holding company that meets
these criteria must file.
1. Covered SLHCs are those which are not substantially engaged in
insurance or commercial activities. For more information, see the
FR Y-15
General Instructions
December 20132015
(2) U.S.-Based Organizations Designated as
Global Systemically Important Banks by
the Basel Committee on Banking
Supervision.. Any BHC organized under
the laws of the U.S. or any of the states
therein that iswas identified as a global
systemically important bank (G-SIB) based
on their most recent method 1 score
calculation 2 must file the FR Y-15 even if
they do not meet the consolidated assets
threshold.
B. Shifts in Reporting Status
A top-tier holding company that reaches $50 billion
or more in total consolidated assets as of June 30
must begin reporting the FR Y-15 in December of the
same year. If a top-tier holding company reaches $50
billion or more in total consolidated assets due to a
business combination, a reorganization, or a branch
acquisition that is not a business combination, then
the holding company must begin reporting the FR Y15 with the first quarterly report date following the
effective date of the business combination,
reorganization, or branch acquisition. If a holding
company’s total consolidated assets should
subsequently fall to less than $50 billion for four
consecutive quarters, then the holding company is no
definition of “covered savings and loan holding company” provided in
12 CFR 217.2.
2
See 12 CFR 217.402.
GEN-1
longer required to file the FR Y-15 starting with the
fifth quarter.
C. Rules of Consolidation
For purposes of this report, all offices (i.e., branches,
subsidiaries, variable interest entities and
international banking facilities (IBFs)) that are
within the scope of the consolidated holding
company are to be reported on a consolidated basis.
Unless the instructions specifically state otherwise,
this consolidation shall be on a line-by-line basis,
according to the caption shown. As part of the
consolidation process, the results of all transactions
and all intercompany balances (e.g., outstanding
asset/debt
relationships)
between
offices,
subsidiaries, and other entities included in the scope
of the consolidated holding company are to be
eliminated in the consolidation and must be excluded
from the FR Y-15.
Subsidiaries of Subsidiaries. For a subsidiary of a
holding company that is in turn the parent of one or
more subsidiaries: (1) Each subsidiary shall
consolidate its majority-owned subsidiaries in
accordance with the consolidation requirements set
forth above. (2) Each subsidiary shall account for any
investments in unconsolidated subsidiaries,
corporate joint ventures over which the holding
company exercises significant influence, and
associated companies according to the equity method
of accounting.
D. Exclusions from coverage of the
consolidated report
Subsidiaries where control does not rest with the
parent. If control of a majority-owned subsidiary by
the holding company does not rest with the holding
company because of legal or other reasons (e.g., the
subsidiary is in bankruptcy), the subsidiary is not
required to be consolidated for purposes of the report.
Additional guidance on this topic is provided in
accounting
standards,
including
Financial
Accounting Standards Board (FASB) Accounting
Standards Codification (ASC) Subtopic 810-10,
Consolidation – Overall.
Custody accounts. Custody and safekeeping
activities (i.e., the holding of securities, jewelry, coin
collections, and other valuables in custody or in
safekeeping for customers) must not be reflected on
FR Y-15
General Instructions
December 20132015
any basis in the balance sheet items on the FR Y-15
unless cash funds held in safekeeping for customers
are commingled with the general assets of the
reporting holding company. In such cases, the
commingled funds would be reported on the FR Y15.. The exclusion of custody accounts does not
apply to line items specifically capturing assets under
custody.
Where to Submit the Report
Electronic Submission
All banking organizations must submit their
completed
report
electronically.
Banking
organizations should contact their district Reserve
Bank
or
go
to www.frbservices.org/centralbank/reportingcentral
/ for procedures for electronic submission.
When to Submit the Report
The FR Y-15 is required to be submitted as of March
31, June 30, September 30, and December 31. The
submission date for banking organizations is 50
calendar days after the March 31, June 30, and
September 30 as-of dates and 65 calendar days after
the December 31 as-of date. Note that the end-2015
submission date has been extended to 90 calendar
days after the December 31, 2015 as-of date.
The term “submission date” is defined as the date by
which the Federal Reserve must receive the banking
organization’s FR Y-15.
If the submission deadline falls on a weekend or
holiday, the report must be received on the first
business day after the Saturday, Sunday, or holiday.
Earlier submission aids the Federal Reserve in
reviewing and processing the reports and is
encouraged. No extensions of time for submitting
reports are granted.
The reports are due by the end of the reporting day
on the submission date (5:00 P.M. at each district
Federal Reserve Bank).
How to Prepare the Report
A. Applicability of GAAP
GEN-2
Banking organizations are required to prepare and
file the FR Y-15 in accordance with U.S. generally
accepted accounting principles (GAAP) and these
instructions. The report shall be prepared in a
consistent manner. The banking organization’s
financial records shall be maintained in such a
manner and scope so as to ensure that the FR Y-15
can be prepared and filed in accordance with these
instructions and reflect a fair presentation of the
banking organization’s financial condition and
results of operations.
Banking organizations should retain workpapers and
other records used in the preparation of this report.
B. Report Form Captions and
Instructional Detail
No caption on the report forms shall be changed in
any way. Enter an amount or a zero for all items
except in the cases where the data are calculated
automatically or retrieved from another report. The
items retrieved from other reports are listed in the
General Instructions under Section H (Data Items
Automatically Retrieved from Other Reports).
There may be areas in which a banking organization
wishes to obtain more technical detail on the
application of accounting standards and procedures
to the requirements of these instructions. Such
information may be found in more detail in the
GAAP standards. Selected sections of the GAAP
standards are referenced in the instructions where
appropriate.
Questions and requests for interpretations of matters
appearing in any part of these instructions should be
addressed to the appropriate Federal Reserve Bank
(that is, the Federal Reserve Bank in the district
where the banking organization submits this report).
C. Rounding
Report all dollar amounts in thousands. Each banking
organization, at its option, may round the figures
reported to the nearest million, with zeros reported in
the thousands column. For banking organizations
exercising this option, amounts less than $500,000
will be reported as zero. Rounding could result in
details not adding to their stated totals. However, to
ensure consistent reporting, the rounded detail items
FR Y-15
General Instructions
December 20132015
must be adjusted so that the totals and the sums of
their components are identical.
D. Negative Entries
Except for the item listed below, negative entries are
generally not appropriate on the FR Y-15 and should
not be reported. Hence, assets with credit balances
must be reported in liability items and liabilities with
debit balances must be reported in asset items, as
appropriate, and in accordance with these
instructions. The only items for which a negative
entry may be made are: Schedule A, item 3,(b),
“Regulatory adjustments;” Schedule F, item 34,
“Total net revenue;” and, Schedule F, item 45,
“Foreign net revenue.” When a negative entry does
occur for these items, it shall be recorded with a
minus (-) sign rather than in parentheses.
E. Confidentiality
Except as otherwise noted, the collected information
will be made available to the public for report dates
beginning December 31, 2013. The following line
items will be kept confidential for the December 31,
2013, report date and made publically available
beginning with the December 31, 2014, report date:
Schedule A, items 1(b)(2) through 2(a)(2) and items
2(b)(2) through 3; and, Schedule C, items 1(a)
through 1(l).. The following line items will be kept
confidential until the first reporting date after the
U.S. rule implementing thefinal liquidity coverage
ratio is finalizeddisclosure standard has been
implemented: Schedule DG, items 7 and 81 through
4.
A reporting banking organization may request
confidential treatment for items on the FR Y-15 if the
banking organization is of the opinion that, due to the
institution’s particular circumstances or activities,
disclosure of specific commercial or financial
information in the report would likely result in
substantial harm to its competitive position, or that
disclosure of the submitted information would result
in unwarranted invasion of personal privacy.
A request for line-item confidentiality must be
submitted in writing prior to, or concurrently with,
the electronic submission of the report. The request
must discuss in writing the justification for which
confidentiality is requested and must demonstrate the
specific nature of the harm that would result from
GEN-3
public release of the information. Merely stating that
competitive harm would result or that information is
personal is not sufficient.
Information for which confidential treatment is
requested may subsequently be released by the
Federal Reserve System if the Board of Governors
determines that the disclosure of such information is
in the public interest.
When line-item confidentiality is granted in the
context of the For data items automatically retrieved
from the Consolidated Financial Statements for Bank
Holding Companies (FR Y-9C), theline-item
confidentiality must be requested in the context of
the FR Y-9C. Should confidentiality for any such
item be granted, confidential status will
automatically applyextend to the corresponding
itemsdata item on the FR Y-15 (see General
Instructions,
Section
H).
This
confidentialityConfidential status will also extend to
any automatically-calculated items on the FR Y-15
that have been derived from the confidential data
item and that, if released, would reveal the
underlying confidential data.
F. Verification and Signatures
Estimates. For institutions filing this report for the
first time, reasonable estimates are permitted.
Reasonable estimates are also permitted for Schedule
B, item M.1, and Schedule C, items M.1, M.2, and
M.3 for the December 31, 2015 as-of date. Also,
known overestimates are permitted for Schedule C,
items 4 and 5 for the December 31, 2015 as-of date.
Verification. All addition and subtraction should be
double-checked before the report is submitted. Totals
and subtotals should be cross-checked to
corresponding items elsewhere in the report. Before
a report is submitted, all amounts should be
compared with the corresponding amounts in the
previous report. If there are any unusual changes
from the previous report, (i.e., differences that are not
attributable to general organic growth and/or
standard fluctuations in the business cycle), a brief
explanation of the changes should be provided to the
appropriate Federal Reserve Bank. Banking
organizations should contact their district Reserve
Bank for information regarding the submission
procedure.
FR Y-15
General Instructions
December 20132015
Signatures. The FR Y-15 must be signed by the
Chief Financial Officer of the banking organization
(or by the individual performing this equivalent
function). By signing the cover page of this report,
the authorized officer acknowledges that any
knowing and willful misrepresentation or omission
of a material fact on this report constitutes fraud in
the inducement and may subject the officer to legal
sanctions provided by 18 USC 1001 and 1007.
Banking organizations must maintain in their files
a manually signed and attested printout of the data
submitted. The cover page of the submitted report
should be used to fulfill the signature and attestation
requirement. This page should be attached to the
printout placed in the banking organization’s files.
G. Amended Reports
When the Federal Reserve’s interpretation of how
GAAP or these instructions should be applied to a
specified event or transaction (or series of related
events or transactions) differs from the reporting
banking organization’s interpretation, the Federal
Reserve may require the banking organization to
reflect the event(s) or transaction(s) in its FR Y-15 in
accordance with the Federal Reserve’s interpretation
and to amend previously submitted reports. The
Federal Reserve will consider the materiality of such
event(s) or transaction(s) in making a determination
about requiring the banking organization to apply the
Federal Reserve’s interpretation and to amend
previously submitted reports. Materiality is a
qualitative characteristic of accounting information
which is defined in Financial Accounting Standards
Board (FASB) Concepts No. 2 as “the magnitude of
an omission or misstatement of accounting
information that, in the light of surrounding
circumstances, make it probable that the judgment of
a reasonable person relying on the information would
have been changed or influenced by the omission or
misstatement.”
The Federal Reserve may require the filing of an
amended FR Y-15 if the report as previously
submitted contains significant errors. In addition, a
banking organization must file an amended report
when internal or external auditors make audit
adjustments that result in a restatement of financial
statements previously submitted to the Federal
Reserve.
GEN-4
The Federal Reserve also requests that banking
organizations that have restated their prior period
financial statements as a result of an acquisition
submit revised reports for the prior year-ends. In the
event that certain of the required data are not
available, banking organizations should contact the
appropriate Federal Reserve Bank for information on
submitting revised reports.
H. Data Items Automatically Retrieved
from Other Reports
Certain data collected on the FR Y-15 may also be
collected in other reports submitted to the Federal
Reserve. If the banking organization files the other
reports at the same level of consolidation as is
required for the FR Y-15, the duplicate data items
will be populated automatically.
If the banking organization files the FR Y-9C for the
same reporting period, using the same calculation
method (i.e., point-in-time or period average), then
the following data items will be populated
automatically:
(1) Schedule A, item 1(a), “Total assets” (FR Y-9C,
Schedule HC, item 12)
(2) Schedule B, item 1416, “Commercial paper”
(FR Y-9C, Schedule HC-M, item 14(a))
(3) Schedule D, item 5, “AFS securities” (FR Y9C, Schedule HC, item 2(b))
(4) Schedule D, item 10, “Assets valued using
Level 3 measurement inputs” (FR Y-9C,
Schedule HC-Q, item 7, Column E)
(5) Schedule D, item M.1, “Held-to-maturity
securities” (FR Y-9C, Schedule HC, item 2(a))
(5)(6) Schedule F, item 1, “Total liabilities” (FR Y9C, Schedule HC, item 21)
(7) Schedule F, item 3, “Total gross revenue” (FR
Y-9C, Schedule HI, item 1(h) plus item 5(m))
(6)(8) Schedule F, item 4, “Total net revenue” (FR
Y-9C, Schedule HI, item 1(h) plus item 5(m)
minus item 2(f))
(10) Schedule F, item 5, “Total gross revenue” (FR
Y-9C, Schedule HI, item 1(h) plus item 5(m))
(11) Schedule F, item 12, “Held-to-maturity
securities” (FR Y-9C, Schedule HC, item 2(a))
(2) Schedule A, item 1(b)(1), “Net value of SFTs”
(FR Y-9C, Schedule HC, item 3(b))
If the banking organization files the Country
Exposure Report (FFIEC 009) for the same reporting
period, then the following data item will be populated
automatically:
(1) Schedule A, item 2(b)(1), “Notional amount of
credit derivatives sold” (FR Y-9C, Schedule
HC-L, items 7(a)(1) through 7(a)(4), Column
A)
(1) Schedule E, item 1, “Foreign claims on an
ultimate-risk basis” (FFIEC 009, Schedule C,
Part II, Columns 1 through 10, Total Foreign
Countries)
(1) Schedule B, item 1315, “Subordinated debt
securities” (FR Y-9C, Schedule HC, items 19(a)
and 19(b))
FR Y-15
General Instructions
December 20132015
GEN-5
LINE ITEM INSTRUCTIONS FOR
Size Indicator
Schedule A
Unless otherwise indicated, all advanced approaches banking organizations must report the data in this
schedule using averages. For on-balance sheet items, report averages over the reporting period using
daily data. For off-balance sheet items, report averages over the reporting period using monthly data (i.e.,
provide the average of the three month-end balances within the quarter). Off-balance sheet items include
the potential future exposure of derivative contracts (item 1(b)), the effective notional amount of offsets
and PFE adjustments for sold credit protection (item 1(g)), counterparty credit risk exposure for SFTs
(item 2(b)), SFT indemnification and other agent-related exposures (item 2(c)), and other off-balance
sheet exposures (item 4). Except where otherwise indicated, respondents that are not advanced
approaches banking organizations must either report all of the data in this schedule using averages or
report all of the data using point-in-time values.
Include all positions, regardless of whether they are included in the trading or banking book. The amounts
provided must be net of specific provisions and valuation adjustments. Several items involve securities
financing transactions (SFTs) (i.e., repo-style transactions), which are transactions such as repurchase
agreements, reverse repurchase agreements, and securitysecurities lending and borrowing, where the
value of the transactions depends on the market valuations and the transactions are often subject to margin
agreements.
Total Exposures
Line Item 1
Derivative exposures:
Line Item 1(a) Current exposure of derivative
contracts.
Report the current exposure (i.e., replacement cost)
of all derivative contracts, cleared and non-cleared,
net of qualifying cash variation margin. For
advanced approaches banking organizations, report
the average current exposure of all derivative
contracts, cleared and non-cleared, net of qualifying
cash variation margin, using daily data.
FR Y-15
Schedule A December 20132015
When acting as a financial intermediary in clearing
client derivative contracts (i.e., the principal model,
where the banking organization facilitates the
clearing of derivatives by becoming a direct
counterparty to both the client and the central
counterparty (CCP)), only include the exposures to
the CCP. Where a clearing member banking
organization guarantees the performance of a client
to a CCP (and would thus have a payment obligation
to the CCP in the event of a client default) (i.e., the
agency model), the clearing member banking
organization must treat the exposure associated with
the guarantee as a derivative contract and report the
associated current exposure. However, do not
include the exposure if the client and the clearing
member are affiliates and consolidated on the
A-1
banking organization’s balance sheet. For more
information, see the Glossary entry for “qualifying
cash variation margin.” For a definition of derivative
contract, see 12 CFR 217.2.
This item is equivalent to Part 2, line 4 of the
supplemental leverage ratio disclosure table (see 12
CFR 217.173, Table 13).
Line Item 1(b)(3) Securities received as )
Potential future exposure (PFE) of derivative
contracts.
Report the potential future exposure for transactions
included in item 1(a), calculated in accordance with
12 CFR 217.34(a). For advanced approaches banking
organizations, report the average potential future
exposure for transactions included in item 1(a),
calculated in accordance with 12 CFR 217.34(a),
using monthly data. Include derivative contracts to
which the banking organization is a counterparty (or
each single-product netting set of such transactions)
along with cleared transactions. Note that a banking
organization may not use cash variation margin to
reduce the net or gross current credit exposure in the
calculation of the net-to-gross ratio.
This item is equivalent to Part 2, line 5 of the
supplemental leverage ratio disclosure table (see 12
CFR 217.173, Table 13).
Line Item 1(c) Gross-up for derivatives collateral
in securities lending.
Report the amount of securities posted cash and noncash collateral that the banking organization uses to
offset the negative mark-to-fair values of associated
derivative contracts. For advanced approaches
banking organizations, report the average amount of
posted cash and non-cash collateral that the banking
organization uses to offset the negative mark-to-fair
values of associated derivative contracts using daily
data. Do not include qualifying cash variation
margin. Include cash collateral that is reported onbalance sheet under the GAAP offset option that is
not qualifying cash variation margin. For more
information, see the Glossary entry for “qualifying
cash variation margin.”
This item is equivalent to Part 2, line 6 of the
supplemental leverage ratio disclosure table (see 12
CFR 217.173, Table 13).
FR Y-15
Schedule A December 20132015
Line Item 1(d) Effective notional amount of
written credit derivatives.
Report the effective notional principal amount (that
is, the apparent or stated notional principal amount
multiplied by the effective multiplier in the
derivative contract) of credit derivatives, or other
similar instruments, through which the banking
organization provides credit protection (e.g., credit
default swaps or total return swaps that reference
instruments with credit risk, such as bonds). For
advanced approaches banking organizations, report
the average effective notional principal amount of
credit derivatives, or other similar instruments,
through which the banking organization provides
credit protection, using monthly data. This value
represents the amount owed upon a default event.
The effective notional principal amount of sold credit
protection that the banking organization clears on
behalf of a clearing member client through a CCP
may be excluded.
This item is equivalent to Part 2, line 9 of the
supplemental leverage ratio disclosure table (see 12
CFR 217.173, Table 13).
Line Item 1(e) Cash variation margin included in
item 1(a) that have beenas an on-balance sheet
receivable.
Report the amount of qualifying cash variation
margin, which is posted to a counterparty to a
derivative contract and included in item 3(a) as an
on-balance sheet receivable. For advanced
approaches banking organizations, report the average
amount of qualifying cash variation margin, which is
posted to a counterparty to a derivative contract and
included in item 3(a) as an on-balance sheet
receivable, using daily data. For more information,
see the Glossary entry for “qualifying cash variation
margin.”
This item is equivalent to Part 2, line 7 of the
supplemental leverage ratio disclosure table (see 12
CFR 217.173, Table 13).
Line Item 1(f) Exempted central counterparty
legs of client-cleared transactions included in
item 3(a).
Report the current exposure and the PFE for the
exempted CCP legs of client-cleared transactions
under the principal model (i.e., where the clearing
A-2
Formatted: Item Header
member banking organization did not guarantee the
performance of the CCP to the client) that are
included in items 1(a) and 1(b), respectively. For
advanced approaches banking organizations, report
the average current exposure using daily data and the
average PFE using monthly data for the exempted
CCP legs of client-cleared transactions that are
included in items 1(a) and 1(b), respectively.
This item is equivalent to Part 2, line 8 of the
supplemental leverage ratio disclosure table (see 12
CFR 217.173, Table 13).
Line Item 1(g) Effective notional amount offsets
and PFE adjustments for sold credit protection.
fair value reflected in common equity tier 1 capital
provided that the effective notional amount of the
offsetting purchased credit protection is also reduced
by any resulting positive change in fair value
reflected 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 collateral in net income but
does not record offsetting deterioration in the markto-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.
Report the value of effective notional principal
amount offsets and PFE adjustments for sold credit
protection. For advanced approaches banking
organizations, report the average value of effective
notional principal amount offsets and PFE
adjustments for sold credit protection using monthly
data. Offsets include any reduction in the mark-tofair value of the sold credit protection that is
recognized in common equity tier 1 capital, along
with the effective notional principal amount of
purchased credit derivatives or similar instruments
that meet the following criteria (see 12 CFR
217.10(c)(4)(ii)(D)(2)):
This item is equivalent to Part 2, line 10 of the
supplemental leverage ratio disclosure table (see 12
CFR 217.173, Table 13).
(1) The remaining maturity of the credit
protection purchased must be equal to or
greater than the remaining maturity of the
credit protection sold; and,
Report the gross value of on-balance sheet assets
related to securities financing transactions. For
advanced approaches banking organizations, report
the average gross value of on-balance sheet assets
related to securities financing transactions using
daily data. Do not include securities that are already
included in item 3(a) (e.g., securities received as
collateral in a principal securities lending
transactions buttransaction that have not been
rehypothecated or sold.). Include the gross value of
cash receivables for reverse repurchase agreements.
Include securities sold under a repurchase
agreements or a securities lending transaction that
qualify for sales treatment under GAAP.
(2) The reference obligation of the purchased
credit protection must be pari passu with or
junior to the underlying reference obligation
of the credit protection sold. If the sold credit
protection references a tranched product, the
purchased credit protection must be on a
reference obligation with the same level of
seniority.
If the effective notional amount of this sold credit
protection is included in item 1(d), the associated
PFE may be reported as an adjustment to avoid
double-counting (see 12 CFR 217.10(c)(4)(ii)(B)(1)
and (2)). However, the associated PFE may not be
reported as an adjustment if it is already being offset
through purchased credit protection.
Note that the effective notional amount of sold credit
protection may be reduced by any negative change in
FR Y-15
Schedule A December 20132015
Line Item 1(h) Total derivative exposures.
The sum of items 1(a) through 1(d), minus the sum
of items 1(e) through 1(g).
Line Item 2
Securities financing transaction
(SFT) exposures:
Line Item 2(a) Gross SFT assets.
This item is equivalent to Part 2, line 12 of the
supplemental leverage ratio disclosure table (see 12
CFR 217.173, Table 13).
Line Item 12(b)() Counterparty credit risk
exposure for SFTs.
A-3
Report the counterparty credit risk exposure for
SFTs. For advanced approaches banking
organizations, report the average counterparty credit
risk exposure for SFTs using monthly data.
Counterparty exposure is determined as the gross fair
value of the securities and cash provided to a
counterparty for all transactions included within a
qualifying master netting agreement less the gross
fair value of the securities and cash received from the
counterparty for those transactions, or zero,
whichever is greater (see the definition of “qualifying
master netting agreement” in 12 CFR 217.2). For
transactions that are not subject to a qualifying
master netting agreement, report the exposure on a
transaction-by-transaction basis, with each SFT
treated as its own netting set. Do not include
transactions where the banking organization acts as
an agent, as these exposures are captured separately
in item 2(c).
This item is equivalent to Part 2, line 14 of the
supplemental leverage ratio disclosure table (see 12
CFR 217.173, Table 13).
Line Item 2(c) SFT indemnification and other
agent-related exposures.
For transactions where the banking organization acts
as an agent and provides an indemnity to a customer,
report the gross fair value of the securities and cash
lent for all transactions within a qualifying master
netting agreement less the gross fair value of the
securities and cash received from the counterparty
for those transactions, or zero, whichever is greater.
For advanced approaches banking organizations,
report the average gross fair value, using monthly
data, of the securities and cash lent for all
transactions within a qualifying master netting
agreement less the gross fair value of the securities
and cash received from the counterparty for those
transactions, or zero, whichever is greater. For
transactions that are not subject to a qualifying
master netting agreement, report the exposure on a
transaction-by-transaction
basis,
with
each
individual transaction treated as its own netting set.
In cases where the indemnification exceeds the
calculated difference described above, report the full
value of the guarantee. If the banking organization’s
exposure to the underlying security or cash in a
transaction extends beyond the indemnification (e.g.,
when the banking organization manages received
collateral using their own account rather than the
FR Y-15
Schedule A December 20132015
customer’s account), the full value of the underlying
security or cash must be reported.
This item is equivalent to Part 2, line 15 of the
supplemental leverage ratio disclosure table (see 12
CFR 217.173, Table 13).
Line Item 2(d) Gross value of offsetting cash
payables.
Report the gross value of cash payables associated
with repurchase agreements that are permitted to
offset the cash receivables included in item 2(a). For
advanced approaches banking organizations, report
the average gross value of cash payables associated
with repurchase agreements that are permitted to
offset the cash receivables included in item 2(a),
using daily data. Such offset is permitted when the
related SFTs are with the same counterparty, subject
to the same explicit settlement date, and within a
qualifying master netting agreement (see the
definition of “qualifying master netting agreement”
in 12 CFR 217.2) and are limited to the gross value
of the related cash receivable.
This item is equivalent to Part 2, line 13 of the
supplemental leverage ratio disclosure table (see 12
CFR 217.173, Table 13).
Line Item 2(e) Total SFT exposures.
The sum of items 2(a) through 2(c), minus item 2(d).
Line Item 3
exposures:
Other on-balance sheet
Line Item 3(a) Other on-balance sheet assets.
Report the balance sheet carrying value of all on‐
balance sheet assets, including collateral but
excluding the on-balance sheet assets for derivative
transactions and repo‐style transactions. For
advanced approaches banking organizations, report
the average balance sheet carrying value of all on‐
balance sheet assets, including collateral but
excluding the on-balance sheet assets for derivative
transactions and repo‐style transactions, using daily
data. Include the amount of on-balance sheet cash
and collateral received from counterparties in
derivative transactions.
A-4
This item is equivalent to Part 2, line 1 of the
supplemental leverage ratio disclosure table (see 12
CFR 217.173, Table 13).
Line Item 3(b) Regulatory adjustments.
Report the amount of regulatory adjustments from
common equity tier 1 capital and additional tier 1
capital under the fully phased-in requirements of
Regulation Q (see 12 CFR 217.22). 3 These
adjustments include the deduction of goodwill and
intangibles, deferred tax assets, and hedging gains
and losses. Report adjustments that reduce tier 1
capital as a positive value. If the adjustment increases
tier 1 capital, report the value with a minus (-) sign.
All respondents must provide a point-in-time value,
including
advanced
approaches
banking
organizations.
This item is equivalent to Part 2, line 2 of the
supplemental leverage ratio disclosure table (see 12
CFR 217.173, Table 13).
Line Item 4)
exposures:
Other off-balance sheet
For this item, do not include off-balance sheet
exposures associated with derivatives transactions or
SFTs, as these are already being captured in items 1
and 2, respectively.
Line Item 4(a) Gross notional amount of items
subject to a 0% credit conversion factor (CCF).
Report the gross notional amount of off-balance
sheet items subject to a 0% credit conversion factor
under the standardized approach to credit risk (this
includes the unused portion of commitments which
are unconditionally cancellable at any time by the
bank without prior notice). For advanced approaches
banking organizations, report the average gross
notional amount, using monthly data, of off-balance
sheet items subject to a 0% credit conversion factor
under the standardized approach to credit risk. For
more information on the treatment of off-balance
sheet exposures under the standardized approach to
credit risk, see 12 CFR 217.33.
Line Item 4(b) Gross notional amount of items
subject to a 20% CCF.
Report the gross notional amount of off-balance
sheet items subject to a 20% credit conversion factor
under the standardized approach to credit risk. For
advanced approaches banking organizations, report
the average gross notional amount, using monthly
data, of off-balance sheet items subject to a 20%
credit conversion factor under the standardized
approach to credit risk. This would include
commitments with an original maturity up to one
year that are not unconditionally cancelable and
short-term self-liquidating trade letters of credit
arising from the movement of goods (e.g.,
documentary credits collateralized by the underlying
shipment). For more information on the treatment of
off-balance sheet exposures under the standardized
approach to credit risk, see 12 CFR 217.33.
Line Item 4(c) Gross notional amount of items
subject to a 50% CCF.
Report the gross notional amount of off-balance
sheet items subject to a 50% credit conversion factor
under the standardized approach to credit risk. For
advanced approaches banking organizations, report
the average gross notional amount, using monthly
data, of off-balance sheet items subject to a 50%
credit conversion factor under the standardized
approach to credit risk. This includes commitments
with an original maturity of more than one year that
are not unconditionally cancelable and transactionrelated contingent items such as performance bonds,
bid bonds, warranties, and performance standby
letter of credit. For more information on the
treatment of off-balance sheet exposures under the
standardized approach to credit risk, see 12 CFR
217.33.
Line Item 4(d) Gross notional amount of items
subject to a 100% CCF.
Report the gross notional amount of off-balance
sheet items subject to a 100% credit conversion
factor under the standardized approach to credit risk.
For advanced approaches banking organizations,
report the average gross notional amount, using
monthly data, of off-balance sheet items subject to a
100% credit conversion factor under the standardized
3. See www.gpo.gov/fdsys/browse/collectionCfr.action.
FR Y-15
Schedule A December 20132015
A-5
approach to credit risk. This includes guarantees,
credit-enhancing representations and warranties that
are not securitization exposures, financial standby
letters of credit, and forward agreements. Do not
include exposures associated with SFTs, as these are
already captured in item 2. For more information on
the treatment of off-balance sheet exposures under
the standardized approach to credit risk, see 12 CFR
217.33.
Line Item 4(e) Credit exposure equivalent of
other off-balance sheet items.
The sum of 0.1 times item 4(a), 0.2 times item 4(b),
0.5 times item 4(c), and item 4(d). This total
represents the credit exposure equivalent of the other
off-balance sheet items, with the 0% credit
conversion factor subject to a 10% floor.
This item is equivalent to Part 2, line 19 of the
supplemental leverage ratio disclosure table (see 12
CFR 217.173, Table 13).
Line Item 5 Total exposures prior to regulatory
deductions.
The sum of items 1(h), 2(e), 3(a), and 4(e).
This item is equivalent to Part 2, line 21 of the
supplemental leverage ratio disclosure table (see 12
CFR 217.173, Table 13).
Line Item 6 Does item 5 represent an average
value over the reporting period?
Specify whether or not the holding company has
reported the subcomponents of item 5 using average
values over the reporting period. Advanced
approaches banking organizations must report this
data using averages. Respondents that are not
advanced approaches banking organizations may
choose to report the data using averages, thought they
are not required to do so. Enter a “1” for Yes; enter a
“0” for No.
Report the amount of securities included in item 3(a)
that have been received as collateral in principal
securities lending transactions but have not been
rehypothecated or sold. All respondents must
provide a point-in-time value, including advanced
approaches banking organizations.
Line Item M2 Cash collateral received in conduit
securities lending transactions.
Report the cash collateral received in conduit
securities lending transactions. In conduit securities
lending transactions, a bank borrows securities from
one party and directly on-lends the identical
securities to another party. The bank acts as an
intermediary between the security owner and the
ultimate borrower, essentially substituting their own
credit for that of the borrower. The securities in
question may not be part of a general inventory
available for onward lending. Instead, the bank will
only obtain the securities at such time as they can
directly fulfil an outstanding order from the ultimate
borrower. Report the collateral regardless of whether
or not the transaction is being indemnified by the
bank. Include the collateral that was received and
then subsequently passed through to the security
owner. All respondents must provide a point-in-time
value, including advanced approaches banking
organizations.
Line Item 2(b)(2)M3 Credit derivatives sold net
of related credit protection bought.
Report credit derivatives sold net of related credit
protection bought. Only net out the protection bought
if it is for the same reference entity. If the protection
bought for a reference entity exceeds the amount
sold, report a zero for that particular reference entity.
All respondents must provide a point-in-time value,
including
advanced
approaches
banking
organizations.
Memoranda
Line Item M1 Securities received as collateral in
securities lending.
FR Y-15
Schedule A December 20132015
A-6
LINE ITEM INSTRUCTIONS FOR
Interconnectedness Indicators
Schedule B
For the purpose of the intra-financial system assets and intra-financial system liabilities indicators,
financial institutions are defined as depository institutions (as defined in the FR Y-9C, Schedule HC-C,
item 2), bank holding companies, securities dealers, insurance companies, mutual funds, hedge funds,
pension funds, investment banks, and central counterparties (CCPs) (as defined in Schedule D, item 1).
Central banks (e.g., the Federal Reserve) and other public sector bodies (e.g., multilateral development
banks and the Federal Home Loan Banks) are excluded, but state-owned commercial banks are included.
Stock exchanges are not included, though most stock exchanges have subsidiaries that are considered
financial institutions (e.g., securities dealers and CCPs). Include entities that are both securities brokers
and dealers, but exclude entities that are strictly securities brokers. Note that the definition of financial
institution for purposes of this report differs from the definition used in the FR Y-9C and the FFIEC 002,
which, among other things, includes finance companies.
In determining whether a transaction is with another financial institution (i.e., a financial institution
outside of the consolidated holding company), do not adopt a look-through approach. Instead, report
figures based on the immediate counterparty.
Intra-Financial System Assets
Line Item 1
Funds deposited with or lent to
unaffiliatedother financial institutions.
Report all funds deposited with or lent to
unaffiliatedother
financial
institutions
(i.e.,
unaffiliated third party financial institutions outside
of the consolidated reporting group). Lending
includes all forms of term/revolving lending, federal
funds sold, acceptances of other banks, and other
extensions of credit to financial institutions. Do not
include commercial paper, which is reported in item
FR Y-15
Schedule B December 20132015
3(d).), and securities financing transactions. Do not
include settlement balances (i.e., exposures arising
from unsettled transactions). Deposits include
balances due from financial institutions, and
currency and coin due from financial institutions (as
defined in the FR Y-9C, Schedule HC, item 1).
Include certificates of deposit but do not include
margin accounts and posted collateral.
Line Item 1(a) Certificates of deposit.
Report the total holdings of certificates of deposit
due from unaffiliatedother financial institutions as
included in item 1. For more information on
B-1
certificates of deposit, refer to the Glossary entry for
“certificate of deposit.”
Line Item 2
Undrawn Unused portion of
committed lines extended to unaffiliatedother
financial institutions.
Report the nominal value of the unused portion of all
committed lines extended to unaffiliatedother
financial institutions. Include lines which are
unconditionally cancellable. Do not include letters of
credit and unsettled securities financing transactions
(e.g., reverse repos). For more information on
commitments, see FR Y-9C, Schedule HC-L, item 1.
Line Item 3(a) Secured debt securities.
Report the total holdings of secured debt securities
(e.g., covered bonds and REIT preferred securities).).
Note that this item is not designed to capture
collateralized trades. Instead, the item is capturing
capital that has been raised through the issuance of
secured debt.
Line Item 3(b) Senior unsecured debt securities.
Report the total holdings of senior unsecured debt
securities.
Line Item 3(c) Subordinated debt securities.
Line Item 3
Holdings of securities issued by
unaffiliatedother financial institutions.
This item reflects all holdings of securities issued by
unaffiliatedother financial institutions. Report total
holdings at fair value (as defined in the FR Y-9C
Glossary entry for “fair value”) in accordance with
ASC Topic 820, Fair Value Measurements (formerly
FASB Statement No. 157, Fair Value
Measurements), for securities classified as trading
(including securities for which the fair value option
(FVO) is elected) and available-for-sale (AFS)
securities; report held-to-maturity (HTM) securities
at amortized cost in accordance with ASC 320,
Investments – Debt and Equity Securities (formerly
FASB Statement No. 115, Accounting for Certain
Investments in Debt and Equity Securities, as
amended). Report the historical cost of any equity
securities without readily determinable fair values
(e.g., bankers’ bank stock) (see FR Y-9C, Schedule
HC-F, item 4). Do not report products where the
issuing institution does not back the performance of
the asset (e.g., asset-backed securities). Include
holdings of securities issued by equity-accounted
associates (i.e., associated companies and affiliates
accounted for under the equity method of
accounting) and special purpose entities (SPEs) that
are not part of the consolidated entity for regulatory
purposes. Do not include synthetic exposures related
to derivatives transactions (e.g., when a derivative
references securities issued by other financial
institutions). Do not include loans, bond exchange
traded funds (ETFs), credit card receivables, letters
of credit, bond options, bond swaps, or bond swaps
on ETFs.
FR Y-15
Schedule B December 20132015
Report the total holdings of subordinated debt
securities.
Line Item 3(d) Commercial paper.
Report the total holdings of commercial paper of
unaffiliatedother financial institutions. For more
information on commercial paper, refer to the FR Y9C Glossary entry for “commercial paper.”
Line Item 3(e) Stock (Equity securities.
Report the total holdings of equity securities,
including par and surplus of common and preferred
shares)., of other financial institutions. Include
investments in mutual funds (e.g., equity, bond,
hybrid, and money market funds) that are outside of
the reporting group (see FR Y-9C, Schedule HC-B,
item 7). Include assets that are held for trading,
available for sale, and held to maturity. Report the
entire mutual fund investment (i.e., do not look
through into the fund to determine the underlying
holdings).
Report total equity holdings including common and
preferred shares.
Line Item 3(f) Offsetting short positions in
relation to the specific stock holdingsequity
securities included in item 3(e).
Report the fair value of the banking organization’s
liabilities resulting from short positions held against
the stock holdings included in item 3(e). Include the
short legs of derivatives used to hedge the equity
B-2
Formatted: Paragraph
securities reported in item 3(e) (e.g., total return
swaps). 4
Line Item 4
Net positive current exposure of
securities financing transactions (SFTs) with
unaffiliatedother financial institutions.
This item includes the following:
(a) Net positive reverse repurchase agreement
exposure, where the value of the cash provided
exceeds the fair value of the securities received.
(b) Net positive repurchase agreement exposure,
where the fair value of the securities provided
exceeds the value of the cash received.
(c) Net positive securities lending exposure, where
the fair value of securities lent exceeds the value
of cash collateral received (or the fair value of
non-cash collateral received).
(d) Net positive securities borrowing exposure,
where the value of cash collateral provided (or
the fair value of non-cash collateral provided)
exceeds the fair value of securities borrowed.
The reported value is not intended to reflect amounts
recorded on the balance sheet. Rather, it represents
the single legally owed amount per netting set. Use
netting Net multiple transactions only wherewhen
the transactions are covered by a legally
enforceablequalifying master netting agreement.
Report (see the net amountdefinition of “qualifying
master netting agreement” in accordance with ASC
Subtopic 210-20, Balance Sheet – Offsetting. Where
these criteria12 CFR 217.2). For transactions that are
not met,subject to a qualifying master netting
agreement, report the gross balance sheet amount.
Include transactions cleared through a CCP. Do not
include conduit lending transactions and do not apply
haircuts in assessing the gross fair value of non-cash
collateral. Include unsettled SFTs if the bank is using
trade-date accounting.
Line Item 5
Over-the-counter (OTC)
derivative contracts with unaffiliatedother
financial institutions that have a net positive fair
value:
Report the sum of net positive fair value OTC
derivative exposures netted in accordance with
GAAP netting rules (i.e., designated, legally
enforceable, netting sets or groups). Only netting sets
with a positive value may be included here. Netting
sets where the net result is negative must be captured
in item 9(a). Include collateral held only if it is within
the master netting agreement. (i.e., pursuant to
legally enforceable credit support annexes). If
applicable, net opposing collateral positions (e.g.,
initial margin posted with variation margin held).
Deduct the net collateral position from the
underlying obligation only if it reduces the overall
exposure. If the net collateral exceeds the payment
obligation, record a fair value of zero for the netting
set. If a derivative contract with a positive fair value
is not covered under a qualifying master netting
agreement, the derivative exposure amount should be
included on a gross basis (see the definition of
“qualifying master netting agreement” in 12 CFR
217.2). For more information on netting, refer to
ASC Subtopic 210-20, Balance Sheet – Offsetting,
and the FR Y-9C Glossary entry for “offsetting.”
Do not include derivative contracts initiated via an
exchange such as ICE, CME, or Eurex (e.g., futures
contracts would not be included).
When acting as a financial intermediary (i.e., where
the banking organization is a counterparty to both the
client and the CCP), report exposures to the CCP.
Report exposures to clients if they fit the definition
of financial institution. In cases where a clearing
member bank, acting as an agent, guarantees the
performance of a CCP to a client, the associated
exposure to the client must be reported.
Line Item 5(b) Potential future exposure.
Report the amount of potential future exposure
(PFE)), calculated using the current exposure
method, for the derivatives included in item 5(a).
Include the PFE for any netting sets with a fair value
of zero. For more information on determining the
PFE refer to the FR Y-9C Schedule HC-R, item
54.12 CFR 217.34(a).
Line Item 5(a) Net positive fair value.
4
For example, Bank A holds 1,000 shares of Bank B at $10 per
share and has entered into an equity total return swap to short
FR Y-15
Schedule B December 20132015
1,000 Bank B shares and thereby eliminate market risk. Bank A
would report $10,000 for item 3(e) and $10,000 for item 3(f).
B-3
Line Item 6
assets.
Total intra-financial system
The sum of items 1, 2 through 3(e), 4, 5(a), and 5(b),
minus item 3(f).
measures the amount of credit committed as of the
reporting date, irrespective of whether it may be
unconditionally cancelled the day after. Do not
include letters of credit and unsettled SFTs (e.g.,
repos). For more information on commitments, see
FR Y-9C, Schedule HC-L, item 1.
Intra-Financial System Liabilities
Line Item 7
Deposits due to unaffiliatedother
financial institutions (including undrawn
committed lines)::
Line Item 810 Net negative current exposure of
SFTs with unaffiliatedother financial
institutions.
This section captures information regarding the
deposits held by the banking organization. Do not
include settlement balances (i.e., exposures arising
from unsettled transactions) and collected collateral.
For more information on deposits, see the FR Y-9C
Glossary entry for “deposits.”
This item includes the following:
Line Item 7(a) Deposits due to depository
institutions.
Report total deposits due to depository institutions.
Do not include certificates of deposit, which are
captured separately in item 17.
Line Item 7(b) Deposits due to non-depository
financial institutions.
Report total deposits due to non-depository financial
institutions. Do not include certificates of deposit,
which are captured separately in item 17.
Line Item 7(c) Undrawn committed lines8
Borrowings obtained from
unaffiliatedother financial institutions.
Report the amount of outstanding loans obtained
from other financial institutions. Include both term
loans and revolving, open-end loans. Include
acceptances sold and federal funds purchased that are
not part of a securities financing transaction (as these
are captured in item 10). Do not include any of the
outstanding securities captured it item 20.
Line Item 9
Unused portion of committed
lines obtained from other financial institutions.
Report the nominal value of the unused portion of all
committed lines obtained from unaffiliated financial
institutions. other financial institutions. Include lines
which are unconditionally cancelable. This item
FR Y-15
Schedule B December 20132015
(a) Net negative reverse repurchase agreement
exposure, where the fair value of securities
received exceeds the value of the cash provided.
(b) Net negative repurchase agreement exposure,
where the value of the cash received exceeds the
fair value of the securities provided.
(c) Net negative securities lending exposure, where
the value of cash collateral received (or the fair
value of non-cash collateral received) exceeds
the fair value of securities lent.
(d) Net negative securities borrowing exposure,
where the fair value of securities borrowed
exceeds the value of cash collateral provided (or
the fair value of non-cash collateral provided).
The reported value is not intended to reflect amounts
recorded on the balance sheet. Rather, it represents
the single legally owed amount per netting set. Use
netting Net multiple transactions only wherewhen
the transactions are covered by a legally
enforceablequalifying master netting agreement (see
the definition of “qualifying master netting
agreement. Report the net amount” in accordance
with ASC Subtopic 210-20, Balance Sheet –
Offsetting. Where these criteria 12 CFR 217.2). For
transactions that are not metsubject to a qualifying
master netting agreement, report the gross balance
sheet amount. Include transactions cleared through a
CCP. Do not include conduit lending transactions.
Line Item 9
OTC derivative with unaffiliated
financial institutions that have a and do not apply
haircuts in assessing the gross fair value of non-cash
collateral. Include unsettled SFTs if the bank is using
trade-date accounting. Report the final net negative
fairexposure value: as a positive number.
B-4
Formatted: Paragraph
Line Item 9Line Item 11
OTC derivative
contracts with other financial institutions that
have a net negative fair value:
included in item 9(a). 11(a). For more information on
determining the PFE refer to 12 CFR 217.34(a).
Line Item 11(a)
Line Item 1012 Total intra-financial system
liabilities.
Net negative fair value.
Report the sum of net fair value OTC derivative
liabilities netted in accordance with GAAP netting
rules (i.e., designated, legally enforceable, netting
sets or groups). Include only netting sets with a
negative value. Report netting sets where the net
result is positive in item 5(a). Include collateral
provided only if it is within the master netting
agreement. (i.e., pursuant to legally enforceable
credit support annexes). If applicable, net opposing
collateral positions (e.g., initial margin held with
variation margin posted). Deduct the net collateral
position from the underlying obligation only if it
reduces the overall exposure. If the net collateral
exceeds the payment obligation, record a fair value
of zero for the netting set. If a derivative contract
with a positive fair value is not covered under a
qualifying master netting agreement, the derivative
exposure amount should be included on a gross basis
(see the definition of “qualifying master netting
agreement” in 12 CFR 217.2). For more information
on netting, refer to ASC Subtopic 210-20, Balance
Sheet – Offsetting, and the FR Y-9C Glossary entry
for “offsetting.”
Do not include derivative contracts initiated via an
exchange such as ICE, CME, or Eurex (e.g., futures
contracts would not be included).
When acting as a financial intermediary (i.e., where
the banking organization is a counterparty to both the
client and the CCP), report exposures to the CCP.
Report exposures to clients if they fit the definition
of financial institution. In cases where a clearing
member bank, acting as an agent, guarantees the
performance of a CCP to a client, the associated
exposure to the client must be reported.
Report the final net negative fair value as a positive
number. For example, a master netting agreement
with a net fair value of -$10 would be reported as
+$10.
Line Item 911(b)
Potential future exposure.
Report the amount of the PFE, calculated using the
current exposure method, for the derivatives
FR Y-15
Schedule B December 20132015
The sum of items 7(a) through 911(b).
Securities Outstanding
The values reported for items 13 through 19 should
reflect all of the outstanding securities of the banking
organization regardless of whether or not they are
held by another financial institution. Do not report
products where the reporting institution does not
back the performance of the asset (e.g., asset-backed
securities).
For items 13 through 17, provide the book value (i.e.,
carrying amount) of the securities. Note that this
value will depend on the applicable accounting
classification and measurement, and thus may reflect
the amortized cost of the securities, the fair value of
the securities, or a mixture of the two.
Line Item 1113 Secured debt securities.
Report the amortized costbook value of all
outstanding secured debt securities (e.g., covered
bonds and REIT preferred securities) issued by the
banking organization. Do not include standby letters
of credit. Note that this item is not designed to
capture collateralized trades. Instead, the item is
capturing capital that has been raised through the
issuance of secured debt.
Line Item 1214 Senior unsecured debt securities.
Report the amortized costbook value of all
outstanding senior unsecured debt securities issued
by the banking organization.
Line Item 1315 Subordinated debt securities.
Report the amortized costbook value of all
outstanding subordinated debt securities, (as defined
in the FR Y-9C, Schedule HC, items 19(a) and
19(b),)) issued by the banking organization.
Line Item 1416 Commercial paper.
B-5
Report the amortized costbook value of all
outstanding commercial paper issued by the banking
organization. For more information on commercial
paper, refer to the FR Y-9C Glossary entry for
“commercial paper.”
in item 1315 (e.g., savings shares and silent
partnerships). For publicly traded shares, report the
closing share price multiplied by the number of
shares outstanding. Do not report non-publicly
traded shares. Include shares issued by consolidated
subsidiaries to third parties.
Line Item 1517 Certificates of deposit.
Report the amortized costbook value of all
outstanding certificates of deposit issued by the
banking organization. For more information on
certificates of deposit, refer to the FR Y-9C Glossary
entry for “depositscertificate of deposit.”
Line Item 1618 Common equity.
Report the fair value of outstanding common equity.
For publicly traded shares, report the closing share
price multiplied by the number of shares outstanding.
Do not report non-publicly traded shares or any other
shares for which a market price is unavailable.
Include shares issued by consolidated subsidiaries to
third parties. Do not include certificates of mutual
banks.
Line Item 1719 Preferred shares and other forms
of subordinated funding not captured in item
1315.
Line Item 1820 Total securities outstanding.
The sum of items 1113 through 1719.
Memoranda
Line Item M1 Standby letters of credit extended
to other financial institutions.
Report the amount of financial and performance
standby letters of credit extended to other financial
institutions. A financial standby letter of credit
irrevocably obligates the banking organization to pay
a third-party beneficiary when a customer fails to
repay an outstanding loan or debt instrument. A
performance standby letter of credit irrevocably
obligates the banking organization to pay a thirdparty beneficiary when a customer fails to perform
some contractual non-financial obligation. For more
information, refer to FR Y-9C, Schedule HC-L,
items 2 and 3.
Report the fair value of outstanding preferred shares
and other forms of subordinated funding not captured
FR Y-15
Schedule B December 20132015
B-6
LINE ITEM INSTRUCTIONS FOR
Substitutability Indicators
Schedule C
Payments Activity
Line Item 1
Payments made in the reporting
yearlast four quarters.
Report the total gross value of all cash payments sent
by the banking organization via large-value payment
systems, 5 along with the gross value of all cash
payments sent through an agent or correspondent
bank (e.g., using a correspondent or nostro account),
overin the calendar year inlast twelve months for
each indicated currency. Include the amount of
payments made into Continuous Linked Settlement
(CLS). All payments sent via an agent bank should
be reported, regardless of how the agent bank
actually settles the transaction. Payments may be
recorded using either the trade date or the settlement
date as long as the reporting remains consistent
between periods. If both are readily available, the
settlement date should be used.
5. For examples of large-value payment systems, refer to Payment,
clearing and settlement systems in the CPSS countries, published by the
Committee on Payment and Settlement Systems (CPSS). The November
2012
release
is
available
at
FR Y-15
Schedule C December 20132015
Report payments regardless of purpose, location, or
settlement method. This includes, but is not limited
to, cash payments associated with derivatives,
securities financing transactions, and foreign
exchange transactions. Do not include the value of
any non-cash items settled in connection with these
transactions. Include cash payments made on behalf
of the reporting entity as well as those made on
behalf of customers (including financial institutions,
other commercial customers, and retail customers).
However, do not include internal payments (i.e.,
book transfers) or any other intra-group transactions
(i.e., transactions made within or between entities
within the reporting group), even if the transactions
were initiated through an external agent (e.g., when
a payment is sent to a subsidiary through an external
institution). Do not include payments made through
retail payment systems. Do not report payment
facilitation (i.e., when the bank acts as a payment
service provider) where the customer is a direct
member of the large value payment system and uses
www.bis.org/publ/cpss105.htm.www.bis.org/cpmi/publ/d105.ht
m.
C-1
their own BIC code to complete the transaction. Only
include savings account payments if they are made
via a large value payment system or through an
agent.
Report the U.S. dollar equivalent amount of all
payments made in Brazilian real (BRL) overin the
reporting yearlast four quarters.
Only include outgoing payments (i.e., exclude
payments received). Except for those payments sent
via CLS, do not net any outgoing wholesale payment
values, even if the transaction was settled on a net
basis. 6 Retail payments sent via a large-value
payment system or through a correspondent may be
reported net only if they were settled on a net basis.
Line Item 1(c) Canadian dollars (CAD).
Though payment totals are not rounded, the level of
expected accuracy depends on the magnitude of the
reported value. The leading two digits must be
accurate 7 (within rounding) for payment totals at or
above $10 trillion, while only the leading digit must
be accurate for payment totals below $10 trillion. If
precise totals are unavailable, known overestimates
may be reported.
Report the U.S. dollar equivalent amount of all
payments made in Swiss francs (CHF) overin the
reporting yearlast four quarters.
TheConvert the aggregate payments in items 1(a)
through 1(k) must be converted to U.S. dollars using
the average exchange rates for the last four quarters.
These average exchange rates must be constructed
using a consistent series of exchange rate over the
reporting year, as provided byquotations. The
method used must be reasonable, consistent, and
reproducible. Documentation concerning the Bank
for
International
Settlements
(BIS)
(www.bis.org/bcbs/gsib).method
employed
to
calculate the average exchange rates must be
maintained and made available to supervisors upon
request.
Report the U.S. dollar equivalent amount of all
payments made in Canadian dollars (CAD) overin
the reporting yearlast four quarters.
Line Item 1(d) Swiss francs (CHF).
Line Item 1(e) Chinese yuan (CNY).
Report the U.S. dollar equivalent amount of all
payments made in Chinese yuan (CNY) overin the
reporting yearlast four quarters.
Line Item 1(f) Euros (EUR).
Report the U.S. dollar equivalent amount of all
payments made in euros (EUR) overin the reporting
yearlast four quarters.
Line Item 1(g) British pounds (GBP).
Report the U.S. dollar equivalent amount of all
payments made in British pound sterling (GBP)
overin the reporting yearlast four quarters.
Line Item 1(h) Hong Kong dollars (HKD).
Line Item 1(a) Australian dollars (AUD).
Report the U.S. dollar equivalent amount of all
payments made in Australian dollars (AUD) overin
the reporting yearlast four quarters.
Report the U.S. dollar equivalent amount of all
payments made in Hong Kong dollars (HKD) overin
the reporting yearlast four quarters.
Line Item 1(i) Indian rupee (INR).
Line Item 1(b) Brazilian real (BRL).
Report the U.S. dollar equivalent amount of all
payments made in Indian rupee (INR) overin the
reporting yearlast four quarters.
6. Wholesale payments are payments, generally involving very large
values, which are mainly exchanged between banks or other participants
in the financial markets and often require urgent and timely settlement.
In contrast, retail payments are payments, generally involving low
values, which are mainly made on behalf of customers and often involve
a low degree of urgency (e.g., personal checks, credit card transactions,
direct debits, direct deposits, and ATM withdrawals).
FR Y-15
Schedule C December 20132015
7. As an example, a figure between 100,000 and 999,999 would need to
be correct to the nearest 100,000 for the leading digit to be considered
accurate. The figure would need to be correct to the nearest 10,000 for
the two leading digits to be considered accurate.
C-2
Line Item 1(j) Japanese yen (JPY).
Report the U.S. dollar equivalent amount of all
payments made in Japanese yen (JPY) overin the
reporting yearlast four quarters.
Line Item 1(k) Swedish krona (SEK).
Report the U.S. dollar equivalent amount of all
payments made in Swedish krona (SEK) overin the
reporting yearlast four quarters.
Line Item 1(l) United States dollars (USD).
Report the total value of all payments made in United
States dollars (USD) overin the reporting yearlast
four quarters.
Line Item 1(m) All currencies not listed above.
Report the U.S. dollar equivalent amount of all
payments made over the reporting year using
currencies not listed in items 1(a) through 1(l).
Convert the yearly aggregates to U.S. dollars using
the average exchange rate for the reporting year.
These average exchange rates must be constructed
using a consistent series of exchange rate quotations.
The method used must be reasonable, consistent, and
reproducible. Documentation concerning the method
employed to calculate the average exchange rates
must be maintained and made available to
supervisors upon request.
Line Item 2
Payments activity.
The sum of items 1(a) through 1(l).
Assets Under Custody
8. A sub-custodian is an institution that provides custody services on
Line Item 3
Assets held as a custodian on
behalf of customers.
Report the value of all assets, including cross-border
assets, that the banking organization heldholds as a
custodian on behalf of customers, including other
financial firms (i.e., financial institutions other than
the reporting group). Include such assets even if they
are being held by unaffiliated institutions (e.g.,
central securities depositories, payment systems,
central banks, and sub-custodians). 8 In the case
where assets are held by a sub-custodian, both the
primary custodian and the sub-custodian must report
the assets. Do not include any assets under
management 9 or assets under administration 10 which
are not also classified as assets under custody. 11 For
The value of the purposes of this report, a custodian
is defined as a bank or other organization (e.g.,
securities firms and trust companies) that manages or
administersassets should reflect the custody or
safekeeping accounting method required by the
respective clients. Thus, the reported total will likely
involve a mixture of stock certificates, debt
securities, or other assets for institutional and private
investors.both book and market values. Custodial
accounts held in all legal entities of the holding
company must be reported.
Include cash that is being held in custody accounts.
Note that assets held as collateral are not generally
considered assets under custody. Report only the
assets for which the banking organization provides
custody and safekeeping services. For more
information, see the Glossary entries for “assets
under management,” “assets under administration,”
“assets under custody,” and “custodian.” For a
description of custody and safekeeping accounts,
refer to the instructions for the Consolidated Reports
of Condition and Income (FFIEC 031 and 041)
Schedule RC-T, item 11.
behalf of another custodian.
administration service (e.g., back office administration and
recordkeeping services).
9
11
Assets under management are securities or other assets that are
managed by a banking organization or subsidiary of the banking
organization on behalf of a customer for which the reporting
banking organization or the subsidiary acts as investment
adviser.
Assets under custody are securities or other assets that are held
by a banking organization or subsidiary of the banking
organization on behalf of a customer under a safekeeping
arrangement. For additional information see the FR Y-9C
glossary entry for “Custody Account.”
10
Assets under administration are securities or other assets for
which a banking organization or subsidiary of the banking
organization is contractually obligated to provide an
FR Y-15
Schedule C December 20132015
C-3
Formatted: Paragraph, Left, Space After: 0 pt, Hyphenate
Underwritten Transactions in Debt
and Equity Markets
Include all underwriting (public and private) over the
last four quarters where the banking organization
was obligated to purchase unsold securities. When
the underwriting is on a best-efforts basis (i.e., the
banking organization is not obligated to purchase the
remaining inventory), only include the securities that
were actually sold. For transactions underwritten by
multiple institutions, only include the portion
attributable to the reporting group. These portions
should be reported regardless of whether or not the
bank is acting as the lead underwriter.
Line Item 4
Equity underwriting activity.
Report the total value of all types of equity
instruments underwritten during the calendar
yearlast twelve months, excluding transactions with
subsidiaries and/or affiliates and self-led
transactions. This includes all types of equity market
transactions such as initial public offerings,
additional offerings of common stocks, units,
depositary receipts (e.g., American depositary
receipts (ADRs) and Global depositary receipts
(GDRs)), and rights offerings. Also include equitylinked transactions such as convertible bonds,
convertible preferred bonds, and exchangeable
bonds. Include all types of transactions at all
maturities. Do not differentiate transactions between
front-end, back-end, and best-effort transactions. Do
not differentiate with regard to maturity, currency, or
market of issuance.
Include equity securities with embedded derivatives,
but exclude stand-alone derivatives underwriting.
With regards to the delineation between securities
with embedded derivatives and stand-alone
derivatives, use the already existing definitions in
GAAP.
The accounting and reporting standards for
derivative instruments, including certain derivative
instruments embedded in other contracts, and for
hedging activities are set forth in ASC Topic 815,
Derivatives and Hedging (formerly FASB Statement
No. 133, Accounting for Derivative Instruments and
Hedging Activities, as amended), which banking
organizations must follow for purposes of this report.
ASC Topic 815 requires all derivatives to be
recognized on the balance sheet as either assets or
FR Y-15
Schedule C December 20132015
liabilities at their fair value. See ASC Topic 815 for
the definition of derivatives.
Contracts that do not in their entirety meet the
definition of a derivative instrument, such as bonds,
insurance policies, and leases, may contain
‘‘embedded’’ derivative instruments. Embedded
derivatives are implicit or explicit terms within a
contract that affect some or all of the cash flows or
the value of other exchanges required by the contract
in a manner similar to a derivative instrument.
The effect of embedding a derivative instrument in
another
type
of
contract
(‘‘(“the
host
contract’’)contract”) is that some or all of the cash
flows or other exchanges that otherwise would be
required by the host contract, whether unconditional
or contingent upon the occurrence of a specified
event, will be modified based on one or more of the
underlyings.
Line Item 5
Debt underwriting activity.
Report the total value of all types of debt instruments
underwritten during the calendar yearlast twelve
months, excluding intra-group or self-led
transactions. This includes all types of underwriting
transactions relating to debt securities. Include both
secured debt instruments (e.g., covered bonds, assetbacked security (ABS) transactions, etc.) and
unsecured debt instruments. Include all types of
transactions at all maturities. Do not differentiate
transactions between front-end, back-end, and besteffort or “soft” transactions. Do not differentiate with
regard to maturity, currency, or market of issuance.
Do not differentiate between sovereign and corporate
debt. Do not include loan underwriting.
Also include debt securities with embedded
derivatives. For more detail on embedded
derivatives, refer to the instructions for item 4.
Line Item 6
Total underwriting activity.
The sum of items 4 and 5.
Memoranda
For items M1 through M2, refer to the general
instructions provided for item 1.
Line Item M1 Mexican pesos (MXN).
C-4
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Formatted: Font: 14 pt, Not Bold
Report the U.S. dollar equivalent amount of all
payments made in Mexican pesos (MXN) in the last
four quarters.
consistent, and reproducible. Documentation
concerning the method employed to calculate the
average exchange rates must be maintained and made
available to supervisors upon request.
Line Item M2 New Zealand dollars (NZD).
Report the U.S. dollar equivalent amount of all
payments made in New Zealand dollars (NZD) in the
last four quarters.
Line Item M3 Russian rubles (RUB).
Report the U.S. dollar equivalent amount of all
payments made in Russian rubles (RUB) in the last
four quarters.
Line Item M4 Payments made in the last four
quarters in all other currencies.
Report the U.S. dollar equivalent amount of all
payments made in the last four quarters using
currencies not listed in items 1(a) through 1(l) or M1
through M3. Convert the yearly aggregates to U.S.
dollars using the average exchange rate for the last
four quarters. These average exchange rates must be
constructed using a consistent series of exchange rate
quotations. The method used must be reasonable,
FR Y-15
Schedule C December 20132015
Line Item M5 Unsecured settlement/clearing
lines provided.
Report the total amount of committed, unsecured
intraday credit lines extended to the banking
organization’s customers. This includes, but is not
limited to, lines extended for cash overdrafts,
securities clearing, and transaction lines (e.g., FX
settlement limits). Unsecured lines that are extended
at will to the client (i.e., on a case-by-case basis and
at the full discretion of the banking organization),
should not be reported.Also include debt securities
with embedded derivatives. For more detail on
embedded derivatives, refer to the instructions for
item 4.
Line Item 6
Total underwriting activity.
The sum of items 4 and 5.
C-5
Formatted: Paragraph, Left, Space After: 0 pt, Hyphenate
LINE ITEM INSTRUCTIONS FOR
Complexity Indicators
Schedule D
Notional Amount of Over-the-Counter
(OTC) DerivativesDerivative
Contracts
For items 1 and 2, do not include derivative contracts
initiated via an exchange such as ICE, CME, or
Eurex. For example, futures contracts would not be
included.
Line Item 1
OTC derivative contracts cleared
through a central counterparty.
Report the notional amount outstanding of OTC
derivative positions which were cleared through a
central counterparty.will be settled through a central
counterparty (CCP). Central counterparties are
entities (e.g., a clearing house) that facilitate trades
between counterparties in one or more financial
markets by either guaranteeing trades or novating
contracts. Include all types of risk categories and
instruments (e.g., foreign exchange, interest rate,
equity, commodities, and credit default swaps
(CDS)). Report transactions regardless of whether
they are part of a master netting agreement. For more
information, see the Glossary entry for “central
FR Y-15
Schedule D
December 20132015
counterparty.” For more information on derivatives,
refer to ASC Topic 815, Derivatives and Hedging,
and the FR Y-9C Glossary entry for “derivative
contracts.”
Do not include cleared derivative transactions (i.e.,
transactions where the bank provides clearing
services for clients executing trades via an exchange
or with a CCP) where the bank is not a direct
counterparty in the contract. When acting as a
financial intermediary (i.e., where the banking
organization is a counterparty to both the client and
the CCP), report the notional amounts associated
with each contract (i.e., the contract with the CCP
and the contract with the client). In cases where a
clearing member banking organization, acting as an
agent, guarantees the performance of a CCP to a
client, the associated notional amounts must be
reported.
Line Item 2
bilaterally.
OTC derivative contracts settled
Report the notional amount outstanding of OTC
derivative positions which werewill be settled
bilaterally (i.e., without the use of a central
D-1
counterparty). Include all types of risk categories and
instruments (e.g., foreign exchange, interest rate,
equity, commodities, and CDS). Report transactions
regardless of whether they are part of a master netting
agreement. For more information on derivatives,
refer to ASC Topic 815, Derivatives and Hedging,
and the FR Y-9C Glossary entry for “derivative
contracts.”
information on AFS securities, refer to ASC Topic
320, Investments – Debt and Equity Securities, and
the FR Y-9C Glossary entry for “securities
activities.”
Line Item 3
Total notional amount of OTC
derivativesderivative contracts.
Line Item 7
Trading and AFS securities that
meet the definition of level 1 liquid assets.
The sum of items 1 and 2.
Report the gross fair value of all trading and AFS
securities captured in item 6 that qualify as level 1
liquid assets according to paragraphs 50(c), 50(d)
and 50(e) ofas set forth in the Basel III liquidity
coverage ratio (LCR) (see Basel III: The Liquidity
Coverage Ratio and liquidity risk monitoring tools,
available at www.bis.org/publ/bcbs238.pdf).12 CFR
249.20(a)). Include qualifying securities even if they
doare not fulfill the LCR operational requirements
outlined in paragraphs 31– 40eligible high-quality
liquid assets (HQLA) according to 12 CFR 249.22.
Trading and Available-for-saleSale
(AFS) Securities
Line Item 4
Trading securities
Report the fair value of all securities classified as
trading. Securities that are intended to be held
principally for the purpose of selling them in the near
term are classified as trading assets. Trading activity
includes active and frequent buying and selling of
securities for the purpose of generating profits on
short-term fluctuations in price. Securities held for
trading purposes must be reported at fair value. Do
not include loans, derivatives, and non-tradable
assets (e.g., receivables).
Report values on a gross long basis (i.e., do not net
short positions against long positions). For long and
short positions in the same CUSIP, report the long
position prior to any CUSIP netting. For more
information on trading securities, refer to ASC Topic
320, Investments – Debt and Equity Securities, and
the FR Y-9C Glossary entry for “securities
activities.”
Line Item 5
AFS securities.
Report the fair value of all securities classified as
AFS (as defined in the FR Y-9C, Schedule HC, item
2(b)). All securities not categorized as trading
securities or held-to-maturity (HTM) must be
reported as AFS. Do not include loans, derivatives
and non-tradable assets (e.g., receivables).
Report values on a gross long basis (i.e., do not net
short positions against long positions). For long and
short positions in the same CUSIP, report the long
position prior to any CUSIP netting. For more
FR Y-15
Schedule D
December 20132015
Line Item 6
Total trading and AFS securities.
The sum of items 4 and 5.
Line Item 8
Trading and AFS securities that
meet the definition of level 2 liquid assets, with
haircuts.
Report the gross fair value, after applying haircuts,
of all trading and AFS securities captured in item 6
that qualify as level 22A or level 2B liquid assets
according to paragraphs 52 and 54 ofas set forth in
the Basel III LCR (see Basel III: The Liquidity
Coverage Ratio and liquidity risk monitoring tools,
available at www.bis.org/publ/bcbs238.pdf).12 CFR
249.20(b)-(c)). Include qualifying securities even if
they do not fulfill the LCR operational requirements
outlined in paragraphs 31–40.are not eligible HQLA
according to 12 CFR 249.22. Report level 2A, level
2B RMBS, and level 2B non-RMBSliquid assets
with haircuts of 15%, 25%,% and 50%, respectively.
(see 12 CFR 249.21(b)). Do not apply the caps
outlined in 12 CFR 249.21(c)-(i).
Line Item 9
securities.
Total adjusted trading and AFS
Item 6 minus the sum of items 7 and 8.
D-2
Level 3 Assets
Line Item 10 Assets valued for accounting
purposes using Level 3 measurement inputs.
Report the gross fair value of all assets that are priced
on a recurring basis using Level 3 measurement
inputs. ASC Topic 820, Fair Value Measurement,
established a three-level fair value hierarchy that
prioritizes inputs used to measure fair value based on
observability. Level 3 fair value measurement inputs,
while not readily observable in the market, are used
to develop an exit price for the asset (or liability)
from the perspective of a market participant.
Therefore, Level 3 fair value measurement inputs
reflect the banking organization’s own assumptions
about the assumptions that a market participant
would use in pricing an asset (or liability) and should
be based on the best information available under the
given circumstances.
The level in the fair value hierarchy within which the
fair value measurement is categorized is determined
FR Y-15
Schedule D
December 20132015
on the basis of the lowest level input that is
significant to the fair value measurement in its
entirety. If a fair value measurement uses observable
inputs that require significant adjustment based on
unobservable inputs, then this is considered a Level 3
measurement. For more information, refer to the FR
Y-9C Glossary entry for “fair value.”
Memoranda
Formatted: Item Subheader
Line Item M1 Held-to-maturity securities.
Report the amortized cost of all securities classified
as held-to-maturity (HTM) (as defined in the FR Y9C, Schedule HC, item 2(a)). This item includes all
debt securities that an institution has the positive
intent and ability to hold to maturity. For more
information on HTM securities, refer to ASC Topic
320, Investments – Debt and Equity Securities, and
the FR Y-9C Glossary entry for “securities
activities.”
D-3
LINE ITEM INSTRUCTIONS FOR
Cross-Jurisdictional Activity Indicators
Schedule E
Cross-Jurisdictional Claims
Line Item 1
basis.
Foreign claims on an ultimate-risk
Report the value of all claims over all sectors that, on
an ultimate-risk basis, are cross-border claims on
non-local residents or foreign-office claims on local
residents (see FFIEC 009, Schedule C, Part II,
Columns 1 through 10, Total Foreign Countries). Do
not include claims from positions in derivative
contracts. (see FFIEC 009, Schedule D). For
definitions, refer to the instructions for preparation of
the FFIEC 009.
instructions for preparation of the FFIEC 009 and the
Treasury International Capital (TIC) B Reports.
Line Item 2(a) Any foreign liabilities to related
offices included in item 2.
Report the value of any intercompany liabilities
included in item 2 (i.e., liabilities that are to the
banking organization’s own foreign offices) (see TIC
BL-1, Column 8, and the liabilities to related offices
reported as part of TIC BQ-2, Columns 1 and 2). For
definitions, refer to the instructions for preparation of
the TIC B Reports.
Line Item 3
Cross-Jurisdictional Liabilities
Line Item 2
Foreign liabilities (excluding local
liabilities in local currency).
Report the sum of all foreign-office liabilities in nonlocal currency, all U.S. dollar liabilities to foreign
residents, and all foreign currency liabilities to
foreigners (see FFIEC 009, Schedule L, Column 1;
TIC BL-1, Column 7; and, TIC BQ-2, Columns 1 and
2). Do not include liabilities from positions in
derivative contracts. For definitions, refer to the
FR Y-15
Schedule E
December 20132015
Local liabilities in local currency.
Report the value of all foreign-office liabilities in
local currency (see FFIEC 009, Schedule L, Column
2). Do not include liabilities from positions in
derivative contracts. For definitions, refer to the
instructions for the preparation of the FFIEC 009.
Line Item 4
liabilities.
Total cross-jurisdictional
The sum of items 2 and 3 minus item 2(a).
E-1
LINE ITEM INSTRUCTIONS FOR
Ancillary Indicators
Schedule F
Ancillary Indicators
Line Item 1
Total liabilities.
Report total liabilities (as defined in the FR Y-9C,
Schedule HC, item 21).
Line Item 2
Retail funding.
Report total deposits less the sum of deposits from
depository institutions, deposits from central banks,
and any other deposits (including certificates of
deposit) not held by retail customers or small
businesses. Small business customers are those
customers with less than $1 million in consolidated
deposits that are managed as retail customers and are
generally considered as having similar liquidity risk
characteristics to retail accounts. For more
information on deposits, see the FR Y-9C Glossary
entry for “deposits.”
Line Item 3
Total gross revenue.
Report total gross revenue, which is defined as
interest income plus noninterest income (FR Y-9C,
Schedule HI, item 1(h) plus item 5(m)).
Line Item 4
Total net revenue.
Report total net revenue, which is defined as interest
income plus noninterest income minus interest
expense (FR Y-9C, Schedule HI, item 1(h) plus item
5(m) minus item 2(f)).
Line Item 45
Foreign net revenue.
Report the net revenue, defined as interest
income plus noninterest income minus interest
expense, from all foreign offices. For purposes of
this report, a foreign office of a reporting
banking organization is a branch or consolidated
subsidiary located outside of the organization’s
home country (i.e., the country where the
banking organization is headquartered); an
Edge or Agreement subsidiary, including both its
U.S. and its foreign offices; or an International
Banking Facility (IBF). Branches or consolidated
subsidiaries located in territories or possessions
of the home country are considered foreign
offices. Branches of bank subsidiaries located on
military facilities belonging to the home country,
wherever located, are not considered foreign
offices. For more information on Edge or
Agreement subsidiaries and on IBFs, refer to the
FR Y-9C Glossary entries for “Edge and
Agreement corporation” and “International
Banking Facility (IBF),” respectively. Line Item 5
Total gross revenue.Line Item 6Gross
value of cash provided and gross fair value of
securities provided in securities financing
transactions (SFTs).
Formatted: Item Header
Report total gross revenue, which is defined as
interest income plus noninterest income (FR Y9C, Schedule HI, item 1(h) plus item 5(m)).
Formatted: Footer Font, Tab stops: 6.93", Right
FR Y-15
Schedule F
December 20132015
F-1
Line Item 6
Peak equity market
capitalization.
Report the peak equity market capitalization
over the reporting year. The peak equity market
capitalization for a given day is defined as the
closing share price multiplied by the number of
shares outstanding on that day.
Line Item 7
Gross value of cash lent and gross
fair value of securities lent in securities financing
transactions (SFTs).
Report the gross value of all cash lentprovided and
the gross fair value of all securities lentprovided in
the outgoing legs of securities financing transactions.
Only include transactions completed by the banking
organization on its own behalf. DoInclude variation
margin provided, but do not include any counterparty
netting. Include the outgoing legs associated with
repurchase and reverse repurchase agreements, and
securities lending and borrowing. Do not include
anyoutgoing legs associated with conduit lending
and margin lending transactions.
Line Item 87 Gross value of cash
borrowedreceived and gross fair value of
securities borrowedreceived in SFTs.
Report the gross value of all cash borrowedreceived
and the gross fair value of all securities
borrowedreceived in the incoming legs of securities
financing transactions. Only include transactions
completed by the banking organization on its own
behalf. DoInclude variation margin received, but do
not include any counterparty netting. Include the
incoming legs associated with repurchase and
reverse repurchase agreements, and securities
lending and borrowing. Do not include anyincoming
legs associated with conduit lending and margin
lending transactions.
Report the gross positive fair value of all OTC
derivative transactions.contracts (i.e., contracts not
initiated via an exchange). Do not include any
counterparty netting.
Line Item 109 Gross negative fair value of OTC
derivative transactionscontracts.
Report the gross negative fair value of all OTC
derivative transactions.contracts not initiated via an
exchange. Do not include any counterparty netting.
Line Item 11 Unsecured settlement/clearing
lines provided.
Report the total amount of committed, unsecured
intraday credit lines extended to the banking
organization’s customers. This includes, but is not
limited to, lines extended for cash overdrafts,
securities clearing, and transaction lines (e.g., FX
settlement limits).
Line Item 12
Formatted: Item Subheader
Held-to-maturity securities.
Report the amortized cost of all securities classified
as held-to-maturity (HTM) (as defined in the FR Y9C, Schedule HC, item 2(a)). This item includes all
debt securities that an institution has the positive
intent and ability to hold to maturity. For more
information on HTM securities, refer to ASC Topic
320, Investments – Debt and Equity Securities, and
the FR Y-9C Glossary entry for “securities
activities.”
Line Item 1310 Number of jurisdictions.
Report the number of countries, including the home
jurisdiction, where the banking organization has
either a branch or, a subsidiary, or other entity that is
consolidated under GAAP. Determine the
jurisdiction using the physical address of the branch
or, subsidiary, or other consolidated entity.
Line Item 98 Gross positive fair value of overthe-counter (OTC) derivative
transactionscontracts.
Formatted: Footer Font, Tab stops: 6.93", Right
FR Y-15
Schedule F
December 20132015
F-2
Formatted: Space After: 6 pt, Add space between
paragraphs of the same style
LINE ITEM INSTRUCTIONS FOR
Short-Term Wholesale Funding Indicator
Schedule G
This schedule must be reported starting with the December 31, 2016 as-of date. Unless otherwise
specified in the line item instructions, for the items in Schedule G, report the average value calculated
over the last twelve months (e.g., data reported as-of March would include observations made from April
1 of the previous year through March 31 of the current year). Banking organizations that have reported
the Complex Institution Liquidity Monitoring Report (FR 2052a) daily for the last twelve months must
report the average value using daily data. All other respondents must report the average value using
monthly data (i.e., provide the average of the twelve month-end balances within the last four quarters).
Note that the values associated with each item are divided into four maturity buckets. Report funding
with a remaining maturity of 30 days or less, along with funding with no maturity date, in column A.
Report funding with a remaining maturity of 31 to 90 days in column B. Report funding with a remaining
maturity of 91 to 180 days in column C. Finally, report funding with a remaining maturity of 181 to 365
days in column D.
Short-Term Wholesale Funding
Line Item 1
First tier:
Line Item 1(a) Funding secured by level 1 liquid
assets.
more information, see the Glossary entries for
“brokered deposits” and “brokered sweep deposits.”
Line Item 1(c) Unsecured wholesale funding
obtained outside of the financial sector.
Report the value of secured funding transactions
secured by level 1 liquid assets. For more
information, see the Glossary entry for “secured
funding transaction.” For the definition of level 1
liquid assets, see 12 CFR 249.20.
Report the value of unsecured wholesale funding
where the customer or counterparty is not a financial
sector entity or a consolidated subsidiary of a
financial sector entity (as defined in 12 CFR 249.3).
For more information, see the Glossary entry for
“unsecured wholesale funding.
Line Item 1(b) Retail brokered deposits and
sweeps.
Line Item 1(d) Firm short positions involving
level 2B liquid assets or non-HQLA.
Report the value of brokered deposits and sweeps
provided by retail customers or counterparties. For
Report the value of firm short positions involving
level 2B liquid assets or assets that do not qualify as
high-quality liquid assets (HQLA). For the list of
FR Y-15
1
assets that are level 2B liquid assets and a definition
of HQLA, see 12 CFR 249.20 and 249.3,
respectively.
Report the value of covered asset exchanges not
already captured it item 2(b). For more information,
see the Glossary entry for “covered asset exchanges.”
Line Item 1(e) Total first tier short-term
wholesale funding.
Line Item 3(c) Unsecured wholesale funding
obtained within the financial sector.
The sum of items 1(a) through 1(d).
Report the value of unsecured wholesale funding
where the customer or counterparty is a financial
sector entity or a consolidated subsidiary of a
financial sector entity (as defined in 12 CFR 249.3).
For more information, see the Glossary entry for
“unsecured wholesale funding.”
Line Item 2
Second tier:
Line Item 2(a) Funding secured by level 2A
liquid assets.
Report the value of secured funding transactions
secured by level 2A liquid assets. For more
information, see the Glossary entry for “secured
funding transaction.” For the list of assets that are
level 2A liquid assets, see 12 CFR 249.20.
Line Item 2(b) Covered asset exchanges (level 1
to level 2A).
Report the value of covered asset exchanges where a
level 1 liquid asset will be exchanged for a level 2A
liquid asset. For more information, see the Glossary
entry for “covered asset exchanges.” For the list of
assets that are level 1 and level 2A liquid assets, see
12 CFR 249.20.
Line Item 2(c) Total second tier short-term
wholesale funding.
Line Item 3(d) Total third tier short-term
wholesale funding.
The sum of items 3(a) through 3(c).
Line Item 4
All other components of shortterm wholesale funding.
Report the value of secured funding transactions
secured by assets that do not qualify as HQLA. For
more information, see the Glossary entry for
“secured funding transaction.” For the definition of
HQLA, see 12 CFR 249.3.
Line Item 5
Total short-term wholesale
funding, by maturity.
Column A: The sum of 0.25 times item 1(e), 0.5 times
item 2(c), 0.75 times item 3(d), and item 4.
The sum of items 2(a) and 2(b).
Column B: The sum of 0.1 times item 1(e), 0.25 times
item 2(c), 0.5 times item 3(d), and 0.75 times item 4.
Line Item 3
Column C: The sum of zero times item 1(e), 0.1 times
item 2(c), 0.25 times item 3(d), and 0.5 times item 4.
Third tier:
Line Item 3(a) Funding secured by level 2B
liquid assets.
Column D: The sum of zero times item 1(e), zero
times item 2(c), 0.1 times item 3(d), and 0.25 times
item 4.
Report the value of secured funding transactions
secured by level 2B liquid assets. For more
information, see the Glossary entry for “secured
funding transaction.” For the list of assets that are
level 2B liquid assets, see 12 CFR 249.20.
Line Item 6
funding.
Line Item 3(b) Other covered asset exchanges.
Line Item 7
Total short-term wholesale
The sum of item 5, Columns A through D.
Average risk-weighted assets.
Report the average total risk-weighted assets value
over the previous four quarters, using quarterly data.
FR Y-15
Schedule G
December 2015
G2
For each quarter, use the total risk-weighted assets
amount associated with the lower of the two riskbased capital ratios in that quarter. For more
information, see FR Y-9C, Schedule HC-R, items
40a and 40b.
FR Y-15
Schedule G
December 2015
Line Item 8
metric.
Short-term wholesale funding
Item 6 divided by item 7.
G3
LINE ITEM INSTRUCTIONS FOR
Optional Narrative Statement
Line Item 1
Narrative statement.
The management of the reporting banking
organization has the option to submit a public
statement regarding the values reported on the FR Y15. The statement must not contain any confidential
information that would compromise customer
privacy or that the respondent is not willing to have
made public. Furthermore, the information in the
narrative statement must be accurate and must not be
misleading.
The statement may not exceed 750 characters,
including punctuation, indentation, and standard
spacing between words and sentences. Statements
FR Y-15
Schedule FOptional Narrative Statement
20132015
exceeding this limit will be truncated at 750
characters with no notice to the respondent. Other
than the truncation of statements exceeding the
character limit, the statement will appear on agency
computerized records and in releases to the public
exactly as submitted. Public disclosure of the
statement shall not signify that a federal supervisory
agency has verified the accuracy or relevance of the
information contained therein.
If the respondent elects not to make a statement, the
item should be left blank (i.e., do not enter phrases
such as "No statement," "Not applicable," "N/A,"
"No comment," or "None”).
December
ONS-1
Glossary
The definitions in this Glossary apply to the Banking
Organization Systemic Risk Report (FR Y-15) and
are not necessarily applicable for other regulatory or
legal purposes. Any accounting discussions in this
glossary are relevant to the preparation of this report
and are not intended to constitute a comprehensive
presentation on bank accounting or on generally
accepted accounting principles. For purposes of this
glossary, the FASB Accounting Standards
Codification is referred to as “ASC.”
Assets under Management: Assets under
management are securities or other assets that are
managed by a banking organization or subsidiary of
the banking organization on behalf of a customer for
which the reporting banking organization or the
subsidiary acts as investment adviser. For more
information, see FR Y-9C, Schedule HC-M, item 16.
Brokered Deposit: Brokered deposit is defined in 12
CFR 249.3.
Brokered Sweep Deposit: A brokered sweep
deposit is a deposit held at a banking organization by
a customer or counterparty through a contractual
feature that automatically transfers to the banking
organization from another regulated financial
company at the close of each business day amounts
identified under the agreement governing the account
from which the amount is being transferred.
Central Counterparty: Central counterparties
are entities (e.g., a clearing house) that facilitate
trades between counterparties in one or more
financial markets by either guaranteeing trades
or novating contracts.
Assets under Administration: Assets under
administration are securities or other assets for which
a banking organization or subsidiary of the banking
organization is contractually obligated to provide an
administration
service
(e.g.,
back
office
administration and recordkeeping services).
Assets under Custody: Assets under custody are
securities or other assets that are held by a banking
organization or subsidiary of the banking
organization on behalf of a customer under a
safekeeping arrangement. For additional information
see the FR Y-9C glossary entry for “Custody
Account.”
FR Y-15
Glossary
December 2015
Certificate of Deposit: Certificates of deposit are
time deposits where the bank issues a receipt for the
funds specifying that they are payable on a specific
date seven or more days in the future. For additional
information, refer to the FR Y-9C Glossary entry for
“deposits.”
GL-1
Commercial Paper: Commercial paper consists of
short-term negotiable promissory notes that mature
in 270 days or less. Commercial paper may be
backed by a standby letter of credit from a bank, as
in the case of documented discounted notes.
Consolidated
Subsidiary:
A
consolidated
subsidiary is a company that is consolidated on the
balance sheet of a banking organization or other
company under GAAP.
Covered Asset Exchange: A covered asset
exchange is a transaction in which a banking
organization has provided assets of a given liquidity
category to a counterparty in exchange for assets of
a higher liquidity category, and the banking
organization and the counterparty agreed to return
such assets to each other at a future date. Categories
of assets, in descending order of liquidity, are level 1
liquid assets, level 2A liquid assets, level 2B liquid
assets, and assets that are not high-quality liquid
assets (HQLA). Covered asset exchanges do not
include secured funding transactions. For the list of
assets that are level 1, level 2A, and level 2B liquid
assets and a definition of HQLA, see 12 CFR 249.20
and 249.3, respectively.
Custodian: For the purposes of the FR Y-15, a
custodian is defined as a bank or other organization
(e.g., securities firms and trust companies) that
manages or administers the custody or safekeeping
of stock certificates, debt securities, cash, or other
assets for institutional and private investors.
Qualifying Cash Variation Margin: Qualifying
cash variation margin is cash variation margin (i.e.,
the cash collateral recognized to reduce the mark-tofair value of derivative contracts) that satisfies all of
the following conditions:
(1) For derivative contracts that are not cleared
through a qualifying central counterparty
(QCCP), the cash collateral received by the
recipient counterparty is not segregated;
(2) Variation margin is calculated and
transferred on a daily basis based on the
mark-to-fair value of the derivative contract;
(3) The variation margin transferred under the
derivative contract or the governing rules for
FR Y-15
Glossary
December 2015
a cleared transaction is the full amount that
is necessary to fully extinguish the current
credit exposure amount to the counterparty
of the derivative contract, subject to the
threshold and minimum transfer amounts
applicable to the counterparty under the
terms of the derivative contract or the
governing rules for a cleared transaction;
(4) The variation margin is in the form of cash
in the same currency as the currency of
settlement set forth in the derivative
contract, provided that, for purposes of this
paragraph, currency of settlement means any
currency for settlement specified in the
qualifying master netting agreement, the
credit support annex to the qualifying master
netting agreement, or in the governing rules
for a cleared transaction; and
(5) The derivative contract and the variation
margin are governed by a qualifying master
netting agreement between the legal entities
that are the counterparties to the derivative
contract or by the governing rules for a
cleared transaction. The qualifying master
netting agreement or the governing rules for
a cleared transaction must explicitly
stipulate that the counterparties agree to
settle any payment obligations on a net basis,
taking into account any variation margin
received or provided under the contract if a
credit event involving either counterparty
occurs.
Secured Funding Transaction: Secured funding
transaction is defined in 12 CFR 249.3.
Short Position: A short position is a transaction in
which a banking organization has borrowed or
otherwise obtained a security from a counterparty,
which was then sold to another counterparty, and the
banking organization must return the security to the
initial counterparty in the future.
Unsecured Wholesale Funding: Unsecured
wholesale funding is defined in 12 CFR 249.3.
Wholesale Customer or Counterparty: Wholesale
customer or counterparty means a customer or
counterparty that is not a retail customer or
counterparty (as defined in 12 CFR 249.3).
GL-2
FR Y-15
Glossary
December 2015
GL-3
| File Type | application/pdf |
| File Modified | 2015-12-17 |
| File Created | 2015-12-15 |