SLHCs (Implementation Burden)

FR Y-15
OMB Number 7100-0352
Approval expires December 31, 2015
Page 1 of 5

DRAFT - August 20, 2015

2018

Board of Governors of the Federal Reserve System

Banking Organization Systemic Risk Report—FR Y-15

Report at the close of business as of the last calendar day of the year.
This report is authorized by section 5 of the Bank Holding
Company Act (12 U.S.C. § 1844).

The Federal Reserve may not conduct or sponsor, and an
organization (or a person) is not required to respond to, a
collection of information unless it displays a currently valid OMB
control number.

NOTE: Each banking organization's board of directors and senior
management are responsible for establishing and maintaining an
effective system of internal control, including controls over the
Banking Organization Systemic Risk Report. The Banking Organization
Systemic Risk Report is to be prepared in accordance with instructions
provided by the Federal Reserve System. The Banking Organization
Systemic Risk Report must be signed and attested by the Chief
Financial Officer (CFO) of the reporting banking organization (or by
the individual performing this equivalent function).

Date of Report:
Month / Day / Year (RISK 9999)

I, the undersigned CFO (or equivalent) of the named banking organization, attest that the Banking Organization Systemic Risk Report
(including the supporting schedules) for this report date has been
prepared in conformance with the instructions issued by the Federal
Reserve System and is true and correct to the best of my knowledge
and belief.

Printed Name of Chief Financial Officer (or Equivalent) (RISK C490)

Legal Title of Bank Holding Company (RSSD 9017)

Signature of Chief Financial Officer (or Equivalent)

(Mailing Address of the Bank Holding Company) Street / PO Box (RSSD 9028)

Add: (RISK H321)
Date of Signature (MM/DD/YYYY) (RISK J196)

City (RSSD 9130)

State (RSSD 9200)

Zip Code (RSSD 9220)

Person to whom questions about this report should be directed:

Name / Title (RISK 8901)

Area Code / Phone Number (RISK 8902)

Area Code / FAX Number (RISK 9116)

E-mail Address of Contact (RISK 4086)

Banking organizations must maintain in their files a manually signed and attested printout of the data submitted.
The ongoing public reporting burden for this information collection is estimated to average 295 hours per response, including time to gather and maintain data in the required form and to
review instructions and complete the information collection. Comments regarding this burden estimate or any other aspect of this information collection, including suggestions for reducing
the burden, may be sent to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, and to the Office of Management and Budget,
Paperwork Reduction Project (7100-0352), Washington, DC 20503.

12/2013

FR Y-15
Page 2 of 5

DRAFT - August 20, 2015

Schedule A—Size Indicator
U.S. Dollar Amounts in Thousands RISK
Total Exposures
1. On-balance-sheet items:
a. Total assets ......................................................................................................
b. Securities financing transactions (SFTs):
(1) Net value of SFTs..........................................................................................
(2) Gross value of SFTs ......................................................................................
(3) Securities received as collateral in securities lending ............................................
(4) Cash collateral received in conduit securities lending transactions ...........................
c. Derivatives:
(1) Derivative exposures with a net positive fair value ................................................
(2) Cash collateral netted against the derivative exposures in item 1.c.(1)......................
d. Total on-balance-sheet items (sum of items 1.a, 1.b.(2), and 1.c.(2), minus the sum of
items 1.b.(1) and 1.b.(3)) .....................................................................................
2. Derivatives and off-balance-sheet items:
a. Counterparty risk exposures:
(1) Counterparty exposure
of SFTs ........................................................................
See revised
Schedule A on next page.
(2) Potential future exposure of derivative contracts ..................................................
b. Credit derivatives:
(1) Notional amount of credit derivatives sold ...........................................................
(2) Credit derivatives sold net of related credit protection bought..................................
(3) Credit derivatives sold net of related credit protection bought, adjusted for maturity.....
c. Notional amount of off-balance-sheet items with a 0% credit conversion factor (CCF) ......
(1) Unconditionally cancellable credit card commitments ............................................
(2) Other unconditionally cancellable commitments ...................................................
d. Notional amount of off-balance-sheet items with a 20% CCF ......................................
e. Notional amount of off-balance-sheet items with a 50% CCF ......................................
f. Notional amount of off-balance-sheet items with a 100% CCF .....................................
g. Total off-balance-sheet items (sum of items 2.a.(1), 2.a.(2), 2.c, and 2.d through 2.f,
minus 0.9 times the sum of items 2.c.(1) and 2.c.(2)) .................................................
3. Regulatory adjustments ..........................................................................................
4. Total exposures (sum of items 1.d and 2.g, minus item 3)..............................................

Tril

Bil

Mil

Thou

2170

1.a.

B989

1.b.(1)
1.b.(2)
1.b.(3)
1.b.(4)

M334
M335
M336
M337
M338

1.c.(1)
1.c.(2)

N506

1.d.

N507

2.a.(1)
2.a.(2)

M339
M340
M341

M343
M344
M718
M346
M347

2.b.(1)
2.b.(2)
2.b.(3)
2.c.
2.c.(1)
2.c.(2)
2.d.
2.e.
2.f.

M348
M349
M350

2.g.
3.
4.

N508
M342

Schedule B—Interconnectedness Indicators
U.S. Dollar Amounts in Thousands
Change to: other
Intra-Financial System Assets
1. Funds deposited with or lent to unaffiliated financial institutions ................................................
Change to: Unused portion of
committed lines extended to other
a. Certificates of deposit ...................................................................................................
2. Undrawn committed lines extended to unaffiliated financial institutions .......................................
3. Holdings of securities issued by unaffiliated financial institutions:
a. Secured debt securities .................................................................................................
Change to: other
b. Senior unsecured debt securities ....................................................................................
c. Subordinated debt securities ..........................................................................................
Change to: Equity securities
d. Commercial paper........................................................................................................
e. Stock (including par and surplus of common and preferred shares) ........................................
Change to: equity securities
f. Offsetting short positions in relation to the specific stock holdings included in item 3.e................
4. Net positive current exposure of securities financing transactions (SFTs) with unaffiliated financial
institutions .....................................................................................................................
Change to: other
5. Over-the-counter (OTC) derivatives with unaffiliated financial institutions that have a net positive
fair value:
Change to: derivative contracts with other
a. Net positive fair value ...................................................................................................
b. Potential future exposure ...............................................................................................
6. Total intra-financial system assets (sum of items 1, 2 through 3.e, 4, 5.a, and 5.b, minus item 3.f) ....

RISK
M351
M355
J458
M352

Bil

Mil

Thou

1.
1.a.
2.

M357

3.a.
3.b.
3.c.
3.d.
3.e.
3.f.

M358

4.

M359
M360
M362

5.a.
5.b.
6.

M353
M354
M345
M356

12/2013

DRAFT - August 20, 2015

Schedule A - Size Indicator
U.S. Dollar Amounts in Thousands RISK

Tril

Bil

Mil

Thou

Total Exposures
1. Derivative exposures:
a. Current exposure of derivative contracts …………..………………..……………………………………………… M337
b. Potential future exposure (PFE) of derivative contracts …………..………………..………………………………M339
c. Gross-up for derivatives collateral …………..………………..………………………………………………………Y822
d. Effective notional amount of written credit derivatives …………..………………..……………………………… M340
e. Cash variation margin included as an on-balance sheet receivable …………..………………..……………… Y823
f. Exempted central counterparty legs of client-cleared transactions included in item 3(a) …………..………… Y824
g. Effective notional amount offsets and PFE adjustments for sold credit protection …………..……………….. Y825
h. Total derivative exposures (sum of items 1.a through 1.d, minus the sum of items 1.e through 1.g) …………Y826
2. Securities financing transaction (SFT) exposures:
a. Gross SFT assets …………..………………..……………………………………………………………………… M334
b. Counterparty credit risk exposure for SFTs …………..………………..……………………………………………N507
c. SFT indemnification and other agent-related exposures …………..………………..…………………………… Y827
d. Gross value of offsetting cash payables …………..………………..……………………………………………… Y828
e. Total SFT exposures (sum of items 2.a through 2.c, minus item 2.d) …………..………………..………………Y829
3. Other on-balance sheet exposures:
a. Other on-balance sheet assets …………..………………..………………………………………………………… Y830
b. Regulatory adjustments ……………………………………………………………………………………………… M349
4. Other off-balance sheet exposures:
a. Gross notional amount of items subject to a 0% credit conversion factor (CCF) ..………………………………M342
b. Gross notional amount of items subject to a 20% CCF .……………………………………………………………M718
c. Gross notional amount of items subject to a 50% CCF .…..……………………………………………………… M346
d. Gross notional amount of items subject to a 100% CCF ………………………………………………………… M347
e. Credit exposure equivalent of other off-balance sheet items (sum of 0.1 times item 4.a, 0.2 times
item 4.b, 0.5 times item 4.c, and item 4.d) ………………………………………………………………………………Y831
5. Total exposures prior to regulatory deductions (sum of items 1.h, 2.e, 3.a, and 4.e) ………………………………Y832

0=No
6. Does item 5 represent an average value over the reporting period?................................................ 1=Yes
Memoranda
U.S. Dollar Amounts in Thousands RISK
1. Securities received as collateral in securities lending..…………………………………………………………………M335
2. Cash collateral received in conduit securities lending transactions……...……………………………………………M336
3. Credit derivatives sold net of related credit protection bought ……………...…………………………………………M341

1.a.
1.b.
1.c.
1.d.
1.e.
1.f.
1.g.
1.h.
2.a.
2.b.
2.c.
2.d.
2.e.
3.a.
3.b.
4.a.
4.b.
4.c.
4.d.
4.e.
5.

Risk
FC52
Tril

Bil

6.
Mil

Thou

M.1.
M.2.
M.3.

FR Y-15
Page 3 of 5

DRAFT - August 20, 2015

Schedule B—Continued
Add new item 8:
8. Borrowings obtained from other financial institutions [RISKY833]

12

13
14
15
16
17
18
19
20

Change to: 9. Unused portion of
committed lines obtained from other

U.S. Dollar Amounts in Thousands RISK

Intra-Financial System Liabilities Change to: other
7. Deposits due to unaffiliated financial institutions (including undrawn committed lines):
a. Deposits due to depository institutions..............................................................................
Change to: 10. Net negative current
exposure of SFTs with other
b. Deposits due to non-depository financial institutions ............................................................
c. Undrawn committed lines obtained from unaffiliated financial institutions .................................
8. Net negative current exposure of SFTs with unaffliated financial institutions ................................
9. OTC derivatives with unaffiliated financial institutions that have a net negative fair value:
a. Net negative fair value ...................................................................................................
Change to: 11. OTC Derivative contracts with
other
b. Potential future exposure ...............................................................................................
10. Total intra-financial system liabilities (sum of items 7.a through 9.b)...........................................
11
Securities Outstanding
11. Secured debt securities ....................................................................................................
12. Senior unsecured debt securities ........................................................................................
13. Subordinated debt securities .............................................................................................
14. Commercial paper ...........................................................................................................
15. Certificates of deposit.......................................................................................................
15
19
16. Common equity ..............................................................................................................
13
17. Preferred shares and other forms of subordinated funding not captured in item 13........................
18. Total securities outstanding (sum of items 11 through 17)........................................................

Bil

Mil

Thou

M363

7.a.
7.b.
7.c.
8.

M364
M365
M366
M367
M368

9.a.
9.b.
10.

M370
M371
M372

11.
12.
13.
14.
15.
16.
17.
18.

M373
2309
M374
M375
N509
M376

Add memoranda item 1:
Memoranda
1. Standby letters of credit extended to other financial institutions [RISKY834]

Schedule C—Substitutability Indicators
U.S. Dollar Amounts in Thousands
Payments Activity
Change to: last four quarters
1. Payments made in the reporting year:
a. Australian dollars (AUD) ........................................................................................
b. Brazilian real (BRL) ..............................................................................................
c. Canadian dollars (CAD) ........................................................................................
d. Swiss francs (CHF) ..............................................................................................
e. Chinese yuan (CNY).............................................................................................
f. Euros (EUR) .......................................................................................................
g. British pounds (GBP) ............................................................................................
h. Hong Kong dollars (HKD) ......................................................................................
i. Indian rupee (INR)................................................................................................
j. Japanese yen (JPY) .............................................................................................
k. Swedish krona (SEK)............................................................................................
l. United States dollars (USD) ...................................................................................
Move to memoranda item 4
m. All currencies not listed above ...............................................................................
2. Payments activity (sum of items 1.a through 1.l) ............................................................
Assets Under Custody
3. Assets held as a custodian on behalf of customers.........................................................

RISK

Tril

Bil

Mil

Thou

M377
M378

M388
M389
M390

1.a.
1.b.
1.c.
1.d.
1.e.
1.f.
1.g.
1.h.
1.i.
1.j.
1.k.
1.l.
1.m.
2.

M405

3.

M379
M380
M381
M382
M383
M384
M385
M386
M387

U.S. Dollar Amounts in Thousands
Underwritten Transactions in Debt and Equity Markets
4. Equity underwriting activity ................................................................................................
5. Debt underwriting activity ..................................................................................................
6. Total underwriting activity (sum of items 4 and 5) ...................................................................
Add memoranda items 1-3, 5 and move item 1.m to memoranda item 4:
Memoranda
1. Mexican pesos (MXN)
[RISKY835]
2. New Zealand dollars (NZD)
[RISKY836]
3. Russian rubles (RUB)
[RISKY837]
4. Payments made in the last four quarters in all other currencies [RISKM389]
5. Unsecured settlement/clearing lines provided
[RISKM436]

RISK
M406
M407
M408

Bil

Mil

Thou

4.
5.
6.

12/2013

9
10

11
11
12

13
14
15
16
17
18
19
20

FR Y-15
Page 4 of 5

DRAFT - August 20, 2015

Schedule D—Complexity Indicators
Change "OTC Derivatives" in items 1-3 to: OTC Derivative
contracts
U.S. Dollar Amounts in Thousands RISK

Tril

Bil

Mil

Thou

Notional Amount of Over-the-Counter (OTC) Derivatives
Change to: Derivative
1. OTC derivatives cleared through a central counterparty .................................................. M409
2. OTC derivatives settled bilaterally ............................................................................... M410
3. Total notional amount of OTC derivatives (sum of items 1 and 2) ...................................... M411

1.
2.
3.

U.S. Dollar Amounts in Thousands RISK
Trading and Available-for-Sale (AFS) Securities
4. Trading securities ............................................................................................................
5. AFS securities ................................................................................................................
Insert: liquid
6. Total trading and AFS securities (sum of items 4 and 5) ..........................................................
Insert: liquid
7. Trading and AFS securities that meet the definition of level 1 assets..........................................
8. Trading and AFS securities that meet the definition of level 2 assets, with haircuts .......................
9. Total adjusted trading and AFS securities (item 6 minus items 7 and 8) ......................................
Level 3 Assets
Insert: for accounting purposes
10. Assets valued using Level 3 measurement inputs ..................................................................
Add memoranda item 1:
Memoranda
1. Held-to-maturity securities

Bil

Mil

Thou

M412
1773
M414
N510
N511
N255

4.
5.
6.
7.
8.
9.

G506

10.

[RISK1754]

Schedule E—Cross-Jurisdictional Activity Indicators
U.S. Dollar Amounts in Thousands
Cross-Jurisdictional Claims
1. Foreign claims on an ultimate-risk basis ...............................................................................
Cross-Jurisdictional Liabilities
2. Foreign liabilities (excluding local liabilities in local currency) ....................................................
a. Any foreign liabilities to related offices included in item 2 .....................................................
3. Local liabilities in local currency..........................................................................................
4. Total cross-jurisdictional liabilities (sum of items 2 and 3, minus item 2.a) ...................................

RISK

Bil

Mil

Thou

M422

1.

M423

2.
2.a.
3.
4.

M424
M425
M426

Schedule F—Ancillary Indicators
Move item 5 to item 3:
3. Total gross revenue

6
7
8
9

[RISKM430]
U.S. Dollar Amounts in Thousands RISK Tril
Ancillary Indicators
1. Total liabilities......................................................................................................... 2948
2. Retail funding ......................................................................................................... M427
3. Total net revenue .................................................................................................... M428
Change to: provided
4. Foreign net revenue................................................................................................. M429
Move to item 3
M430
Change to: provided
5. Total gross revenue .................................................................................................
M431
6. Peak equity market capitalization................................................................................
Remove item 6
7. Gross value of cash lent and gross fair value of securities lent in securities financing
M432
Change to: received
Change to: received
transactions (SFTs) .................................................................................................
8. Gross value of cash borrowed and gross fair value of securities borrowed in SFTs ............... M433
Change to: contracts
M434
9. Gross positive fair value of over-the-counter (OTC) derivatives transactions ........................
M435
10. Gross negative fair value of OTC derivatives transactions................................................
Change to: contracts
M436
11. Unsecured settlement/clearing lines provided................................................................
Move to Schedule C, memoranda item 5
1754
12. Held-to-maturity securities.........................................................................................
Move to Schedule D, memoranda item 1

10

Number in Single Units RISK
13. Number of jurisdictions ..................................................................................................................... M437

4
5

Bil

Mil

Thou

1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11.
12.

13.

12/2013

4
5

6
7
8
9
10

DRAFT - August 20, 2015
Schedule G - Short-Term Wholesale Funding Indicator
(Effective December 31, 2016)

(Column A)

(Column B)

(Column C)

(Column D)

Remaining maturity of
30 days or less

Remaining maturity of
31 to 90 days

Remaining maturity of
91 to 180 days

Remaining maturity of
181 to 365 days

U.S. Dollar Amounts in Thousands RISK
Short-term Wholesale Funding
1. First tier:
a. Funding secured by level 1 liquid assets ………………..…………………………Y838
b. Retail brokered deposits and sweeps …………………………………………… Y842
c. Unsecured wholesale funding obtained outside of the financial sector ……… Y846
d. Firm short positions involving level 2B liquid assets or non-HQLA …………… Y850
e. Total first tier short-term wholesale funding
(sum of items 1.a through 1.d) ……………………………………………….………Y854
2. Second tier:
a. Funding secured by level 2A liquid assets ……………………….……………… Y858
b. Covered asset exchanges (level 1 to level 2A) ……………………………………Y862
c. Total second tier short-term wholesale funding
(sum of items 2.a and 2.b) ……………………………………………………………Y866
3. Third tier:
a. Funding secured by level 2B liquid assets ……………………………………… Y870
b. Other covered asset exchanges ……………………………………………………Y874
c. Unsecured wholesale funding obtained within the financial sector …………… Y878
d. Total third tier short-term wholesale funding
(sum of items 3.a through 3.c) ………………………………………………………Y882
4. All other components of short-term wholesale funding ………………………………Y886
5. Total short-term wholesale funding, by maturity (weighted sum of
items 1.e, 2.c, 3.d, and 4) ……………………………………………………………… Y890

Bil

U.S. Dollar Amounts in Thousands RISK
6. Total short-term wholesale funding (sum of item 5, Columns A through D) ………Y894
7. Average risk-weighted assets .………………………………………………………… Y895

Bil

RISK

8. Short-term wholesale funding metric (item 6 divided by item 7) ……………………Y896

Mil

Mil

Thou

RISK

Mil

Thou

RISK

Bil

Mil

Thou

RISK

Bil

Mil

Thou

Y839

Y840

Y841

Y843

Y844

Y845

Y847

Y848

Y849

Y851

Y852

Y853

1.a.
1.b.
1.c.
1.d.

Y855

Y856

Y857

1.e.

Y859

Y860

Y861

Y863

Y864

Y865

2.a.
2.c.

Y867

Y868

Y869

2.e.

Y871

Y872

Y873

Y875

Y876

Y877

Y879

Y880

Y881

3.a.
3.b.
3.c.

Y883

Y884

Y885

Y887

Y888

Y889

3.d.
4.a.

Y891

Y892

Y893

5.

Thou

6.
7.
Percentage
__.__

Bil

8.

DRAFT - August 20, 2015

FR Y-15
Page 5 of 5

Optional Narrative Statement
The management of the reporting banking organization has the
option to submit a public statement regarding the values reported
on the FR Y-15. 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.

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.

The statement may not exceed 750 characters, including punctuation, indentation, and standard spacing between words and sentences. Statements exceeding this limit will be truncated at

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").

RISK

1. Narrative statement ....................... 6980

1.

12/2013