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Instructions for Preparation of
Banking Organization Systemic Risk Report
Reporting Form FR Y-15
Reissued December 2015
Contents
GENERAL INSTRUCTIONS FOR PREPARATION OF THE BANKING ORGANIZATION
SYSTEMIC RISK REPORT
Who Must Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
A. Reporting Criteria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B. Shifts in Reporting Status . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C. Rules of Consolidation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D. Exclusions from coverage of the consolidated report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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Where to Submit the Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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When to Submit the Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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How to Prepare the Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
A. Applicability of GAAP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B. Report Form Captions and Instructional Detail. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C. Rounding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D. Negative Entries. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E. Confidentiality. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
F. Verification and Signatures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
G. Amended Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
H. Data Items Automatically Retrieved from Other Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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LINE ITEM INSTRUCTIONS FOR THE BANKING ORGANIZATION SYSTEMIC
RISK REPORT
Schedule A – Size Indicator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Schedule B – Interconnectedness Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Schedule C – Substitutability Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Schedule D – Complexity Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Schedule E – Cross-Jurisdictional Activity Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Schedule F – Ancillary Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
FR Y-15
Contents December 2015
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Contents
Schedule G – Short-Term Wholesale Funding Indicator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Optional Narrative Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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GLOSSARY OF TERMS AND EDITS FOR THE BANKING ORGANIZATION SYSTEMIC
RISK REPORT
Glossary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Validity Edits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Quality Edits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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FR Y-15
Contents December 2015
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 Y-15) 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) and covered savings and loan holding companies (SLHCs)1 that have total consolidated assets
of $50 billion or more, including those U.S. top-tier
holding companies that are subsidiaries of foreign
banking organizations, must file the FR Y-15, subject
to applicable phase-in arrangements. Only the top
tier of a multi-tiered holding company that meets
these criteria must file.
(2) U.S.-Based Organizations Designated as Global
Systemically Important Banks. Any BHC organized under the laws of the U.S. or any of the states
therein that was identified as a global systemically
important bank (G-SIB) based on their most recent
method 1 score calculation2 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
1. Covered SLHCs are those which are not substantially engaged in
insurance or commercial activities. For more information, see the definition of ‘‘covered savings and loan holding company’’ provided in 12 CFR
217.2.
2. See 12 CFR 217.402.
FR Y-15
General Instructions December 2015
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 Y-15 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 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-byline 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.
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General Instructions
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.
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
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 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.
The exclusion of custody accounts does not apply to line
items specifically capturing assets under custody.
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.
Where to Submit the Report
Banking organizations should retain workpapers and
other records used in the preparation of this 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
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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).
FR Y-15
General Instructions December 2015
General Instructions
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 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 4,
‘‘Total net revenue;’’ and, Schedule F, item 5, ‘‘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. The following line items
will be kept confidential until the first reporting date after
the final liquidity coverage ratio disclosure standard has
been implemented: Schedule G, items 1 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 public release of the information. Merely stating that competitive harm would
result or that information is personal is not sufficient.
FR Y-15
General Instructions December 2015
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.
For data items automatically retrieved from the Consolidated Financial Statements for Holding Companies (FR
Y-9C), line-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 extend to the corresponding data item on the FR
Y-15 (see General Instructions, Section H). Confidential
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.
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.
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General Instructions
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.
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
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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 B, item 15, ‘‘Subordinated debt securities’’
(FR Y-9C, Schedule HC, items 19(a) and 19(b))
(2) Schedule B, item 16, ‘‘Commercial paper’’ (FR Y9C, Schedule HC-M, item 14(a))
(3) Schedule D, item 5, ‘‘AFS securities’’ (FR Y-9C,
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))
(6) Schedule F, item 1, ‘‘Total liabilities’’ (FR Y-9C,
Schedule HC, item 21)
(7) Schedule F, item 3, ‘‘Total gross revenue’’ (FR Y-9C,
Schedule HI, item 1(h) plus item 5(m))
(8) Schedule F, item 4, ‘‘Total net revenue’’ (FR Y-9C,
Schedule HI, item 1(h) plus item 5(m) minus item
2(f))
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 E, item 1, ‘‘Foreign claims on an ultimaterisk basis’’ (FFIEC 009, Schedule C, Part II, Columns 1 through 10, Total Foreign Countries)
FR Y-15
General Instructions December 2015
LINE ITEM INSTRUCTIONS FOR
Size Indicator
Schedule A
General Instructions
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 securities 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
FR Y-15
Schedule A
December 2015
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.
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 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) 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.
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Schedule A
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.
Report the 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.
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
on-balance 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).
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).
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Line Item 1(e) Cash variation margin included as
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 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.
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-to-fair 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)):
Schedule A
FR Y-15
December 2015
Schedule A
(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,
(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 doublecounting (see 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 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 net income but does not record
offsetting deterioration in the mark-to-fair value of the
sold credit protection on the reference exposure (either
through reductions in fair value or by additions to
reserves) in common equity tier 1 capital, the banking
organization may not reduce the effective notional principal amount of the sold credit protection.
This item is equivalent to Part 2, line 10 of the supplemental leverage ratio disclosure table (see 12 CFR
217.173, Table 13).
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.
Report the gross value of on-balance sheet assets related
to securities financing transactions. For advanced
approaches banking organizations, report the average
FR Y-15
Schedule A
December 2015
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 transaction that have not been rehypothecated or sold). Include the gross value of cash
receivables for reverse repurchase agreements. Include
securities sold under a repurchase agreement or a securities lending transaction that qualify for sales treatment
under GAAP.
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 2(b) Counterparty credit risk exposure
for SFTs.
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
A-3
Schedule A
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 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
Line Item 3(a)
Other on-balance sheet exposures:
Other on-balance sheet assets.
Report the balance sheet carrying value of all on-balance
sheet assets, including collateral but excluding the
A-4
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.
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).1 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-intime 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 Other off-balance sheet exposures:
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
1. See www.gpo.gov/fdsys/browse/collectionCfr.action.
Schedule A
FR Y-15
December 2015
Schedule A
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 offbalance 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 offbalance 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 transaction-related 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 offbalance sheet items subject to a 100% credit conversion
factor under the standardized approach to credit risk.
This includes guarantees, credit-enhancing representaFR Y-15
Schedule A
December 2015
tions 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 the sum of Part 2, lines 1 and
21 minus Part 2, line 3 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,
though they are not required to do so. Enter a ‘‘1’’ for
Yes; enter a ‘‘0’’ for No.
Memoranda
Line Item M1 Securities received as collateral in
securities lending.
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.
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Schedule A
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
A-6
was received and then subsequently passed through to the
security owner. All respondents must provide a point-intime value, including advanced approaches banking organizations.
Line Item 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.
Schedule A
FR Y-15
December 2015
LINE ITEM INSTRUCTIONS FOR
Interconnectedness Indicators
Schedule B
General Instructions
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 other
financial institutions.
Report all funds deposited with or lent to other financial
institutions (i.e., 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 3(d), and securities financing
FR Y-15
Schedule B
December 2015
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 other financial institutions as included in item 1. For
more information on certificates of deposit, refer to the
Glossary entry for ‘‘certificate of deposit.’’
Line Item 2 Unused portion of committed lines
extended to other financial institutions.
Report the nominal value of the unused portion of all
committed lines extended to other 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 Holdings of securities issued by other
financial institutions.
This item reflects all holdings of securities issued by
other 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
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Schedule B
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.
Line Item 3(a) Secured debt securities.
Report the total holdings of secured debt securities (e.g.,
covered bonds). 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.
Report the total holdings of subordinated debt securities.
Line Item 3(d) Commercial paper.
Report the total holdings of commercial paper of other
financial institutions. For more information on commercial paper, refer to the Glossary entry for ‘‘commercial
paper.’’
Line Item 3(e) Equity securities.
Report the total holdings of equity securities, including
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).
B-2
Line Item 3(f) Offsetting short positions in relation
to the specific equity 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 securities
reported in item 3(e) (e.g., total return swaps).1
Line Item 4 Net positive current exposure of
securities financing transactions (SFTs) with other
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. Net multiple
transactions only when the transactions are covered by a
qualifying master netting agreement (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 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.
1. 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 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).
Schedule B
FR Y-15
December 2015
Schedule B
Line Item 5 Over-the-counter (OTC) derivative
contracts with other financial institutions that have
a net positive fair value:
Line Item 5(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 12 CFR 217.34(a).
Line Item 6 Total intra-financial system assets.
The sum of items 1, 2 through 3(e), 4, 5(a), and 5(b),
minus item 3(f).
FR Y-15
Schedule B
December 2015
Intra-Financial System Liabilities
Line Item 7 Deposits due to other 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.’’
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 8 Borrowings obtained from other
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
in 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 other financial institutions. Include lines which are unconditionally cancelable.
This item 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.
B-3
Schedule B
Line Item 10 Net negative current exposure of
SFTs with other financial institutions.
This item includes the following:
(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. Net multiple
transactions only when the transactions are covered by a
qualifying master netting agreement (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 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. Report the final net negative exposure value as a positive number.
Line Item 11 OTC derivative contracts with other
financial institutions that have a net negative fair
value:
Line Item 11(a) 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
B-4
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 11(b) Potential future exposure.
Report the amount of the PFE, calculated using the
current exposure method, for the derivatives included in
item 11(a). For more information on determining the PFE
refer to 12 CFR 217.34(a).
Line Item 12 Total intra-financial system
liabilities.
The sum of items 7(a) through 11(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
Schedule B
FR Y-15
December 2015
Schedule B
cost of the securities, the fair value of the securities, or a
mixture of the two.
Line Item 13 Secured debt securities.
Report the book 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 14 Senior unsecured debt securities.
Report the book value of all outstanding senior unsecured
debt securities issued by the banking organization.
Line Item 15 Subordinated debt securities.
Report the book 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 16 Commercial paper.
Report the book value of all outstanding commercial
paper issued by the banking organization. For more
information on commercial paper, refer to the Glossary
entry for ‘‘commercial paper.’’
Line Item 17 Certificates of deposit.
Report the book value of all outstanding certificates of
deposit issued by the banking organization. For more
information on certificates of deposit, refer to the Glossary entry for ‘‘certificate of deposit.’’
FR Y-15
Schedule B
December 2015
Line Item 18 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 19 Preferred shares and other forms of
subordinated funding not captured in item 15.
Report the fair value of outstanding preferred shares and
other forms of subordinated funding not captured in item
15 (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 20 Total securities outstanding.
The sum of items 13 through 19.
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
third-party 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.
B-5
LINE ITEM INSTRUCTIONS FOR
Substitutability Indicators
Schedule C
Payments Activity
Line Item 1 Payments made in the last four
quarters.
Report the total gross value of all cash payments sent by
the banking organization via large-value payment systems,1 along with the gross value of all cash payments
sent through an agent or correspondent bank (e.g., using a
correspondent or nostro account), in the last 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.
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.,
1. 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 www.bis.org/cpmi/publ/d105.htm.
FR Y-15
Schedule C
December 2015
when the bank acts as a payment service provider) where
the customer is a direct member of the large value
payment system and uses 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.
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.2 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.
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 accurate3
(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.
Convert the aggregate payments in items 1(a) through
1(k) to U.S. dollars using average exchange rates 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, consistent, and reproducible. Documentation concerning the
method employed to calculate the average exchange rates
2. 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).
3. 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-1
Schedule C
must be maintained and made available to supervisors
upon request.
Line Item 1(a) Australian dollars (AUD).
Report the U.S. dollar equivalent amount of all payments
made in Australian dollars (AUD) in the last four quarters.
Line Item 1(k) Swedish krona (SEK).
Report the U.S. dollar equivalent amount of all payments
made in Swedish krona (SEK) in the last four quarters.
Line Item 1(l)
United States dollars (USD).
Report the total value of all payments made in United
States dollars (USD) in the last four quarters.
Line Item 1(b) Brazilian real (BRL).
Report the U.S. dollar equivalent amount of all payments
made in Brazilian real (BRL) in the last four quarters.
Line Item 1(c) Canadian dollars (CAD).
Report the U.S. dollar equivalent amount of all payments
made in Canadian dollars (CAD) in the last four quarters.
Line Item 1(d) Swiss francs (CHF).
Report the U.S. dollar equivalent amount of all payments
made in Swiss francs (CHF) in the last four quarters.
Line Item 1(e) Chinese yuan (CNY).
Report the U.S. dollar equivalent amount of all payments
made in Chinese yuan (CNY) in the last four quarters.
Line Item 1(f)
Euros (EUR).
Report the U.S. dollar equivalent amount of all payments
made in euros (EUR) in the last 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) in the last four
quarters.
Line Item 1(h) Hong Kong dollars (HKD).
Report the U.S. dollar equivalent amount of all payments
made in Hong Kong dollars (HKD) in the last four
quarters.
Line Item 1(i)
Indian rupee (INR).
Report the U.S. dollar equivalent amount of all payments
made in Indian rupee (INR) in the last four quarters.
Line Item 1(j)
The sum of items 1(a) through 1(l).
Assets Under Custody
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 holds 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 subcustodians).4 In the case where assets are held by a
sub-custodian, both the primary custodian and the subcustodian must report the assets. Do not include any
assets under management or assets under administration
which are not also classified as assets under custody. The
value of the assets should reflect the accounting method
required by the respective clients. Thus, the reported total
will likely involve a mixture of 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.
Japanese yen (JPY).
Report the U.S. dollar equivalent amount of all payments
made in Japanese yen (JPY) in the last four quarters.
C-2
Line Item 2 Payments activity.
4. A sub-custodian is an institution that provides custody services on
behalf of another custodian.
Schedule C
FR Y-15
December 2015
Schedule C
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 last twelve months, excluding
transactions with subsidiaries and/or affiliates and selfled 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 equity-linked 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, backend, 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
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 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
FR Y-15
Schedule C
December 2015
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’’) 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 last 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, asset-backed 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 best-effort 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).
Report the U.S. dollar equivalent amount of all payments
made in Mexican pesos (MXN) in the last four quarters.
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.
C-3
Schedule C
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, consistent, and reproducible. Documentation concerning the method employed to calculate
C-4
the average exchange rates must be maintained and made
available to supervisors upon request.
Line Item M5
provided.
Unsecured settlement/clearing lines
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.
Schedule C
FR Y-15
December 2015
LINE ITEM INSTRUCTIONS FOR
Complexity Indicators
Schedule D
Notional Amount of Over-the-Counter (OTC)
Derivative 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 will be settled through a central
counterparty (CCP). 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 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 OTC derivative contracts settled
bilaterally.
Report the notional amount outstanding of OTC derivative positions which will be settled bilaterally (i.e.,
without the use of a central counterparty). Include all
FR Y-15
Schedule D
December 2015
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.’’
Line Item 3 Total notional amount of OTC
derivative contracts.
The sum of items 1 and 2.
Trading and Available-for-Sale (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 nontradable 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-tomaturity (HTM) must be reported as AFS. Do not include
D-1
Schedule D
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
AFS securities, refer to ASC Topic 320, Investments −
Debt and Equity Securities, and the FR Y-9C Glossary
entry for ‘‘securities activities.’’
Line Item 6 Total trading and AFS securities.
The sum of items 4 and 5.
Line Item 7 Trading and AFS securities that meet
the definition of level 1 liquid assets.
Report the gross fair value of all trading and AFS
securities captured in item 6 that qualify as level 1 liquid
assets as set forth in the liquidity coverage ratio (LCR)
(see 12 CFR 249.20(a)). Include qualifying securities
even if they are not eligible high-quality liquid assets
(HQLA) according to 12 CFR 249.22.
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 2A or level 2B liquid assets as set forth in the
LCR (see 12 CFR 249.20(b)-(c)). Include qualifying
securities even if they are not eligible HQLA according
to 12 CFR 249.22. Report level 2A and level 2B liquid
assets with haircuts of 15% 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 Total adjusted trading and AFS
securities.
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 threelevel 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 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
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 Y-9C,
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.’’
Item 6 minus the sum of items 7 and 8.
D-2
Schedule D
FR Y-15
December 2015
LINE ITEM INSTRUCTIONS FOR
Cross-Jurisdictional Activity Indicators
Schedule E
Cross-Jurisdictional Claims
Line Item 1 Foreign claims on an ultimate-risk
basis.
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.
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 instructions for preparation of
FR Y-15
Schedule E
December 2015
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
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
Total cross-jurisdictional liabilities.
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 5 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;
FR Y-15
Schedule F
December 2015
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 6 Gross value of cash provided and
gross fair value of securities provided in securities
financing transactions (SFTs).
Report the gross value of all cash provided and the gross
fair value of all securities provided in the outgoing legs
of securities financing transactions. Only include transactions completed by the banking organization on its own
behalf. Include 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 outgoing legs associated with conduit lending
and margin lending transactions.
Line Item 7 Gross value of cash received and
gross fair value of securities received in SFTs.
Report the gross value of all cash received and the gross
fair value of all securities received in the incoming legs
of securities financing transactions. Only include transactions completed by the banking organization on its own
behalf. Include 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 incoming legs associated with conduit lending and margin lending transactions.
F-1
Schedule F
Line Item 8 Gross positive fair value of
over-the-counter (OTC) derivative contracts.
Line Item 10 Number of jurisdictions.
Report the gross positive fair value of all OTC derivative
contracts (i.e., contracts not initiated via an exchange).
Do not include any counterparty netting.
Report the number of countries, including the home
jurisdiction, where the banking organization has a branch,
a subsidiary, or other entity that is consolidated under
GAAP. Determine the jurisdiction using the physical
address of the branch, subsidiary, or other consolidated
entity.
Line Item 9 Gross negative fair value of OTC
derivative contracts.
Report the gross negative fair value of all OTC derivative
contracts not initiated via an exchange. Do not include
any counterparty netting.
F-2
Schedule F
FR Y-15
December 2015
LINE ITEM INSTRUCTIONS FOR
Short-Term Wholesale Funding Indicator
Schedule G
General Instructions
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.
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 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(d) Firm short positions involving
level 2B liquid assets or non-HQLA.
Report the value of firm short positions involving level
2B liquid assets or assets that do not qualify as highquality liquid assets (HQLA). For the list of assets that
are level 2B liquid assets and a definition of HQLA, see
12 CFR 249.20 and 249.3, respectively.
Line Item 1(e) Total first tier short-term
wholesale funding.
The sum of items 1(a) through 1(d).
Short-Term Wholesale Funding
Line Item 1
Line Item 1(a)
assets.
First tier:
Funding secured by level 1 liquid
Line Item 2 Second tier:
Line Item 2(a)
assets.
Funding secured by level 2A liquid
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 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 1(b)
sweeps.
Line Item 2(b)
to level 2A).
Retail brokered deposits and
Report the value of brokered deposits and sweeps provided by retail customers or counterparties. For more
FR Y-15
Schedule G
December 2015
Covered asset exchanges (level 1
Report the value of covered asset exchanges where a
level 1 liquid asset will be exchanged for a level 2A
G-1
Schedule G
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.
The sum of items 2(a) and 2(b).
Line Item 3
Line Item 3(a)
assets.
Third tier:
Funding secured by level 2B liquid
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 3(b)
Other covered asset exchanges.
Report the value of covered asset exchanges not already
captured in item 2(b). For more information, see the
Glossary entry for ‘‘covered asset exchanges.’’
Line Item 3(c) Unsecured wholesale funding
obtained within the financial sector.
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 3(d) Total third tier short-term
wholesale funding.
Line Item 4 All other components of short-term
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
by maturity.
Total short-term wholesale funding,
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.
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.
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.
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.
Line Item 6
Total short-term wholesale funding.
The sum of item 5, Columns A through D.
Line Item 7
Average risk-weighted assets.
Report the average total risk-weighted assets value over
the previous four quarters, using quarterly data. For each
quarter, use the total risk-weighted assets amount associated with the lower of the two risk-based capital ratios in
that quarter. For more information, see FR Y-9C, Schedule HC-R, items 40a and 40b.
Line Item 8
Short-term wholesale funding metric.
Item 6 divided by item 7.
The sum of items 3(a) through 3(c).
G-2
Schedule G
FR Y-15
December 2015
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 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.
The statement may not exceed 750 characters, including
punctuation, indentation, and standard spacing between
words and sentences. Statements exceeding this limit will
FR Y-15
Optional Narrative Statement December 2015
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’’).
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.
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.’’
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
FR Y–15
Glossary December 2015
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.
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.’’
Commercial Paper: Commercial paper consists of shortterm 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
GL-1
Glossary
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-to-fair 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 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
GL-2
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).
Glossary
FR Y–15
December 2015
Validity (V) Edits for the FR Y‐15
(Effective as of December 31, 2015)
Each edit in the checklist must balance, rounding errors are not allowed
Series
Effective
Start Date
FRY15
Schedule
Edit Type Edit
Number
TargetItem
MDRM
Number
20141231 99991231 No change
Page 1
Validity 0100
CFO
RISKC490 CFO must not be null.
riskc490 ne null
FRY15
20141231 99991231 No change
Page 1
Validity 0105
DATESIGN
RISKJ196
riskj196 ne null
FRY15
20141231 99991231 No change
Page 1
Validity 0110
CONTACTN
RISK8901 CONTACTN must not be null.
risk8901 ne null
FRY15
20141231 99991231 No change
Page 1
Validity 0115
CONTACTP
RISK8902 CONTACTP must not be null.
risk8902 ne null
FRY15
20141231 99991231 No change
Page 1
Validity 0120
CONTACTF
RISK9116 CONTACTF must not be null.
risk9116 ne null
FRY15
20141231 99991231 No change
Page 1
Validity 0125
CONTACTE
RISK4086 CONTACTE must not be null.
risk4086 ne null
FRY15
20151231 99991231 Revised
A
Validity 0130
A2a
RISKM334 A2a must not be null.
riskm334 ne null
FRY15
20151231 99991231 Revised
A
Validity 0135
A‐Mem1
RISKM335 A‐Mem1 must not be null.
riskm335 ne null
FRY15
20151231 99991231 Revised
A
Validity 0140
A‐Mem2
RISKM336 A‐Mem2 must not be null.
riskm336 ne null
FRY15
20151231 99991231 Revised
A
Validity 0145
A1a
RISKM337 A1a must not be null.
riskm337 ne null
FRY15
20151231 99991231 Added
A
Validity 0148
A1c
RISKY822 A1c must not be null
risky822 ne null
FRY15
20151231 99991231 Added
A
Validity 0152
A1e
RISKY823 A1e must not be null
risky823 ne null
FRY15
20151231 99991231 Added
A
Validity 0153
A1f
RISKY824 A1f must not be null
riskY824 ne null
FRY15
20151231 99991231 Added
A
Validity 0154
A1g
RISKY825 A1g must not be null
risky825 ne null
FRY15
20151231 99991231 Revised
A
Validity 0155
A2b
RISKN507 A2b must not be null.
riskn507 ne null
FRY15
20151231 99991231 Added
A
Validity 0157
A2c
RISKY827 A2c must not be null
risky827 ne null
FRY15
20151231 99991231 Added
A
Validity 0158
A2d
RISKY828 A2d must not be null
risky828 ne null
FRY15
20151231 99991231 Revised
A
Validity 0160
A1b
RISKM339 A1b must not be null.
riskm339 ne null
FRY15
20151231 99991231 Revised
A
Validity 0165
A‐Mem3
RISKM341 A‐Mem3 must not be null.
riskm341 ne null
FRY15
20151231 99991231 Revised
A
Validity 0175
A4a
RISKM342 A4a must not be null.
riskm342 ne null
FRY15
20151231 99991231 Added
A
Validity 0188
A3a
RISKY830 A3a must not be null
riskY830 ne null
FRY15
20151231 99991231 Revised
A
Validity 0190
A4b
RISKM718 A4b must not be null.
riskm718 ne null
FRY15
20151231 99991231 Revised
A
Validity 0195
A4c
RISKM346 A4c must not be null.
riskm346 ne null
DECEMBER 2015
Effective End Edit Change
Date
Edit Test
DATESIGN must not be null.
Alg Edit Test
FR Y‐15: CHK‐1 of 4
Validity (V) Edits for the FR Y‐15
(Effective as of December 31, 2015)
Each edit in the checklist must balance, rounding errors are not allowed
Series
Effective
Start Date
FRY15
Schedule
Edit Type Edit
Number
TargetItem
MDRM
Number
20151231 99991231 Revised
A
Validity 0200
A4d
RISKM347 A4d must not be null.
riskm347 ne null
FRY15
20151231 99991231 Revised
A
Validity 0205
A3b
RISKM349 A3b must not be null.
riskm349 ne null
FRY15
20141231 99991231 No change
B
Validity 0210
B1
RISKM351 B1 must not be null.
riskm351 ne null
FRY15
20141231 99991231 No change
B
Validity 0215
B1a
RISKM355 B1a must not be null.
riskm355 ne null
FRY15
20141231 99991231 No change
B
Validity 0220
B2
RISKJ458
riskj458 ne null
FRY15
20141231 99991231 No change
B
Validity 0225
B3a
RISKM352 B3a must not be null.
riskm352 ne null
FRY15
20141231 99991231 No change
B
Validity 0230
B3b
RISKM353 B3b must not be null.
riskm353 ne null
FRY15
20141231 99991231 No change
B
Validity 0235
B3c
RISKM354 B3c must not be null.
riskm354 ne null
FRY15
20141231 99991231 No change
B
Validity 0240
B3d
RISKM345 B3d must not be null.
riskm345 ne null
FRY15
20141231 99991231 No change
B
Validity 0245
B3e
RISKM356 B3e must not be null.
riskm356 ne null
FRY15
20141231 99991231 No change
B
Validity 0250
B3f
RISKM357 B3f must not be null.
riskm357 ne null
FRY15
20141231 99991231 No change
B
Validity 0255
B4
RISKM358 B4 must not be null.
riskm358 ne null
FRY15
20141231 99991231 No change
B
Validity 0260
B5a
RISKM359 B5a must not be null.
riskm359 ne null
FRY15
20141231 99991231 No change
B
Validity 0265
B5b
RISKM360 B5b must not be null.
riskm360 ne null
FRY15
20141231 99991231 No change
B
Validity 0270
B7a
RISKM363 B7a must not be null.
riskm363 ne null
FRY15
20141231 99991231 No change
B
Validity 0275
B7b
RISKM364 B7b must not be null.
riskm364 ne null
FRY15
20151231 99991231 Added
B
Validity 0277
B8
RISKY833 B8 must not be null
risky833 ne null
FRY15
20151231 99991231 Revised
B
Validity 0280
B9
RISKM365 B9 must not be null.
riskm365 ne null
FRY15
20151231 99991231 Revised
B
Validity 0285
B10
RISKM366 B10 must not be null.
riskm366 ne null
FRY15
20151231 99991231 Revised
B
Validity 0290
B11a
RISKM367 B11a must not be null.
riskm367 ne null
FRY15
20151231 99991231 Revised
B
Validity 0295
B11b
RISKM368 B11b must not be null.
riskm368 ne null
FRY15
20151231 99991231 Revised
B
Validity 0300
B13
RISKM371 B13 must not be null.
riskm371 ne null
FRY15
20151231 99991231 Revised
B
Validity 0305
B14
RISKM372 B14 must not be null.
riskm372 ne null
DECEMBER 2015
Effective End Edit Change
Date
Edit Test
B2 must not be null.
Alg Edit Test
FR Y‐15: CHK‐2 of 4
Validity (V) Edits for the FR Y‐15
(Effective as of December 31, 2015)
Each edit in the checklist must balance, rounding errors are not allowed
Series
Effective
Start Date
FRY15
Schedule
Edit Type Edit
Number
TargetItem
MDRM
Number
20151231 99991231 Revised
B
Validity 0310
B17
RISKM374 B17 must not be null.
riskm374 ne null
FRY15
20151231 99991231 Revised
B
Validity 0315
B18
RISKM375 B18 must not be null.
riskm375 ne null
FRY15
20151231 99991231 Revised
B
Validity 0320
B19
RISKN509 B19 must not be null.
riskn509 ne null
FRY15
20151231 99991231 Added
B
Validity 0323
B‐Mem1
RISKY834 B‐Mem1 must not be null
risky834 ne null
FRY15
20141231 99991231 No change
C
Validity 0325
C1a
RISKM377 C1a must not be null.
riskm377 ne null
FRY15
20141231 99991231 No change
C
Validity 0330
C1b
RISKM378 C1b must not be null.
riskm378 ne null
FRY15
20141231 99991231 No change
C
Validity 0335
C1c
RISKM379 C1c must not be null.
riskm379 ne null
FRY15
20141231 99991231 No change
C
Validity 0340
C1d
RISKM380 C1d must not be null.
riskm380 ne null
FRY15
20141231 99991231 No change
C
Validity 0345
C1e
RISKM381 C1e must not be null.
riskm381 ne null
FRY15
20141231 99991231 No change
C
Validity 0350
C1f
RISKM382 C1f must not be null.
riskm382 ne null
FRY15
20141231 99991231 No change
C
Validity 0355
C1g
RISKM383 C1g must not be null.
riskm383 ne null
FRY15
20141231 99991231 No change
C
Validity 0360
C1h
RISKM384 C1h must not be null.
riskm384 ne null
FRY15
20141231 99991231 No change
C
Validity 0365
C1i
RISKM385 C1i must not be null.
riskm385 ne null
FRY15
20141231 99991231 No change
C
Validity 0370
C1j
RISKM386 C1j must not be null.
riskm386 ne null
FRY15
20141231 99991231 No change
C
Validity 0375
C1k
RISKM387 C1k must not be null.
riskm387 ne null
FRY15
20141231 99991231 No change
C
Validity 0380
C1l
RISKM388 C1l must not be null.
riskm388 ne null
FRY15
20151231 99991231 Added
C
Validity 0382
C‐Mem1
RISKY835 C‐Mem1 must not be null
risky835 ne null
FRY15
20151231 99991231 Added
C
Validity 0383
C‐Mem2
RISKY836 C‐Mem2 must not be null
risky836 ne null
FRY15
20151231 99991231 Added
C
Validity 0384
C‐Mem3
RISKY837 C‐Mem3 must not be null
riskY837 ne null
FRY15
20151231 99991231 Revised
C
Validity 0385
C‐Mem4
RISKM389 C‐Mem4 must not be null.
riskm389 ne null
FRY15
20141231 99991231 No change
C
Validity 0390
C3
RISKM405 C3 must not be null.
riskm405 ne null
FRY15
20141231 99991231 No change
C
Validity 0395
C4
RISKM406 C4 must not be null.
riskm406 ne null
FRY15
20141231 99991231 No change
C
Validity 0400
C5
RISKM407 C5 must not be null.
riskm407 ne null
DECEMBER 2015
Effective End Edit Change
Date
Edit Test
Alg Edit Test
FR Y‐15: CHK‐3 of 4
Validity (V) Edits for the FR Y‐15
(Effective as of December 31, 2015)
Each edit in the checklist must balance, rounding errors are not allowed
Series
Effective
Start Date
FRY15
Schedule
Edit Type Edit
Number
TargetItem
MDRM
Number
20141231 99991231 No change
D
Validity 0405
D1
RISKM409 D1 must not be null.
riskm409 ne null
FRY15
20141231 99991231 No change
D
Validity 0410
D2
RISKM410 D2 must not be null.
riskm410 ne null
FRY15
20141231 99991231 No change
D
Validity 0415
D4
RISKM412 D4 must not be null.
riskm412 ne null
FRY15
20141231 99991231 No change
D
Validity 0420
D7
RISKN510 D7 must not be null.
riskn510 ne null
FRY15
20141231 99991231 No change
D
Validity 0425
D8
RISKN511 D8 must not be null.
riskn511 ne null
FRY15
20151231 99991231 Added
E
Validity 0427
E1
RISKM422 E1 must not be null.
riskm422 ne null
FRY15
20141231 99991231 No change
E
Validity 0430
E2
RISKM423 E2 must not be null.
riskm423 ne null
FRY15
20141231 99991231 No change
E
Validity 0435
E2a
RISKM424 E2a must not be null.
riskm424 ne null
FRY15
20141231 99991231 No change
E
Validity 0440
E3
RISKM425 E3 must not be null.
riskm425 ne null
FRY15
20141231 99991231 No change
F
Validity 0445
F2
RISKM427 F2 must not be null.
riskm427 ne null
FRY15
20151231 99991231 Revised
F
Validity 0450
F5
RISKM429 F5 must not be null.
riskm429 ne null
FRY15
20151231 99991231 Revised
F
Validity 0460
F6
RISKM432 F6 must not be null.
riskm432 ne null
FRY15
20151231 99991231 Revised
F
Validity 0465
F7
RISKM433 F7 must not be null.
riskm433 ne null
FRY15
20151231 99991231 Revised
F
Validity 0470
F8
RISKM434 F8 must not be null.
riskm434 ne null
FRY15
20151231 99991231 Revised
F
Validity 0475
F9
RISKM435 F9 must not be null.
riskm435 ne null
FRY15
20151231 99991231 Revised
C
Validity 0480
C‐Mem5
RISKM436 C‐Mem5 must not be null.
riskm436 ne null
FRY15
20151231 99991231 Revised
F
Validity 0485
F10
RISKM437 F10 must not be null.
riskm437 ne null
FRY15
20151231 99991231 Added
A
Validity 0486
A6
FRY15
20151231 99991231 Added
A
Validity 0487
A1d
RISKFC52 A6 should equal zero ( No) or one (Yes) and must riskfc52 eq 0 or riskfc52 eq 1 and riskfc52 ne null
not be null.
RISKM340 A1d should not be null
riskm340 ne null
DECEMBER 2015
Effective End Edit Change
Date
Edit Test
Alg Edit Test
FR Y‐15: CHK‐4 of 4
Quality (Q) Edits for the FR Y‐15
(Effective as of December 31, 2015)
Series
Effective Start
Date
Effective End
Date
Edit
Change
Schedule Edit Type
Edit Number TargetIte MDRM
m
Number
Edit Test
Alg Edit Test
FRY15
20151231
99991231
Added
A
Interseries
3000
F1
F1 should be less than HC‐12.
risk2948 lt bhck2170
FRY15
20151231
99991231
Added
A
Interseries
3010
B6
RISKM362
B6 should be less than HC‐12.
riskm362 lt bhck2170
FRY15
20151231
99991231
Added
A
Interseries
3020
B12
RISKM370
B12 should be less than HC‐12.
riskm370 lt bhck2170
FRY15
20151231
99991231
Added
A
Interseries
3030
A2a
RISKM334
A2a should be greater than or equal to HC‐3b.
riskm334 ge bhckb989
FRY15
20151231
99991231
Added
A
Interseries
3031
A2a
RISKM334
The absolute value of HC‐3b minus A2a divided abs((bhckb989‐riskm334)/bhckb989)*100
by HC‐3b should be less than or equal to 40%. le 40
RISK2948
FRY15
20151231
99991231
Revised
A
Quality
9000
A1a
RISKM337
A1a should not be negative.
riskm337 ge 0
FRY15
20151231
99991231
Revised
A
Quality
9000
A1b
RISKM339
A1b should not be negative.
riskm339 ge 0
FRY15
20151231
99991231
Added
A
Quality
9000
A1c
RISKY822
A1c should not be negative.
risky822 ge 0
FRY15
20151231
99991231
Added
A
Quality
9000
A1e
RISKY823
A1e should not be negative.
risky823 ge 0
FRY15
20151231
99991231
Added
A
Quality
9000
A1f
RISKY824
A1f should not be negative.
risky824 ge 0
FRY15
20151231
99991231
Added
A
Quality
9000
A1g
RISKY825
A1g should not be negative.
risky825 ge 0
FRY15
20151231
99991231
Revised
A
Quality
9000
A2a
RISKM334
A2a should not be negative.
riskm334 ge 0
FRY15
20151231
99991231
Revised
A
Quality
9000
A2b
RISKN507
A2b should not be negative.
riskn507 ge 0
FRY15
20151231
99991231
Added
A
Quality
9000
A2c
RISKY827
A2c should not be negative.
risky827 ge 0
FRY15
20151231
99991231
Added
A
Quality
9000
A2d
RISKY828
A2d should not be negative.
risky828 ge 0
FRY15
20151231
99991231
Added
A
Quality
9000
A3a
RISKY830
A3a should not be negative.
risky830 ge 0
FRY15
20151231
99991231
Revised
A
Quality
9000
A4a
RISKM342
A4a should not be negative.
riskm342 ge 0
FRY15
20151231
99991231
Revised
A
Quality
9000
A4b
RISKM718
A4b should not be negative.
riskm718 ge 0
FRY15
20151231
99991231
Revised
A
Quality
9000
A4c
RISKM346
A4c should not be negative.
riskm346 ge 0
FRY15
20151231
99991231
Revised
A
Quality
9000
A4d
RISKM347
A4d should not be negative.
riskm347 ge 0
FRY15
20151231
99991231
Revised
A
Quality
9000
A‐Mem1 RISKM335
A‐Mem1 should not be negative.
riskm335 ge 0
FRY15
20151231
99991231
Revised
A
Quality
9000
A‐Mem2 RISKM336
A‐Mem2 should not be negative.
riskm336 ge 0
FRY15
20151231
99991231
Revised
A
Quality
9000
A‐Mem3 RISKM341
A‐Mem3 should not be negative.
riskm341 ge 0
FRY15
20151231
99991231
Added
A
Quality
3055
D6
RISKM414
D6 should be less than A5.
riskm414 lt risky832
FRY15
20141231
99991231
No change B
Quality
9020
B1
RISKM351
B1 should not be negative.
riskm351 ge 0
FRY15
20141231
99991231
No change B
Quality
9020
B1a
RISKM355
B1a should not be negative.
riskm355 ge 0
FRY15
20141231
99991231
No change B
Quality
9020
B2
RISKJ458
B2 should not be negative.
riskj458 ge 0
FRY15
20141231
99991231
No change B
Quality
9020
B3a
RISKM352
B3a should not be negative.
riskm352 ge 0
FRY15
20141231
99991231
No change B
Quality
9020
B3b
RISKM353
B3b should not be negative.
riskm353 ge 0
FRY15
20141231
99991231
No change B
Quality
9020
B3c
RISKM354
B3c should not be negative.
riskm354 ge 0
FRY15
20141231
99991231
No change B
Quality
9020
B3d
RISKM345
B3d should not be negative.
riskm345 ge 0
FRY15
20141231
99991231
No change B
Quality
9020
B3e
RISKM356
B3e should not be negative.
riskm356 ge 0
DECEMBER 2015
FR Y‐15: EDIT‐1 of 5
Quality (Q) Edits for the FR Y‐15
(Effective as of December 31, 2015)
Series
Effective Start
Date
Effective End
Date
Edit
Change
Schedule Edit Type
FRY15
20131231
99991231
No change B
Quality
Edit Number TargetIte MDRM
m
Number
Edit Test
Alg Edit Test
3060
B3f should be less than or equal to B3e
riskm357 le riskm356
B3e
RISKM356
FRY15
20141231
99991231
No change B
Quality
9020
B3f
RISKM357
B3f should not be negative.
riskm357 ge 0
FRY15
20141231
99991231
No change B
Quality
9020
B4
RISKM358
B4 should not be negative.
riskm358 ge 0
FRY15
20151231
99991231
Revised
F
Quality
3063
F6
RISKM432
F6 should be greater than or equal to B4
riskm432 ge riskm358
FRY15
20141231
99991231
No change B
Quality
9020
B5a
RISKM359
B5a should not be negative.
riskm359 ge 0
FRY15
20141231
99991231
No change B
Interseries
2050
B5a
RISKM359
HC‐D11 should be greater than or equal to B5a bhcm3543 ge riskm359
FRY15
20141231
99991231
No change B
Quality
9020
B5b
RISKM360
B5b should not be negative.
FRY15
20141231
99991231
No change B
Quality
9020
B7a
RISKM363
B7a should not be negative.
riskm363 ge 0
FRY15
20141231
99991231
No change B
Quality
9020
B7b
RISKM364
B7b should not be negative.
riskm364 ge 0
FRY15
20151231
99991231
Added
B
Quality
9020
B8
RISKY833
B8 should not be negative.
risky833 ge 0
FRY15
20151231
99991231
Revised
B
Quality
9020
B9
RISKM365
B9 should not be negative.
riskm365 ge 0
riskm360 ge 0
FRY15
20151231
99991231
Revised
B
Quality
9020
B10
RISKM366
B10 should not be negative.
riskm366 ge 0
FRY15
20151231
99991231
Revised
F
Quality
3067
F7
RISKM433
F7 should be greater than or equal to B10
riskm433 ge riskm366
FRY15
20151231
99991231
Revised
B
Quality
9020
B11a
RISKM367
B11a should not be negative.
riskm367 ge 0
FRY15
20151231
99991231
Revised
B
Interseries
2060
B11a
RISKM367
20151231
99991231
Revised
B
Quality
9020
B11b
RISKM368
HC‐D14 should be greater than or equal to
B11
B11b should not be negative.
bhck3547 ge riskm367
FRY15
riskm368 ge 0
FRY15
20151231
99991231
Revised
F
Quality
3070
F1
RISK2948
F1 should be greater than or equal to B12.
risk2948 ge riskm370
FRY15
20151231
99991231
Revised
B
Quality
9020
B13
RISKM371
B13 should not be negative.
riskm371 ge 0
FRY15
20151231
99991231
Revised
B
Quality
9020
B14
RISKM372
B14 should not be negative.
riskm372 ge 0
FRY15
20151231
99991231
Revised
B
Quality
9020
B17
RISKM374
B17 should not be negative.
riskm374 ge 0
FRY15
20151231
99991231
Revised
B
Quality
9020
B18
RISKM375
B18 should not be negative.
riskm375 ge 0
FRY15
20151231
99991231
Revised
B
Quality
9020
B19
RISKN509
B19 should not be negative.
riskn509 ge 0
FRY15
20151231
99991231
Added
B
Quality
9020
B‐Mem1 RISKY834
B‐Mem1 should not be negative.
risky834 ge 0
FRY15
20141231
99991231
No change C
Quality
9030
C1a
RISKM377
C1a should not be negative.
riskm377 ge 0
FRY15
20141231
99991231
No change C
Quality
9030
C1b
RISKM378
C1b should not be negative.
riskm378 ge 0
FRY15
20141231
99991231
No change C
Quality
9030
C1c
RISKM379
C1c should not be negative.
riskm379 ge 0
FRY15
20141231
99991231
No change C
Quality
9030
C1d
RISKM380
C1d should not be negative.
riskm380 ge 0
FRY15
20141231
99991231
No change C
Quality
9030
C1e
RISKM381
C1e should not be negative.
riskm381 ge 0
FRY15
20141231
99991231
No change C
Quality
9030
C1f
RISKM382
C1f should not be negative.
riskm382 ge 0
FRY15
20141231
99991231
No change C
Quality
9030
C1g
RISKM383
C1g should not be negative.
riskm383 ge 0
FRY15
20141231
99991231
No change C
Quality
9030
C1h
RISKM384
C1h should not be negative.
riskm384 ge 0
FRY15
20141231
99991231
No change C
Quality
9030
C1i
RISKM385
C1i should not be negative.
riskm385 ge 0
FRY15
20141231
99991231
No change C
Quality
9030
C1j
RISKM386
C1j should not be negative.
riskm386 ge 0
DECEMBER 2015
FR Y‐15: EDIT‐2 of 5
Quality (Q) Edits for the FR Y‐15
(Effective as of December 31, 2015)
Series
Effective Start
Date
Effective End
Date
Edit
Change
Schedule Edit Type
FRY15
20141231
99991231
No change C
FRY15
20141231
99991231
No change C
Quality
FRY15
20151231
99991231
Revised
Quality
C
Quality
Edit Number TargetIte MDRM
m
Number
Edit Test
Alg Edit Test
9030
riskm387 ge 0
C1k
RISKM387
C1k should not be negative.
9030
C1l
RISKM388
C1l should not be negative.
riskm388 ge 0
9030
C‐Mem4 RISKM389
C‐Mem4 should not be negative.
riskm389 ge 0
FRY15
20141231
99991231
No change C
Quality
9030
C3
RISKM405
C3 should not be negative.
riskm405 ge 0
FRY15
20141231
99991231
No change C
Quality
9030
C4
RISKM406
C4 should not be negative.
riskm406 ge 0
RISKM407
FRY15
20141231
99991231
No change C
Quality
9030
C5
C5 should not be negative.
riskm407 ge 0
FRY15
20151231
99991231
Added
C
Quality
9030
C‐Mem1 RISKY835
C‐Mem1 should not be negative.
risky835 ge 0
FRY15
20151231
99991231
Added
C
Quality
9030
C‐Mem2 RISKY836
C‐Mem2 should not be negative.
risky836 ge 0
FRY15
20151231
99991231
Added
C
Quality
9030
C‐Mem3 RISKY837
C‐Mem3 should not be negative.
risky837 ge 0
FRY15
20141231
99991231
No change D
Quality
9040
D1
RISKM409
D1 should not be negative.
riskm409 ge 0
FRY15
20141231
99991231
No change D
Quality
9040
D2
RISKM410
D2 should not be negative.
riskm410 ge 0
riskm412 ge 0
FRY15
20141231
99991231
No change D
Quality
9040
D4
RISKM412
D4 should not be negative.
FRY15
20131231
99991231
No change D
Quality
3095
D6
RISKM414
FRY15
20141231
99991231
No change D
Quality
9040
D7
RISKN510
Sum of D7 and D8 should be less than or equal (riskn510 + riskn511) le riskm414
D6
D7 should not be negative.
riskn510 ge 0
FRY15
20141231
99991231
No change D
Quality
9040
D8
RISKN511
D8 should not be negative.
riskn511 ge 0
FRY15
20151231
99991231
Added
Quality
9050
E1
RISKM422
E1 should not be negative.
riskm422 ge 0
E
FRY15
20141231
99991231
No change E
Quality
9050
E2
RISKM423
E2 should not be negative.
riskm423 ge 0
FRY15
20141231
99991231
No change E
Quality
3140
E2
RISKM423
E2a should be less than or equal to E2.
riskm424 le riskm423
FRY15
20141231
99991231
No change E
Quality
9050
E2a
RISKM424
E2a should not be negative.
riskm424 ge 0
FRY15
20141231
99991231
No change E
Quality
9050
E3
RISKM425
E3 should not be negative.
riskm425 ge 0
FRY15
20141231
99991231
No change F
Quality
9060
F2
RISKM427
F2 should not be negative.
riskm427 ge 0
FRY15
20151231
99991231
Revised
Quality
3150
F4
RISKM428
F4 should be less than 100 trillion.
riskm428 lt 100000000000
F
FRY15
20151231
99991231
Revised
F
Quality
3160
F5
RISKM429
F5 should be less than or equal to F4.
riskm429 le riskm428
FRY15
20151231
99991231
Revised
F
Quality
3170
F3
RISKM430
F3 should be greater than F4.
riskm430 gt riskm428
FRY15
20151231
99991231
Revised
F
Quality
3180
F5
RISKM429
F5 should be less than 100 trillion.
riskm429 lt 100000000000
FRY15
20151231
99991231
Revised
F
Quality
9060
F6
RISKM432
F6 should not be negative.
riskm432 ge 0
FRY15
20151231
99991231
Revised
F
Quality
9060
F7
RISKM433
F7 should not be negative.
riskm433 ge 0
FRY15
20151231
99991231
Revised
F
Quality
9060
F8
RISKM434
F8 should not be negative.
riskm434 ge 0
FRY15
20151231
99991231
Revised
F
Quality
9060
F9
RISKM435
F9 should not be negative.
riskm435 ge 0
FRY15
20151231
99991231
Revised
C
Quality
9060
C‐Mem5 RISKM436
C‐Mem5 should not be negative.
riskm436 ge 0
FRY15
20151231
99991231
Revised
F
Quality
9060
F10
F10 should not be zero.
riskm437 ne 0
RISKM437
FRY15
20161231
99991231
Added
G
Quality
9070
G1aA
RISKY838
G1aA should not be null
riskY838 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G1aB
RISKY839
G1aB should not be null
riskY839 ne null
DECEMBER 2015
FR Y‐15: EDIT‐3 of 5
Quality (Q) Edits for the FR Y‐15
(Effective as of December 31, 2015)
Series
Effective Start
Date
Effective End
Date
Edit
Change
Schedule Edit Type
Edit Number TargetIte MDRM
m
Number
Edit Test
Alg Edit Test
FRY15
20161231
99991231
Added
G
Quality
9070
G1aC
RISKY840
G1aC should not be null
riskY840 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G1aD
RISKY841
G1aD should not be null
risky841 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G1bA
RISKY842
G1bA should not be null
riskY842 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G1bB
RISKY843
G1bB should not be null
risky843 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G1bC
RISKY844
G1bC should not be null
risky844 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G1bD
RISKY845
G1bD should not be null
risky845 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G1cA
RISKY846
G1cA should not be null
risky846 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G1cB
RISKY847
G1cB should not be null
risky847 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G1cC
RISKY848
G1cC should not be null
risky848 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G1cD
RISKY849
G1cD should not be null
risky849ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G1dA
RISKY850
G1dA should not be null
risky850 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G1dB
RISKY851
G1dB should not be null
risky851 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G1dC
RISKY852
G1dC should not be null
risky852 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G1dD
RISKY853
G1dD should not be null
risky853 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G2aA
RISKY858
G2aA should not be null
risky858 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G2aB
RISKY859
G2aB should not be null
risky859 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G2aC
RISKY860
G2aC should not be null
risky860 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G2aD
RISKY861
G2aD should not be null
risky861 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G2bA
RISKY862
G2bA should not be null
risky862 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G2bB
RISKY863
G2bB should not be null
risky863 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G2bC
RISKY864
G2bC should not be null
risky864 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G2bD
RISKY865
G2bD should not be null
risky865 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G3aA
RISKY870
G3aA should not be null
risky870 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G3aB
RISKY871
G3aB should not be null
risky871 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G3aC
RISKY872
G3aC should not be null
risky872 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G3aD
RISKY873
G3aD should not be null
risky873 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G3bA
RISKY874
G3bA should not be null
risky874 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G3bB
RISKY875
G3bB should not be null
risky875 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G3bC
RISKY876
G3bC should not be null
risky876 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G3bD
RISKY877
G3bD should not be null
risky877 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G3cA
RISKY878
G3cA should not be null
risky878 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G3cB
RISKY879
G3cB should not be null
risky879 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G3cC
RISKY880
G3cC should not be null
risky880 ne null
DECEMBER 2015
FR Y‐15: EDIT‐4 of 5
Quality (Q) Edits for the FR Y‐15
(Effective as of December 31, 2015)
Series
Effective Start
Date
Effective End
Date
Edit
Change
Schedule Edit Type
Edit Number TargetIte MDRM
m
Number
Edit Test
Alg Edit Test
FRY15
20161231
99991231
Added
G
Quality
9070
G3cD
G3cD should not be null
risky881ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G4A
RISKY886
G4A should not be null
risky886 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G4B
RISKY887
G4B should not be null
risky887 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G4C
RISKY888
G4C should not be null
risky888 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G4D
RISKY889
G4D should not be null
risky889 ne null
FRY15
20161231
99991231
Added
G
Quality
9070
G7
RISKY895
G7 should not be null
risky895 ne null
DECEMBER 2015
RISKY881
FR Y‐15: EDIT‐5 of 5
| File Type | application/pdf |
| File Modified | 2016-08-20 |
| File Created | 2016-01-12 |