Modified December 20, 2017
OMB No. 7100-0341
Expiration Date: December 31, 2020
Instructions for the
Capital Assessments and Stress Testing information collection
(Reporting Form FR Y-14Q)
This Report is required by law: section 165 of the Dodd-Frank Act (12 U.S.C. § 5365) and section 5 of the Bank Holding
Company Act (12 U.S.C. § 1844). Public reporting burden for this information collection is estimated to vary from 4 to
1,926 hours per response, with an average of 243 hours per response, including time to gather and maintain data in the
required form and to review instructions and complete the information collection. Comments regarding this burden
estimate or any other aspect of this information collection, including suggestions for reducing the burden, may be sent
to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, and to
the Office of Management and Budget, Paperwork Reduction Project (7100-0341), Washington, DC 20503.
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Contents
GENERAL INSTRUCTIONS................................................................................................................................................... 4
WHO MUST REPORT................................................................................................................................................................................ 4
WHERE TO SUBMIT THE REPORTS ............................................................................................................................................................ 6
WHEN TO SUBMIT THE REPORTS .............................................................................................................................................................. 6
HOW TO PREPARE THE REPORTS: ............................................................................................................................................................ 7
Schedule A – Retail ............................................................................................................................................................ 11
A.1 – INTERNATIONAL AUTO LOAN........................................................................................................................................................ 11
A.2 – US AUTO LOAN ............................................................................................................................................................................ 16
A.3 – INTERNATIONAL CREDIT CARD ..................................................................................................................................................... 22
A.4 – INTERNATIONAL HOME EQUITY .................................................................................................................................................... 26
A.5 – INTERNATIONAL FIRST LIEN MORTGAGE ...................................................................................................................................... 30
A.6 – INTERNATIONAL OTHER CONSUMER SCHEDULE ............................................................................................................................ 34
A.7 – US OTHER CONSUMER ................................................................................................................................................................. 37
A.8 – INTERNATIONAL SMALL BUSINESS ................................................................................................................................................ 40
A.9 – US SMALL BUSINESS .................................................................................................................................................................... 43
A.10 – STUDENT LOAN ......................................................................................................................................................................... 46
Schedule B—Securities .................................................................................................................................................... 50
B.1—SECURITIES 1 (“MAIN SCHEDULE”) .............................................................................................................................................. 50
B.2—SECURITIES 2 (“INVESTMENT SECURITIES WITH DESIGNATED ACCOUNTING HEDGES”).................................................................. 55
Schedule C—Regulatory Capital Instruments ............................................................................................................. 59
C.1—REGULATORY CAPITAL INSTRUMENTS AS OF QUARTER END .......................................................................................................... 59
C.2—REGULATORY CAPITAL INSTRUMENT REPURCHASES/REDEMPTIONS DURING QUARTER ................................................................ 60
C.3 – REGULATORY CAPITAL INSTRUMENTS ISSUANCES DURING QUARTER ............................................................................................. 61
Schedule D—Regulatory Capital Transitions .............................................................................................................. 65
D.1—CAPITAL COMPOSITION ............................................................................................................................................................... 69
D.2—EXCEPTION BUCKET CALCULATOR ............................................................................................................................................... 77
D.3— ADVANCED RISK-WEIGHTED ASSETS .......................................................................................................................................... 79
D.4—STANDARDIZED RISK-WEIGHTED ASSETS .................................................................................................................................... 85
D.5—LEVERAGE EXPOSURE .................................................................................................................................................................. 90
D.6—PLANNED ACTIONS ...................................................................................................................................................................... 95
Schedule E—Operational Risk ........................................................................................................................................ 97
E.1—OPERATIONAL LOSS HISTORY ....................................................................................................................................................... 97
E.2. INTERNAL BUSINESS LINE ............................................................................................................................................................ 104
E.3. UNIT-OF-MEASURE (UOM) ......................................................................................................................................................... 105
E.4. THRESHOLD INFORMATION.......................................................................................................................................................... 105
E.5—LEGAL RESERVES FREQUENCY ..................................................................................................................................................... 106
Schedule F—Trading ...................................................................................................................................................... 109
GLOSSARY ........................................................................................................................................................................................... 111
REGIONAL GROUPINGS ........................................................................................................................................................................ 113
F.1—EQUITY BY GEOGRAPHY ............................................................................................................................................................. 115
F.2—EQUITY SPOT-VOL GRID ............................................................................................................................................................ 116
F.3—OTHER EQUITY .......................................................................................................................................................................... 117
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F.4—FX SPOT SENSITIVITIES.............................................................................................................................................................. 118
F.5—FX VEGA.................................................................................................................................................................................... 119
F.6—RATES DV01............................................................................................................................................................................. 120
F.7—RATES VEGA .............................................................................................................................................................................. 122
F.8—OTHER RATES............................................................................................................................................................................ 123
F.9—ENERGY ..................................................................................................................................................................................... 124
F.10—METALS .................................................................................................................................................................................. 125
F.11—AGS & SOFTS ........................................................................................................................................................................... 126
F.12—COMMODITY INDICES ............................................................................................................................................................... 127
F.13—COMMODITY SPOT-VOL GRIDS ................................................................................................................................................. 128
F.14—SECURITIZED PRODUCTS .......................................................................................................................................................... 130
F.15—AGENCIES ................................................................................................................................................................................ 131
F.16—MUNIS ..................................................................................................................................................................................... 132
F.17—AUCTION RATE SECURITIES (ARS) .......................................................................................................................................... 133
F.18—CORPORATE CREDIT-ADVANCED .............................................................................................................................................. 134
F.19—CORPORATE CREDIT-EMERGING MARKETS............................................................................................................................... 136
F.20—SOVEREIGN CREDIT ................................................................................................................................................................. 138
F.21—CREDIT CORRELATION ............................................................................................................................................................. 140
F.22—IDR-CORPORATE CREDIT ........................................................................................................................................................ 142
F.23—IDR-JUMP TO DEFAULT ........................................................................................................................................................... 144
F.24—PRIVATE EQUITY ..................................................................................................................................................................... 145
F.25—OTHER FAIR VALUE ASSETS ..................................................................................................................................................... 146
Schedule G—PPNR .......................................................................................................................................................... 147
G.1—PPNR SUBMISSION WORKSHEET ............................................................................................................................................... 150
G.2—PPNR NET INTEREST INCOME (NII) WORKSHEET ..................................................................................................................... 164
G.3—PPNR METRICS ........................................................................................................................................................................ 172
Schedule H—Wholesale Risk ........................................................................................................................................ 184
H.1 - CORPORATE LOAN DATA SCHEDULE........................................................................................................................................... 184
H.2 – COMMERCIAL REAL ESTATE SCHEDULE ..................................................................................................................................... 236
Schedule I –MSR Valuation Schedule ........................................................................................................................... 268
Schedule J – Retail Fair Value Option/Held for Sale (FVO/HFS) ............................................................................ 271
Schedule K - Supplemental ............................................................................................................................................ 274
Schedule L - Counterparty ............................................................................................................................................. 277
Schedule M—Balances ................................................................................................................................................... 309
Appendix A: FR Y-14Q Supporting Documentation ................................................................................................. 314
SUPPORTING DOCUMENTATION FOR SCHEDULE C – REGULATORY CAPITAL INSTRUMENTS .................................................................... 314
SUPPORTING DOCUMENTATION FOR SCHEDULE D – REGULATORY CAPITAL TRANSITIONS ..................................................................... 314
SUPPORTING DOCUMENTATION FOR SCHEDULE L – COUNTERPARTY..................................................................................................... 315
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INSTRUCTIONS FOR PREPARATION OF
Capital Assessments and Stress Testing Report
FR Y-14Q
GENERAL INSTRUCTIONS
The Capital Assessments and Stress Testing Report (FR Y-14Q report) collects detailed data on bank holding
companies’ (BHCs) and intermediate holding companies’ (IHCs) various asset classes, capital components, and
categories of pre-provision net revenue (PPNR) on a quarterly basis, which will be used to support supervisory
stress testing models and for continuous monitoring efforts.
The FR Y-14Q report is comprised of Retail, Securities, Regulatory Capital Instruments, Regulatory Capital
Transitions, Operational, Trading, PPNR, Wholesale, MSR Valuation Schedule, Retail Fair Value Option/Held for
Sale, Supplemental, Counterparty and Balances schedules, each with multiple supporting worksheets. All of the
data schedules are to be submitted for each reporting period unless materiality thresholds apply. The number of
schedules a BHC or IHC must complete is subject to materiality thresholds and certain other criteria.
BHCs and IHCs may also be required to submit qualitative information supporting their projections, including
descriptions of the methodologies used to develop the internal projections of capital across scenarios and other
analyses that support their comprehensive capital plans. Further information regarding the qualitative and
technical requirements of required supporting documentation is provided in individual schedules as
appropriate, as well as in the Supporting Documentation instructions (Appendix A). When submitting supporting
documentation, provide each response in a separate document.
Who Must Report
A. Reporting Criteria
Bank holding companies (BHCs) and intermediate holding companies (IHCs) with total consolidated assets of
$50 billion or more, as defined by the capital plan rule (12 CFR 225.8), are required to submit the Capital
Assessment and Stress Testing report (FR Y-14A/Q/M) to the Federal Reserve. The capital plan rule defines
total consolidated assets as the average of the company’s total consolidated assets over the course of the
previous four calendar quarters, as reflected on the BHC’s or IHC’s Consolidated Financial Statement for Bank
Holding Companies (FR Y–9C). Total assets shall be calculated based on the due date of the bank or
intermediate holding company’s most recent FR Y–9C. If the BHC or IHC has not filed an FR Y-9C for each of the
four most recent quarters, the average of the BHC’s or IHC’s total consolidated assets in the most recent
consecutive quarters as reported quarterly on the BHC’s or IHC’s FR Y-9C should be used in the calculation.
Certain data elements within the schedules are subject to materiality thresholds. The instructions to these data
schedules provide details on how to determine whether a BHC or IHC must submit a specific schedule,
worksheet, or data element. A BHC or IHC must fill out all of the schedules of the FR Y-14M and FR Y-14Q where
the BHC or IHC meets the materiality definition. When applicable, the definition of the BHC’s or IHC’s
submissions should correlate to the definitions outlined by the corresponding MDRM code within the FR Y-9C
report.
All schedules are required to be reported by all BHCs and IHCs with exceptions as described below:
PPNR, Regulatory Capital Transitions, Regulatory Capital Instruments and Balances schedules: All bank
and intermediate holding companies must submit these schedules.
Trading and Counterparty schedules: Only BHCs or IHCs subject to supervisory stress tests and that (1) have
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aggregate trading assets and liabilities of $50 billion or more, or aggregate trading assets and liabilities equal to
10 percent or more of total consolidated assets, and (2) are not “large and noncomplex firms” under the Board’s
capital plan rule 1 must submit this schedule and worksheets. 2
All other quarterly schedules: Reporting of the remaining schedules is subject to materiality thresholds.
For large and noncomplex firms: 3 Material portfolios are defined as those with asset balances greater than
$5 billion or with asset balances greater than ten percent of Tier 1 capital on average for the four quarters
preceding the reporting quarter.
For large and complex or LISCC firms: 4 Material portfolios are defined as those with asset balances greater
than $5 billion or asset balances greater than five percent of Tier 1 capital on average for the four quarters
preceding the reporting quarter.
For schedules that require the institutions to report information on serviced loans, the materiality threshold is
based on the asset balances associated with the BHC’s or IHC’s owned portfolio. All data used to determine
materiality should be measured as of the close of business of the last calendar day of the quarter, and assets
included in a given portfolio are defined in the instructions for each schedule.
BHCs and IHCs also have the option to complete the data schedules for immaterial portfolios. If the BHC or IHC
does not complete the schedules, the Federal Reserve will assign losses to immaterial portfolios in a manner
consistent with the given scenario to produce supervisory estimates
New Reporters: New reporters must submit the FRY-14Q PPNR new reports template with data starting as-of
2009 on the first quarter that they are subject to reporting. New reporters must also submit historical data,
starting in January 2007, for the FR Y-14Q retail schedules.
B. Exemptions
BHCs and IHCs that do not meet the reporting criteria listed above are exempt from reporting. The following
institutions are also exempt:
BHCs, IHCs, savings and loan holding companies (SLHCs) and state member banks (SMBs) with average total
consolidated assets of greater than $10 billion but less than $50 billion subject to the final rule on annual
company-run stress tests (12 CFR 252(h)) are not required to file this report. However, institutions meeting this
threshold should review the reporting requirements and instructions for the Annual Company-Run Stress Test
Projections (FR Y-16) on the Board’s public website.
SLHCs are currently not required to comply with FR Y-14 reporting requirements. Further information regarding
1
A large and noncomplex firm is defined under the capital plan rule as a firm that has average total consolidated assets of at least $50
billion but less than $250 billion, has average total nonbank assets of less than $75 billion, and is not identified as global systemically
important bank holding company (GSIB) under the Board’s rules. See 12 CFR 225.8(d)(9).
2
See the final notice (82 FR 59608) for further details regarding application of GMS for the 2018 exercise, and Trading and
Counterparty submission for firms newly subject under the modified threshold.
3
A large and noncomplex firm is a BHC or a U.S. intermediate holding company subsidiary of a foreign banking organization (IHC)
with total consolidated assets of at least $50 billion but less than $250 billion, total consolidated nonbank assets of less than
$75 billion, and is not a U.S. GSIB.
4
A LISCC firm is a BHC subject to the Federal Reserve’s Large Institution Supervisory Coordinating Committee (LISCC)
framework. A large and complex firm is a BHC, other than a LISCC firm, with total consolidated assets of $250 billion or more; and
nonbank assets of $75 billion or more.
5
reporting for SLHCs will be provided in the future. 5
Where to Submit the Reports
All BHCs and IHCs subject to these reporting requirements must submit completed reports electronically via
the IntraLinks website. BHCs and IHCs will be provided information on how to transmit data to the FR Y-14
IntraLinks Collaboration website. Requests for access to the Intralinks site should be sent to
[email protected].
For requirements regarding the submission of qualitative supporting information, please see the Technical
Instructions and Supporting Documentation Instructions, in addition to instructions associated with each
schedule for which supporting documentation might be required.
When to Submit the Reports
BHCs and IHCs must file the FR Y-14Q schedules quarterly according to the appropriate time schedule described
below. All schedules will be due on or before the end of the submission date (unless that day falls on a weekend
or holiday (subject to timely filing provisions)).
Risk Factor
Schedules and SubWorksheets
Securities
PPNR
Retail
Wholesale
Operational Risk
MSR Valuation
Supplemental
Retail FVO/HFS
Regulatory Capital
Transitions
Regulatory Capital
Instruments
Balances
Trading schedule
Counterparty schedule
Submission due
to Federal Reserve
Data as-of-date
FR Y-14Q (Quarterly Filings)
Data as-of each
calendar quarter end.
Due to the CCAR
Market Shock exercise,
the as-of-date for the
fourth quarter would
be communicated in
the subsequent
quarter.
For all other quarters,
the as-of date would be
the last day of the
Seven days after the FR Y-9C reporting
schedule: Reported data (47 calendar
days after the calendar quarter-end for
March, June, and September and 52
calendar days after the calendar
quarter-end for December).
Seven days after the FR Y-9C reporting
schedule.
Fourth quarter – Trading and
Counterparty (Regular/unstressed
submission):
52 calendar days after the notification
date (notifying respondents of the asof-date) or March 15, whichever
comes earlier. Unless the Board
requires the data to be provided
5 SLHCs would not be subject to Dodd-Frank annual company-run stress testing requirements until the next calendar year
after the SLHCs become subject to regulatory capital requirements.
6
quarter, except for
BHCs or IHCs that are
required to re-submit
their capital plan.
For these BHCs or
IHCs, the as-of date for
the quarter preceding
the quarter in which
they are required to resubmit a capital plan
would be
communicated to the
BHCs or IHCs during
the subsequent
quarter.
over a different weekly period,
BHCs and IHCs may provide these data
as-of the most recent date that
corresponds to their weekly internal
risk reporting cycle as long as it falls
before the as-of-date.
Fourth quarter – Counterparty
(CCAR/stressed submission):
April 5.
In addition, for BHCs and IHCs that are
required to re-submit a capital plan,
the due date for the quarter preceding the quarter in which the BHCs
or IHCs are required to re-submit a
capital plan would be the later of (1)
the normal due date or (2) the date
that the re-submitted capital plan is
due, including any extensions.
If the submission date falls on a weekend or holiday, the data must be received on the first business day after the
weekend or holiday. No other extensions of time for submitting reports will be granted. Early submission,
including submission of schedules on a flow basis prior to the due date, aids the Federal Reserve in reviewing and
processing data and is encouraged.
New Reporters: For the FR Y-14Q schedules, the filing deadline will be extended to (1) 90 days after the quarterend for the first two quarterly submissions and (2) 65 days after the quarter-end for the third and fourth quarterly
submissions. Beginning with the fifth quarterly submission, these respondents will be required to adhere to the
standard reporting deadlines above.
How to Prepare the Reports:
A.
Applicability of GAAP
BHCs and IHCs are required to prepare and file the FR Y-14Q schedules in accordance with generally accepted
accounting principles (GAAP) and these instructions. The financial records of the BHCs and IHCs should be
maintained in such a manner and scope to ensure the FR Y-14Q is prepared in accordance with these instructions
and reflects a fair presentation of the BHCs' and IHCs’ financial condition and assessment of performance under
stressed scenarios.
Rules of Consolidation
B.
Please reference the FR Y-9C General Instructions for a discussion regarding the rules of consolidation.
C.
Technical Details
The following instructions apply generally to the FR Y-14Q schedules, unless otherwise specified. For further
information on the technical specifications for this report, please see the Technical Instructions.
•
Do not enter any information in gray highlighted or shaded cells, including those with embedded formulas.
Only non-shaded cells should be completed by institutions.
•
Ensure that any internal consistency checks are complete prior to submission.
•
Report dollar values in millions of US dollars (unless specified otherwise).
•
Dates should be entered in an YYYYMMDD format (unless specified otherwise).
7
•
•
•
•
Report negative numbers with a minus (-) sign.
Report data as an integer (unless specified otherwise)
An amount, zero or null should be entered for all items, except in those cases where other options such as
“not available” or “other” are specified. If information is not available or not applicable and no such options
are offered, the field should be left blank.
Report income and loss data on a quarterly basis, and not on a cumulative or year‐to‐date basis.
D. Other Instructional Guidance
BHCs and IHCs should review the following published documents (in the order listed below) when determining the
precise definition to be used in completing the schedules. Where applicable, references to the FR Y-9C have been
provided in the instructions and templates noting associations between the reporting series.
1)
2)
3)
The FR Y-14A instructions;
The FR Y-14M instructions;
The latest available FR Y-9C instructions published on the Federal Reserve’s public web site:
http://www.federalreserve.gov/reportforms;
For purposes of completing certain FR Y-14Q schedules, BHCs and IHCs should also consult the following
references for relevant guidance:
•
•
CapPR 2013 Instructions available at:
http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20121109b2.pdf
CCAR 2013 Instructions available at:
http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20121109b1.pdf
E. Confidentiality
As these data will be collected as part of the supervisory process, they are subject to confidential treatment under
exemption 8 of the Freedom of Information Act. 5 U.S.C. 552(b)(8). In addition, commercial and financial
information contained in these information collections may be exempt from disclosure under Exemption 4.5 U.S.C.
552(b)(4). Disclosure determinations would be made on a case-by-case basis.
F. Legal Considerations for International Exposures
A BHC or IHC is not required to report a particular data item if a foreign law prohibits the BHC or IHC from
providing the information to the Federal Reserve. However, the Federal Reserve is authorized by law to collect
information from a BHC or IHC regarding its exposures, including foreign exposures.
A BHC or IHC must include with its data submission a legal analysis of the foreign law that prohibits reporting the
data to the Federal Reserve. The legal analysis must include, but is not limited to, a detailed description of the
law(s) prohibiting the reporting of the information to the Federal Reserve, a summary description of the exposures
omitted, any other information the BHC or IHC deems relevant to justify omitting the data, and any additional
information required by the Federal Reserve.
G. Amended Reports
The Federal Reserve will require the filing of amended reports if previous submissions contain significant errors. In
addition, a reporting institution must file an amended report when it or the Federal Reserve discovers significant
errors or omissions subsequent to submission of a report. Failure to file amended reports on a timely basis may
subject the institution to supervisory action.
If resubmissions are required, institutions should contact the appropriate Reserve Bank, as well as the FR Y-14
mailbox at [email protected], and resubmit data via the Intralinks website.
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H. Questions and Requests for Interpretations
BHCs and IHCs should submit any questions or requests for interpretations by e-mail to [email protected].
I. Attestation
For Bank Holding Companies and Intermediate Holding Companies that are subject to supervision by the Federal
Reserve’s Large Institution Supervision Committee, 6 the Capital Assessments and Stress Testing (FR Y-14A/Q/M)
data submissions must be accompanied by an attestation signed by the chief financial officer or an equivalent
senior officer. By signing the attestation cover page , 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. Material weaknesses in internal controls
or material errors or omissions in the data submitted must be reported through the respondent’s designated
Federal Reserve System contacts as they are identified.
The cover page for the FR Y-14A/Q/M attestations should be submitted as follows:
• FR Y-14A/Q (annual submission): the attestation associated with the annual submission (i.e., data reported
as of December 31, including the global market shock submission ) should be submitted on the last
submission date for those reports, typically April 5 of the following year. 7
• FR Y-14A (mid-cycle submission): the attestation associated with the semi-annual submission (i.e. data
reported as of June 30) should be submitted on the data due date for that submission, October 5 of a given
year.
• FR Y-14M: for those firms that file the FR Y-14M reports, the three attestations for the three months of the
quarter will be due on one date, the final FR Y-14M submission date for those three intervening months. 8
Note that one attestation page per monthly submission is still required.
• FR Y-14Q: the FRY14Q attestation for the three remaining quarters (Q1, Q2, and Q3) should be submitted
on the due date for the FR Y-14Q for that quarter.
A signed version of the attestation cover page and any supporting materials should be submitted electronically in
Intralinks and tagged with the attestation submission type and applicable report date. Respondents must maintain in their
files a signed attestation cover page.
Definition of Commercially Available Credit Bureau Score:
For the purposes of the FR Y-14Q, a credit score is a numerical value or a categorization derived from a statistical
tool or modeling system that characterizes the credit risk of a borrower used by a person who makes or arranges a
loan to predict the likelihood of credit default. A credit bureau score is a credit score based solely on the
borrower’s credit history available through one of the three national credit reporting agencies (Equifax, Experian,
and TransUnion).
A commercially available credit bureau score is a credit bureau score which is available to all commercial lenders.
For example, FICO 08 and VantageScore 3.0 are commercially available credit scores, while internally developed
6
http://www.federalreserve.gov/bankinforeg/large-institution-supervision.htm
For example, all of the FR Y-14Q schedules due 52 days after the as of date (typically mid-February), all of the FR Y-14A
schedules due April 5, and the trading and counterparty schedules due on the global market shock submission date (March 15
at the latest) will be due on the latest of those dates, typically the annual submission date for the FR Y-14A report schedules
(April 5).
8
For example, the attestation cover pages and any associated materials for the FR Y-14M reports with January, February, and
March as of dates will be due on the data due date for the March FR Y-14M.
7
9
credit scores and custom scores tailored to a lender’s own portfolio and provided by third parties are not
commercially available credit scores.
For a commercially available credit bureau score to qualify for submission in this schedule, the Federal Reserve
must be able to obtain sufficient information from the credit score vendor to (a) determine whether the credit
score is empirically derived and demonstrably sound (b) evaluate the performance of the credit score and (c)
compare that performance to other commercially available credit bureau scores. The Federal Reserve reserves the
right to determine whether a credit score qualifies as a commercially available credit bureau score for the
purposes of this schedule.
Most Recent Capital Framework:
For all items and instructions related to regulatory capital, particularly where the “most recent capital framework”
is referenced, respondents should refer to 12 CFR parts 208, 217, and 225.
10
Schedule A – Retail
A.1 – International Auto Loan
This section provides general guidance and data definitions for the International Auto Loan
Worksheet. In this worksheet, include international (not US or US territories and
possessions) auto loans as defined in the FR Y-9C, Schedule HC-C, item 6.c and international
auto leases as defined in the FR Y-9C, Schedule HC-C, item 10.a. For Summary Variable line
items #10 & #11 include all repossessed international auto loans as defined in the FR Y-9C,
Schedule HC-F, item 6. Include only “managed” (securitized or non-securitized) loans,
where “managed” refers to loans originated by the BHC or IHC, including securitized loans
put back on the books due to ASC Topics 860 and 810 (FAS 166/167). Do not include loans
that were originated by a third party and only serviced by the BHC or IHC. Only include
loans and leases held for investment at amortized cost; do not include loans or leases held
for sale or held for investment and measured at fair value under the fair value option. For
the US Auto Loan Worksheet, see instructions for Worksheet 2.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are three product type segments, three original industry standard credit
score or equivalent segments, six delinquency status segments, and four geography
segments; therefore, the portfolio must be divided into a total of 3*3*6*4 = 216 distinct
segments. Each segment should be identified by a unique eight-digit segment ID (variable
name: SEGMENT_ID) based on the segment ID positions and attribute codes listed in Table
A.1.a. For example, the segment containing new auto loans (product type segment “01”)
that had an origination FICO score or equivalent of greater than 620 (origination industry
standard credit score or equivalent “02”), are 120+ DPD (delinquency status segment “06”),
and where the borrowers reside in the Asia Pacific region (geography segment “04”) should
be identified by the segment ID “01020604”. When reporting the segment ID, do not drop
leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 216 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC or IHC name (Variable name: BHC_NAME), your RSSD
ID number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), and the portfolio ID (Variable name: PORTFOLIO_ID) and segment ID
(variable name: SEGMENT_ID). Use the portfolio ID “IntAuto” for this worksheet. For each
row, populate the segment variables listed in Table A.1.a and the summary variables listed
in Table A.1.b. Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
Note: For Summary Variable line items (items 20-23) use the loan level parameters defined
in the most recent capital framework for all accounts in a specific segment and calculate the
account weighted average. Each month’s parameters need to be calculated specific to that
month.
If Basel data are not refreshed monthly, use the appropriate Basel data from the prior
quarter. For example, if the Basel data are not refreshed until the third month of a quarter,
use the Basel data for the prior quarter for the first two months of the next reporting
11
quarter.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product type – Segment the portfolio into the following product types.
01 –New auto loans
02 –Used auto loans
03 –Auto leases
2. Original commercially available credit bureau score or equivalent –
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
be the score upon which the original underwriting decision was based. If the
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <=620
02 - >620
03 - N/A – Original credit score is missing or unknown
3. Delinquency status - Segment the portfolio into the following six delinquency statuses:
01 - Current: Accounts that are not past due (accruing and non-accruing) as of monthend.
02 - 1-29 days past due (DPD): Accounts that are 1 to 29 days past due (accruing and
non-accruing) as of month-end.
03 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing) as
of month-end.
04 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing) as
of month-end.
05 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and non-accruing)
as of month-end.
06 - 120+ DPD: Accounts that are 120 or more days past due (accruing and nonaccruing) as of month-end.
4. Geography –Segment the portfolio into the following four geographical area
designations. The borrower’s current place of residency should be used to define the
region.
01 - Canada
02 - EMEA—Europe, Middle East, and Africa
03 - LATAM—Latin America and Caribbean
04 - APAC—Asia Pacific
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B. Summary Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A.
When reporting $ Vehicle Type (lines 5-8), vehicles should be classified for the purpose of
this schedule by body style; however, a luxury vehicle may include all body styles that meet
the qualification of a high cost vehicle that aspires to provide drivers with the peak of driving
comfort and performance. A luxury vehicle may be manufactured by a conventional
automobile manufacturer but still be considered a luxury vehicle if it meets the standards of
high price as compared to conventional vehicles and peak driving performance and comfort.
1. # Accounts – Total number of accounts on the book for the segment as of month-end.
2. $ Outstandings – Total unpaid principal balance for accounts on the book for the
segment reported as of month-end.
3. # New accounts – The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end.
4. $ New accounts – The total dollar amount of new accounts originated (or purchased) in
the given month for the segment as of month-end.
5. $ Vehicle type car/van – The unpaid principal balance in the portfolio with vehicle type
classified as “car/van” for the segment as of month-end.
6. $ Vehicle type SUV/truck – The unpaid principal balance in the portfolio with vehicle
type classified as “SUV/truck” for the segment as of month-end.
7. $ Vehicle type sport/luxury/convertible – The unpaid principal balance in the
portfolio with vehicle type classified as “sport/luxury/convertible” for the segment as of
month-end.
8. $ Vehicle type unknown – The unpaid principal balance in the portfolio with vehicle
type classified as “unknown” for the segment as of month-end.
9. $ Repossession – The unpaid principal balance of loans still on the books whose
vehicles have been repossessed for the segment as of month-end. This field captures
the stock of repos.
10. $ Current month repossession – The unpaid principal balance of loans still on the
books whose vehicles were newly repossessed in the given month for the segment as of
month-end. This field captures the flow of repos in the current month, and should
include both active and charged-off loans.
11. $ Gross contractual charge-offs –The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
The amount reported here should be consistent with the amount reported on Schedule
HI-B, Part I, Column A of the FR Y-9C. For the Delinquency Status segment, categorize
charged-off loans by their delinquency status at charge-off. Charge-offs should be
performed per loss recognition policy consistent with the FFIEC Uniform Retail Credit
13
Classification and Account Management Policy.
12. $ Bankruptcy charge-offs – The dollar amount of write-downs on loans in the
segment that were charged-off due to bankruptcy during the reporting month. The
amount reported here should be consistent with the amount reported on Schedule HI-B,
Part I, Column A of the FR Y-9C. For the Delinquency Status segment, categorize
charged-off loans by their delinquency status at charge-off.
13. $ Recoveries – The dollar amount recovered during the reporting month on loans in
the segment that were previously charged-off, including recoveries on acquired
loans/portfolios. The amount reported here should be consistent with the amount
reported on Schedule HI-B, Part I, Column B of the FR Y-9C for the corresponding time
period. For the Delinquency Status segment, categorize charged-off loans by their
delinquency status at charge-off. Reversals of recoveries should be recorded as negative
recoveries.
14. $ Net charge-offs – The dollar amount of write-downs net on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
15. Adjustment factor to reconcile $ gross contractual charge-offs to $ net charge-offs
If it is not the case that $ net charge-offs equals [$ gross contractual charge-offs + $
bankruptcy charge-offs - $ recoveries], provide the value of $ net charge-offs minus [$
gross contractual charge-offs + $ bankruptcy charge-offs - $ recoveries] in this variable.
As a separate document included in the submission, provide an explanation for such a
difference (for example, fraud losses are also include in the BHC’s or IHC’s $ net chargeoffs variable). If the adjustment factor variable represents more than one factor leading
to the difference, provide a separate breakout of the multiple factors.
16. $ Ever 30DPD in the last 12 months – The total unpaid principal balance for the
segment as of month-end that was 30 or more days past due at any given time in the
twelve months ending in the reference month.
17. $ Ever 60DPD in the last 12 months – The total unpaid principal balance for the
segment as of month-end that was 60 or more days past due at any given time in the
twelve months ending in the reference month.
18. Projected value – Total projected value of lease at termination. Only calculated for
leased vehicles.
19. Actual sale proceeds – Sales proceeds from terminated leases. Only calculated for
leased vehicles.
20. Probability of Default (PD) - Report the average Probability of Default (PD) as defined
in the most recent capital framework for accounts within the segment. More specifically,
use the PD associated with each account’s corresponding segment and then calculate the
account weighted average PD of all the accounts in this specific Y-14Q segment. Note:
Applicable only to the advanced approaches reporting banks. A one in ten probability of
default should be reported as 0.1.
14
21. Loss Given Default (LGD) - Report the Loss Given Default (LGD) as defined in the most
recent capital framework for accounts within the segment. More specifically, use the LGD
associated with each account’s corresponding segment and then calculate the account
weighted average LGD of all the accounts in this specific Y-14Q segment. Note: Applicable
only to the advanced approaches reporting banks. A ninety percent loss given default
should be reported as 0.9.
22. Expected Loss Given Default (ELGD) - Report the Expected Loss Given Default (ELGD)
as defined in the most recent capital framework parameter for accounts within the
segment. More specifically, use the ELGD associated with each account’s corresponding
segment and then calculate the account weighted average ELGD of all the accounts in this
specific Y-14Q segment. Missing or unavailable values should be reported as null. Note:
Applicable only to the advanced approaches reporting banks. A ninety percent expected
loss given default should be reported as 0.9.
23. Risk-Weighted Asset (RWA) - Report the aggregate dollar Risk Weighted Asset (RWA)
for accounts within the segment as defined in the most recent capital framework. More
specifically, calculate the RWA associated with each account based on the IRB Risk-Based
Capital Formula and then calculate the account weighted average RWA of all the
accounts in this specific Y-14Q segment. Note: Applicable only to banks subject to the
advanced approaches rule. This item is required for BHC or IHC-owned loans only.
15
A.2 – US Auto Loan
This section provides general guidance and data definitions for the US Auto Loan
Worksheet. For the International Auto Loan Worksheet, see the instructions for Worksheet
1. In this worksheet, include all domestic auto loans as defined in the FR Y-9C, Schedule
HC-C, item 6.c and domestic auto leases as defined in the FR Y-9C, Schedule HC-C, item
10.a. For Summary Variable line items 10 & 11 include all repossessed auto loans as
defined in the FR Y-9C, Schedule HC-F, item 6. Include only “managed” (securitized or nonsecuritized) loans, where “managed” refers to loans originated by the BHC or IHC, including
securitized loans put back on the books due to FAS 166/167 (ASC Topics 860 and 810). Do
not include loans that were originated by a third party and only serviced by the BHC or IHC.
Only include loans and leases held for investment at amortized cost; do not include loans or
leases held for sale or held for investment and measured at fair value under the fair value
option.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are three product type segments, six age segments, four original LTV segments,
five original industry standard credit score or equivalent segments, six geography segments,
and five delinquency status segments; therefore, the portfolio must be divided into a total of
3*6*4*5*6*5 = 10,800 distinct segments. Each segment should be identified by a unique
twelve-digit segment ID (variable name: SEGMENT_ID) based on the segment ID positions
and attribute codes listed in Table A.2.a. For example, the segment containing new auto
loans (product type segment “01”) that are greater than five years old (age segment “01”),
had an origination LTV of greater than 120 (original LTV segment “03”), had an origination
FICO score or equivalent of greater than 720 (original industry standard credit score or
equivalent segment “04”), where the borrowers reside in Region 3 (geography segment
“03”), and that are 120+ DPD (delinquency status segment “05”) should be identified by the
segment ID “010103040305”. When reporting the segment ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 10,800 portfolio segments described above. First time filers
must submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC or IHC name (Variable name: BHC_NAME), your
RSSD ID number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), and the portfolio ID (Variable name: PORTFOLIO_ID). Use the
portfolio ID “Auto” for your Portfolio ID within this worksheet. For each row, populate the
segment variables listed in Table A.2.a and the summary variables listed in Table A.2.b.
Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
Note: For Summary Variable line items (items 28-31) related to the most recent capital
framework use the loan level parameters for all accounts in a specific segment and calculate
the account weighted average. Each month’s parameters need to be calculated specific to
that month.
If Basel data are not refreshed monthly, use the appropriate Basel data from the prior
quarter. For example, if the Basel data are not refreshed until the third month of a quarter,
use the Basel data for the prior quarter for the first two months of the next reporting
quarter.
16
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product type - Segment the portfolio into the following product types:
01 –New auto loans
02 –Used auto loans
03 –Auto leases
2. Age – Refers to the time that has elapsed since the loan was originated. If there were
multiple disbursements tied to an original then use the time since the first
disbursement. There are six possible ages to report:
01 - 5 years <= Age
02 - 4 years <= Age < 5 years
03 - 3 years <= Age < 4 years
04 - 2 years <= Age < 3 years
05 - 1 year <= Age < 2 years
06 - Age < 1 year
3. Original LTV - Segment the portfolio into the loan to value ratio at origination
(calculated using the wholesale price of the vehicle). Please round any LTV ratios up to
the next integer (LTV 90.01-90.99 to 91). Please break into the following segments:
01 - <= 90
02 - 91 – 120
03 - > 120
04 - N/A – Original LTV is missing or unknown
4. Original commercially available credit bureau score or equivalent –
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
be the score upon which the original underwriting decision was based. If the
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <= 620
02 - > 620 and <= 660
03 - > 660 and <= 720
04 - > 720
05 - N/A — Original credit score is missing or unknown
5. Geography - Segment the portfolio into the following six geographical area
designations. The primary borrower’s current place of residence should be used to
define the region.
01 - Region 1: California, Nevada, Florida, Arizona, and US Territories and possessions
(Puerto Rico, Guam, etc.)
02 - Region 2: Rhode Island, South Carolina, Oregon, Michigan, Indiana, Kentucky,
Georgia, Ohio, Illinois
03 - Region 3: Washington D.C., Mississippi, North Carolina, New Jersey, Tennessee,
17
Missouri, West Virginia, Connecticut, Idaho, Pennsylvania, Washington, Alabama
04 - Region 4: Delaware, Massachusetts, New York, Colorado, New Mexico, Texas
05 - Region 5: Alaska, Louisiana, Wisconsin, Arkansas, Maine, Maryland, Utah, Montana,
Minnesota, Oklahoma, Iowa, Virginia, Wyoming, Kansas, Hawaii
06 - Region 6: Vermont, New Hampshire, Nebraska, South Dakota, North Dakota
6. Delinquency status - Segment the portfolio into the following five delinquency
statuses:
01 - Current + 1-29 DPD: Accounts that are not past due (accruing and non-accruing) or
are 1-29 DPD (accruing and non-accruing) as of month-end.
02 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.
03 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 - 120+ DPD: Accounts that are 120 or more days past due (accruing and nonaccruing) as of month-end.
B. Summary Variables
For each month in the reporting period, report the following summary variables for
each segment described in Section A.
When reporting $ Vehicle Type (lines 6-9), vehicles should be classified for the purpose
of this schedule by body style; however, a luxury vehicle may include all body styles that
meet the qualification of a high cost vehicle that aspires to provide drivers with the peak
of driving comfort and performance. A luxury vehicle may be manufactured by a
conventional automobile manufacturer but still be considered a luxury vehicle if it
meets the standards of high price as compared to conventional vehicles and peak
driving performance and comfort.
1. # Accounts – Total number of accounts on the book for the segment as of month-end.
2. $ Outstandings – Total unpaid principal balance for accounts on the book for the
segment as of month-end.
3. # New accounts – The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end. The BHC or IHC should follow its
standard practice for assigning date of origination.
4. $ New accounts – The total dollar amount of new accounts originated (or purchased) in
the given month for the segment as of month-end. The BHC or IHC should follow its
standard practice for assigning date of origination.
5. Interest rate – The average annual percentage rate for accounts on the book for the
segment as of month-end. In making this calculation, report the purchase APR unless
the account is in default or workout. If the account is in default, then use the default
APR. If the account is in a workout program (temporary or permanent), use the
workout APR. Workout programs are programs to alleviate the temporary payment
burden of the borrowers so that they don’t go into default. Loan Modification (a
permanent change in one or more of the terms of a Borrower's loan, allows the loan to
be reinstated, and results in a payment the Borrower can afford), loss mitigation, and
loan re-negotiation are some examples of workout programs.
18
6. $ Vehicle type car/van – The unpaid principal balance in the portfolio with vehicle type
classified as “Car/Van” for the segment as of month-end.
7. $ Vehicle type SUV/truck – The unpaid principal balance in the portfolio with vehicle
type classified as “SUV/Truck” for the segment as of month-end.
8. $ Vehicle type sport/luxury/convertible – The unpaid principal balance in the
portfolio with vehicle type classified as “Sport/Luxury/Convertible” for the segment as
of month-end.
9. $ Vehicle type unknown – The unpaid principal balance in the portfolio with vehicle
type classified as “Unknown” for the segment as of month-end.
10. $ Repossession – The unpaid principal balance of loans still on the books whose
vehicles have been repossessed for the segment as of month-end. This field captures
the stock of repos.
11. $ Current Month Repossession – The unpaid principal balance of loans still on the
books whose vehicles were newly repossessed in the given month for the segment as of
month-end. This field captures the flow of repos in the current month, and should
include both active and charged-off loans.
12. $ Gross contractual charge-offs – The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
The amount reported here should be consistent with the amount reported on Schedule
HI-B, Part I, Column A of the FR Y-9C. For the Delinquency Status segment, categorize
charged-off loans by their delinquency status at charge-off. Charge-offs should be
performed per loss recognition policy consistent with the FFIEC Uniform Retail Credit
Classification and Account Management Policy.
13. $ Bankruptcy charge-offs – The dollar amount of write-downs on loans in the segment
that were charged-off due to bankruptcy during the reporting month. The amount
reported here should be consistent with the amount reported on Schedule HI-B, Part I,
Column A of the FR Y-9C. For the Delinquency Status segment, categorize charged-off
loans by their delinquency status at charge-off.
14. $ Recoveries – The dollar amount recovered during the reporting month on loans in
the segment that were previously charged-off, including recoveries on acquired
loans/portfolios. The amount reported here should be consistent with the amount
reported on Schedule HI-B, Part I, Column B of the FR Y-9C for the corresponding time
period. For the Delinquency Status segment, categorize charged-off loans by their
delinquency status at charge-off. Reversals of recoveries should be recorded as negative
recoveries.
15. $ Net charge-offs – The dollar amount of write-downs on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
16. Adjustment factor to reconcile $ gross contractual charge-offs to $ net charge-offs
– If it is not the case that $ Net Charge-offs equals [$ Gross Contractual Charge-offs + $
19
Bankruptcy Charge-offs -$ Recoveries], provide the value of $ Net Charge-offs minus [$
Gross Contractual Charge-offs + $ Bankruptcy Charge-offs - $ Recoveries] in this
variable. As a separate document included in your submission, provide an explanation
for such a difference (for example, fraud losses are also included in your BHC’s or IHC’s
$ Net Charge-offs variable). If the adjustment factor variable represents more than one
factor leading to the difference, provide a separate breakout of the multiple factors.
17. $ Ever 30DPD in the last 12 months – The total unpaid principal balance for the
segment as of month-end that was 30 or more days past due at any given time in the
twelve months ending in the reference month.
18. $ Ever 60DPD in the last 12 months – The total Unpaid Principal Balance for the
segment as of month-end that was 60 or more days past due at any given time in the
twelve months ending in the reference month.
19. Projected value – Total projected market value of lease at termination. Only calculated
for leased vehicles.
20. Actual sale proceeds – Sales proceeds from terminated leases. Only calculated for
leased vehicles.
21. Original term < = 48 months – The total unpaid principal balance for accounts on the
book for the segment as of month-end that had an original term of 48 months or less.
22. Original term 49-60 months – The total unpaid principal balance for accounts on the
book for the segment as of month-end that had an original term of 49-60 months.
23. Original term 61-72 months – The total unpaid principal balance for accounts on the
book for the segment as of month-end that had an original term of 61-72 months.
24. Original term >72 months – The total unpaid principal balance for accounts on the
book for the segment as of month-end that had an original term of greater than 72
months.
25. $ Origination channel (direct) – The total unpaid principal balance for accounts on the
book for the segment as of month-end that were originated through direct channels (i.e.,
a chartered bank, a non- bank subsidiary).
26. $ Loss mitigation – The total unpaid principal balance for accounts on the book for the
segment as of month-end that are currently in a loss mitigation program. Loss
mitigation programs are broadly defined to include any program that eases the credit
terms to an impaired borrower for purposes of mitigating loan losses. Examples of loss
mitigation programs include match pay, temporary mitigation programs lasting up to 12
months or permanent mitigation programs lasting more than one year.
27. $ Joint application – The total unpaid principal balance for accounts on the book for
the segment as of month-end that were originated with a co-applicant.
28. Probability of Default (PD) - Report the average Probability of Default (PD) as defined
in the most recent capital framework for accounts within the segment. More specifically,
use the PD associated with each account’s corresponding segment and then calculate the
account weighted average PD of all the accounts in this specific Y-14Q segment. Note:
Applicable only to the advanced approaches reporting banks. A one in ten probability of
20
default should be reported as 0.1.
29. Loss Given Default (LGD) - Report the Loss Given Default (LGD) as defined in the most
recent capital framework for accounts within the segment. More specifically, use the LGD
associated with each account’s corresponding segment and then calculate the account
weighted average LGD of all the accounts in this specific Y-14Q segment. Note: Applicable
only to the advanced approaches reporting banks. A ninety percent loss given default
should be reported as 0.9.
30. Expected Loss Given Default (ELGD) - Report the Expected Loss Given Default (ELGD)
parameter as defined in the most recent capital framework for accounts within the
segment. More specifically, use the ELGD associated with each account’s corresponding
segment and then calculate the account weighted average ELGD of all the accounts in this
specific Y-14Q segment. Missing or unavailable values should be reported as null. Note:
Applicable only to the advanced approaches reporting banks. A ninety percent expected
loss given default should be reported as 0.9.
31. Risk-Weighted Asset (RWA) - Report the aggregate dollar Risk Weighted Asset (RWA)
for accounts within the segment as defined in the most recent capital framework. More
specifically, calculate the RWA associated with each account based on the IRB Risk-Based
Capital Formula and then calculate the account weighted average RWA of all the
accounts in this specific Y-14Q segment. Note: Applicable only to banks subject to the
advanced approaches rule. This item is required for BHC or IHC-owned loans only.
32. $ Unpaid Principal Balance at Charge-off – The total unpaid principal balance of loans
in the segment that were charged-off (either partially or fully) during the reporting
month and had not been partially charged-off in a prior reporting month. Report the
unpaid principal balance at the time of the charge-off. Do not include interest and fees.
For the Delinquency Status segment, categorize charged-off loans by their delinquency
status at charge-off.
33. Percent Loss Severity (3 month Lagged) – Report the total loss net of all recoveries as
a percent of the unpaid principal balance (UPB) for all accounts in the segment that were
charged-off for the first time in the third month prior to the current reporting month. Do
not include losses or recoveries on loans charged-off for the first time in later months.
For the Delinquency Status segment, categorize loans by their delinquency status at the
initial charge-off.
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A.3 – International Credit Card
This section provides general guidance, data definitions and instructions for the
International Card Worksheet. In this worksheet, include all international (not U.S. or U.S.
territories or possessions) consumer credit and charge card loans as defined in the FR Y-9C,
Schedule HC-C, items 6.a and 6.d. international corporate and SME card loans as defined in
the FR Y-9C, Schedule HC-C, item 4.b. Only include loans and leases held for investment at
amortized cost; do not include loans or leases held for sale or held for investment and
measured at fair value under the fair value option.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are three product type segments, two age segments, four geography
segments, five delinquency status segments, and three original industry standard credit
score or equivalent segments; therefore, the portfolio must be divided into a total of
3*2*4*5*3 = 360 distinct segments. Each segment should be identified by a unique ten-digit
segment ID (variable name: SEGMENT_ID) based on the segment ID positions and attribute
codes listed in Table A.3.a. For example, the segment containing bank cards (product type
segment “01”) that are greater than two years old (age segment “02”), made to borrowers
residing in the Asia Pacific region (geography segment “04”), are 120+ DPD (delinquency
status segment “05”), and had an original FICO score or equivalent of greater than 620
(original industry standard credit score or equivalent segment “02”) should be identified by
the segment ID “0102040502”. When reporting the segment ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 360 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC or IHC name (Variable name: BHC_NAME), your RSSD
ID number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID) and segment ID
(variable name: SEGMENT_ID). Use the portfolio ID “IntCard” for this worksheet. For each
row, populate the segment variables listed in Table A.3.a and the summary variables listed
in Table A.3.b. Please provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product type – Segment the portfolio into the following three product types:
01 - Bank Card - Bank cards are regular general purpose credit cards that can be used at
a wide variety of merchants, including any who accept MasterCard, Visa, American
Express or Discover credit cards. Include affinity and co-brand cards in this
category, and student cards if applicable. This product type also includes private
label or propriety credit cards, which are tied to the retailer issuing the card and
can only be used in that retailer’s stores. Include oil & gas cards in this loan type.
02 - Charge Card - Charge cards are consumer credit cards for which the balance is
repaid in full each billing cycle.
03 –Corporate, SME, and Business cards - Corporate cards are employer-sponsored
credit cards for use by a company’s employees and SME and Business cards are
credit card accounts where the loan is underwritten with the sole proprietor or
22
primary business owner as an applicant. Corporate, SME and Business cards only
include cards where there is any individual liability associated with the sub-lines or
the account is delinquency managed or scored. Also include cards where the
account is delinquency managed or scored and performance is reported to the
credit bureaus; corporate and SME cards do not include loans for which a
commercially-graded corporation is ultimately responsible for repayment of credit
losses with no reporting to credit bureaus.
2. Age – Age refers to the amount of time that has elapsed since the account was
originated. There are two possible ages to report:
01 - <= Two years old
02 - > Two years old
3. Geography – Segment the portfolio into the following four geographical area
designations. The primary borrower’s current place of residency should be used to
define the region.
01 - Region 1: Canada
02 - Region 2: EMEA — Europe, Middle East, and Africa
03 - Region 3: LATAM — Latin America and Caribbean
04 - Region 4: APAC — Asia Pacific
4. Delinquency status – Segment the portfolio into the following five delinquency
statuses:
01 - Current and 1 - 29 days past due (DPD): Accounts that are not past due (accruing
and non-accruing) as of month-end and accounts that are 1 to 29 days past due
(accruing and non-accruing) as of month-end.
02 - 30 - 59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.
03 - 60 - 89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90 - 119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 -120+ DPD: Accounts that are 120 or more days past due (accruing and nonaccruing) as of month-end.
5. Original commercially available credit bureau score or equivalent –
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
be the score upon which the original underwriting decision was based. If the
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <= 620
02 - > 620
03 - N/A – Original credit score is missing or unknown
23
B. Summary Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A.
1. # Accounts – Total number of accounts on the book for the segment as of month-end.
2. $ Receivables – Total receivables for accounts on the book for the segment as of monthend.
3. $ Unpaid principal balance – Total Unpaid Principal Balance (UPB) on the book for the
segment as of month-end. Unlike receivables, total UPB should be net of any interest
and fees owed by the borrower.
4. $ Commitments – The total dollar amount of credit lines on the book for the segment as
of month- end (include drawn and undrawn credit lines). The internal automated limit
(shadow limit) should be used when there is no contractual limit.
5. # New accounts – The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end.
6. $ New commitments – The total dollar amount of new commitments on accounts
originated (or purchased) in the given month for the segment as of month-end. If
unknown for some accounts due to an acquisition or a merger, report the credit line at
acquisition.
7. $ Gross contractual charge-offs – The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
Also include write-downs to fair value on loans transferred to the held-for-sale account
during the reporting month. The amount reported here should be consistent with the
amount reported on Schedule HI-B, Part I, Column A of the FR Y-9C. For the
Delinquency Status segment, categorize charged-off loans by their delinquency status at
charge-off.
8. $ Bankruptcy charge-offs – The dollar amount of write-downs on loans in the segment
that were charged-off due to bankruptcy during the reporting month. The amount
reported here should be consistent with the amount reported on Schedule HI-B, Part I,
Column A of the FR Y-9C. For the Delinquency Status segment, categorize charged-off
loans by their delinquency status at charge-off.
9. $ Recoveries – The dollar amount recovered during the reporting month on loans in the
segment that were previously charged-off. The amount reported here should be
consistent with the amount reported on Schedule HI-B, Part I, Column B of the FR Y-9C.
For the Delinquency Status segment, categorize charged-off loans by their delinquency
status at charge-off. Reversals of recoveries should be recorded as negative recoveries.
10. # Accounts charged-off – The total number of accounts which experienced a charge-off
(contractual or bankruptcy) in the reference month. For the delinquency status
segmentation, categorize charge-offs by delinquency status at charge-off.
11. $ Net charge-offs – The dollar amount of write-downs net on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
24
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
12. Adjustment factor to reconcile $ gross contractual charge-offs to $ net charge-offs
– If it is not the case that $ Net Charge-offs equals [$ Gross Contractual Charge-offs + $
Bankruptcy Charge-offs — $ Recoveries], provide the value of $ Net Charge-offs minus [$
Gross Contractual Charge-offs + $ Bankruptcy Charge-offs — $ Recoveries] in this
variable, and separately provide an explanation for the difference. In a separate
document included in the submission, provide an explanation for such a difference (for
example, fraud losses are also included in the reporting BHC’s or IHC’s $ Net Charge-offs
variable). If the adjustment factor variable represents more than one factor leading to
the difference, provide a separate breakout of the multiple factors.
13. $ O/S for accounts that were 30+ DPD in last 24 months – The total receivables for
the segment as of month-end that was 30 or more days past due at any given time in the
past 24 months ending in the reference month. Exclude charged-off accounts when
making this calculation.
14. # Accounts that were 30+ DPD in last 24 months – The total number of accounts for
the segment as of month-end that were 30 or more days past due at any given time in
the past 24 months ending in the reference month. Exclude charged-off accounts when
making this calculation.
25
A.4 – International Home Equity
This section provides general guidance and data definitions for the International Home
Equity Worksheet. In this worksheet, include all international home equity loans (not US or
US territories and possessions) secured by real estate as defined in the FR Y-9C, Schedule
HC-C, item 1, that meet the loan criteria of item 1.c.1 and 1.c.2.b. Note that this includes
international first lien and second lien home equity lines. Only include loans and leases
held for investment at amortized cost; do not include loans or leases held for sale or held
for investment and measured at fair value under the fair value option. For international
first lien mortgages, see instructions for Worksheet 5.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are two product type segments, three origination industry standard credit
score or equivalent segments, four geography segments, two age segments, two
origination LTV segments, and five delinquency status segments; therefore, the portfolio
must be divided into a total of 2*3*4*2*2*5 = 480 distinct segments. Each segment
should be identified by a unique twelve-digit segment ID (variable name: SEGMENT_ID)
based on the segment ID positions and attribute codes listed in Table A.4.a. For example,
the segment containing HELOCs (product type segment “02”) that had an origination FICO
score or equivalent of greater than 660 (original industry standard credit score or
equivalent segment “02”), where the borrowers reside in the Asia Pacific region
(geography segment “04”), are greater than three years old (age segment “02”), had an
origination LTV of less than 80 percent (original LTV segment “01”), and are 180+ DPD
(delinquency status segment “05”) should be identified by the segment ID
“020204020105”. When reporting the segment ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 480 portfolio segments. First time filers must submit all data for
each month from January 2007 to the end of the current reporting period; returning filers
must submit all data for each month in the current reporting period only. BHCs and IHCs
should only include owned loans, exclude loans serviced for other investors.
Start each row of data with your BHC or IHC name (Variable name: BHC_NAME), your RSSD
ID number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID) and segment ID
(variable name: SEGMENT_ID). Use the portfolio ID “IntHE" for this worksheet. For each
row, populate the segment variables listed in Table A.4.a and the summary variables listed
in Table A.4.b. Please provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product type – Segment the portfolio into product types based on specific features of
the loan. The portfolio should be segmented into two product types:
01 - HELOAN
02 - HELOC
2. Original commercially available credit bureau score or equivalent –
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
26
be the score upon which the original underwriting decision was based. If the
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <= 660
02 - > 660
03 - N/A—Original credit score is missing or unknown
3. Geography – Report the region in which the property is located; divide the portfolio
into the following four geographical area designations:
01 - Region 1: Canada
02 - Region 2: EMEA—Europe, Middle East, and Africa
03 - Region 3: LATAM—Latin America and Caribbean
04 - Region 4: APAC—Asia-Pacific
4. Age – Age refers to the amount of time that has elapsed since the account was
originated. There are two possible ages to report:
01 - <= Three years old
02 - > Three years old
5. Original LTV (or CLTV for 2nds) – The original combined loan-to-value ratio is the
original amount of the loan or line, in addition to any senior liens, divided by the
property value at the time of origination. Divide the portfolio as follows:
01 - < 80
02 - >=80
6. Delinquency status –Divide the portfolio into the following five delinquency statuses:
01 - Current & 1-29 days past due (DPD): Accounts that are not past due (accruing and
non- accruing) or are 1-29 DPD (accruing and non-accruing) as of month-end.
02 - 30-89 DPD: Accounts that are 30 to 89 days past due (accruing and non-accruing)
as of month-end.
03 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
04 - 120-179 DPD: Accounts that are 120 to 179 days past due (accruing and nonaccruing) as of month-end.
05 - 180+ DPD: Accounts that are 180 or more days past due (accruing and nonaccruing) as of month-end.
B. Summary Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A.
1. # Accounts – Total number of accounts on the book for the segment as of month-end.
2. $ Outstandings – Total principal amount outstanding as of the end of the month. This
should be reported as unpaid principal balance (UPB) gross of any charge-offs. In other
words, the $ outstanding should not reflect any accounting based write-downs and
should only be reduced to zero when the loan has been liquidated – either paid in full,
charged off, or other real estate owned (OREO) sold.
27
3. $ Commitment (HELOC only) – The total dollar amount of HELOC credit lines on the
book for the segment as of month-end. If there is no credit limit on certain accounts,
report the purchase or shadow limit. A shadow limit is defined as an internal BHC or IHC
credit limit metric used for line management for lines that do not have a published
credit limit. Report this variable only for HELOC products.
4. # New accounts – The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end.
5. $ New accounts – The total dollar amount of new accounts originated (or purchased) in
the given month for the segment as of month-end.
6. $ New commitments (HELOC only) – The total dollar amount of new HELOC credit
lines booked on the system in the reporting month. Report this variable only for HELOC
products.
7. $ Commitment increases (HELOC only) – The dollar amount increase on existing
HELOC credit lines in the reporting-month. Report this variable only for HELOC
products.
8. $ Commitment decreases (HELOC only) – The dollar amount decrease on existing
HELOC credit lines in the reporting-month. Report this variable only for HELOC
products.
9. $ Gross contractual charge-offs – The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
Also include write-downs to fair value on loans transferred to the held-for-sale account
during the reporting month. The amount reported here should be consistent with the
amount reported on Schedule HI-B, Part I, Column A of the FR Y-9C. For the
Delinquency Status segment, categorize charged-off loans by their delinquency status at
charge-off.
10. $ Bankruptcy charge-offs – The dollar amount of write-downs on loans in the
segment that were charged-off due to bankruptcy during the reporting month. The
amount reported here should be consistent with the amount reported on Schedule HI-B,
Part I, Column A of the FR Y-9C. For the Delinquency Status segment, categorize
charged-off loans by their delinquency status at charge-off.
11. $ Recoveries – The dollar amount recovered during the reporting month on loans in
the segment that were previously charged-off. The amount reported here should be
consistent with the amount reported on Schedule HI-B, Part I, Column B of the FR Y-9C.
For the Delinquency Status segment, categorize charged-off loans by their delinquency
status at charge-off. Reversals of recoveries should be recorded as negative recoveries.
12. $ Net charge-offs – The dollar amount of write-downs net on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
13. Adjustment factor to reconcile $ gross contractual charge-offs to $ net charge-offs
– If it is not the case that $ Net Charge-offs equals [$ Gross Contractual Charge-offs + $
28
Bankruptcy Charge-offs — $ Recoveries], provide the value of $ Net Contractual Chargeoffs minus [$ Gross Contractual Charge-offs +$ Bankruptcy Charge-offs — $ Recoveries] in
this variable. As a separate document included in the submission, provide an
explanation for such a difference (for example, fraud losses are also included in the
BHC’s or IHC’s $ Net Charge-offs variable). If the adjustment factor variable represents
more than one factor leading to the difference, provide a separate breakout of the
multiple factors.
14. $ Foreclosure - The total unpaid principal balance of loans in the foreclosure process.
These dollars are pre-OREO and should be coded as a foreclosure in the system.
15. $ New foreclosure - The total unpaid principal balance of loans that entered the
foreclosure process in the reporting month. These dollars are pre-OREO and should be
coded as a foreclosure in the system.
16. $ Other Real Estate Owned (OREO) - The total unpaid principal balance of mortgages
where the bank has obtained the title at foreclosure sale and the property is on the
market and available for sale. Also include instances where the bank has obtained the
title but the availability for sale is not known
17. $ New OREO - The total unpaid principal balance of foreclosed loans where the
institution has bought back the property.
29
A.5 – International First Lien Mortgage
This section provides general guidance and data definitions for the International First Lien
Mortgage Worksheet. In this worksheet, include all international (not US or US territories
or possessions) first lien mortgage loans secured by real estate as defined in the FR Y-9C,
Schedule HC-C, item 1 which meet the loan criteria of item 1.c.2.a . Include international first
lien residential mortgage and international first lien closed-end home equity loans. Only
include loans and leases held for investment at amortized cost; do not include loans or
leases held for sale or held for investment and measured at fair value under the fair value
option.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are two product type segments, three origination industry standard credit
score or equivalent segments, four geography segments, two age segments, two origination
LTV segments, and five delinquency status segments; therefore, the portfolio must be
divided into a total of 2*3*4*2*2*5 = 480 distinct segments. Each segment should be
identified by a unique twelve-digit segment ID (variable name: SEGMENT_ID) based on the
segment ID positions and attribute codes listed in Table A.5.a. For example, the segment
containing fixed-rate loans (product type segment “01”) that had an origination FICO score
or equivalent of greater than 660 (original industry standard credit score or equivalent
segment “02”), where the borrowers reside in the Asia Pacific region (geography segment
“04”), are greater than three years old (age segment “02”), had an origination LTV of less
than 80 percent (original LTV segment “01”), and are 180+ DPD (delinquency status segment
“05”) should be identified by the segment ID “010204020105”.. When reporting the segment
ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 480 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC or IHC name (Variable name: BHC_NAME), your
RSSD ID number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID), and segment ID
(variable name: SEGMENT_ID). Use the portfolio ID “IntFM” for your Portfolio ID within this
worksheet. For each row, populate the segment variables listed in Table A.5.a and the
summary variables listed in Table A.5.b. Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product type – Segment the portfolio into product types based on payment terms of the
loan (at origination). The portfolio should be segmented into two product types:
01 - Fixed Rate
02 - Other
2. Original commercially available credit bureau score or equivalent –
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
be the score upon which the original underwriting decision was based. If the
30
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <= 660
02 - > 660
03 - N/A—Original credit score is missing or unknown
3. Geography – Report the region in which the property is located. Segment the portfolio
into the following four geographical area designations:
01 - Region 1: Canada
02 - Region 2: EMEA—Europe, Middle East, and Africa
03 - Region 3: LATAM—Latin America and Caribbean
04 - Region 4: APAC—Asia Pacific
4. Age – Age refers to the time that has elapsed since the account was originated. There
are two possible ages to report:
01 - <= Three years old
02 - > Three years old
5. Original LTV – The original loan-to-value ratio is the original amount of the loan
divided by the property value at the time of origination. Segment the portfolio as
follows:
01 - < 80
02 - >= 80
6. Delinquency status – Segment the portfolio into the following five delinquency
statuses:
01 - Current & 1-29 days past due (DPD): Accounts that are not past due (accruing and
non- accruing) or are 1-29 DPD (accruing and non-accruing) as of month-end.
02 - 30-89 DPD: Accounts that are 30 to 89 days past due (accruing and non-accruing)
as of month-end.
03 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
04 - 120-179 DPD: Accounts that are 120 to 179 days past due (accruing and nonaccruing) as of month-end.
05 - 180+ DPD: Accounts that are 180 or more days past due (accruing and nonaccruing) as of month-end.
B. Summary Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A.
1. # Accounts – Total number of accounts on the book for the segment as of month-end.
2. $ Outstandings – Total principal amount outstanding as of the end of the month. This
should be reported as unpaid principal balance gross of any charge-offs. In other words,
the $ outstanding should not reflect any accounting based write-downs and should only
be reduced to zero when the loan has been liquidated – either paid in full, charged off, or
Other Real Estate Owned (OREO) sold.
31
3. # New accounts – The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end.
4. $ New accounts – The total dollar amount of new accounts originated (or purchased) in
the given month for the segment as of month-end.
5. $ Gross contractual charge-offs – The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
Also include write-downs to fair value on loans transferred to the held-for-sale account
during the reporting month. The amount reported here should be consistent with the
amount reported on Schedule HI-B, Part I, Column A of the FR Y-9C. For the
Delinquency Status segment, categorize charged-off loans by their delinquency status at
charge-off.
6. $ Bankruptcy charge-offs – The dollar amount of write-downs on loans in the segment
that were charged-off due to bankruptcy during the reporting month. The amount
reported here should be consistent with the amount reported on Schedule HI-B, Part I,
Column A of the FR Y-9C. For the Delinquency Status segment, categorize charged-off
loans by their delinquency status at charge-off.
7. $ Recoveries – The dollar amount recovered during the reporting month on loans in
the segment that were previously charged-off. The amount reported here should be
consistent with the amount reported on Schedule HI-B, Part I, Column B of the FR Y-9C.
For the Delinquency Status segment, categorize charged-off loans by their delinquency
status at charge-off. Reversals of recoveries should be recorded as negative recoveries.
8. $ Net charge-offs – The dollar amount of write-downs net on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
9. Adjustment factor to reconcile $ gross contractual charge-offs to $ net charge-offs
– If it is not the case that $ net charge-offs equals [$ gross contractual charge-offs + $
bankruptcy charge-offs — $ recoveries], please provide the value of $ net contractual
charge-offs minus [$ gross contractual charge-offs + $ bankruptcy charge-offs — $
recoveries] in this variable. In a separate document included in your submission,
provide an explanation for such a difference (for example, fraud losses are also included
in the BHC’s or IHC’s $ net charge-offs variable). If the adjustment factor variable
represents more than one factor leading to the difference, provide a separate breakout
of the multiple factors.
10. $ Foreclosure - The total unpaid principal balance of loans in the foreclosure process.
These dollars are pre-OREO and should be coded as a foreclosure in the system.
11. $ New foreclosure - The total unpaid principal balance of loans that entered the
foreclosure process in the reporting month. These dollars are pre-OREO and should be
coded as a foreclosure in the system.
12. $ Other Real Estate Owned (OREO) - The total unpaid principal balance of mortgages
where the bank has obtained the title at foreclosure sale and the property is on the
market and available for sale. Also include instances where the bank has obtained the
32
title but the availability for sale is not known.
13. $ New OREO - The total unpaid principal balance of foreclosed loans where the
institution has bought back the property in auction in the reporting month.
33
A.6 – International Other Consumer Schedule
In this worksheet, include all international loans defined in the FR Y-9C, Schedule HC-C,
item 6.b and 6.d, excluding student loans and non-purpose securities based loans and
should also include all international non-auto leases as defined in the FR Y-9C, Schedule HCC, item 10.a. Only include loans and leases held for investment at amortized cost; do not
include loans or leases held for sale or held for investment and measured at fair value under
the fair value option.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are five product type segments, five delinquency status segments, three
original industry standard credit score or equivalent segments, two original LTV ratio
segments, and four geography segments; therefore, the portfolio must be divided into a
total of 5*5*3*2*4 = 600 distinct segments. Each segment should be identified by a unique
ten-digit segment ID (variable name: SEGMENT_ID) based on the segment ID positions and
attribute codes listed in Table A.6.a. For example, the segment containing secured
installment loans (product type segment “02”) that are 120+ DPD (delinquency status
segment “05”), had an origination FICO score or equivalent of greater than 620 (original
industry standard credit score or equivalent segment “02”), had an origination LTV ratio of
greater than 70 percent (original LTV ratio segment “02”), and that were made to
borrowers residing in the Asia Pacific region (geography segment “04”) should be identified
by the segment ID “0205020204”. When reporting the segment ID, do not drop leading
zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 600 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC or IHC name (Variable name: BHC_NAME), your RSSD
ID number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID), and segment ID
(variable name: SEGMENT_ID). Use “IntlOthCons” for portfolio ID for this worksheet. For
each row, populate the segment variables listed in Table A.6.a and the summary variables
listed in Table A.6.b. Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product type – Reporting BHCs and IHCs should segment the portfolio into the
following five product types based on the various features of the credit:
01 - Secured-Revolving
02 - Secured-Installment
03 - Unsecured-Revolving
04 - Unsecured-Installment
05 - Overdraft
2. Delinquency status – Reporting BHCs and IHCs should segment the portfolio into the
following five delinquency statuses:
01 - Current and 1-29 days past due (DPD): Accounts that are not past due (accruing
and non-accruing) as of month-end and accounts that are 1 to 29 days past due
34
(accruing and non-accruing) as of month-end.
02 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.
03 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 - 120+ DPD: Accounts that are 120 days or more past due (accruing and nonaccruing) as of month-end.
3. Original commercially available credit bureau score or equivalent –
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
be the score upon which the original underwriting decision was based. If the
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <= 620
02 - > 620
03 - N/A— Original credit score is missing or unknown
4. Original LTV– The original combined loan-to-value ratio is the original amount of the
loan or line, in addition to any senior liens, divided by the collateral value at the time of
origination. For loans where the loan-to-value ratio is not applicable, include the lowest
ratio for a segment identifier. Segment the portfolio as follows:
01 - <= 70 or not applicable
02 - > 70
5. Geography –Segment the portfolio into the following four geographical area
designations. The borrower’s current place of residency should be used to define the
region.
01 - Region 1: Canada
02 - Region 2: EMEA—Europe, Middle East, and Africa
03 - Region 3: LATAM—Latin America and Caribbean
04 - Region 4: APAC—Asia-Pacific
B. Summary Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A.
1. # Accounts – Total number of accounts on the book for the segment being reported as of
month-end.
2. $ Outstandings – The total unpaid principal balance for accounts on the book for the
segment being reported as of month-end.
3. $ Gross contractual charge-offs – The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
35
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
Also include write-downs to fair value on loans transferred to the held-for-sale account
during the reporting month. The amount reported here should be consistent with the
amount reported on Schedule HI-B, Part I, Column A of the FR Y-9C. For the
Delinquency Status segment, categorize charged-off loans by their delinquency status at
charge-off.
4. $ Bankruptcy charge-offs – The dollar amount of write-downs on loans in the segment
that were charged-off due to bankruptcy during the reporting month. The amount
reported here should be consistent with the amount reported on Schedule HI-B, Part I,
Column A of the FR Y-9C. For the Delinquency Status segment, categorize charged-off
loans by their delinquency status at charge-off.
5. $ Recoveries – The dollar amount recovered during the reporting month on loans in the
segment that were previously charged-off. The amount reported here should be
consistent with the amount reported on Schedule HI-B, Part I, Column B of the FR Y-9C.
For the Delinquency Status segment, categorize charged-off loans by their delinquency
status at charge-off. Reversals of recoveries should be recorded as negative recoveries.
6. $ Net charge-offs – The dollar amount of write-downs net on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
7. # New accounts – The total number of new accounts originated in the given month for
the segment being reported as of month-end.
8. $ New commitments – The total dollar amount of new commitments on accounts
originated in the given month for the segment being reported as of month-end. If
unknown for some accounts due to acquisition or merger, report the credit line at
acquisition.
36
A.7 – US Other Consumer
In this worksheet, include all domestic loans as defined in the FR Y-9C, Schedule HC-C,
items 6.b and 6.d, excluding student loans and non-purpose securities based loans. Include
domestic non-auto leases included as defined in the FR Y-9C, Schedule HC-C, item 10.a. Only
include loans and leases held for investment at amortized cost; do not include loans or
leases held for sale or held for investment and measured at fair value under the fair value
option.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are five product type segments, five delinquency status segments, three
original industry standard credit score or equivalent segments, and three original LTV ratio
segments; therefore, the portfolio must be divided into a total of 5*5*3*3 = 225 distinct
segments. Each segment should be identified by a unique eight-digit segment ID (variable
name: SEGMENT_ID) based on the segment ID positions and attribute codes listed in Table
A.7.a. For example, the segment containing secured installment loans (product type
segment “02”) that are 120+ DPD (delinquency status segment “05”), had an origination
FICO score or equivalent of greater than 620 (original industry standard credit score or
equivalent segment “02”), and had an origination LTV ratio of greater than or equal to 100
percent (original LTV ratio segment “03”) should be identified by the segment ID
“02050203”. When reporting the segment ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 225 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC or IHC name (Variable name: BHC_NAME), your RSSD
ID number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID), and segment ID
(variable name: SEGMENT_ID). Use “ USOthCons” for the portfolio ID within this
worksheet. For each row, populate the segment variables listed in Table A.7.a and the
summary variables listed in Table A.7.b. Please provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product type – Segment the portfolio into the following five product types based on the
various features of the credit:
01 - Secured-Revolving
02 - Secured-Installment
03 - Unsecured-Revolving
04 - Unsecured-Installment
05 - Overdraft
2. Delinquency status – Segment the portfolio into the following five delinquency
statuses:
01 - Current and 1-29 days past due (DPD): Accounts that are not past due (accruing
and non-accruing) as of month-end and accounts that are 1 to 29 days past due
(accruing and non-accruing) as of month-end.
02 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
37
as of month-end.
03 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 - 120+ DPD: Accounts that are 120 days or more past due (accruing and nonaccruing) as of month-end.
3. Original commercially available credit bureau score or equivalent –
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
be the score upon which the original underwriting decision was based. If the
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <= 620
02 - > 620
03 - N/A—Original credit score is missing or unknown
4. Original LTV– The original combined loan-to-value ratio is the original amount of the
loan or line, in addition to any senior liens, divided by the collateral value at the time of
origination. For unsecured loans for which loan-to-value is not applicable, report the
summary variables in the segment entitled <=70 or not applicable. Segment the portfolio
as follows:
01 - <= 70 or not applicable
02 - > 70 and < 100
03 - >= 100
B. Summary Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A.
1. # Accounts – Total number of accounts on the book for the segment as of month-end.
2. $ Outstandings – The total unpaid principal balance for accounts on the book for the
segment as of month-end.
3. $ Gross contractual charge-offs – The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
Also include write-downs to fair value on loans transferred to the held-for-sale account
during the reporting month. The amount reported here should be consistent with the
amount reported on Schedule HI-B, Part I, Column A of the FR Y-9C. For the
Delinquency Status segment, categorize charged-off loans by their delinquency status at
charge-off.
38
4. $ Bankruptcy charge-offs – The dollar amount of write-downs on loans in the segment
that were charged-off due to bankruptcy during the reporting month. The amount
reported here should be consistent with the amount reported on Schedule HI-B, Part I,
Column A of the FR Y-9C. For the Delinquency Status segment, categorize charged-off
loans by their delinquency status at charge-off.
5. $ Recoveries – The dollar amount recovered during the reporting month on loans in the
segment that were previously charged-off. The amount reported here should be
consistent with the amount reported on Schedule HI-B, Part I, Column B of the FR Y-9C.
For the Delinquency Status segment, categorize charged-off loans by their delinquency
status at charge-off. Reversals of recoveries should be recorded as negative recoveries.
6. $ Net Charge-offs – The dollar amount of write-downs net on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
7. # New accounts – The total number of new accounts originated in the given month for
the segment as of month-end.
8. $ New commitments – The total dollar amount of new commitments on accounts
originated in the given month for the segment as of month-end. If unknown for some
accounts due to acquisition or merger, report the credit line at acquisition.
39
A.8 – International Small Business
In this worksheet, include all "scored" or "delinquency managed" international small
business loans. The main differentiating factor between corporate loans and small business
loans is how the consolidated holding company evaluates the creditworthiness of the
borrower. For small business lending, banks look at the credit score of the borrower
(scored rating) and/or use delinquency management. Therefore, small business loans are
loans that are “scored” or “delinquency managed” for which a commercial internal risk
rating is not used or that uses a different scale than other corporate loans. Include
international small business loans as defined in the FR Y-9C, Schedule HC-C included in
items 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.2, and 10.b. Exclude corporate and SME credit card loans
as defined in the FR Y-9C, Schedule HC-C, item 4.b. Exclude all non-purpose securities-based
loans and loans for purchasing and carrying securities. Only include loans and leases held
for investment at amortized cost; do not include loans or leases held for sale or held for
investment and measured at fair value under the fair value option. For domestic small
business loans, see the instructions for Worksheet 9.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are three product type segments, two age segments, four geography
segments, three original industry standard credit score or equivalent segments, five
delinquency status segments, and two secured or unsecured segments; therefore, the
portfolio must be divided into a total of 3*2*4*3*5*2 = 720 distinct segments. Each
segment should be identified by a unique twelve-digit segment ID (variable name:
SEGMENT_ID) based on the segment ID positions and attribute codes listed in Table A.8.a.
For example, the segment containing term loans (product type segment “02”) that are
greater than three years old (age segment “02”), were made to borrowers that reside in the
Asia Pacific region (geography segment “04”), had an origination FICO score or equivalent of
greater than 620 (original industry standard credit score or equivalent segment “02”), are
120+ DPD (delinquency status segment “05”), and are secured (secured or unsecured
segment “01”) should be identified by the segment ID “020204020501”. When reporting
the segment ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 720 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC name (Variable name: BHC_NAME), your RSSD ID
number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID), and segment ID
(variable name: SEGMENT_ID). Use “IntSB” for the portfolio ID within this worksheet. For
each row, populate the segment variables listed in Table A.8.a and the summary variables
listed in Table A.8.b. Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product type - Segment the portfolio into the following product types as of month-end:
01 - Line of Credit
02 - Term Loan
03 - Other
40
2. Age - Age refers to the time that has elapsed since the account was originated.
01 - <= Three years old
02 - > Three years old
3. Geography –Segment the portfolio into the following four geographical area
designations. The borrower’s current place of residency should be used to define the
region.
01 - Region 1: Canada
02 - Region 2: EMEA—Europe, Middle East, and Africa
03 - Region 3: LATAM—Latin America and Caribbean
04 - Region 4: APAC—Asia-Pacific
4. Original commercially available credit bureau score or equivalent –
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
be the score upon which the original underwriting decision was based. If the
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <= 620
02 -> 620
03 - N/A – Original credit score is missing or unknown
5. Delinquency status - Segment the portfolio into the following five delinquency statuses:
01 - Current and 1-29 days past due (DPD): Accounts that are not past due (accruing
and non- accruing) as of month-end and accounts that are 1 to 29 days past due
(accruing and non-accruing) as of month-end.
02 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.
03 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 - 120+ DPD: Accounts that are 120 or more days past due (accruing and nonaccruing) as of month-end.
6. Secured or unsecured: Segment the portfolio based on the following two categories:
01 - Secured
02 - Unsecured
B. Summary Variables
For each month in the reporting period, report the following variables for each segment
described in Section A.
1. # Accounts – Total number of accounts on the book for the segment as of month-end.
2. $ Outstandings – Total unpaid principal balance for accounts on the book for the
segment as of month-end.
41
3. # New accounts – The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end.
4. $ New accounts – The total dollar amount of new accounts originated (or purchased) in
the given month for the segment as of month-end.
5. $ Commitments – The total dollar amount of commitments for the segment as of
month-end.
6. $ Modifications – Total unpaid principal balance of loans that have been adjusted as
part of a loan modification program. For purposes of this Schedule, a loan modification
occurs when the terms of the loan were changed from those stated in the original loan
contract as part of loss mitigation efforts.
7. $ Gross contractual charge-offs – The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
Also include write-downs to fair value on loans transferred to the held-for-sale account
during the reporting month. The amount reported here should be consistent with the
amount reported on Schedule HI-B, Part I, Column A of the FR Y-9C. For the
Delinquency Status segment, categorize charged-off loans by their delinquency status at
charge-off.
8. $ Bankruptcy charge-offs – The dollar amount of write-downs on loans in the segment
that were charged-off due to bankruptcy during the reporting month. The amount
reported here should be consistent with the amount reported on Schedule HI-B, Part I,
Column A of the FR Y-9C. For the Delinquency Status segment, categorize charged-off
loans by their delinquency status at charge-off.
9. $ Recoveries The dollar amount recovered during the reporting month on loans in the
segment that were previously charged-off. The amount reported here should be
consistent with the amount reported on Schedule HI-B, Part I, Column B of the FR Y-9C.
For the Delinquency Status segment, categorize charged-off loans by their delinquency
status at charge-off. Reversals of recoveries should be recorded as negative recoveries.
10. $ Net charge-offs – The dollar amount of write-downs net on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
11. Adjustment factor to reconcile $ gross contractual charge-offs to $ net charge-offs
– If it is not the case that $ net charge-offs equals [$ gross contractual charge-offs + $
bankruptcy charge-offs — $ recoveries], provide the value of $ net charge-offs minus [$
gross contractual charge-offs + $ bankruptcy charge-offs — $ recoveries] in this
variable, and separately provide an explanation for the difference. As a separate
document included in the submission, provide an explanation for such a difference (for
example, fraud losses are also included in the reporting BHC’s or IHC’s $ net charge-offs
variable). If the adjustment factor variable represents more than one factor leading to
the difference, provide a separate breakout of the multiple factors.
42
A.9 – US Small Business
In this worksheet, include all "scored" or "delinquency managed" domestic small business
loans. The main differentiating factor between corporate loans and small business loans is
how the consolidated holding company evaluates the creditworthiness of the borrower. For
small business lending, banks look at the credit score of the borrower (scored rating)
and/or use delinquency management. Therefore, small business loans are loans that are
“scored” or “delinquency managed” for which a commercial internal risk rating is not used
or that uses a different scale than other corporate loans. Include domestic small business
loans as defined in the FR Y-9C, Schedule HC-C included in items 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a,
9.b.2, and 10.b. Exclude corporate and SME credit card loans as defined in the FR Y-9C,
Schedule HC-C, item 4.a. Exclude all non-purpose securities-based loans and loans for
purchasing and carrying securities. Only include loans and leases held for investment at
amortized cost; do not include loans or leases held for sale or held for investment and
measured at fair value under the fair value option. For international small business loans,
see the instructions for Worksheet 8.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are three product type segments, two age segments, three original industry
standard credit score or equivalent segments, five delinquency status segments, and two
secured or unsecured segments; therefore, the portfolio must be divided into a total of
3*2*3*5*2 = 180 distinct segments. Each segment should be identified by a unique ten-digit
segment ID (variable name: SEGMENT_ID) based on the segment ID positions and attribute
codes listed in Table A.9.a. For example, the segment containing term loans (product
segment “02”) that are less than or equal to three years old (age segment “01”), had an
origination FICO score or equivalent of greater than 620 (original industry standard credit
score or equivalent segment “02”), are 120+ DPD (delinquency status segment “05”), and
are secured (secured or unsecured segment “01”) should be identified by the segment ID
“0201020501”. When reporting the segment ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 180 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC or IHC name (Variable name: BHC_NAME), your RSSD
ID number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID) and segment ID
(variable name: SEGMENT_ID). Use “USSB” for portfolio ID within this worksheet. For each
row, populate the segment variables listed in Table A.9.a and the summary variables listed
in Table A.9.b. Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product type - Segment the portfolio into the following product types as of month-end:
01- Line of Credit
02 - Term Loan
03 - Other
2. Age - Age refers to the time that has elapsed since the account was originated.
43
01 - <= Three years old
02 - > Three years old
3. Original commercially available credit bureau score or equivalent –
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
be the score upon which the original underwriting decision was based. If the
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <= 620
02 - > 620
03 - N/A - Original credit score is missing or unknown
4. Delinquency status - Segment the portfolio into the following five delinquency statuses:
01 - Current and 1-29 (days past due) DPD: Accounts that are not past due (accruing
and non- accruing) as of month-end and accounts that are 1 to 29 days past due
(accruing and non-accruing) as of month-end.
02 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.
03 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 - 120+ DPD: Accounts that are 120 or more days past due (accruing and nonaccruing) as of month-end.
5. Secured or unsecured: Segment the portfolio based on the following two categories:
01 - Secured
02 - Unsecured
B. Summary Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A.
1. # Accounts – Total number of accounts on the book for the segment as of month-end.
2. $ Outstandings – Total unpaid principal balance for accounts on the book for the
segment as of month-end.
3. # New accounts – The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end.
4. $ New accounts – The total dollar amount of new accounts originated (or purchased) in
the given month for the segment as of month-end.
5. $ Commitments – The total dollar amount of commitments for the segment as of
44
month-end.
6. $ Modifications – Total unpaid principal balance of loans that have been adjusted as
part of a loan modification program. For purposes of this Schedule, a loan modification
occurs when the terms of the loan were changed from those stated in the original loan
contract as part of loss mitigation efforts.
7. $ Gross contractual charge-offs – The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
Also include write-downs to fair value on loans transferred to the held-for-sale account
during the reporting month. The amount reported here should be consistent with the
amount reported on Schedule HI-B, Part I, Column A of the FR Y-9C. For the
Delinquency Status segment, categorize charged-off loans by their delinquency status at
charge-off.
8. $ Bankruptcy charge-offs – The dollar amount of write-downs on loans in the segment
that were charged-off due to bankruptcy during the reporting month. The amount
reported here should be consistent with the amount reported on Schedule HI-B, Part I,
Column A of the FR Y-9C. For the Delinquency Status segment, categorize charged-off
loans by their delinquency status at charge-off.
9. $ Recoveries – The dollar amount recovered during the reporting month on loans in the
segment that were previously charged-off. The amount reported here should be
consistent with the amount reported on Schedule HI-B, Part I, Column B of the FR Y-9C.
For the Delinquency Status segment, categorize charged-off loans by their delinquency
status at charge-off. Reversals of recoveries should be recorded as negative recoveries.
10. $ Net charge-offs – The dollar amount of write-downs net on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
11. Adjustment factor to reconcile $ gross contractual charge-offs to $ net charge-offs
– If it is not the case that $ net charge-offs equals [$ gross contractual charge-offs + $
bankruptcy charge-offs — $ recoveries], provide the value of $ net charge-offs minus [$
gross contractual charge-offs + $ bankruptcy charge-offs — $ recoveries] in this
variable, and separately provide an explanation for the difference. In a separate
document included in the submission, provide an explanation for such a difference (for
example, fraud losses are also included in the reporting BHC’s or IHC’s $ Net Charge-offs
variable). If the adjustment factor variable represents more than one factor leading to
the difference, provide a separate breakout of the multiple factors.
45
A.10 – Student Loan
In this worksheet, include all student loans as defined in the FR Y-9C, Schedule HC-C, lines
6.b and 6.d. Only include loans and leases held for investment at amortized cost; do not
include loans or leases held for sale or held for investment and measured at fair value under
the fair value option.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are two product type segments, five age segments, three original industry
standard credit score or equivalent segments, five delinquency status segments, and four
education level segments; therefore, the portfolio must be divided into a total of 2*5*3*5*4
= 600 distinct segments. Each segment should be identified by a unique ten-digit segment
ID (variable name: SEGMENT_ID) based on the segment ID positions and attribute codes
listed in Table A.10.a. For example, the segment containing government guaranteed student
loans (product type segment “01”) that are less than three years old (age segment “05”), had
an origination FICO score or equivalent of greater than 660 (original industry standard
credit score or equivalent segment “02”), are 120+ DPD (delinquency status segment “05”),
and were made to loan recipients pursuing an undergraduate degree (education level
segment “01”) should be identified by the segment ID “0105020501”. When reporting the
segment ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 600 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period
only.
Start each row of data with your BHC or IHC name (Variable name: BHC_NAME), your RSSD
ID number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID), and segment ID
(variable name: SEGMENT_ID). Use the portfolio ID “Student” for portfolio ID for this
worksheet. For each row, populate the segment variables listed in Table A.10.a and the
summary variables listed in Table A.10.b. Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A. Segment Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product type – Reporting institutions should segment the portfolio into the following
two product types. An example of a government guaranteed loan is a FFELP loan.
01 - Managed - Gov Guaranteed
02 - Managed – Private
2. Age – Refers to the time that has elapsed since the loan was originated. If there were
multiple disbursements tied to an original then use the time since the first disbursement.
There are five possible ages to report:
01 - 6 years <= Age
02 - 5 years <= Age < 6 years
03 - 4 years <= Age < 5 years
04 - 3 years <= Age < 4 years
05 - Age < 3 years
46
3. Original commercially available credit bureau score or equivalent –
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
be the score upon which the original underwriting decision was based. If the
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <= 660
02 - > 660
03 - N/A— Original credit score is missing or unknown
4. Delinquency status - Reporting institutions should segment the portfolio into the
following five delinquency statuses:
01 - Current + 1-29 DPD: Accounts that are not past due (accruing and non-accruing) as
of month-end and accounts that are 1 to 29 days past due (accruing and nonaccruing) as of month-end.
02 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.
03 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 - 120+ DPD: Accounts that are 120 or more days past due (accruing and nonaccruing) as of month-end.
5. Education level – The level of education being pursued by the recipient of the loan. For
consolidated loans, report the highest level of education pursued by the borrower.
01 - Undergraduate – 4 year
02 - Graduate / Professional
03 - Other (e.g. community college, trade school, etc.)
04 - Not available
B. Summary Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A.
1. # Accounts – Total number of accounts on the book for the segment as of month-end.
2. $ Outstandings – Total unpaid principal balance for accounts on the book for the
segment as of month-end.
3. # Accounts in repayment – Total number of accounts on the book for the segment as of
month- end that have entered the loan’s repayment period.
4. $ Outstandings in repayment – Total unpaid principal balance for accounts on the
book for the segment as of month-end that have entered the loan’s repayment period.
47
5. # New disbursements – The total number of new disbursements in the given month for
the segment as of month-end.
6. $ New disbursements – The total dollar amount disbursed in the given month for the
segment as of month-end.
7. $ of Unpaid principal balance with co-signer – The dollar amount of unpaid principal
balance in the segment that was underwritten with a co-signer reported as of the
month-end.
8. $ of Unpaid principal balance in grace – The dollar amount of unpaid principal
balance for accounts that are in grace status for the segment being reported as of monthend.
9. $ of Unpaid principal balance in deferment – The dollar amount of unpaid principal
balance for accounts that are in deferment status for the segment being reported as of
month-end.
10. $ of Unpaid principal balance in forbearance – The dollar amount of unpaid principal
balance for accounts that are in forbearance status for the segment being reported as of
month-end.
11. $ CDR [0% through 1.99%) - The total unpaid principal balance in the segment that
has a school cohort default rate as computed by the Department of Education falling
within 0% through 1.99% as of the month-end.
12. $ CDR [2% through 3.99%) – The total unpaid principal balance in the segment that
has a school cohort default rate as computed by the Department of Education falling
within 2% through 3.99% as of the month-end.
13. $ CDR [4% through 5.99%) – The total unpaid principal balance in the segment that
has a cohort default rate falling within 4% through 5.99% as of the month-end.
14. $ CDR [6% through 7.99%) – The total unpaid principal balance in the segment that
has a cohort default rate falling within 6% through 7.99% as of the month-end.
15. $ CDR [8% through 9.99%) – The total unpaid principal balance in the segment that
has a cohort default rate falling within 8% through 9.99% as of the month-end.
16. $ CDR > 10% - The total unpaid principal balance in the segment that has a cohort
default rate falling above 10%as of the month-end.
17. $ CDR = N/A - The total unpaid principal balance in the segment that has no cohort
default rate as of the month-end.
18. $ Gross contractual charge-offs – The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
Also include write-downs to fair value on loans transferred to the held-for-sale account
during the reporting month. The amount reported here should be consistent with the
amount reported on Schedule HI-B, Part I, Column A of the FR Y-9C. For the
Delinquency Status segment, categorize charged-off loans by their delinquency status at
charge-off.
48
19. $ Bankruptcy charge-offs – The dollar amount of write-downs on loans in the
segment that were charged-off due to bankruptcy during the reporting month. The
amount reported here should be consistent with the amount reported on Schedule HI-B,
Part I, Column A of the FR Y-9C. For the Delinquency Status segment, categorize
charged-off loans by their delinquency status at charge-off.
20. $ Recoveries – The dollar amount recovered during the reporting month on loans in
the segment that were previously charged-off. The amount reported here should be
consistent with the amount reported on Schedule HI-B, Part I, Column B of the FR Y-9C.
For the Delinquency Status segment, categorize charged-off loans by their delinquency
status at charge-off. Reversals of recoveries should be recorded as negative recoveries.
21. $ Net Charge-offs – The dollar amount of write-downs net on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
22. Adjustment factor to reconcile $ gross contractual charge-offs to $ net charge-offs
– If it is not the case that $ Net Charge-offs equals [$ Gross Contractual Charge-offs + $
Bankruptcy Charge-offs — $ Recoveries], provide the value of $ Net Charge-offs minus [$
Gross Contractual Charge-offs + $ Bankruptcy Charge-offs — $ Recoveries] in this
variable, and separately provide an explanation for the difference. As a separate
document included in the submission, provide an explanation for such a difference (for
example, fraud losses are also included in the Reporting Institution’s $ Net Charge-offs
variable). If the adjustment factor variable represents more than one factor leading to
the difference, provide a separate breakout of the multiple factors.
49
Schedule B—Securities
Each BHC or IHC should submit the two schedules (B.1and B.2) comprising the FR-Y-14
Quarterly Securities data. The BHCs and IHCs should refer to the separate Technical
Submission Instructions for details on the technical specifications of these schedules
including the schedule naming convention, row headers, and value formats. The first
schedule (B.1 - Securities 1) is the Main Schedule containing the individual security-level
data. The second (B.2 - Securities 2) provides additional detail on securities in the Main
Schedule that are part of designated hedge accounting relationships.
Please refer to Accounting Standards Codification (ASC) Topic 320, Investments—Debt and
Equity Securities (formerly FASB Statement No. 115, Accounting for Certain Investments in
Debt and Equity Securities) for additional guidance when preparing this schedule.
If the instrument exists and is reported on the FR Y9C as of quarter-end, then it should be
included in this schedule Institutions are encouraged to provide further details on its
hedging practices in supplemental materials if the institution believes doing so will provide
additional and relevant clarity.
A unique identifier must be included to identify each unique record for each of the subschedules B.1 and B.2. as discussed below.
Exclude from this schedule all securities held for trading and securities the holding
company has elected to report at fair value under a fair value option even if holding
company management did not acquire the securities principally for the purpose of selling
them in the near term. Also exclude securities that have been sold, but not settled as of the
quarter-end date.
B.1—Securities 1 (“Main Schedule”)
The Securities 1 schedule collects individual security-level details on positions, security type,
cumulative OTTI (credit and non-credit related impairments) by security, and accounting intent
(AFS or HTM). Amounts should be reported in U.S. dollars (USD). The reporting of Securities should
follow balance sheet classification of the FR Y-9C (e.g., Securities will correspond with Schedule HC-B
breakdowns). Additionally, the method of reporting individual security-level information should be
consistent with the level of aggregation the company uses to assess impairment and measure
realized and unrealized gains and losses on investment securities under GAAP (ASC paragraph
320-10-35-20).
In circumstances whereby the BHC or IHC holds securities in both AFS and HTM categories within a given
asset class, separate each security in to separate line items.
The following information should be reported in this schedule.
Unique ID
A unique identifier must be included to identify each unique record. For a given security
position, the same Unique ID should be used from one period to the next.
Identifier Type and Identifier Value
Report individual security-level data for all available-for-sale (AFS) and held-to-maturity
(HTM) securities, adding new rows as necessary. Generally, securities should always be
reported with a public identifier, if available, such as a valid CUSIP, ISIN, or SEDOL. If a valid
CUSIP, ISIN or SEDOL identifier exists for the security, please report the value of the chosen
50
identifier (the CUSIP, ISIN, or SEDOL code) and indicate the identifier type as “CUSIP”,
“ISIN”, or “SEDOL”. If a CUSIP, ISIN, or SEDOL identifier is not available for a given security,
please report an alternative public identifier value, if available, and report the identifier
type. If only an internal identifier is available and provided, please report the identifier type
as “INTERNAL.” Securities where an internal identifier is reported must have additional
information reported in the Security Description 2 or Security Description 3 fields that
clarifies the name of the security or issuer and the nature of the obligation (see the general
requirement for securities in the “Other” Security Description 1 category), to the extent that
the Security Description 2 and Security Description 3 fields are available after meeting any
specific requirements in the instructions for these fields under “Security Description” below.
Private Placement
Please enter “Y” if the security is a private placement security or other non-publicly offered
security or “N” if it is a publicly offered security. For clarity, please enter "Y" for Rule 144A
securities and direct purchase municipal securities (as defined in the Municipal Securities
Rulemaking Board’s Notice 2011-52).
Security Description
Report the security description as indicated below.
Agency MBS: Report mortgage-backed securities (MBS) issued or guaranteed by U.S.
Government agencies.
Auction Rate Securities: Report auction rate securities. Auction-rate securities are variable
rate securities with long-term maturities whose interest rates are periodically reset through
auctions occurring at predetermined short-term intervals (generally 7, 14, 28, or 35 days).
CDO: Report collateralized debt obligations (CDOs). CDOs are asset-backed securities
collateralized by a discrete portfolio of fixed income assets and that make payments based
on the performance of those assets.
CLO: Report collateralized loan obligations (CLOs). CLOs are securitizations of portfolios of
loans through a bankruptcy-remote special-purpose vehicle (SPV) that issues asset-backed
securities in one or more classes (or tranches). In general, CLOs are backed by a variety of
assets, including whole commercial loans, revolving credit facilities, letters of credit, and
bankers’ acceptances.
CMBS: Report commercial mortgage-backed securities (CMBS). Exclude securities that have
been issued or guaranteed by the Federal National Mortgage Association (FNMA) or the
Federal Home Loan Mortgage Corporation (FHLMC) or guaranteed by the Government
National Mortgage Association (GNMA). Report these securities as “Agency MBS” (above).
Common Stock (Equity): Report common stock (equity). Provide the name of the issuer in
the Security Description 2 column.
Auto ABS: Report asset-backed securities (ABS) collateralized by auto loans.
Credit Card ABS: Report asset-backed securities (ABS) collateralized by credit card loans.
Student Loan ABS: Report asset-backed securities (ABS) collateralized by student loans.
Other ABS (excl HEL ABS): Report all other ABS that cannot properly be reported as auto
ABS, credit card ABS, student loan ABS or home equity loan ABS; such as, leasing, Small
Business Association (SBA) and fleet (auto) and floor plan ABS.
51
Corporate Bond: Report corporate bonds. Corporate bonds are debt obligations issued by
corporations and may be secured or unsecured. Report the issuer name in the Security
Description 2 column. Report the sector (i.e., the industry name) in the Security Description
3 column according to North American Industry Classification System (NAICS) industry. If a
NAICS industry is not available, report the relevant Global Industry Classification Standard
(GICS) industry. If neither NAICS nor GICs industries are available, report the relevant
Standard Industrial Classification (SIC) industry.
Covered Bond: Report securities generally classified as “covered bonds” that feature
recourse to cash flows of a pool of mortgages or public-sector loans on the balance sheet of
an issuing financial institution.
Domestic Non-Agency RMBS (incl HEL ABS): Report residential mortgage-backed securities
(RMBS), including securities backed by home equity loans, that are issued by domestic nongovernment agency entities.
Foreign RMBS: Report residential mortgage-backed securities of foreign issuers. Provide
the country in the Security Description 2 column.
Municipal Bond: Report bonds issued by U.S. states, cities, counties, and other governmental
entities at or below the state level. For example, include bonds issued by Canadian
provinces or other local government entities and bonds issued by other non-US local
government entities. In the Description 2 column, report the sector from the list below that
best describes the principal source of repayment and intended use of the capital raised by
the offering.
•
•
•
•
•
•
•
•
•
•
•
•
•
General Obligation - State
General Obligation - Local
Revenue - Single Family Housing
Revenue - Multi-Family Housing
Revenue - Hospitals and Health Care
Revenue - Education
Revenue - Industrial Development Revenue
Revenue - Utilities
Revenue - Transportation
Revenue - Tax
Revenue – Other
Appropriation-Backed 9
Other
Mutual Fund: Report investments in mutual funds, including money market mutual funds
and mutual funds that invest solely in U.S. government securities. In the Description 2
column, enter either “Money Market Mutual Fund” for investments in money market mutual
funds or similar cash reserve instruments or “Non-Money Market Mutual Fund” for all other
categories of mutual funds. Provide the name of the fund in the Description 3 column.
9
Preferred Stock (Equity): Refer to the FR Y-9C Glossary entry for “Preferred Stock.” Provide
the issuer name in the Security Description 2 column.
For a definition of appropriation-backed debt, please refer to the Municipal Securities Rulemaking Board glossary definition
for subject-to-appropriation-debt.
52
Sovereign Bond: Report bonds issued by the central governments of foreign countries. Provide the
two-letter Country ISO code in the Security Description 2 column. Also, include in this category
obligations of foreign country central banks, foreign central government units or agencies, fully
government-guaranteed obligations of municipal or state‐owned enterprises (e.g., non-central
government(s)); and obligations of supranational organizations such as the International Bank for
Reconstruction and Development (World Bank), Inter‐American Development Bank, and Asian
Development Bank. Sovereign Bonds that are issued by supranational entities should identify the
issuer of the bond in the second or third security description column in place of a country code.
Additionally, for non-guaranteed government securities, include additional information in the
remaining description columns to explain the source of repayment (if not full faith and credit of the
sovereign).
US Treasuries & Agencies: Exclude mortgage-backed securities. Report U.S. government agency
obligations issued by U.S. government agencies and U.S. government-sponsored agencies, including but
not limited to, Small Business Administration “Guaranteed Loan Pool Certificates,” U.S. Maritime
Administration obligations, and Export–Import Bank participation certificates. Include obligations
(other than mortgage-backed securities) issued by the Farm Credit System, the Federal Home Loan
Bank System, the Federal Home Loan Mortgage Corporation, the Federal National Mortgage
Association, the Financing Corporation, Resolution Funding corporation, and FDIC Structured Sale
Guaranteed Notes and NCUA Guaranteed Notes.
Other: Report all securities that cannot properly be reported in the categories above. It is
required to use the Security Description 2 and/or Security Description 3 columns to provide
a description of the security that clarifies the name of the security or issuer, type or nature of
obligation, and, if applicable, key terms such as the maturity date and stated interest rate.
Exposure to Debt/Equity Security (USD Equivalent)
Report exposure to the debt/equity security as indicated below.
Amortized Cost (USD Equivalent): In general, amortized cost is the purchase price of a debt
security adjusted for amortization of premium or accretion of discount if the debt security
was purchased at other than par or face value (for more information, refer to the FR Y-9C
Glossary entry for “premiums and discounts”).
Market Value (USD Equivalent): In general, market value is “the price that would be received
to sell an asset or paid to transfer a liability in an orderly transaction between market
participants at the measurement date.” For further information, refer to ASC Topic 820,
Fair Value Measurements and Disclosures (formerly FASB Statement No. 157, Fair Value
Measurements) and the FR Y-9C glossary entry for “fair value.”
Current Face Value (USD Equivalent): The nominal dollar amount of the security as of the
report date.
Original Face Value (USD Equivalent): The nominal dollar amount originally assigned to the
security by the issuer.
OTTI Taken
Report the cumulative amount of other-than-temporary impairments (OTTI) recognized in
earnings in the calendar year to date by the BHC or IHC on the security (. For clarity, please
include only the portion of OTTI recorded in form FR Y-9C, Schedule HI, memoranda item
17(c).
53
Accounting Intent
Indicate whether the security is available-for-sale (AFS) or held-to-maturity (HTM).
Price
Report the price of the security associated with the reported market value in USD. In
general, this is the value that, when multiplied by the current USD equivalent face value or
nominal amount of the security, results in the USD equivalent amount that would be
received (excluding accrued interest) if the security were sold at market value. A security
whose market value is equal to its outstanding face value has a price of 100. For equity
securities, report the price per share.
Pricing Date
Report the pricing date of the security.
Book yield
Report the effective interest rate that would be used to determine credit losses on debt
instruments for other‐than‐temporary impairment (OTTI) purposes in accordance with ASC
Topic 320. This item is not required for equity and mutual fund securities. For
securitization debt, this relates to the yield implicit at the time of acquisition. This value
should be the original unamortized yield, without subsequent adjustments for paydowns or
accretion. However, if the reported book yield differs from the yield determined according
to the methodology above, such as using the retrospective interest method for only
structured notes outlined in ASC 320-10-35-40, document the reason for the use of the
alternative in supplemental materials.
Purchase Date
Report the date on which the security was purchased or acquired in the case of credit
sensitive securities that are evaluated for other‐than‐temporary impairment (OTTI)
purposes in accordance with ASC Topic 320, Investments—Debt and Equity Securities
(formerly FASB Statement No. 115, Accounting for Certain Investments in Debt and Equity
Securities). The purchase date should be the date associated with the amortized cost and
book yield of the security (exclude for equity and mutual fund securities). If current
holdings of the same security were acquired in different periods, please provide the
amounts and respective purchase dates distinct trade lots in separate rows of the
worksheets. The preferred method for reporting purchases and sales of securities is as of
trade date. However, settlement date accounting is acceptable if the reported amounts
would not be materially different. (See the Glossary entry for “trade date and settlement
date accounting" in the FR Y-9C instructions).
Currency
Indicate the currency denomination of contractual payments on the security, or for an
equity security, the currency in which it trades in its principal exchange, using the standard
ISO 4217 three-letter currency code (e.g., USD, EUR, GBP, CAD, etc.). For the avoidance of
doubt, whether or not the value of this field is USD (U.S. dollars), all amounts reported in
this schedule must be in USD-equivalent terms as of the reporting date.
54
B.2—Securities 2 (“Investment Securities with Designated Accounting Hedges”)
The Securities 2 schedule contains information on investment security hedging
relationships designated under GAAP as cash flow or fair value hedges of AFS or HTM
securities. All amounts should be reported in U.S. dollars. Gains and losses should be
reported gross of tax.
In each row, report the unique ID, identifier type and identifier value using the
corresponding instructions for Securities 1 for each investment security for which the BHC
or IHC has an existing qualifying hedging relationship. Security holdings listed in this
worksheet should be a subset of the line-by-line holdings reported in the Securities 1
schedule and use a consistent ID, Identifier Type and Identifier Value for matching
purposes. In addition, for qualifying hedging relationships reported on Securities 2, the
unique ID reported for the investment security on Securities 1 must also be reported.
There should be one row submitted for each distinct investment security hedging
relationship. Use multiple rows to reflect one-to-many relationships: For example, if
multiple hedging relationships apply to a single security holding, please list each
hedging relationship affecting the security in a separate row of the Securities 2 file,
repeating relevant details about the hedged security. (This treatment would apply, for
example, if distinct hedging instruments – such as interest rate and foreign exchange
hedging instruments – hedge different risks of the same holding and are accounted for
separately, or if a fair value hedge co-exists with a cash flow hedge to address distinct
risks.) Similarly, if a portfolio hedge is used to hedge more than one security under a
single hedging relationship, please list each of the hedged security holdings in separate
rows alongside the characteristics and allocable amount of the associated portfolio
hedging instrument. If a hedging instrument hedges an investment security and also
hedges assets that are not investment securities, report the amount allocable to the
investment security (or securities) being hedged.
Please refer to the following table for detailed instructions on each column of this
worksheet. The abbreviation ASC stands for the Financial Accounting Standards Board
Accounting Standards Codification. In general, in the instructions that follow, the terms
hedging instrument and hedged item follow their usage in the ASC. Note that hedging
instrument may refer either to a single instrument or derivative that hedges the hedged
item in a hedging relationship, or a group of instruments jointly considered a hedging
instrument under a single hedging relationship.
55
Field
No.
Field Name
Description
Allowable Values
Report the identifier type for an investment security for which the See Securities 1
BHC or IHC has an existing qualifying accounting hedging instructions
relationship, and whose identifier value is provided in Field 2
(“Identifier Value”). If more than one distinct qualifying hedging
relationship exists for the security, please list the security more
than once.
1
Identifier Type
2
Identifier Value
3
Amortized Cost
4
Market Value (USD
Equivalent)
Report the market value (USD equivalent) of the security being See Securities 1
hedged. This amount should equal the amount recorded in the instructions
Securities 1 file for this security, unless the amount in Securities 1
contains trade lots or holdings that are not part of the hedging
relationship, in which case only include the amortized cost of the
holdings of the security that are hedged under the qualifying
hedging relationship.
5
Accounting Intent
(AFS, HTM)
Indicate whether the security being hedged is available-for-sale See Securities 1
instructions
(AFS) or held-to-maturity (HTM).
6
(USD Equivalent)
Type of Hedge(s)
Report the identifier value for an investment security for which See Securities 1
the BHC or IHC has an existing qualifying accounting hedging instructions
relationship. If more than one distinct qualifying hedging
relationship exists for the security, please list the security more
than once.
Report the amortized cost (USD equivalent) of the security being See Securities 1
hedged. This amount should equal the amount recorded in the instructions
Securities 1 file for this security, unless the amount in Securities 1
contains trade lots or holdings that are not part of the hedging
relationship, in which case only include the amortized cost of the
holdings of the security that are hedged under the qualifying
hedging relationship.
Report the type of hedge (fair value or cash flow hedge) associated 1= Fair Value Hedge,
with the holding as defined by ASC 815. Make this indication for 2=Cash Flow Hedge.
each hedged security, whether it is hedged individually or is
hedged as part of a portfolio of assets with similar risk that are
hedged as a group in line with ASC 815-20-25-12 (b) or ASC 81510-25-15.
56
Field
No.
Field Name
Description
Allowable Values
7
Hedged Risk
8
Hedge Interest Rate For hedges of interest rate risk, indicate the benchmark interest 1=US Treasury Security
rates from among those eligible under ASC 815-20-25-6A and Interest Rate, 2=London
other relevant guidance.
Interbank Offered Rate
(LIBOR) Swap Rate,
3=Federal Funds
Effective Swap Rate, 4
=Other, 5 = Not
applicable.
9
10
Hedge Percentage
Hedge Horizon
Indicate the risk being hedged, among the potential hedged risks 1=Overall Change in Fair
described under ASC 815-20-25-12 and ASC 815-20-25-15.
Value or Variability in
Cash Flows, 2=Interest
Rate Risk, 3=Foreign
Exchange Risk, 4=Credit
Risk, 5 = Interest Rate
Risk & Foreign Exchange
Risk, 6= Interest Rate
Risk & Credit Risk, 7=
Foreign Exchange Risk &
Credit Risk, 8 = Interest
Rate Risk & Foreign
Exchange Risk & Credit
Risk, 9= Change in Fair
Value of Embedded Call
or Put Option, 10=Other,
11= Not applicable.
Indicate, in the case of a designated fair value hedge, the portion of Enter a numeral in
the asset being hedged, as determined according to ASC 815-20- decimal format with up
to 4 decimal places
25-12 (b). Enter a decimal value.
between 0 and 1,
If the hedge is allocated to 100 percent of the securities notional or inclusive.
100 percent of the hedged risk associated with the investment
amounts reported in Fields 3 and 4 (amortized cost and market
value), please enter a value of 1.
If the associated hedge is a designated cash flow hedge of foreign
currency fluctuation, please indicate the percentage of principal or
interest cash flows (as applicable) being hedged in accordance
with ASC 815-20-25-41.
If the hedge is a fair value hedge, report the latest date of the
remaining effectiveness horizon (e.g., the remaining life of the
derivative instrument or an applicable shorter period, as
discussed in ASC 815-20-25-118), consistent with the documented
risk management strategy for the fair value hedge.
If the hedge is a cash flow hedge, report the latest date within
which the latest transaction covered by the hedge is expected to
occur, in line with the documentation requirements under ASC
815-20-25-3 and the effectiveness testing requirements under ASC
815-20-25.
57
Must be in yyyy- mm-dd
format, e.g.:
2005-02-01
1999-12-14
Field
No.
Field Name
11
Hedged Cash Flow
12
Sidedness
13
Hedging
Instrument at Fair
Value
14
15
Description
Allowable Values
Indicate the type of cash flow associated with the hedge if it is a 1=Principal and Interest
Cash Flows, 2=Interest
cash flow hedge.
Only, 3=Principal Only,
4=A Fixed Portion of
Either Principal or
Interest Cash Flows,
5=Other 6= Not
applicable.
Indicate whether the hedging instrument provides a one-sided 1=One-sided. 2= Not Oneeffective offset of the hedged risk, as permitted under ASC 815-20- sided.
25-76.
Indicate the USD-equivalent fair value of the hedging instrument
used to hedge the security under the indicated hedging
relationship. The hedging instrument associated with the hedged
security may consist of a proportion of a whole derivative (see ASC
815-20-25-45), in which case report the applicable portion of the
hedging derivative’s fair value. In addition, more than one
instrument may be used in combination as a hedging instrument,
in which case report the sum of the allocable fair values of these
instruments.
Rounded positive or
negative whole dollar
amount with no cents,
e.g.: 20000000
Supply numeric values
without any nonnumeric formatting (no
dollar sign, commas or
decimal). For negative
values use a negative sign
‘-‘, not parentheses.
Effective Portion of Indicate the effective portion of the gains and losses in the quarter Rounded positive or
in USD of the hedging instrument(s), associated with the hedged negative whole dollar
Cumulative Gains
risk and hedged percentage of the security.
amount with no cents,
and Losses
e.g.: 20000000
Supply numeric values
without any nonnumeric formatting (no
dollar sign, commas or
decimal). For negative
values use a negative sign
‘-‘, not parentheses.
Ineffective Portion
of Cumulative
Gains and Losses
Indicate the ineffective portion of the gains and losses in the
quarter in USD of the hedging instrument(s), associated with the
hedged risk and hedged percentage of the security, which have
been recognized in earnings.
58
Rounded positive or
negative whole dollar
amount with no cents,
e.g.: 20000000
Supply numeric values
without any nonnumeric formatting (no
dollar sign, commas or
decimal). For negative
values use a negative sign
‘-‘, not parentheses.
Schedule C—Regulatory Capital Instruments
General guidance
The FR Y-14Q Regulatory Capital Instruments quarterly schedules collect historical data of
BHCs’ and IHCs’ transactions in and balances of funded instruments that are included in
regulatory capital as well as subordinated debt instruments and their related hedging
instruments – included in FR Y-9C line item BHCK4062, “Subordinated notes and
debentures.” They collect historical data at the CUSIP level on the balances of each funded
regulatory capital instrument, in addition to information on any issuances and redemptions
of individual instruments that occurred during the quarter. The quarterly schedule does
not require BHCs or IHCs to report changes in the balances of capital instruments due to
amortizations or accretions as either Redemptions or Issuances. Note: All subordinated
debt instruments must be included, regardless of whether or not the instrument is
included in regulatory capital.
Concurrently with their initial submission of the Regulatory Capital Instruments
schedule, a new filer of FRY-14Q Schedule C must make a one-time submission of all
subordinated debt as of quarter end that includes all of the information required in
schedule C.3 (Issuances During Quarter) for each subordinated debt instrument
outstanding as of quarter end. Report in Column I the notional dollar amount of the
instrument as of quarter end.
C.1—Regulatory Capital and Subordinated Debt Instruments as of Quarter End
This worksheet collects historical information on the BHCs’ and IHCs’ regulatory capital and
subordinated debt instruments as of the end of the most recent quarter. Complete this
worksheet with details on each of these funded instruments as of quarter end. For each
instrument, provide the applicable details below:
Column Instructions
Column B
Committee on Uniform Security Identification Procedures (CUSIP) or
unique identifier provided by BHC or IHC
Report the CUSIP number or unique identification number assigned to the instrument as
provided by the BHC or IHC. If there are different instrument types associated with one
CUSIP, report the same CUSIP across multiple rows, provided that a different Instrument
Type is used for each recurrence of the respective CUSIP. If there are duplicate records with
the same CUSIP and Instrument Type, the firm should append a differentiating feature on
the end of the CUSIP (e.g., “v1” and “v2”, etc.) and specify in the comments column that these
are in fact swaps on the same CUSIP.
Column C
Instrument type
Report the type of regulatory capital instrument. Instruments should be reported based on
whether they were included in Tier 1 or Tier 2 regulatory capital. This item should indicate:
Common Stock, CPP TARP Preferred, CS USG Investment, CS Warrants, Cumulative Dated
Preferred (TRUPS), Cumulative Perpetual Preferred (CPP), Mandatory Convertible
Preferred (MCP), MCP USG Preferred, NCPP Convertible, Non-Cumulative Perpetual
Preferred (NCPP), Other Tier 1 Instruments, Other Tier 2 Instruments, REIT Preferred,
Subordinated Debt, USG Preferred TRUPS, or Subordinated Debt.
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Column D
Revised regulatory capital rule treatment
Report the regulatory capital treatment for the instrument as per the revised regulatory
capital rule (See generally 12 CFR 217). If the instrument being reported is a subordinated
debt instrument not included in regulatory capital, “NA” should be reported.
Column E
Cumulative/noncumulative
Report whether the instrument’s coupon/dividend is cumulative or noncumulative.
Column F
Notional amount ($Millions)
Report the notional dollar amount of the instrument as of quarter end.
Column G
Amount recognized in regulatory capital ($Millions)
Report the dollar amount of the instrument that qualified as regulatory capital as of quarter
end.
Column H
Comments
Use this field to report any supporting information regarding the instrument, including how
it relates to amounts approved in the BHC’s or IHC’s capital plan. Comments should also
reflect summary balance variances by Instrument Type.
C.2—Regulatory Capital and Subordinated Debt Instrument
Repurchases/Redemptions During Quarter
BHCs and IHCs are to complete this worksheet with details on any repurchase or
redemption activity for its capital and subordinated debt instruments during the quarter.
For each instrument that was subject to a redemption or repurchase, provide the applicable
details below.
Note: Do not use this worksheet to report decreases in the amount of any capital
instrument that are the result of amortizations of the remaining balance of the instrument.
Any changes due to amortizations of instruments that occurred during the quarter should
be reflected in the balances of those instruments as reported on the C.1-Regulatory Capital
and Subordinated Debt Instruments as of Quarter End worksheet.
Decreases in APIC resulting from employee stock compensation-related drivers should not
be captured in sub-schedule C.2. Decreases in APIC as a result of treasury stock being
issued at a price lower than its cost basis (i.e., the accounting amount of the stock held on
the firm’s balance sheet) must not be captured in sub-schedule C.2.
An IHC must report remittances of capital to a non-IHC entity such as its foreign parent if it
reduces the IHC's regulatory capital, even if it does not arise from the payment on or
repurchase or redemption of a regulatory capital instrument. Reductions in APIC on subschedule C.2 should reflect only instances in which an IHC remits capital to its foreign
parent outside the context of payment on or redemption of an internal capital instrument.
An example of this would be the reversal of contributed capital that was originally paid by
the parent to the IHC in the form of cash. In these instances, report the CUSIP with the
following convention: P00000001, P00000002, etc.
Column Instructions
Column B
Committee on Uniform Security Identification Procedures (CUSIP) or
unique identifier provided by BHC or IHC
Report the CUSIP number or unique identification number assigned to the instrument as
provided by the BHC or IHC. If there are different instrument types associated with one
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CUSIP, report the same CUSIP across multiple rows, provided that a different Instrument
Type is used for each recurrence of the respective CUSIP. If there are duplicate records with
the same CUSIP and Instrument Type, the firm should append a differentiating feature on
the end of the CUSIP (e.g., “V1” and “V2”, etc.) and specify in the comments column that
these are in fact swaps on the same CUSIP.
Column C
Instrument type
Report the type of regulatory capital instrument. This item should also indicate where
common stock is related to employee compensation (Common Stock - Employee Stock
Compensation), and remissions of capital to a foreign parent entity for IHCs (APIC - Foreign
Parent), in addition to the following items: Common Stock, CPP TARP Preferred, CS USG
Investment, CS Warrants, Cumulative Dated Preferred (TRUPS), Cumulative Perpetual
Preferred (CPP), Mandatory Convertible Preferred (MCP), MCP USG Preferred, NCPP
Convertible, Non-Cumulative Perpetual Preferred (NCPP), Other Tier 1 Instruments, Other
Tier 2 Instruments, REIT Preferred, Subordinated Debt, USG Preferred TRUPS, or
Subordinated Debt.
Column D
Revised regulatory capital rule treatment
Report the regulatory capital treatment for the instrument as per the revised regulatory
capital rule (See generally 12 CFR 217). If the instrument being reported is a subordinated
debt instrument not included in regulatory capital, “NA” should be reported.
Column E
Redemption action
Report the redemption action executed on the instrument.
Column F
Date on which action was executed (mm/dd/yyyy)
Report the date on which the redemption/repurchase action was executed.
Column G
Notional amount transacted ($Millions)
Report the notional dollar amount by which the instrument was reduced as a result of the
redemption/repurchase action.
Column H
Regulatory capital amount transacted ($Millions)
Report the dollar amount of regulatory capital by which the instrument was reduced as a
result of the redemption/repurchase action.
Column I
Notional amount remaining at quarter end ($Millions)
Report the remaining notional dollar amount of the instrument as of quarter end.
Column J
Amount recognized in regulatory capital remaining at quarter end
($Millions)
Report the remaining dollar amount of the instrument that was included in regulatory
capital as of quarter end.
Column K
Comments
Use this field to report any supporting information regarding the instrument, including how
it relates to amounts approved in the BHC’s or IHC’s capital plan. Comments should also
reflect summary balance variances by Instrument Type.
C.3 – Regulatory Capital and Subordinated Debt Instruments Issuances During
Quarter
BHCs and IHCs are to complete this worksheet with details on any issuances of capital and
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subordinated debt instruments – as well as any related hedging instruments, which includes
new hedges on outstanding subordinated debt instruments - that were issued during the
quarter. For each issued instrument, provide the applicable details below.
Columns BB through Columns OO apply to subordinated debt instruments, related hedges
as well as any new hedges associated with outstanding subordinated debt instruments.
For a subordinated debt instrument with multiple hedging instruments (swaps), please
report on multiple lines with the naming convention: CUSIP_1, CUSIP_2, etc., where CUSIP is
the unique identifier of the underlying instrument. Columns C-Z and BB-CC should be
repeated for all swap and reflect the underlying instrument, even though the entries may be
the same due to the swaps having the same underlying instrument.
Note: Do not use this worksheet to report increases in the amount of any capital
instruments that are the result of accretions that occurred during the quarter. Any changes
due to accretions that occurred during the quarter should be reflected in the balances of
those instruments as reported on the C.1 - Regulatory Capital Instruments as of Quarter End
worksheet.
Increases in APIC resulting from employee stock compensation-related drivers should not
be captured in sub-schedule C.3.
An IHC must report capital contributions to the IHC from a non-IHC entity such as its
foreign parent if it increases the IHC's regulatory capital, even if it does not arise from the
issuance of a regulatory capital instrument from the IHC to that entity. In these instances,
report the CUSIP with the following convention: P00000001, P00000002, etc.
Column Instructions
Column B
Committee on Uniform Security Identification Procedures (CUSIP),
International Securities Identification Number (ISIN) or unique
identifier provided by BHC or IHC
Report the CUSIP or ISIN number. If the instrument does not have a CUSIP or ISIN, provide
the unique identification number assigned to the instrument as provided by the BHC or IHC.
For subordinated debt with multiple swaps, please report on multiple lines with the naming
convention CUSIP_1, CUSIP_2, etc., where CUSIP is the unique identifier of the underlying
instrument. If there are different instrument types associated with one CUSIP, report the
same CUSIP across multiple rows, provided that a different Instrument Type is used for
each resurrence of the respective CUSIP. If there are duplicate records with the same CUSIP
and Instrument Type, the firm should append a differentiating feature on the end of the
CUSIP (e.g., "v1" and "v2", etc.) and specify in the comments column that these are in fact
swaps on the same CUSIP.
Column C
Instrument type
Report the type of regulatory capital instrument. Instruments should be reported based on
whether they were actually included in Tier 1 or Tier 2 regulatory capital. This item should
also indicate where common stock is related to employee compensation (Common Stock Employee Stock Compensation) and contributions of surplus capital from a foreign parent
entity for IHCs (APIC - Foreign Parent), in addition to the following items: Common Stock,
CPP TARP Preferred, CS USG Investment, CS Warrants, Cumulative Dated Preferred
(TRUPS), Cumulative Perpetual Preferred (CPP), Mandatory Convertible Preferred (MCP),
MCP USG Preferred, NCPP Convertible, Non-Cumulative Perpetual Preferred (NCPP), Other
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Tier 1 Instruments, Other Tier 2 Instruments, REIT Preferred, Subordinated Debt, USG
Preferred TRUPS, or Subordinated Debt.
Column D
Is issuance result of conversion?
Report whether the issued instrument is the result of a conversion.
Column E
If conversion, indicate CUSIP of original instrument
For issuances that are the result of a conversion, report the CUSIP of the instrument from
which the new issuance was converted.
Column F
Date of issuance (mm/dd/yyyy)
Report the date the instrument was issued.
Column G
Revised regulatory capital rule treatment
Report the regulatory capital treatment for the instrument as per the revised regulatory
capital rule (See generally 12 CFR 217). If the instrument being reported is a subordinated
debt instrument not included in regulatory capital, “NA” should be reported.
Column H
Cumulative/noncumulative
Report whether the instrument’s coupon/dividend is cumulative or noncumulative.
Column I
Notional amount transacted ($Millions)
Report the notional dollar amount of the issued instrument. For subordinated debt with
multiple swaps, report the full notional amount transacted of the underlying instrument.
Column J
Regulatory capital amount transacted ($Millions)
Report the dollar amount of the instrument that qualified as regulatory capital as of quarter
end.
Column K
Perpetual/dated
Report whether the issued instrument is of fixed maturity (“dated”) or of no fixed date
when capital will be returned to the investor (“perpetual”).
Column L
If dated, date of maturity (mm/dd/yyyy)
For instruments of fixed maturity (i.e., “dated” instruments), report the maturity date. For
“perpetual” instruments, report “NA”.
Column M
Issuer call
Report whether there is an issuer call option for the instrument.
Column N
If callable, optional call date (mm/dd/yyyy)
For instruments that feature an issuer call option, report the first date of call.
Column O
Fixed/floating
Report whether the instrument has a fixed coupon, a floating coupon/dividend, steps up or
converts from paying a fixed to paying a floating coupon.
Column P
Coupon/dividend rate (dividend yield) (bps) at issuance
For instruments with fixed coupon/dividends, report the coupon/dividend rate for the
instrument at issuance. For instruments that have a floating coupon/dividend or that have
neither a fixed nor floating coupon/dividend rate (such as common stock), input the
coupon/dividend rate paid in the reporting quarter.
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Column Q
Index at issuance
For instruments with a coupon/dividend rate that is linked to the rate of a particular index,
report the index to which it is linked at issuance. For instruments with a fixed
coupon/dividend rate, report “NA.” If the index is not available, specify the index in the
Comments field.
Column R
Spread over index (bps) at issuance
For instruments with a coupon/dividend rate that is linked to the rate of a particular index,
report the spread over the relevant index in basis points (e.g., 1M LIBOR+50bps should be
reported as “50”) at issuance. For instruments that have a fixed coupon/dividend rate or
that have neither a fixed nor floating coupon/dividend rate, report “NA”.
Column S
Date at which coupon terms change
For instruments that step up or convert from paying a fixed rate to paying a floating coupon,
specify the date at which the rate change occurs. If the terms of the instrument do not
change, report “NA.”
Column T
Coupon/dividend rate (bps) when terms change
For instruments that step up, report the coupon/dividend rate for the instrument after the
change of terms. If the terms of the instrument do not change, report “NA.”
Column U
Index when terms change
For instruments that convert from paying a fixed rate to paying a coupon/dividend rate that
is linked to the rate of a particular index, report the index to which it is linked. Select from
options in the drop down box. If the index is not available in the drop down menu, specify
the index in the Comments field. If the terms of the instrument do not change, report “NA.”
Column V
Spread over index (bps) when terms change
For instruments that convert from paying a fixed rate to paying a coupon/dividend with a
coupon/dividend rate that is linked to the rate of a particular index, report the spread over
the relevant index in basis points (e.g., 1M LIBOR+50bps should be reported as “50”). If the
terms of the instrument do not change, report “NA.”
Column W
Existence of step up or other incentive to redeem
Report whether the instrument features a step up or other incentive to redeem the security.
Step–up securities initially pay the investor an above–market yield for a short period and
then, if not called, ‘‘step up’’ to a higher coupon rate.
Column X
Convertible/non-convertible
Report whether the instrument is convertible into another instrument or non–convertible.
Column Y
If convertible, mandatory or optional conversion?
For instruments that are convertible into another instrument, report whether the
conversion is mandatory or optional. For non–convertible instruments, report “NA”.
Column Z
If convertible, specify the instrument type into which it will convert
For instruments that are convertible into another instrument, report the type of instrument
into which the instrument will convert. For non–convertible instruments, report “NA”.
Column AA Comments
Use this field to report any supporting information regarding the instrument, including how
it relates to amounts approved in the BHC’s capital plan. Comments should also reflect
summary balance variances by Instrument Type. If the nature of the swap (fixed-to-floating,
floating-to-fixed, FX) is not self-evident, please provide details here.
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Column BB Carrying value, as of quarter-end ($Millions)
Report the carrying value of the instrument. This number should match the value that
enters in FR Y-9C line item BHCK4062, “Subordinated notes and debentures,” and should be
equal to the sum of column I, CC, and DD. For subordinated debt with multiple swaps, please
report the full carrying value of the underlying note.
Column CC
Unamortized discounts/premiums, fees, and foreign exchange
translation impacts as of quarter-end ($Millions)
Report the dollar amount of unamortized discounts/ premiums, fees, and foreign exchange
translation impact (for FX-denominated instruments) associated with the instrument. For
subordinated debt with multiple swaps, please report the full amount of unamortized
discounts/ premiums, fees, and foreign exchange translation impact (for FX-denominated
instruments) associated with the underlying note.
Column DD Fair value of swaps, as of quarter end ($Millions)
Report the dollar value of swaps associated with the instrument that enter FR Y-9C line item
BHCK4062, “Subordinated notes and debentures.” For subordinated debt with multiple
swaps, please report the fair value of the specific swap detailed in this line.
Column EE
Interest rate swap issue date (mm/dd/yyyy)
If there is an interest rate swap associated with the instrument that is accounted for in FR Y9C line item BHCK4062, “Subordinated notes and debentures,” and BHCK4397, “Interest on
Subordinated Notes and Debentures and on Mandatory Convertible Securities,” report the
issue date of the swap.
Column FF
Interest rate swap maturity date (mm/dd/yyyy)
Report the maturity date of the interest rate swap associated with the instrument.
Column GG Notional amount of interest rate swap ($Millions)
Report the notional dollar amount of the interest rate swap associated with the instrument.
For subordinated debt with multiple swaps, please report the notional amount for the
specific swap detailed in this line.
Column HH Swap fixed rate (bps)
If the interest rate swap is floating-to-fixed, report the fixed interest rate payment. If the
interest rate swap is fixed-to-floating, report the fixed interest rate received from the swap.
If the interest rate swap is floating-to-fixed, report the fixed interest rate paid.
Column II
Swap index
If the interest rate swap is fixed-to-floating, report the index to which the swap payment is
linked. If the interest rate swap is floating-to-fixed, report the index to which the received
leg is linked. If the index is not available in the drop down box, please specify index in the
Comments field. For instruments unrelated to an index report “N/A”.
Column JJ
Swap spread over index (bps)
Report the spread over the relevant index in basis points (e.g., 1M LIBOR+50bps should be
reported as “50”). For instruments unrelated to an index report “N/A”.
Column KK Currency denomination of the instrument
Report the currency the instrument is denominated in. If the relevant currency is not in the
drop down box, please specify the currency in the Comments field.
65
Column LL
Currency of foreign exchange swap payment
If a foreign exchange swap is associated with the instrument, report the currency of the
swap payment. For example, for an instrument denominated in EUR, a foreign exchange
swap may imply a USD payment for a receipt of EUR. The currency of the swap payment is
thus USD. Select from options in the drop down box. If the relevant currency is not in the
drop down box, please specify the currency in the Comments field. If the terms of the swaps
associated with the instrument and accounted for in FR Y-9C line item BHCK4062,
“Subordinated notes and debentures,” and BHCK4397, “Interest on Subordinated Notes and
Debentures and on Mandatory Convertible Securities,” are not represented adequately in
columns EE to LL on the form, please provide additional information on swaps in the
Comments field.
Column MM Notional amount of foreign exchange swap ($ Million)
Report the notional dollar amount of the foreign exchange swap associated with the
instrument.
Column NN Exchange rate implied by foreign exchange swap (LL/KK)
Report the exchange rate of the foreign exchange swap. Express the exchange rate as the
amount of currency reported in column LL per unit of currency reported in column KK.
Column OO Y-9C BHCK 4062 reconciliation
If the carrying value in column BB differs from the amount that enters in in FR Y-9C line
item BHCK 4062, or if the sum of columns I, CC and DD does not add up to the carrying
value, provide an explanation in this field. Also provide an explanation for the discrepancy
between the sum of carrying values in column BB and the amount reported in FR Y-9C line
item BHCK 4062. The discrepancy may come from life-time preferred stock included in
BHCK 4062 for example (include this explanation in the field for instrument Nr. 1).
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Schedule D—Regulatory Capital Transitions
General Guidance
For the purposes of the Regulatory Capital Transitions Schedule, BHCs and IHCs must reflect
the revised regulatory capital and supplementary leverage ratio
rules on a fully
phased-in basis for the reporting quarter (e.g., BHCs and IHCs should apply 100% of all
capital deductions, not assuming the transition provisions for implementation of changes to
the capital composition as in the revised regulatory capital rule). Where applicable, BHCs
and IHCs should also reference the methodology descriptions outlined within the FR Y-9C,
HC-R, Part IB (final) and part II (draft). Please note, however, that numbers do not need to
tie to the FR Y-9C reports, given that the FR Y-14 Transitions schedule requires calculations
on a fully phased-in basis.
The Regulatory Capital Transitions FR Y-14Q quarterly schedule is used for monitoring
actual progress against the forecasts provided in the FR Y-14A submission. Submit the FR
Y-14Q schedule with actual data as of the close of each quarter (Note actual Q4 data are
submitted on the FR Y-14Q report in addition to the actual data submitted separately
on the FR Y-14A report).
Relevant Reference
All BHCs and IHCs are required to follow the methodologies outlined in the revised
regulatory capital rule (78 Federal Register 62018, October 11, 2013), the updated market
risk capital rule (78 Federal Register 76521, December 18, 2013), and the supplementary
leverage ratio final rule (September 2014) for purposes of completing the Regulatory
Capital Transitions schedules on a quarterly basis.
Links to these reference documents are listed below:
•
•
•
Basel global systemically important banks: updated assessment methodology and
the higher loss absorbency requirement (July 2013):
http://www.bis.org/publ/bcbs255.pdf
Revised Regulatory Capital Rule (78 Federal Register 62018, October 11, 2013):
http://www.gpo.gov/fdsys/pkg/FR-2013-10-11/pdf/2013-21653.pdf
Updated Market Risk Rule (78 Federal Register 76521, December 18, 2013):
Supplementary Leverage Ratio Final Rule (September 2014):
http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20140903b1.pdf
Completing the Schedule
Data should be provided in all non-shaded items; shaded items are derived and will be
automatically populated.
All BHCs and IHCs, including advanced approaches BHCs and IHCs and non-advanced
approaches BHCs and IHCs must complete Schedule D.4 – Standardized RWA for all
reporting periods. For the purpose of completing Schedule D.4, BHCs and IHCs are required
to report credit risk-weighted assets using the methodologies under the standardized
approach of the revised regulatory capital rule. Advanced approaches BHCs and IHCs,
67
including the BHCs and IHCs that are considered mandatory advanced approaches
institutions or that have opted-in voluntarily as an advanced approaches institution, are also
required to complete Schedule D.3 – Advanced RWA for all reporting periods. Note that all
data must be complete on a fully phased-in basis.
If a BHC or IHC does not have an exposure relevant to any particular line item (except for
Schedule D.6 – Planned Actions) it should enter zero (0) in those items. In order for the
derived items to automatically populate the shaded items in the schedule with calculated
numbers, BHCs and IHCs must complete all non-shaded items in the schedule with a value.
68
D.1—Capital Composition
The Capital Composition schedule (along with Schedule D.2 – Exceptions Bucket
Calculator) collects the data necessary to calculate the composition of capital under the
guidelines set forth by t h e Revised Regulatory Capital Rule. Please provide all data on a
fully phased-in basis (i.e., not assuming any transitional or phase- out arrangements
included in the revised regulatory capital rule.
Line item 1 AOCI opt-out election
Non-advanced approaches BHCs and IHCs have the option to select either 1 for opt-out, or 0
for opt-in. Note that there are no transition provisions applied.
As provided in section 22(b)(ii) of the revised regulatory capital framework, a nonadvanced approaches banking organization that seeks to make an AOCI opt-out election is
required to do so upon filing its first Call Report or FR Y-9 series report after the date upon
which it becomes subject to the final rule (January 1, 2015).
Common Equity Tier 1 Capital
Line item 2 Common stock and related surplus (net of treasury stock and unearned
employee stock ownership plan (ESOP) shares
Report common shares and the related surplus issued by BHCs and IHCs that meet the
criteria of the final rules. This should be net of treasury stock and other investments in own
shares to the extent that these are already not recognized on the balance sheet under the
relevant accounting standards. This line item should reflect the impact of share
repurchases or issuances projected in the CCAR forecast horizon. This line should also
reflect the netting of any treasury stock, unearned ESOP shares, and any other contra-equity
components.
Line item 3 Retained earnings
Retained earnings reported by BHCs and IHCs. This should reflect the impact of dividend
pay-outs projected in the CCAR forecast horizon.
Line item 4 Accumulated other comprehensive income (AOCI)
Report the amount of AOCI as reported under generally accepted accounting principles
(GAAP) in the U.S. that is consistent with the definitions included in Schedule HC-R, Part
I.B., item 3, with no transition provisions.
Line item 5 Common equity tier 1 minority interest includable in common equity
tier 1 capital (report this on a fully phased-in basis)
Report the aggregate amount of common equity tier 1 minority interest that is consistent
with the definitions provided in Schedule HC-R, Part I.B., item 4, with no transition
provisions. Common equity tier 1 minority interest means the common equity tier 1 capital
of a depository institution or foreign bank that is a consolidated subsidiary of the holding
company and that is not owned by the holding company. In addition, the capital instruments
issued by the subsidiary must meet all of the criteria for common equity tier 1 capital
(qualifying common equity tier 1 capital).
Line item 6 Common equity tier 1 capital before adjustments and deductions
This captures the sum of line items 2 through 5.
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Common equity tier 1 capital: adjustments and deductions
Line item 7 Goodwill net of associated deferred tax liabilities (DTLs)
Report the amount of goodwill that is consistent with the definitions provided in Schedule
HC-R, Part I.B., item 6, with no transition provisions.
However, if a BHC or IHC has a DTL that is specifically related to goodwill acquired in a
taxable purchase business combination that it chooses to net against the goodwill, the
amount of disallowed goodwill to be reported in this item should be reduced by the amount
of the associated DTL.
If a holding company has significant investments in the capital of unconsolidated financial
institutions in the form of common stock, the holding company should report in this item
goodwill embedded in the valuation of a significant investment in the capital of an
unconsolidated financial institution in the form of common stock (embedded goodwill).
Such deduction of embedded goodwill would apply to investments accounted for under the
equity method. Under GAAP, if there is a difference between the initial cost basis of the
investment and the amount of underlying equity in the net assets of the investee, the
resulting difference should be accounted for as if the investee were a consolidated
subsidiary (which may include imputed goodwill).
Line item 8 Intangible assets (other than goodwill and mortgage servicing assets
(MSAs)), net of associated DTLs
Report all intangible assets (other than goodwill and MSAs) net of associated DTLs, included
in Schedule HC-M, items 12.b and 12.c, that do not qualify for inclusion in common equity
tier 1 capital under the regulatory capital rules. Generally, all purchased credit card
relationships (PCCRs) and non-mortgage servicing rights, reported in Schedule HC-M, item
12.b, and all other identifiable intangibles, reported in Schedule HC-M, item 12.c, do not
qualify for inclusion in common equity tier 1 capital and should be included in this item.
Further, if the holding company has a DTL that is specifically related to an intangible asset
(other than servicing assets and PCCRs) acquired in a nontaxable purchase business
combination that it chooses to net against the intangible asset for regulatory capital
purposes, the amount of disallowed intangibles to be reported in this item should be
reduced by the amount of the associated DTL. However, a DTL that the holding company
chooses to net against the related intangible reported in this item may not also be netted
against DTAs when the holding company determines the amount of DTAs that are
dependent upon future taxable income and calculates the maximum allowable amount of
such DTAs for regulatory capital purposes.
Line item 9 Deferred Tax Assets (DTAs) that arise from net operating loss and tax
credit carryforwards, net of any related valuation allowances and net of DTLs
Report the amount of DTAs that arise from net operating loss and tax credit carryforwards,
net of any related valuation allowances and net of DTLs.
AOCI-related adjustments
Holding companies that entered “1” for “Yes” under item 1, must complete items 10
through 14 only for AOCI related adjustments.
Line item 10 Net unrealized gains (losses) on available-for-sale securities
Report the amount of net unrealized holding gains (losses) on available-for-sale securities,
net of applicable taxes, that is consistent with the definitions provided in Schedule HC-R,
Schedule I.B., item 9a, “Accumulated other comprehensive income,” With no transition
provisions. If the amount is a net gain, report it as a positive value in this item. If the amount
is a net loss, report it as a negative value in this item.
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Line item 11 Net unrealized loss on available-for-sale preferred stock classified as
an equity security under GAAP and available-for-sale equity exposures
Report as a positive value net unrealized loss on available-for-sale preferred stock classified
as an equity security under GAAP and available-for-sale equity exposures, consistent with
the definitions that is included in Schedule HC-R, Schedule I.B., item 9b, with no transition
provisions.
Line item 12 Accumulated net gains (losses) on cash flow hedges
Report the amount of accumulated net gains (losses) on cash flow hedges, consistent with
the definitions that is included in Schedule HC-R, Schedule I.B., item 9c, “Accumulated other
comprehensive income,” With no transition provisions. If the amount is a net gain, report it
as a positive value in this item. If the amount is a net loss, report it as a negative value in this
item.
Line item 13 Amounts recorded in AOCI attributed to defined benefit
postretirement plans resulting from the initial and subsequent application of the
relevant GAAP standards that pertain to such plans
Report the amounts recorded in AOCI and is consistent with the definitions included in
Schedule HC-R, Schedule I.B., item 9d, “Accumulated other comprehensive income,” with no
transition provisions, resulting from the initial and subsequent application of ASC Subtopic
715-20 (formerly FASB Statement No. 158, “Employers’ Accounting for Defined Benefit
Pension and Other Postretirement Plans”) to defined benefit postretirement plans resulting
from the initial and subsequent application of the relevant GAAP standards that pertain to
such plans.
Line item 14 Net unrealized gains (losses) on held-to-maturity securities that are
included in AOCI
Report the amount of net unrealized gains (losses) that are not credit-related on held-tomaturity securities and are included in AOCI, consistent with the definitions as reported in
Schedule HC-R, Schedule I.B., item 9e, “Accumulated other comprehensive income, ” with no
transition provisions. If the amount is a net gain, report it as a positive value. If the amount
is a net loss, report it as a negative value.
Holding companies that entered “0” for “No” under item 1, must complete item 15
only for AOCI related adjustments.
Line item 15 Accumulated net gain (loss) on cash flow hedges included in AOCI, net
of applicable tax effects that relate to the hedging of items that are not recognized at
fair value on the balance sheet.
Report the amount of accumulated net gain (loss) on cash flow hedges included in AOCI, net
of applicable tax effects that relate to the hedging of items not recognized at fair value on
the balance sheet. If the amount is a net gain, report it as a positive value. If the amount is a
net loss, report it as a negative value.
Other deductions from (additions to) common equity tier 1 capital before thresholdbased deductions:
Line item 16 Unrealized net gain (loss) related to changes in the fair value of
liabilities that are due to changes in own credit risk
Report the amount of unrealized net gain (loss) related to changes in the fair value of
liabilities that are due to changes in the holding company’s own credit risk. If the amount is
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a net gain, report it as a positive value in this item. If the amount is a net loss, report it as a
negative value in this item.
Advanced approaches holding companies only: include the credit spread premium over the
risk free rate for derivatives that are liabilities.
Line item 17 All other deductions from (additions to) common equity tier 1 capital
before threshold-based deductions
Report the amount of other deductions from (additions to) common equity tier 1 capital
that are not captured below:
(1) After-tax gain-on-sale in connection with a securitization exposure
Include any after-tax gain-on-sale in connection with a securitization exposure.
Gain-on-sale means an increase in the equity capital of a holding company resulting
from a securitization (other than an increase in equity capital resulting from the
holding company’s receipt of cash in connection with the securitization or reporting
of a mortgage servicing asset on Schedule HC).
(2) Defined benefit pension fund assets, net of associated DTLs
A BHC or IHC must deduct defined benefit pension fund assets, net of associated
DTLs, held by a holding company. With the prior approval of the Federal Reserve,
this deduction is not required for any defined benefit pension fund net asset to the
extent the holding company has unrestricted and unfettered access to the assets in
that fund.
(3) Investments in the holding company’s own shares to the extent not excluded
as part of treasury stock.
Include the BHC’s and IHC’s investments in (including any contractual obligation to
purchase) its own common stock instruments, including direct, indirect, and
synthetic exposures to such instruments (as defined in the revised regulatory
capital rules), to the extent such instruments are not excluded as part of treasury
stock.
For example, if a BHC or IHC already deducts its investment in its own shares (for
example, treasury stock) from its common equity tier 1 capital elements, it does not
need to make such deduction twice.
A holding company may deduct gross long positions net of short positions in the
same underlying instrument only if the short positions involve no counterparty
credit risk.
The holding company must look through any holdings of index securities to deduct
investments in its own capital instruments.
In addition:
(i) Gross long positions in investments in a holding company’s own regulatory
capital instruments resulting from holdings of index securities may be netted
against short positions in the same underlying index;
(ii) Short positions in index securities that are hedging long cash or synthetic
positions may be decomposed to recognize the hedge; and
(iii) The portion of the index that is composed of the same underlying exposure that
is being hedged may be used to offset the long position if both the exposure
being hedged and the short position in the index are covered positions under
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the market risk capital rule, and the hedge is deemed effective by the holding
company’s internal control processes which would have been assessed by the
Federal Reserve.
(4) Reciprocal cross-holdings in the capital of financial institutions in the form of
common stock
Include investments in the capital of other financial institutions (in the form of
common stock) that the holding company holds reciprocally (this is the
corresponding deduction approach). Such reciprocal crossholdings may result from
a formal or informal arrangement to swap, exchange, or otherwise intend to hold
each other’s capital instruments.
(5) Equity investments in financial subsidiaries
A BHC or IHC must deduct the aggregate amount of its outstanding equity
investment, including retained earnings, in its financial subsidiaries (as defined in
12 CFR 208.77) and may not consolidate the assets and liabilities of a financial
subsidiary with those of the parent institution. No other deduction is required for
these investments in the capital instruments of financial subsidiaries.
(6) Amount of expected credit loss that exceeds its eligible credit reserves
(Advanced approaches institutions that exit parallel run only)
Include the amount of expected credit loss that exceeds the eligible credit reserves.
Line item 18 Non-significant investments in the capital of unconsolidated financial
institutions in the form of common stock that exceed the 10 percent threshold for
non-significant investments
BHC or IHC has a non-significant investment in the capital of an unconsolidated financial
institution (as defined in the revised regulatory capital rules) if it owns 10 percent or less of
the issued and outstanding common shares of that institution. Report the amount of nonsignificant investments in the capital of unconsolidated financial institutions in the form of
common stock that, in the aggregate, exceed the 10 percent threshold for non-significant
investments, calculated as described below. The BHC or IHC may apply associated DTLs to
this deduction.
Line item 19 Subtotal
This item is shaded and is derived from other items in the schedule; no input required. This
is the total of common equity tier 1 prior to adjustments less all of the regulatory
adjustments and deductions.
Line item 20 Significant investments in the capital of unconsolidated financial
institutions in the form of common stock, net of DTLs, that exceed the 10 percent
common equity tier 1 capital deduction threshold
This item is shaded and is derived from other items in the schedule; no input required.
Line item 21 MSAs, net of associated DTLs, that exceed the 10 percent common
equity tier 1 capital deduction threshold
This item is shaded and is derived from other items in the schedule; no input required.
Line item 22 DTAs arising from temporary differences that could not be realized
through net operating loss carrybacks, net of related valuation allowances and net of
DTLs, that exceed the 10 percent common equity tier 1 capital deduction threshold
This item is shaded and is derived from other items in the schedule; no input required.
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Line item 23 Amount of significant investments in the capital of unconsolidated
financial institutions in the form of common stock; MSAs, net of associated DTLs; and
DTAs arising from temporary differences that could not be realized through net
operating loss carrybacks, net of related valuation allowances and net of DTLs; that
exceeds the 15 percent common equity tier 1 capital deduction threshold
This item is shaded and is derived from other items in the schedule; no input required.
Line item 24 Deductions applied to common equity tier 1 capital due to insufficient
amounts of additional tier 1 capital and tier 2 capital to cover deductions
Report the total amount of deductions related to reciprocal cross holdings, non-significant
investments in the capital of unconsolidated financial institutions, and non-common stock
significant investments in the capital of unconsolidated financial institutions if the holding
company does not have a sufficient amount of additional tier 1 capital and tier 2 capital to
cover these deductions.
Line item 25 Total adjustments and deductions for common equity tier 1 capital
This is the sum of line item 20 through 24.
Line item 26 Common Equity Tier 1
This is the subtotal of line item 19 minus line item 25.
Line item 27 Additional tier 1 capital instruments plus related surplus
Report the portion of noncumulative perpetual preferred stock and related surplus as
defined by Schedule HC-R, Part I.B., item 20, with zero transition provisions, that satisfy all
the criteria for additional tier 1 capital in the revised regulatory capital rules of the Federal
Reserve.
Include instruments that were (i) issued under the Small Business Job’s Act of 2010, or,
prior to October 4, 2010, under the Emergency Economic Stabilization Act of 2008 and (ii)
were included in the tier 1 capital under the Federal Reserve’s general risk-based capital
rules (12 CFR part 225, appendix A, and, if applicable, appendix E) (for example, tier 1
instruments issued under the TARP program that are grandfathered permanently). Also
include additional tier 1 capital instruments issued as part of an ESOP, provided that the
repurchase of such instruments is required solely by virtue of ERISA for a banking
organization that is not publicly-traded.
Line item 28 Tier 1 minority interest not included in common equity tier 1 capital
(report on a fully phased-in basis)
Similar to item 5, this captures all qualifying tier 1 minority interest includable under
additional tier 1 capital.
Line item 29 Additional tier 1 capital before deductions
This is the sum of line items 27 and 28.
Line item 30 Additional tier 1 capital deductions
Report additional tier 1 capital deductions as the sum of the following elements:
(1) Investments in own additional tier 1 capital instruments:
Report the holding company’s investments in (including any contractual obligation to
purchase) its own additional tier 1 instruments, whether held directly or indirectly.
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A holding company may deduct gross long positions net of short positions in the same
underlying instrument only if the short positions involve no counterparty risk.
The holding company must look through any holdings of index securities to deduct
investments in its own capital instruments. In addition:
(i) Gross long positions in investments in a holding company’s own regulatory capital
instruments resulting from holdings of index securities may be netted against short
positions in the same index;
(ii) Short positions in index securities that are hedging long cash or synthetic positions
can be decomposed to recognize the hedge; and
(iii) The portion of the index that is composed of the same underlying exposure that is
being hedged may be used to offset the long position if both the exposure being
hedged and the short position in the index are covered positions under the market
risk capital rule, and the hedge is deemed effective by the holding company’s
internal control processes.
(2) Reciprocal cross-holdings in the capital of financial institutions.
Include investments in the additional tier 1 capital instruments of other financial
institutions that the holding company holds reciprocally, where such reciprocal
crossholdings result from a formal or informal arrangement to swap, exchange, or
otherwise intend to hold each other’s capital instruments. If the holding company does
not have a sufficient amount of a specific component of capital to effect the required
deduction, the shortfall must be deducted from the next higher (that is, more
subordinated) component of regulatory capital.
For example, if a holding company is required to deduct a certain amount from
additional tier 1 capital and it does not have additional tier 1 capital, then the deduction
should be from common equity tier 1 capital.
(3) Non-significant investments in additional tier 1 capital of unconsolidated financial
institutions that exceed the 10 percent threshold for non-significant investments.
Calculate this amount as follows:
(i) Determine the aggregate amount of non-significant investments in the capital of
unconsolidated financial institutions in the form of common stock, additional tier 1,
and tier 2 capital.
(ii) Determine the amount of non-significant investments in the capital of
unconsolidated financial institutions in the form of additional tier 1 capital.
(iii) If the amount in (i) is greater than the 10 percent threshold for non-significant
investments then multiply the difference by the ratio of (ii) over (i).
(iv) If the amount in (i) is less than the 10 percent threshold for non-significant
investments, report zero.
(4) Significant investments in the capital of unconsolidated financial institutions not in the
form of common stock to be deducted from additional tier 1 capital.
Report the total amount of significant investments in the capital of unconsolidated
financial institutions in the form of additional tier 1 capital.
(5) Other adjustments and deductions.
Include adjustments and deductions applied to additional tier 1 capital due to
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insufficient tier 2 capital to cover deductions (related to reciprocal cross holdings, nonsignificant investments in the tier 2 capital of unconsolidated financial institutions, and
significant investments in the tier 2 capital of unconsolidated financial institutions).
Line item 31 Additional tier 1 capital (greater of item 29 minus item 30 or zero)
This item is shaded and is derived from other items in the schedule. This provides the total
of additional tier 1 capital.
Tier 1 Capital
Line item 32 Tier 1 capital (sum of items 26 and 31)
This item is shaded and is derived from other items in the schedule. This provides the total
amount of tier 1 capital.
Other (reflect all items on a quarterly basis)
Line item 33 Issuance of Common Stock (Including Conversion of Common Stock)
Captures the total issuance of common stock and related surplus in the reporting period on
a quarterly basis.
Line item 34 Repurchases of Common Stock
Captures the total repurchases of common stock in the reporting period on a quarterly basis.
Line item 35 Net Income (Loss) Attributable to Bank or Intermediate Holding
Company
Refer to FR Y-9C instructions for Schedule HI-A, item 4 and report on a quarterly basis.
Report losses as a negative value.
Line item 36 Cash Dividends Declared on Preferred Stock
Refer to FR Y-9C instructions for Schedule HI-A, item 10 and report on a quarterly basis.
Line item 37 Cash Dividends Declared on Common Stock
Refer to FR Y-9C instructions for Schedule HI-A, item 11 and report on a quarterly basis.
Line item 38 Previously Issued Tier 1 Capital Instruments (Excluding Minority
Interest) that would No Longer Qualify (please report 100% value)
Report 100% of the value of previously issued Tier 1 capital instruments that will no longer
qualify as Tier 1 capital as per the revised regulatory capital rule (including perpetual
preferred stock and trust preferred securities subject to phase-out arrangements). Report
balances in full, without reflecting any phase-out arrangements included in the revised
regulatory capital rule.
Line item 39 Previously Issued Tier 1 Minority Interest that Would No Longer
Qualify (Please Report 100% Value)
Report 100% of the value of previously issued tier 1 minority interest that will no longer
qualify as tier 1 capital as per the revised regulatory capital rule. Report balances in full,
without reflecting any phase-out arrangements included in the revised regulatory capital
rule.
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D.2—Exception Bucket Calculator
The Exception Bucket Calculator schedule collects the data necessary to calculate the
items that may receive limited recognition in Common Equity Tier 1 (i.e., significant
investments in the common shares of unconsolidated financial institutions, mortgage
servicing assets and deferred tax assets arising from temporary differences). These items
may be recognized in Common Equity Tier 1 up to 10% of the BHC’s or IHC’s common
equity on an individual basis and 15% on an aggregated basis after application of all
regulatory adjustments.
Significant investments in the capital of unconsolidated financial institutions in the
form of common stock
Line item 1 Gross significant investments in the capital of unconsolidated financial
institutions in the form of common stock
Aggregate holdings of capital instruments relevant to significant investments in the capital
of unconsolidated financial entities, including direct, indirect and synthetic holdings in both
the banking book and trading book.
Line item 2 Permitted offsetting short positions in relation to the specific gross
holdings included above
Offsetting positions in the same underlying exposure where the maturity of the short
position either matches the maturity of the long position or has a residual maturity of at
least one year.
Line item 3 Significant investments in the capital of unconsolidated financial
institutions in the form of common stock net of short positions
This item is shaded and is derived from other items in the schedule; no input required.
Line item 4 10 percent common equity tier 1 deduction threshold
This item is shaded and is derived from other items in the schedule; no input required.
Line item 5 Amount to be deducted from common equity tier 1 due to 10 percent
deduction threshold
This item is shaded and is derived from other items in the schedule; no input required.
Mortgage servicing assets
Line item 6 Total mortgage servicing assets classified as intangible
Mortgage servicing assets may receive limited recognition when calculating common equity
tier 1, with recognition typically capped at 10% of the bank’s common equity (after the
application of all regulatory adjustments).
Line item 7 Associated deferred tax liabilities which would be extinguished if the
intangible becomes impaired or derecognized under the relevant accounting
standards
The amount of mortgage servicing assets to be deducted from common equity tier 1 is to be
offset by any associated deferred tax liabilities, with recognition capped at 10% of the
bank’s common equity tier 1(after the application of all regulatory adjustments). If the bank
chooses to net its deferred tax liabilities associated with mortgage servicing assets against
deferred tax assets (in Line 17 of Schedule D.1 – Capital Composition), those deferred tax
77
liabilities should not be deducted again here.
Line item 8 Mortgage servicing assets net of related deferred tax liabilities
This item is shaded and is derived from other items in the schedule; no input required.
Line item 9 10 percent common equity tier 1 deduction threshold
This item is shaded and is derived from other items in the schedule; no input required.
Line item 10 Amount to be deducted from common equity tier 1 due to 10 percent
deduction threshold
This item is shaded and is derived from other items in the schedule; no input required.
Deferred tax assets due to temporary differences
Line item 11 DTAs arising from temporary differences that could not be realized
through net operating loss carrybacks, net of related valuation allowances and net of
DTLs
Net deferred tax assets arising from temporary differences may receive limited recognition
in common equity tier 1, with recognition capped at 10% of the bank’s common equity
(after the application of all regulatory adjustments).
Line item 12 10 percent common equity tier 1 deduction threshold
This item is shaded and is derived from other items in the schedule; no input required.
Line item 13 Amount to be deducted from common equity tier 1 due to 10 percent
deduction threshold
This item is shaded and is derived from other items in the schedule; no input required.
Aggregate of items subject to the 15% limit (significant investments, mortgage
servicing assets and deferred tax assets arising from temporary differences)
Line item 14 Sum of items 3, 8, and 11
This item is shaded and is derived from other items in the schedule; no input required.
Line item 15 15 percent common equity tier 1 deduction threshold (item 19 in the
Capital Composition tab minus item 14, multiplied by 17.65 percent)
This item is shaded and is derived from other items in the schedule; no input required.
Line item 16 Sum of items 5, 10, and 13
This item is shaded and is derived from other items in the schedule; no input required.
Line item 17 Item 14 minus item 16
This item is shaded and is derived from other items in the schedule; no input required.
Line item 18 Amount to be deducted from common equity tier 1 due to 15 percent
deduction threshold
This item is shaded and is derived from other items in the schedule; no input required.
78
D.3— Advanced Risk-Weighted Assets
Advanced approaches BHCs and IHCs, including BHCs and IHCs that are considered as
mandatory advanced approaches institutions or that have opted-in voluntarily as an
advanced approaches institution, are required to complete Schedule D.3 – Advanced
RWA. All BHCs and IHCs, including advanced approaches BHCs and IHCs and non-advanced
approaches BHCs and IHCs must complete Schedule D.4 – Standardized RWA.
In Schedule D.3 – Advanced RWA, BHCs and IHCs should provide risk-weighted asset
estimates reflecting the revised regulatory capital rule (78 Federal Register 62018, October
11, 2013) and the updated market risk capital rule (78 Federal Register 76521, December
18, 2013) released by the U.S. banking agencies.
BHCs and IHCs that are subject to market risk capital requirements at the as of date are
required to complete the market risk-weighted asset section within the schedule. Please
refer to the revised regulatory capital rule (78 Federal Register 62018, October 11, 2013)
and the updated market risk capital rule (78 Federal Register 76521, December 18, 2013)
released by the U.S. banking agencies for details of the requirements.
Advanced approaches BHCs and IHCs that are unable to provide advanced approaches risk
weighted asset estimates should send formal written notification to the Federal Reserve and
specify the affected portfolios, current limitations that preclude the BHC or IHC from
providing advanced approaches RWA estimates as well as management's plan for
addressing those limitations. The notification should be sent to [email protected].
Advanced Approaches Credit Risk (Including CCR and non-trading credit risk), with
1.06 scaling factor where applicable
Applicable to Advanced Approaches Banking Organizations
Risk-weighted assets should reflect the 1.06 scaling factor to the Internal Rating-Based
Approach (IRB) credit risk-weighted assets where relevant, unless noted otherwise.
Line item 1 Credit RWA
This item is shaded and is derived from other items in the schedule; no input required. This
is the sum of Schedule D.3 line items 2, 15, 21, 25, 29, 30 and 31.
Line item 2 through 30
Definition of the BHC’s or IHC’s projections should correspond to the definitions outlined
by the corresponding MDRM code in the FFIEC 101 report, Schedule B, Column G per the
revised regulatory capital rule (78 Federal Register 62018, October 11, 2013).
Line item 2 Wholesale Exposures
This item is derived as the sum of items 3 through 8.
Line item 3 Wholesale Exposures: Corporate
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 1 column G.
Line item 4 Wholesale Exposures: Bank
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 2 column G.
Line item 5 Wholesale Exposures: Sovereign
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
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Line Item 3 column G.
Line item 6 Wholesale Exposures: IPRE
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 4 column G.
Line item 7 Wholesale Exposures: HVCRE
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 5 column G.
Line item 8 Wholesale Exposures: Counterparty Credit Risk
This item is derived as the sum of items 9 through 14.
Line item 9 Wholesale Exposures: Counterparty Credit Risk (Eligible margin loans,
repostyle transactions and OTC derivatives with cross-product netting—EAD
adjustment method)
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 6 column G.
Line item 10 Wholesale Exposures: Counterparty Credit Risk (Eligible margin loans,
repostyle transactions and OTC derivatives with cross-product netting—collateral
reflected in LGD)
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 7 column G.
Line item 11 Wholesale Exposures: Counterparty Credit Risk (Eligible margin loans,
repostyle transactions—no cross-product netting—EAD adjustment method)
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 7 column G.
Line item 12 Wholesale Exposures: Counterparty Credit Risk (Eligible margin loans,
repostyle transactions—no cross-product netting—collateral reflected in LGD)
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 8 column G.
Line item 13 Wholesale Exposures: Counterparty Credit Risk (OTC derivative—no
cross-product netting—EAD adjustment method)
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 9 column G.
Line item 14 Wholesale Exposures: Counterparty Credit Risk (OTC derivatives—no
cross-product netting—collateral reflected in LGD)
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 10 column G.
Line item 15 Retail Exposures
This item is derived as the sum of items 16 through 20.
Line item 16 Retail Exposures: Residential mortgage—closed-end first lien exposure
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 12 column G.
Line item 17 Retail Exposures: Residential mortgage—closed-end junior lien
exposure
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 13 column G.
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Line item 18 Retail Exposures: Residential mortgage—revolving exposures
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 14 column G.
Line item 19 Retail Exposures: Qualifying revolving exposures
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 15 column G.
Line item 20 Retail Exposures: Other retail exposures
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 16 column G.
Line item 21 Securitization Exposures
This item is derived as the sum of items 22 through 24.
Line item 22 Securitization Exposures: Subject to supervisory formula approach
(SFA)
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 17 column G.
Line item 23 Securitization Exposures: Subject to simplified supervisory formula
approach (SSFA)
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 18 column G.
Line item 24 Securitization Exposures: Subject to 1,250% risk-weight
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 19 column G.
Line item 25 Cleared Transaction
This item is derived as the sum of items 26 through 28.
Line item 26 Cleared Transaction: Derivative contracts and netting sets to derivatives
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 20 column G.
Line item 27 Cleared Transaction: Repo-style transactions
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 21 column G.
Line item 28 Cleared Transaction: Default fund contributions
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 22 column G.
Line item 29 Equity Exposures
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 23, 24, and 25 column G.
Line item 30 Other Assets
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 26, 27, and 28 column G.
81
Line item 31 Credit Valuation Adjustment (CVA) Capital Charge (Risk-Weighted
Asset Equivalent)
This item is shaded and is derived from other items in the schedule; no input required.
Line item 32 Advanced Credit Valuation Adjustment (CVA) Approach
This item is shaded and is derived from other items in the schedule; no input required.
Line item 33 Credit Valuation Adjustment (CVA) capital charge (Risk-Weighted Asset
Equivalent); Advanced CVA Approach: Unstressed Value at Risk (VaR) with Multipliers
Stand-alone 10-day value-at-risk (VaR) calculated on the set of credit valuation adjustments
(CVAs) for all Over- the-counter (OTC) derivatives counterparties together with eligible
credit valuation adjustment (CVA) hedges. The reported value-at-risk should consist of both
general and specific credit spread risks and is restricted to changes in the counterparties
credit spreads. The bank must multiply the reported value-at-risk by three times, consistent
with the approach used in calculating market risk capital charge (three-time multiplier).
The 1.06 scaling factor does not apply.
BHC or IHC should report 0 if it does not use the advanced credit value adjustment (CVA)
approach.
Line item 34 Credit Valuation Adjustment (CVA) Capital Charge (Risk-Weighted
Asset Equivalent); Advanced CVA Approach: Stressed Value at Risk (VaR) with
multipliers
Stand-alone 10-day stressed Value-at-risk (VaR) calculated on the set of credit valuation
adjustments (CVAs) for all over-the-counter (OTC) derivatives counterparties together with
eligible credit valuation adjustments (CVA) hedges. The reported value-at-risk should
consist of both general and specific credit spread risks and is restricted to changes in the
counterparties credit spreads. It should reflect three-times multiplier. The 1.06 scaling
factor does not apply. BHC or IHC should report 0 if it does not use the advanced credit
valuation adjustments (CVA) approach.
Line item 35 Credit Valuation Adjustment (CVA) Capital Charge (Risk-Weighted
Asset Equivalent): Simple CVA Approach
Risk-weighted asset (RWA) equivalent using the simple credit valuation adjustment (CVA)
approach.
Advanced Approaches Operational Risk
Line item 36 Operational RWA
Report the amount consistent with the definitions provided in FFIEC 101 Schedule B line
item 35 Column G per the revised regulatory capital rule (78 Federal Register 62018,
October 11, 2013).
Market Risk
Line item 37 Market RWA
This item is shaded and is derived from other items in the schedule; no input required. This
is the sum of Schedule D.3 line items 38, 39, 40, 41, 46, 47, and 50. The amount derived is
consistent with the definitions provided in FFIEC 101 Schedule B line item 34 Column G.
Line item 38 Value at Risk (VaR) based capital requirement
Report the risk-weighted asset amount consistent with the definition for FFIEC 102 Line
Item 4.
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Line item 39 Stressed Value-at-Risk (VaR) based capital requirement
Report the risk-weighted asset amount consistent with the definition for FFIEC 102 Line
Item 7.
Line item 40 Incremental Risk Capital Charge (IRC)
Report the risk-weighted asset amount consistent with the definition for FFIEC 102 Line
Item 18.
Line item 41 Correlation Trading
Report the risk-weighted asset amount consistent with the definition for FFIEC 102 Line
Item 45. Only if a BHC or IHC has received supervisory approval of its comprehensive risk
model effectiveness report the risk-weighted asset amount consistent with the definition
for FFIEC 102 Line Item 51.
Line item 42 Correlation Trading: Comprehensive Risk Measurement (CRM), Before
Application of Surcharge
Report the risk-weighted asset amount consistent with the definition for FFIEC 102, Line
Item 19.
Line item 43 Correlation Trading: 8% of Advanced Measurement Method (100%) for
Exposures Subject to Comprehensive Risk Measurement (CRM)
This item is shaded and is derived from other items in the schedule; no input required. This
item should equal the risk-weighted asset amount consistent with the definition for FFIEC
102 Line Item 39.
Line item 44 Correlation Trading: Advanced Measurement Method (100%) for
Exposures Subject to Comprehensive Risk Measurement (CRM) - Net long
Report the risk-weighted asset amount consistent with the definition for FFIEC 102 Line
Item 27.
Line item 45 Correlation Trading; Advanced Measurement Method (100%) for
Exposures Subject to Comprehensive Risk Measurement (CRM) - Net Short
Report the risk-weighted asset amount consistent with the definition for FFIEC 102 Line
Item 35.
Line item 46 Non-modeled Securitization
Report the risk-weighted asset amount consistent with the definitions for FFIEC 102 Line
Item 13.
Line item 47 Specific Risk add-on (excluding securitization and correlation)
This item is shaded and is derived from other items in the schedule; no input required.
Line item 48 Debt
Report the risk-weighted asset amount consistent with the definition for FFIEC 102 Line
Item 8.
Line item 49 Equity
Report the risk-weighted asset amount consistent with the definition for FFIEC 102 Line
Item 9.
Line item 50 Other Market Risk
Report the risk-weighted asset amount consistent with the definition for FFIEC 102 Line
Item 54.
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Line item 51 Assets subject to the general risk-based capital requirements
Definition of the BHC’s or IHC’s projections should correspond to the definitions outlined by
the MDRM code (AABGJ198) of the FFIEC 101 report, Schedule B, Line 32, Column G per the
revised regulatory capital rule (78 Federal Register 62018, October 11, 2013).
Line item 52 Other RWA
If the BHC or IHC is unable to assign RWA to one of the above categories, even on a bestefforts basis, they should be reported in this line.
Line item 53 Excess eligible credit reserves not included in tier 2 capital
Include excess eligible credit reserves not included in tier 2 capital, consistent with the
revised regulatory capital rule (78 Federal Register 62018, October 11, 2013). Definition of
the BHC’s or IHC’s projections should correspond to the definitions outlined by the MDRM
code (AABGJ152) of the FFIEC 101, Schedule B, Line Item 33, Column G.
Line item 54 Total Risk-Weighted Assets
This item is shaded and is derived from other items in the schedule, no input required. This
is the sum of Schedule D.3 line items 1, 36, 37, 51 and 52 minus Schedule D.3 Line Item 53.
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D.4—Standardized Risk-Weighted Assets
All BHCs and IHCs, including advanced approaches BHCs and IHCs and non-advanced
approaches BHCs and IHCs must complete Schedule D.4 – Standardized RWA. In
addition, advanced approaches BHCs and IHCs are required to complete Schedule D.3 –
Advanced RWA due to the floor requirement per the Collins Amendment under Section
171 of the DFA.
For the purpose of completing Schedule D.4 – Standardized RWA, BHCs and IHCs are
required to report credit risk- weighted assets using the methodologies in the
standardized approach of the revised regulatory capital rule (78 Federal Register 62018,
October 11, 2013). BHCs and IHCs that are subject to market risk capital requirements at
the as of date are required to complete the market risk-weighted asset section within the
schedule. Please refer to the revised regulatory capital rule (78 Federal Register 62018,
October 11, 2013) and the updated market risk capital rule (78 Federal Register 76521,
December 18, 2013) released by the U.S. banking agencies for details of the requirements.
Where possible, please reference the definitions on Standardized RWA that is provided in
the FR Y-9C, Schedule HC-R, Part II, on a fully phased-in basis.
Standardized Approach Credit Risk
Line item 1 Cash and balances due from depository institutions
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 1
Line item 2a Securities (excluding securitizations): Held-to-maturity
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R, Part
II, Line Item 2a.
Line item 2b Securities (excluding securitizations): Available-for-sale
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 2b.
Line item 3 Federal funds sold
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R, Part
II, Line Item 3a.
Loans and leases on held for sale
Line item 4a Residential Mortgage exposures
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R, Part
II, Line Item 4a.
Line item 4b High Volatility Commercial Real Estate
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R, Part
II, Line Item 4b.
Line item 4c Exposures past due 90 days or more or on nonaccrual
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R, Part
II, Line Item 4c.
85
Line item 4d All other exposures
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R, Part
II, Line Item 4d.
Loans and leases, net of unearned income
Line item 5a Residential mortgage exposures
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R, Part
II, Line Item 5a.
Line item 5b High Volatility Commercial Real Estate
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R, Part
II, Line Item 5b.
Line item 5c Exposures past due 90 days or more or on nonaccrual
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 5c.
Line item 5d All other exposures
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 5d.
Line item 6 Trading assets (excluding securitizations that receive standardized
charges)
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 7.
Line item 7a All other assets
Report the risk-weighted asset amount consistent with the definition of FR Y-9C, HC-R,
Part II, Line Item 8.
Line item 7b Separate account bank-owned life insurance
Report the risk-weighted asset amount consistent with the definition of FR Y-9C, HC-R, Part
II, Line Item 8a.
Line item 7c Default fund contributions to central counterparties
Report the risk-weighted asset amount consistent with the definition of FR Y-9C, HC-R, Part
II, Line Item 8b.
On-balance sheet securitization exposures
Line item 8a Held-to-maturity securities
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 9a.
Line item 8b Available-for-sale securities
Report the risk-weighted asset amount consistent with the definition of FR Y-9C, HC-R, Part
II, Line Item 9b.
Line item 8c Trading assets that receive standardized charges
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 9c.
Line item 8d All other on-balance sheet securitization exposures
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 9d.
86
Line item 9 Off-balance sheet securitization exposures
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 10.
Line item 10 RWA for Balance Sheet Asset Categories (sum of items 1 through 8d)
This item is shaded and is derived from other items in the schedule, no input required.
Derivatives and Off-Balance Sheet Items (Excluding Securitization Exposures)
Line item 11 Financial standby letters of credit
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 12.
Line item 12 Performance standby letters of credit and transaction related
contingent items
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 13.
Line item 13 Commercial and similar letters of credit with an original maturity of
one year or less
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 14.
Line item 14 Retained recourse on small business obligations sold with recourse
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 15.
Line item 15 Repo-style transactions
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 16.
Line item 16 All other off-balance sheet liabilities
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 17.
Line item 17a Unused commitments: Original maturity of one year or less, excluding
ABCP conduits
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 18a.
Line item 17b Unused commitments: Original maturity of one year or less to ABCP
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 18b.
Line item 17c Unused commitments: Original maturity exceeding one year
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 18b.
Line item 18 Unconditionally cancelable commitment
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 19.
87
Line item 19 Over-the-counter derivatives
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 20.
Line item 20 Centrally cleared derivatives
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 21.
Line item 21 Unsettled transactions (failed trades)
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R,
Part II, Line Item 22.
Line item 22 RWA for Derivatives and Off-Balance-Sheet Asset Categories
This item is shaded and is derived from other items in the schedule, no input required. This
item is derived as the sum of items 9 through 21.
Line item 23 RWA for purposes of calculating the allowance for loan and lease losses
(ALLL) 1.25 percent threshold
Report the risk-weighted asset amount consistent with the definition for FR Y-9C, HC-R, Part
II, Line Item 26.
Market Risk
Line item 24 Market RWA
This item is shaded and is derived from other items in the schedule; no input required.
Line item 25 Value-at-risk (VaR) with Multiplier
Report the risk-weighted asset amount consistent with the definition for FFIEC 102 Line
Item 4.
Line item 26 Stressed VaR with Multiplier
Report the risk-weighted asset amount consistent with the definition for FFIEC 102 Line
Item 7.
Line item 27 Incremental risk charge (IRC)
Report the risk-weighted asset amount consistent with the definition for FFIEC 102 Line
Item 18.
Line item 28 Correlation Trading
Report the risk-weighted asset amount consistent with the definition for FFIEC 102 Line
Item 42. Only if a BHC or IHC has received supervisory approval of its comprehensive risk
model effectiveness report the risk-weighted asset amount consistent with the definition
for FFIEC 102 Line Item 48.
Line item 29 Correlation Trading: Comprehensive Risk Measurement (CRM), Before
Application of Surcharge
Report the risk-weighted asset amount consistent with the definition for FFIEC 102, Line
Item 19.
Line item 30 8% of Standardized Measurement Method (100%) for Exposures Subject
to Comprehensive Risk Measurement (CRM)
This item is shaded and is derived from other items in the schedule; no input required. This
item should equal the risk-weighted asset amount consistent with the definition for FFIEC
102 Line Item 37.
88
Line item 31 Correlation Trading: Standardized Measurement Method (100%) for
Exposures Subject to Comprehensive Risk Measurement (CRM) - Net long
Report the risk-weighted asset amount consistent with the definition for FFIEC 102 Line
Item 26.
Line item 32 Correlation Trading; Standardized Measurement Method (100%) for
Exposures Subject to Comprehensive Risk Measurement (CRM) - Net Short
Report the risk-weighted asset amount consistent with the definition for FFIEC 102 Line
Item 34.
Line item 33 Non-modeled Securitization
Report the risk-weighted asset amount consistent with the definitions for FFIEC 102 Line
Item 10.
Line item 34 Specific risk add-on (excluding securitization and correlation)
This item is shaded and is derived from other items in the schedule; no input required.
Line item 35 Debt
Report the risk-weighted asset amount consistent with the definition for FFIEC 102 Line
Item 8.
Line item 36 Equity
Report the risk-weighted asset amount consistent with the definition for FFIEC 102 Line
Item 9.
Line item 37 Other market risk
Report the risk-weighted asset amount consistent with the definition for FFIEC 102 Line
Item 54.
Other
Line item 38 Excess allowance for loan and lease losses
Report the asset amount consistent with the definition for FR Y-9C, HC-R, Part II, Line Item
29.
Line item 39 Allocated transfer risk reserve
Report the asset amount consistent with the definition for FR Y-9C, HC-R, Part II, Line Item
30.
Line item 40 Total Risk-Weighted Assets
This item is shaded and is derived from other items in the schedule; no input required.
89
D.5—Leverage Exposure
All BHCs and IHCs must complete the portion of the schedule relevant to “Leverage
Exposure for Tier 1 Leverage Ratio” (lines 1 - 4). Advanced approaches BHCs and IHCs
must also complete the portion of the schedule relevant to “Leverage Exposure for
Supplementary Leverage Ratio” (lines 5 - 24).
The exposure measure for the tier 1 leverage ratio is based upon methodology in the
revised regulatory capital rule. The exposure measure for the supplementary leverage ratio
has been revised from the 2014 CCAR instructions to reflect the changes to the definition of
leverage exposure, per the final rule on the Supplementary Leverage Ratio issued by the
banking agencies on September 3, 2014. 10 The final rule modifies “leverage exposure,”
which is the denominator calculation for the supplementary leverage ratio, in a manner
consistent with recent changes agreed to by the Basel Committee on Banking Supervision.
The revisions in the final rule would apply to all advanced approaches banking
organizations.
Consistent with the final rule, an advanced approaches banking organization should
calculate its supplementary leverage ratio as the ratio of its tier 1 capital to total leverage
exposure. The proposed rule would have required banking organizations to use daily
averages to calculate both on- and off-balance sheet items in total leverage exposure.
However, under the final rule, institutions are required to calculate total leverage
exposure as the mean of the on-balance sheet assets calculated as of each day of the
reporting quarter, plus the mean of the off-balance sheet exposures calculated as of the
last day of each of the most recent three months, minus the applicable deductions under
the 2013 revised capital rule. For purposes of calculating projections for the
supplementary leverage ratio denominator, BHCs and IHCs that are unable to calculate
averages based on the averages of daily or monthly data may report exposures as of the
quarter end.
Leverage Exposure for Tier 1 Leverage Ratio (applicable to all BHCs and IHCs)
Line item 1 Average total consolidated assets
Report average total on-balance sheet assets as reported in the FR Y-9C, Schedule HC-K,
item 5.
Line item 2 LESS: Deductions from Common Equity Tier 1 and Additional Tier 1
Capital (report as a positive number)
Regulatory deductions from common equity tier 1 and additional tier 1 capital. Deductions
should be calculated as defined in the FR Y-9C, Schedule HC-R, Part I.B., item 37.
Line item 3 LESS: Other Deductions from (Additions to) Assets for Leverage Ratio
Purposes (report as a positive number if a net deduction or a negative value if a net
addition)
Other deductions from or additions to assets for purposes of the leverage ratio as defined in
the FR Y-9C, Schedule HC-R, Part I.B., item 38.
10
See http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20140903b1.pdf.
90
Line item 4 Total Assets for the Leverage Ratio (item 1 less the sum of items 2 & 3)
This item is shaded and is derived from other items in the schedule; no input required.
Leverage Exposure for Supplementary Leverage Ratio (applicable to advanced
approaches BHCs and IHCs only)
Refer to section 217.10(c)(4)(ii)(A) of the final rule.
Line item 5 On-Balance Sheet Assets (excluding on-balance sheet assets for repostyle transactions and derivative exposures, but including cash collateral received in
derivative transactions)
On-balance sheet assets (excluding on-balance sheet assets for repo-style transactions and
derivative exposures, but including cash collateral received in derivative transactions).
Line item 6 LESS: Deductions from common equity tier 1 capital and additional tier
1 capital (report as a positive number)
Regulatory deductions from common equity tier 1 and additional tier 1 capital, as applicable
to advanced-approaches BHCs and IHCs per the revised capital rules under section
217.22(a),(c), and (d).
Line item 7 Total On-Balance Sheet Exposures (excluding on-balance sheet assets
for repo-style transactions and derivative exposures, but including cash collateral
received in derivative transactions) (item 5 less item 6)
This item is shaded and is derived from other items in the schedule; no input required.
Derivative exposures
Refer to sections 217.10(c)(4)(ii) (B), (C), (D), or (I) of the final rule as appropriate.
Line item 8 Replacement cost for derivative exposures (net of cash variation
margin).
Report the total amount of the replacement cost for all derivative exposures, generally
consistent with the US GAAP balance sheet numbers, and adjusted for cash variation margin
that does not meet the criteriadescribed in section 217.10 (c)(4)(ii)(C) of the final rule.
Line item 9 Add-on amounts for potential future exposure (PFE) for derivatives
exposures
Report the total amount of PFE for each derivative contract, including for cleared
transactions except as provided in section 217.10 (c)(4)(ii)(I) of the final rule, to which the
banking organization is a counterparty (or each single-product netting set of such
transactions), as described in section 34 of the revised regulatory capital rule, but without
regard to section 217.34(b). Specifically, a banking organization may not use cash variation
margin to reduce the net current credit exposure or the gross current credit exposure in
calculation of the net-to-gross ratio.
Line item 10 Gross-up for collateral posted if deducted from the on-balance sheet
assets, except for cash variation margin
Report cash (except for qualifying cash variation margin) and non-cash collateral posted to
a counterparty in a derivative transaction that has reduced the institution’s on-balance
sheet assets.
91
Line item 11 LESS: Deductions of receivable assets for cash variation margin posted
in derivatives transactions, if included in on-balance sheet assets (report as a positive
value)
Report the value of cash collateral that is posted to a counterparty to a derivative contract
and that has been included on the banking organization’s balance sheet as a receivable if the
posted cash collateral satisfies the requirements described in section 217.10 (c)(4)(ii)(C) of
the final rule. If not applicable, report zero.
Line item 12 LESS: Exempted CCP leg of client-cleared transactions (report as a
positive value)
A clearing member banking organization that does not guarantee the performance of a CCP
with respect to a transaction cleared on behalf of a clearing member client may exclude its
exposure to the CCP for purposes of determining its total leverage exposure (if such
exposure is included in the on-balance sheet items).
A clearing member banking organization that guarantees the performance of a CCP with
respect to a transaction cleared on behalf of a clearing member client must treat its
exposure to the CCP as a derivative contract for purposes of determining its total leverage
exposure.
Line item 13 Effective notional principal amount of sold credit protection
The effective notional principal amount (that is, the apparent or stated notional principal
amount multiplied by any multiplier in the derivative contract) of a credit derivative, or
other similar instrument, through which the banking organization provides credit
protection (for example, credit default swaps or total return swaps that reference
instruments with credit risk, such as a bond).
Line item 14 LESS: Effective notional principal amount offsets and PFE adjustments
for sold credit protection (report as a positive value)
A banking organization may reduce the effective notional principal amount of sold credit
protection by a reduction in the mark-to-fair value of the sold credit protection if the
reduction is recognized in common equity tier 1 capital.
A banking organization may further reduce the effective notional principal amount of sold
credit protection by the effective notional principal amount of a credit derivative or similar
instrument through which the banking organization has purchased credit protection from a
third party (purchased credit protection) if the requirements of section 217.10 (c)(4)(ii)(D)
of the final rule are satisfied. When a banking organization reduces the effective notional
principal amount of sold credit protection by purchased credit protection in accordance
with this section, the banking organization must reduce the effective notional principal
amount of purchased credit protection by the amount of any increase in the mark-to-fair
value of the purchased credit protection that is recognized in common equity tier 1 capital.
If a banking organization purchases credit protection through a total return swap and
records the net payments received as net income but does not record offsetting
deterioration in the mark-to-fair value of the sold credit protection on the reference
exposure (either through reductions in fair value or by additions to reserves) in common
equity tier 1 capital, the banking organization may not reduce the effective notional
principal amount of the sold credit protection.
A banking organization may also adjust PFE for sold credit protection as described in
section 217.10 (c)(4)(ii)(B) of the final rule, to avoid double-counting of the notional
amounts of these exposures.
92
Line item 15 Total derivative exposures (sum of items 8, 9, 10, and 13, minus items
11, 12, and 14)
This item is shaded and is derived from other items in the schedule; no input required.
Repo-style transactions
Refer to sections (c)(4)(ii) (E), (F), or (G) of the final rule as appropriate.
Line item 16 On-balance sheet assets for repo-style transactions
Report the on-balance sheet assets for repo-style transactions, except include the gross
value of receivables for reverse repurchase transactions. Exclude from this item the value
of securities received in a security-for-security repo-style transaction where the securities
lender has not sold or re-hypothecated the securities received. Include in this item the
value of securities sold under a repo-style arrangement.
Line item 17 LESS: Reduction of the gross value of receivables in reverse repurchase
transactions by cash payables in repurchase transactions under netting agreements
(report as a positive value)
Where a banking organization acting as a principal has more than one repo-style
transaction with the same counterparty and has applied the GAAP offset for repo-style
transactions, report the reduction of the gross value of receivables in reverse repurchase
transactions if the criteria in section 217.10(c)(4)(ii)(E), (1) through (3) of the final rule are
satisfied.
Line item 18 Counterparty credit risk for all repo-style transactions
Report the aggregate amount of counterparty credit risk for all repo‐style transactions in which
the institution acts as principal. Do not include repo-style transactions in which the institution acts
as an agent. To determine the counterparty credit risk exposure, the banking organization
would subtract the fair value of the instruments, gold, and cash received from a
counterparty from the fair value of any instruments, gold and cash lent to the counterparty.
If the resulting amount is greater than zero, it would be included in total leverage exposure.
For repo-style transactions that are not subject to a qualifying master netting agreement or
that are not cleared transactions, the counterparty exposure measure must be calculated on
a transaction-by-transaction basis. However, if a qualifying master netting agreement is in
place, or the transaction is a cleared transaction, the banking organization could net the
total fair value of instruments, gold, and cash lent to a counterparty against the total fair
value of instruments, gold and cash received from the counterparty for those transactions.
Line item 19 Exposure for repo-style transactions where a banking organization
acts as an agent
Where a banking organization acts as agent for a repo-style transaction and provides a
guarantee (indemnity) to a customer with regard to the performance of the customer’s
counterparty that is greater than the difference between the fair value of the security or
cash lent and the fair value of the security or cash borrowed, the banking organization must
include the amount of the guarantee that is greater than this difference. Include both on
and off-balance sheet repos in this line.
Line item 20 Total exposures for repo-style transactions (sum of items 16, 18, and
19 minus item 17)
This item is shaded and is derived from other items in the schedule; no input required.
Other off-balance sheet exposures
Refer to section (c)(4)(ii) (H) of the final rule.
93
Line item 21 Off-balance sheet exposures at gross notional amounts
The notional amount of all off-balance sheet exposures (excluding off-balance sheet
exposures associated with securities lending, securities borrowing, reverse repurchase
transactions, and derivatives).
Line item 22 LESS: Adjustments for conversion to credit equivalent amounts (report
as a positive value)
The final rule retains the 10 percent CCF for unconditionally cancellable commitments, but
it would replace the uniform 100 percent CCF for other off-balance sheet items with the
CCFs applicable under the standardized approach for risk-weighted assets in section 217.33
of the revised regulatory capital rule.
Line item 23 Off-balance sheet exposures (item 21 less item 22)
This item is shaded and is derived from other items in the schedule; no input required.
Line item 24 Total Leverage Exposure (sum of items 7, 15, 20 and 23)
This item is shaded and is derived from other items in the schedule; no input required.
94
D.6—Planned Actions
The FR Y-14Q Planned Action schedule collects information on the results of all material
planned actions that management outlined in its FR Y-14A Regulatory Capital Transitions
submission. The objective of this section is to track the BHC’s progress in its actual strategic
actions taken relative to its proposed planned actions as reported in its most recently
submitted FR Y-14A Regulatory Capital Transitions Schedule D.6 –Planned Actions.
For each reporting period, BHCs and IHC’s should report the incremental quantitative
impact of each action on:
•
•
•
•
•
•
•
Common equity tier 1 capital
Tier 1 capital
RWA_Standardized
RWA_Advanced
Average Total Assets for Leverage Capital Purposes (relevant to the tier 1 leverage ratio;
to be completed by all BHCs and IHCs)
Total Leverage Exposure for the Supplementary Leverage Ratio (to be completed by
advanced approaches BHCs and IHCs only); and
Balance sheet.
The quantitative impact of actions submitted by BHCs and IHCs should represent the
stand-alone, incremental immediate impact of the action.
Column Instructions
Note that certain columns include an option of "other" in the drop down list that can be used
if the listed action cannot be described using the listed selections.
Column B
Description
Brief description of the planned action.
Column C
Action Type
Select from a list of available actions provided in the schedule. BHCs and IHCs should select
the type of action that best describes the planned action.
Column D
Exposure Type
Select from a list of available exposure types provided in the schedule. BHCs and IHCs
should select the type of exposure that is most impacted by the planned action.
Column E
RWA Type
Selection from a list of available RWA exposure types provided in the schedule. For planned
actions that have an impact on RWAs, the BHC or IHC should report the type of RWA (i.e.,
Counterparty Credit, Other Credit, Market, or Operational) that is most impacted by the
planned action.
Columns F-L Report the actual impact of planned action on the applicable
category in $ millions.
For each planned action please input the actual dollar amount impact on tier 1 common,
tier 1 capital, risk-weighted assets, average total assets, leverage exposures, and the firm's
balance sheet based on progress made on the action in the past quarter. In a separate
attachment, please provide additional information to describe the progress made on each
planned action during the reporting quarter.
95
Total impact of plan actions are shaded items and are derived from other items in the
schedule; no input is required. This is the summation of each individual column aligned
with the applicable category (e.g., “Common Equity Tier 1,” “Tier 1 capital,” etc.).
Reported changes from prior period are shaded items and are derived from other items
in the schedule; no input is required. This field captures the change between each
reporting period on the change in impact for the applicable category (e.g., “Common Equity
Tier 1,” “Tier 1 capital,” etc.).
Columns M-N
Where applicable, please provide supporting documentation and addition comments.
96
Schedule E—Operational Risk
General Instructions
Each quarter an institution must submit the Operational Loss History and Legal Reserve
Frequency data files. In addition to the Loss Reference Number, please include a unique identifier
for each row of data in the firm’s FR-Y14Q data submission in section E.1. Also include a unique
identifier for each row of data in the firm’s FR-Y14Q submission in Section E.8. Unique identifiers
in Section E.1 and Section E.8 should remain constant with the specified row of data in subsequent
submissions, and become a permanent element of the data for those schedules.
E.1—Operational Loss History
Submit a complete history of operational losses at and above the institution’s established collection
threshold(s) in accordance with the following instructions.
The data file should contain all operational losses, with the exception of data on legal reserves and
non‐legal reserves, captured by the institution as of the respective reporting quarter end, starting
from the point‐in‐time at which the institution began capturing operational loss event data in a
systematic manner.
An operational loss is defined as a financial loss (excluding insurance or tax effects) resulting from
an operational loss event and includes all expenses associated with an operational loss event except
for opportunity costs, forgone revenue, and costs related to risk management and control
enhancements implemented to prevent future operational losses. An operational loss event is
defined as an event that results in loss and is associated with any of the seven operational loss event
type categories (Level 1) identified and defined in Reference Table E.1.a.
Each loss event must contain a unique loss reference number. A single operational loss event could
have multiple impacts (e.g., several accounting or recovery dates) and/or could be assigned to
multiple business lines. In cases where the institution submits a single loss event that has multiple
impacts and/or is assigned to multiple business lines, the same loss reference number must be
used to link these individual records to the same event.
The requirement for reporting a loss event is based on the event’s total loss amount, regardless of
how the loss amount is distributed. For example, if an institution’s collection threshold is $10,000
and a single loss event of $12,000 was assigned evenly to three business lines (i.e., $4,000 each),
then the event needs to be included in the institution’s submitted data file.
The intent of the Operational Loss Schedule (in the FR Y-14Q) is to capture actual or realized losses.
Operational losses should be included in the Schedule from the quarter when the loss is settled
and/or realized. This will often differ from the accounting date and capture dates.
Do not report separate, distinct operational loss events on an aggregated basis. For example, the
“bundling” of separate loss events that fall below the institution’s established threshold into one loss
event record should not be reported.
Foreign banking institutions should report operational losses that impact the institution’s U.S.
operations in accordance with these reporting instructions.
Ensure that the information provided for each reporting field conforms to the instructions in
the Operational Loss Data Collection Schedule in Section E.1.
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Section E.1. Operational Loss Data Collection Schedule
Field
Reference
A
B
C
D
E
F
G
H
Field Name
Description
Section E.1
Unique
Identifier
Report the unique identifier for each row of data in the institution’s FR-Y14Q data
submission for Section E.1. The unique identifier should remain constant with the
specified row of data in subsequent submissions, and become a permanent element of the
data. The unique identifier should not include any white spaces, tabs, or special
characters.
Capture
Date
Report the date that the institution captured/recorded the loss event in its internal
operational loss database. The Capture Date must be submitted in the following format:
MM/DD/YYYY. For example, “January 5, 2011,” should be “01/05/2011.”
Reference
Number
Occurrence
Date
Report the unique institution-established identifier assigned to each loss event. The
reference number should not include any white spaces, tabs, or special characters.
Format
N:Numeric
C: Character
A:Alphanumeric
A
A
Date
MM/DD/YYYY
Date
Report the date that the operational loss event occurred or began. The Occurrence must
MM/DD/YYYY
be submitted in the following format: MM/DD/YYYY. For example, “January 5, 2011,
“should be “01/05/2011.”
Discovery Date Report the date that the operational loss event was first discovered by the institution. The
Date
loss event’s discovery date should not be earlier than its occurrence date. The Discovery
MM/DD/YYYY
Date must be submitted in the following format: MM/DD/YYYY. For example, “January 5,
2011,” should be “01/05/2011.”
Accounting
Date
Applicable
Loss Data
Collection
Threshold
Gross Loss
Amount
Date
Report the date that the financial impact of the operational loss event was recorded on the
institution's financial statements. The accounting date should be consistent with, and no
MM/DD/YYYY
later than, the date a legal reserve is established. Generally, the loss event’s accounting
date should not be earlier than its occurrence date or discovery date; however, there are
cases where accounting date can accurately be reflected prior to discovery data. The
Accounting Date must be submitted in the following format: MM/DD/YYYY. For example,
“January 5, 2011,” should be “01/05/2011.”
N
Report the institution-established loss data collection threshold that was applicable to the
respective business line/function and in effect at the time the loss event was captured.
Report the total financial impact of the operational loss event before any recoveries and
excluding insurance and/or tax effects. The GLA should include all expenses associated
with an operational loss event except for opportunity costs, forgone revenue, provision
98
N
Field
Reference
Field Name
($USD)
Description
and provision write backs, and costs related to risk management and control
enhancements implemented to prevent future operational losses.
Also, the following types of events should not be included in the gross loss amount
or the institution’s completed Schedule:
Near Misses: An operational risk event that did not result in an actual financial loss or
gain to the institution.
Timing Events: An operational risk event that causes a temporary distortion of the
institution’s financial statements in a particular financial reporting period but that
can be fully corrected when later discovered (e.g., revenue overstatement,
accounting and mark-to-market errors).
Credit Boundary Events: Losses that are related to both operational risk and credit risk.
For example, where a loan defaults (credit risk) and the bank discovers that the
collateral for the loan was not properly secured (operational risk). [Exception: Retail
credit card losses arising from non- contractual third-party initiated fraud (for example,
identity theft) should be treated as external fraud operational losses and should be
included in the institution’s submission.]
Forgone Revenues/Opportunity Costs: Inability to collect potential future revenues due
to operational risk related failures.
Gains: Situations where an operational risk related failure results in a financial gain for
the institution.
In addition, Gross Loss Amounts:
Should be reported in units of one (not thousands), rounded to the nearest unit (for
example, a one million dollar loss would be reported as 1,000,000).
Must be reported in $US dollars. Loss amounts recorded in foreign currency should be
converted to $US dollars using a foreign exchange rate as of the accounting date
associated with the respective loss.
99
Format
N:Numeric
C: Character
A:Alphanumeric
Field
Reference
Field Name
I
Recovery
Amount
($USD)
J
Basel
Event-Type
Category:
Level 1
K
L
M
Basel
Event-Type
Category:
Level 2
Basel
Business Line
Level 1
Basel
Business Line
Level 2
Description
Cannot be reported as a negative value, except cases where it represents a decrease in
reserves.
A recovery is an independent occurrence, related to the original loss event, separate in
time, in which funds or outflows of economic benefits are received from a third party,
excluding funds received from insurance providers. Recovery Amounts:
• Should not be included in the Gross Loss Amount column or netted into the gross
loss amount.
• Should exclude provisions and provision write backs.
• Should have the same reference number as the associated loss event.
• Should be reported in units of one (not thousands), rounded to the nearest unit (for
example, a one million dollar loss would be reported as 1,000,000).
• Should be reported in $US dollars. Recoveries recorded in foreign currency
amounts should be converted to $US dollars using a foreign exchange rate as of
the accounting date associated with the respective recovery.
• Cannot be reported as a negative value.
All loss events reported by the institution must be mapped to one of the seven
“Level 1 Event Types” in Reference Table E.1.a. This field must contain the
respective Level 1 Event-Type code specified in Reference Table E.1.a (i.e., ET1,
ET2, ET3….ET7). The exact code provided must be used (e.g., “ET1”) with no
additional characters or spaces added.
If the institution categorizes loss events to the “Level 2 Event-Types” in Reference Table
E.1.a, use the Level 2 Event-Type codes specified in Reference Table E.1.a (i.e., ET11 –
ET76). If the institution does not map loss events to those Level 2 Event-Types, or cannot
map a particular loss event to one of the Level 2 Event-Types contained in Reference
Table E.1.a, then “ET00” should be inserted in this field. The exact code provided must be
used (e.g., “ET41”) with no additional characters or spaces added.
All loss events reported by the institution must be mapped to one of the nine “Level 1
Business Lines” in Reference Table E.1.b. This field must contain the specific Level
1Business Line code identified in Reference Table E.1.b (i.e., BL1, BL2, BL3….BL9) which
corresponds to the Level 1 Business Line.
If the institution categorizes loss events to the “Level 2 Business Lines” (Column L) in
Reference Table E.1.b, use the Level 2 Business Line codes specified in Reference Table
E.1.b (i.e., BL11 – BL81). If the institution does not map loss events to those Level 2
Business Lines, then insert BL00 in the respective field(s) in this column.
100
Format
N:Numeric
C: Character
A:Alphanumeric
N
A
N
N
N
Field
Reference
N
O
P
Q
R
Field Name
Internal
Business Line
or Corporate
Function
Acquired or
Merged
Entities
Is Loss Event
Included in the
Institution’s
Most Recently
Reported
Operational
Risk Capital
Estimate?
Unit of
Measure
Detailed
Description of
Loss Event
(required for
events >
$250k)
Description
Report the institution-specific business line (e.g., Equities) or corporate function (e.g., HR,
Finance or Compliance) to which the operational loss event has been assigned. This field
should contain a numeric code (i.e., 1, 2, 3…) with each unique internal business line
mapped to a unique digit representing that business line/corporate function. The
institution should provide this mapping using the schedule provided in Section E.2
(‘Internal Business Line’).
If the loss event being reported originated from an acquired or merged entity, then
include the name of the respective acquired or merged entity in this field. If not, then
insert “NA” (not applicable). “Events originating from acquired or merged entities” refer
to loss events that have a capture date prior to the acquisition/merger date. This
requirement should also apply to loss events originating from acquired or merged
entities that have capture dates after the acquisition/merger date, if those losses have
not yet been integrated into the business lines/functions of the merged entity.
If the institution uses statistical model to estimate operational risk capital, enter “Yes”
or “No” depending on whether or not the respective loss event is included in the
institution's most recently reported operational risk estimate.
If the institution does not estimate operational risk using a statistical model, enter
"N/A" for this field.
The Unit-of-Measure (UOM), established by the institution, to which the loss has been
assigned for regulatory and/or economic capital calculation purposes. It is the level at
which the BHC's or IHC’s quantification model generates a separate distribution for
estimating potential operational losses (for example, organizational unit, operational
loss event type, risk category, etc.). Some institutions estimate a unique loss distribution
for each business line/event type combination while others may estimate scenario loss
distributions that span multiple business lines or events types (for example, "Retail
Banking/External Fraud"). The UOM field should contain a numeric code (i.e., 1, 2, 3….)
that is mapped to a unique UOM. The institution should provide this mapping using the
schedule provided in Section E.3 (‘Unit-of-Measure’).
For all operational loss events with gross loss amounts greater than or equal to $250
thousand, include a detailed description of the loss event. Generally, the "short-form"
descriptions captured in an institutions' internal loss database should suffice.
101
Format
N:Numeric
C: Character
A:Alphanumeric
N
C
C
Y, N, or N/A
N
C
Reference Table E.1.a: Level 1 and Level 2 Event-Types
Level 1 Event-Type Categories
Code
Name
ET1
Internal Fraud
ET2
External Fraud
ET3
Level 2 Event-Type Categories
Code
Name
ET11
Unauthorized Activity
ET21
Theft and Fraud
ET12
Employment Practices and
Workplace Safety
ET22
ET31
ET32
ET33
ET41
ET4
ET5
ET6
ET7
Clients, Products & Business
Practices
Damage to Physical Assets
Business Disruption and System Failures
Execution, Delivery and Process
Management
Level 1 Event-Type
Categories
ET42
ET43
ET44
ET45
ET51
ET61
ET71
ET72
ET73
ET74
ET75
ET76
ET00
Theft and Fraud
Systems Security
Employee Relations
Safe Environment
Diversity & Discrimination
Suitability, Disclosure & Fiduciary
Improper Business or Market Practices
Product Flaws
Selection, Sponsorship & Exposure
Advisory Activities
Disasters and other events
Systems
Transaction, Capture, Execution and Maintenance
Monitoring and Reporting
Customer Intake and Documentation
Customer/Client Account Management
Trade Counterparties
Vendors & Suppliers
Not Applicable
Definition
Internal Fraud
Losses due to acts of a type intended to defraud, misappropriate property or
circumvent regulations, the law or company policy, excluding
diversity/discrimination events, which involves at least one internal party.
External Fraud
Losses due to acts of a type intended to defraud, misappropriate property or
circumvent the law, by a third party.
Employment Practices
and Workplace Safety
Losses arising from acts inconsistent with employment, health or safety laws or
agreements, from payment of personal injury claims, or from
diversity/discrimination events.
Clients, Products &
Business Practices
Losses arising from an unintentional or negligent failure to meet a
professional obligation to specific clients (including fiduciary and suitability
requirements), or from the nature or design of a product.
Damage to Physical
Assets
Losses arising from loss or damage to physical assets from a natural disaster
or other events.
Business Disruption and Losses arising from disruption of business or system failures.
System Failures
Execution, Delivery and
Process
Management
Losses from failed transaction processing or process management, from relations
with trade counterparties and vendors.
102
Reference Table E.1.b: Level 1 and Level 2 Business Lines
Level 1 Business Lines
Level 2 Business Lines
Code
Name
Code
BL1
Corporate Finance
BL11
Corporate Finance
BL13
Merchant Banking
BL2
BL3
Trading & Sales
Retail Banking
BL12
BL14
BL21
BL22
BL23
BL24
BL31
BL32
BL33
BL4
BL5
BL6
BL7
BL8
BL9
Activity Groups
Name
Municipal/Government
Finance
Advisory Services
Mergers and acquisitions,
underwriting, privatizations,
securitization, research, debt
(government, high yield), equity,
syndications, IPO, secondary private
placements
Market Making
Fixed income, equity, foreign
exchanges, commodities, credit,
funding, own position securities,
lending and repos, brokerage, debt,
prime brokerage
Retail Banking
Retail lending and deposits,
banking services, trust and
estates
Sales
Proprietary Positions
Treasury
Private Banking
Card Services
Private lending and deposits,
banking services, trust and estates,
investment advice
Merchant/commercial/corporat
e cards, private labels and retail
Project finance, real estate, export
finance, trade finance, factoring,
leasing, lending, guarantees, bills of
exchange
Payments and collections, funds
transfer, clearing and settlement
Commercial
Banking
BL41
Commercial Banking
Agency Services
BL51
BL61
External Clients
Custody
Escrow, depository receipts,
securities lending (customers)
corporate actions
BL62
Corporate Agency
Issuer and paying agents
BL72
Non-Discretionary Fund
Management
Payment and
Settlement
Asset Management
Retail Brokerage
Corporate Level
– Non- Business
Line Specific
BL63
BL71
BL81
BL00
Corporate Trust
Discretionary Fund
Management
Pooled, segregated, retail,
institutional, closed, open,
private equity
Retail Brokerage
Execution and full service
Not Applicable
Pooled, segregated, retail,
institutional, closed, open
Losses originating from a corporate/firm-wide function that cannot be
linked to a specific business line.
103
E.2. Internal Business Line
Field Name
Internal
Business Line
Code
Internal
Business Line
Name
Internal Business
Line Description
Description
Format
N: Numeric
C: Character
Report the unique numeric code assigned to the respective
Internal Business Line by the institution.
N
Report the name of the Internal Business Line.
C
Provide a brief description of the Internal Business Line.
C
104
E.3. Unit-of-Measure (UOM)
Field Name
Description
Format
N: Numeric
C: Character
UOM Code
Report the unique numeric code assigned to the respective Unitof-Measure by the institution.
UOM Name Report the name of the Unit-of-Measure.
UOM
Provide additional details on Unit-of-Measure, as necessary.
Descriptio
E.4. Threshold Information
Field Name
Description
N
C
C
Format
N: Numeric
C: Character
Collection
Threshold(s)
Applicable
Internal
Business
Line(s)
Effective
Time
Period of
Collection
Threshold
(FROM)
Effective
Time
Period of
Collection
Threshold
(TO)
Comments
Identify all loss data collection thresholds used for the data
reported.
Identify the "Applicable Internal Business Line(s)" for which the
threshold applies. If the same threshold is used for all data
reported, indicate "firm-wide" in the Applicable Internal
Business Line(s) field.
N
C
For all collection thresholds applicable to the data reported,
identify the time period for which the respective threshold is/was
in effect.
Date
MM/DD/YY
YY
For all collection thresholds applicable to the data reported,
identify the time period for which the respective threshold is/was
in effect.
Date
MM/DD/YY
YY
Use as necessary.
C
105
E.5—Legal Reserves Frequency
Report the total number of outstanding/pending legal events by Business Line and Event
Type for which a legal reserve(s) has been established in accordance with the following
instructions.
The total number reported should be based on the number of legal events, not the number
of “reserve entries.” The total number of outstanding/pending legal events should be
reported by the quarter and year in which the first legal reserve for each respective legal
event was recorded. For example, a legal event that had three separate reserves recorded in
Q1-2011, Q4-2011, and Q2-2012 should be included as one event in the Q1-2011 total.
The Legal Reserves Frequency file should contain the total number of outstanding/pending
legal events, for which a legal reserve has been established. The values of losses should also
be reported in the FR Y-14Q Operational Loss Data Collection Schedule (E.1) as the event is
partially settled. Remaining reserves should be not be included in the FR Y-14Q Operational
Loss Data Collection Schedule (E.1) until that portion is settled.
Previously reported legal events that have been settled or closed during the current
reporting quarter should not be included in the current or future submissions. These events
should be detailed as part of the Operational Loss History. Example: A reserve for a legal
event was first recorded in Q1-2011. The legal event was then settled in Q2-2012. In this
example, the legal event should not be included in the institution’s Q2-2012 Legal Reserve
Frequency submission or future Legal Reserve Frequency submissions, but should be
included in the firms Operational Loss History.
The total number outstanding/pending legal events for which the first legal reserve was
recorded on or prior to December 31, 2007 must be reported under “Q4-2007” by Business
Line and Event Type in accordance with the following instructions. To clarify, total numbers
reported by business line and event type under Q4-2007 should represent the total number
of outstanding/pending legal events for which a reserve(s) was established prior to
December 31, 2007 and for which reserves are still in place as of the current reporting
quarter.
Ensure the information provided for each descriptive element conforms to the
reporting instructions in the Legal Reserves Frequency Schedule in Section E.5. For
illustrative purposes, an example of a Legal Reserves Frequency Schedule is provided in
Reference Table E.5.a.
106
Section E.5. Legal Reserves Frequency Schedule
Field
Reference
Field Name
A
Quarter
B
Year
C
Event Type
D
Business Line
E
Number of
Outstanding/Pending
Legal Events
Description
Report the quarter in which the first legal
reserve was established for a legal event.
Format
N: Numeric C:
Character
C
Report the year in which the first legal
reserve was established for a legal event.
N
The number of outstanding/pending
legal events reported by the institution must
be mapped to one of the nine “Level 1
Business Lines” in Reference Table E.1.b.
This field must contain the specific Level 1
Business Line code identified in Reference
Table E.1.b (i.e., BL1, BL2, BL3….BL9) which
corresponds to the Level 1 Business Line.
C
The number of outstanding/pending legal
events reported by the institution must be
mapped to one of the seven “Level 1 Event
Types” in Reference Table E.1.a. This field
must contain the respective Level 1 EventType code specified in Reference Table E.1.a
(i.e., ET1, ET2, ET3….ET7). The exact code
provided must be used (e.g., “ET1”) with no
additional characters or spaces added.
C
Report the number of outstanding/pending
legal events.
N
107
Reference Table E.5.a: Example of a Completed Legal Reserves Frequency Schedule
(for illustrative purposes only)
Quarter
Year
Event
Type
Level 1
Q4
Q4
Q4
Q1
Q3
Q2
Q2
Q3
Q3
Q4
2007
2007
2007
2008
2008
2009
2009
2009
2010
2010
ET4
ET4
ET1
ET4
ET4
ET4
ET3
ET7
ET4
ET7
Business
Line
Level 1
Number of
Outstanding
/Pending
Legal Events
BL2
BL7
BL2
BL3
BL2
BL1
BL4
BL2
BL1
BL7
4
6
5
1
1
2
1
1
3
1
108
Schedule F—Trading
A. Purpose of Schedule:
This schedule is designed to capture P/L sensitivities to assets firms hold in their
trading books, private equity investments, and certain other assets under fair value
accounting. These terms are defined as follows:
Trading Book assets are those assets which are reported as trading securities on
the FR Y- 9C report, i.e.
"Trading activities typically include (a) regularly underwriting or dealing in
securities; interest rate, foreign exchange rate, commodity, equity, and credit
derivative contracts; other financial instruments; and other assets for resale, (b)
acquiring or taking positions in such items principally for the purpose of selling in
the near term or otherwise with the intent to resell in order to profit from shortterm price movements, and (c) acquiring or taking positions in such items as an
accommodation to customers or for other trading purposes."
Private Equity includes all equity related investments such as common, preferred,
and convertible securities.
This includes investments made on a principal basis in standalone companies, real
estate, general and limited partnership interests and hedge funds, including seed
capital invested in hedge or mutual funds. This includes Private Equity that is mark
to market (MTM), held for sale (HFS) or under fair value option accounting (FVO).
Other Fair Value Assets are all assets held under fair value option (FVO)
accounting except for retail and wholesale loans which should be included in the
schedules for Retail and Wholesale FVO loans.
Examples would include legacy assets, community development assets and taxoriented investments, e.g. wind farms.
B. General Instructions:
Please see the Regional Groupings worksheet for definitions of country/currency
categorizations.
Credit Valuation Adjustments (CVA) should NOT be included in this schedule, while
CVA hedges should be reported separately in its own FR Y-14Q Trading schedule.
Exposures to repurchase agreement positions that are accounted for under the fair
value option and any associated hedges should be reported in this schedule.
Neither Mortgage Servicing Rights (MSR's) nor MSR hedges should be included in
this schedule.
All worksheets are required to be filled out.
White cells represent required inputs. Green cells represent required inputs for
parameters that are flexible and can be changed.
Gray cells represent calculations or fixed values, and do not need to be completed
by the BHC or IHC.
109
Examples of flexible parameters include tenor points and shock %s in some grids.
See sheet-specific instructions around acceptable ranges.
Sensitivities related to Exchange Traded Funds (ETFs) that are primarily backed by
direct asset holdings should be reported in the appropriate asset class. For example,
ETFs that are primarily backed by physical and financial commodities holdings (e.g.
XAU) should be included in the Commodities worksheets. Data related to all other
ETFs should be reported in the Equity worksheets, except in the case of currency
related ETFs. If possible, decompose currency related ETFs into separate currency
components and report the related sensitivities in the appropriate currency row of
the FX worksheets. If decomposition is not possible, report currency related ETFs in
the USD/Other row of the FX worksheets.
C. Item-Specific Instructions:
Worksheet-specific instructions are included within.
110
Glossary
API 2:
API 4:
ARS:
bp:
Carry Value:
CDS:
CER:
CMO:
Covered
Bond:
CS01:
CVA:
Delta:
DV01:
EUA/ETS:
Gamma:
GICS:
HY:
IG:
The benchmark price reference for coal imported into northwest Europe. It is
calculated as an average of the Argus cost-insurance-freight (cif), AntwerpRotterdam-Amsterdam (ARA, major coal importing ports in northwest Europe)
assessment and McCloskey's northwest European steam coal marker.
The benchmark price reference for coal exported out of South Africa's Richards
Bay terminal, it is used in physical and over-the-counter (OTC) contracts. Its
value is calculated as the average of the Argus freight-on-board (fob) Richards
Bay assessment and McCloskey's fob Richards Bay market.
Auction Rate Security - Long term, variable rate bonds tied to short term
interest rates. ARS have a long term nominal maturity with interest rates reset
through a modified Dutch auction, at predetermined short term intervals.
Basis Point, 1/100th of 1%.
The amount of an investment as reflected in the consolidated financial
statements prepared in accordance with GAAP.
Credit Default Swap - A swap designed to transfer the credit exposure of fixed
income products between parties. The buyer of the credit swap receives credit
protection, whereas the seller of the swap guarantees the credit worthiness of
the product.
Certified Emission Reduction - A type of emissions unit, or carbon credits,
issued by the Clean Development Mechanism (CDM) Executive Board for
emission reductions.
Collateralized Mortgage Obligation - A type of mortgage backed that represent
claims to specific cash flows from large pools of home mortgages. The streams
of principal and interest payments on the mortgages are distributed to the
different classes of CMO interests, known as tranches. Each tranche may have
different principal balances, coupon rates, prepayments risks, and maturity
dates.
A corporate bond with recourse to a pool of assets that secures or "covers" the
bond if the originator (usually a financial institution) becomes insolvent.
The sensitivity of the portfolio to 1 bp adjustment to credit spreads.
Credit Valuation Adjustment - The market value of the credit risk due to any
failure of the counterparty to deliver.
The expected change in the value of a derivative for each dollar change in the
price of the underlying asset.
The dollar value (DV) impact on the value of an asset resulting from a one basis
point parallel shift downward in interest rates.
European Union Emissions Trading System - Cap and trade emission allowances
in the European Union. Companies can buy and sell from each other as needed.
The expected change in delta exposure for a +1% relative change in the price of
the underlying entity. Gamma is used to gauge the sensitivity of a derivative
position to a price change in the underlying reference security or portfolio. A
large positive gamma can serve to magnify gains and cushion losses.
Global Industry Classification Standard - An industry taxonomy developed by
MSCI and Standard & Poor's for use by the global financial community.
High Yield - Bonds rated below investment grade (below BBB). Because these
bonds have a higher risk of default, they have higher yields than better quality
bonds.
Investment Grade - Bonds that are rated BBB or above.
111
iTraxx:
LATAM:
LCDX:
LPG:
LIBOR:
Lognormal
Vega:
MBS:
MENA:
MV:
Normal Vega
OAS:
Private
Equity:
TIBOR:
Unfunded
Commitments:
Vega:
VER:
Vol point:
Whole Loan:
XO:
A family of credit default swap index products covering regions of Europe,
Australia, Japan and Asia Ex-Japan.
An abbreviation for Latin America.
A North American loan credit default swap index. LCDX consists of 100
reference entities, referencing first lien loans listed on the Markit Syndicated
Secured List.
Liquefied Petroleum Gas (LPG) is a flammable mixture of hydrocarbon gases
used as a fuel in heating appliances and vehicles.
London Interbank Offered Rate - An interest rate at which banks can borrow
funds from other banks in the London interbank market. LIBOR is derived from
a filtered average of the world's most creditworthy banks' interbank deposit
rates for larger loans with maturities between overnight and one full year.
The expected change in the value of an option when the option's implied
volatility increases by 1%, i.e. goes from 25% to 26%.
Mortgage Backed Securities - Debt obligations that represent claims to the cash
flows from pools of mortgage loans, most commonly on residential property.
Mortgage loans are purchased from banks, mortgage companies, and other
originators and then assembled into pools by a governmental, quasigovernmental, or private entities. These entities then issue securities that
represent claims on the principal and interest payments made by borrowers on
the loans in the pool.
An abbreviation for Middle East and North Africa.
An abbreviation for market value.
The expected change in the value of an option when the volatility of the
security underlying the option increases by 1%, i.e. goes from 25% to 26%.
Option Adjusted Spread - A measurement tool for evaluating price differences
between similar products with different embedded options. A larger OAS
implies a greater return for greater risks.
Private equity is an asset class consisting of equity securities in operating
companies that are not publicly traded on a stock exchange.
Tokyo Interbank Offered Rate - A daily reference rate based on the interest
rates at which banks offer to lend unsecured funds to other banks in the
Japanese interbank market.
Funds pledged for investment but not yet drawn upon.
The expected change in the value of an option when the option's implied
volatility increases by 1%, i.e. goes from 25% to 26%. When not specified
otherwise, vega denotes lognormal vega as opposed to normal vega.
Voluntary Emission Reductions/Verified Emission Reductions - A type of
carbon offset exchanged in the OTC market for carbon credits.
A 1% absolute change in volatility, e.g. a change from 25% to 26%.
A mortgage loan which is sold in its entirety on a standalone basis rather than
being pooled with other mortgages.
XO (Crossover) refers to the CDX.NA.XO CDX index, an index of CDS's that are at
the crossover point between investment grade and junk (high yield).
112
Regional Groupings
Advanced Economies
Andorra
Australia
Austria
Belgium
Canada
Channel Islands
Cyprus
Denmark
Estonia
Finland
France
Germany
Gibraltar
Greece
Greenland
Guam
Guernsey
Ireland
Isle of Man
Italy
Japan
Jersey
Kosovo
Luxembourg
Malta
Monaco
Montenegro
Netherlands
New Zealand
Norway
Portugal
Samoa
San Marino
Slovakia
Slovenia
Spain
Sweden
Switzerland
United Kingdom
United States
Vatican City
Virgin Islands (US)
Virgin Islands (British)
Currency
EUR
AUD
EUR
EUR
CAD
GBP
EUR
DKK
EUR
EUR
EUR
EUR
GIP
EUR
DKK
USD
GGP
EUR
IMP
EUR
JPY
JEP
EUR
EUR
EUR
EUR
EUR
EUR
NZD
NOK
EUR
USD
EUR
EUR
EUR
EUR
SEK
CHF
GBP
USD
EUR
USD
USD
Emerging Europe
Albania
Belarus
Bosnia and
Herzegovina
Bulgaria
Croatia
Czech Republic
Hungary
Iceland
Latvia
Liechtenstein
Lithuania
Macedonia
Moldova
Poland
Romania
Russia
Serbia
Ukraine
Currency
ALL
BYR
BAM
BGL
HRK
CZK
HUF
ISK
LVL
CHF
LTL
MKD
MDL
PLN
ROL
RUB
RSD
UAH
113
Latin America &
Caribbean
Antigua and Barbuda
Argentina
Aruba
Bahamas
Barbados
Belize
Bermuda
Bolivia
Brazil
Cayman Islands
Chile
Colombia
Costa Rica
Cuba
Dominica
Dominican Republic
Ecuador
El Salvador
Grenada
Guatemala
Guyana
Haiti
Honduras
Jamaica
Mexico
Nicaragua
Panama
Paraguay
Peru
Saint Kitts and Nevis
Saint Lucia
Saint Vincent and the
Grenadines
Suriname
Trinidad and Tobago
Uruguay
Venezuela
Currency
XCD
ARS
AWG
BSD
BBD
BZD
BMD
BOB
BRL
KYD
CLP
COP
CRC
CUP
XCD
DOP
ECS
USD
XCD
GTQ
GYD
HTG
HNL
JMD
MXN
NIO
PAB
PYG
PEN
XCD
XCD
XCD
SRG
TTD
UYU
VEF
Asia Ex-Japan
Bangladesh
Bhutan
Brunei
Cambodia
China
Fiji
Hong Kong
India
Indonesia
Kazakhstan
Kyrgyzstan
Laos
Macau
Malaysia
Maldives
Mongolia
Myanmar
Nepal
North Korea
Philippines
Singapore
Solomon Islands
South Korea
Sri Lanka
Taiwan
Tajikistan
Thailand
Tonga
Turkmenistan
Uzbekistan
Vanuatu
Vietnam
Currency
BDT
BTN
BND
KHR
CNY
FJD
HKD
INR
IDR
KZT
KGS
LAK
MOP
MYR
MVR
MNT
MMK
NPR
KPW
PHP
SGD
SBD
KRW
LKR
TWD
TJR
THB
TOP
TMM
UZS
VUV
VND
Middle East &
North Africa
Afghanistan
Algeria
Armenia
Azerbaijan
Bahrain
Dubai
Egypt
Georgia
Iran
Iraq
Israel
Jordan
Kuwait
Lebanon
Libya
Morocco
Oman
Pakistan
Qatar
Saudi Arabia
Somalia
Syria
Tunisia
Turkey
United Arab
Emirates
Yemen
114
Currency
AFA
DZD
AMD
AZM
BHD
AED
EGP
GEL
IRR
IQD
ILS
JOD
KWD
LBP
LYD
MAD
OMR
PKR
QAR
SAR
SOS
SYP
TND
TRY
AED
YER
Sub-Saharan Africa
Angola
Benin
Botswana
Burkina Faso
Burundi
Cameroon
Cape Verde
Central African
Republic
Chad
Congo-Brazzaville
Comoros
Cote d'Ivoire
Democratic Republic of
the Congo
Djibouti
Equatorial Guinea
Eritrea
Ethiopia
Gabon
Gambia
Ghana
Guinea
Guinea-Bissau
Kenya
Lesotho
Liberia
Madagascar
Malawi
Mali
Mauritania
Mauritius
Mozambique
Namibia
Niger
Nigeria
Republic of the Congo
Rwanda
Senegal
Seychelles
Sierra Leone
South Africa
Sudan
Swaziland
Tanzania
Togo
Uganda
Zambia
Zimbabwe
Currency
AOA
XOF
BWP
XOF
BIF
XAF
CVE
XAF
XAF
XAF
KMF
XOF
CDF
DJF
GQE
ERN
ETB
XAF
GMD
GHC
GNF
XOF
KES
LSL
LRD
MGF
MWK
XOF
MRO
MUR
MZM
NAD
XOF
NGN
XAF
RWF
XOF
SCR
SLL
ZAR
SDG
SZL
TZS
XOF
UGX
ZMK
USD
F.1—Equity by Geography
General Instructions
For definitions of the "Other" categories in each section, reference the Regional
Groupings worksheet. For example, "Other Advanced Economies" would include entries
for any Advanced Economy country (as defined on the Regional Groupings worksheet)
that is not explicitly listed in the Advanced Economies section of this worksheet. This
Other Advanced Economies row would also include aggregated exposures from
explicitly listed countries where the exposures fall below minimal thresholds specified
below.
Note that each regional section has a row for cross-country indices, e.g. the Euro Stoxx
indices, which may be used if firms have difficulty decomposing sensitivities by country.
Vega should be reported in absolute terms ($MM / +1 vol point) regardless of
whether relative or absolute vols were provided on the Equity Spot-Vol Grids
worksheet.
Profit/(Loss) Calculation
Profit/(Loss) should be calculated assuming full revaluation where possible. In
completing the Profit/(Loss) section, firms should run full revaluations assuming all
equities move a given relative % and then allocate the resulting P/L by country/index.
For example, all entries in the -50% decline column would be calculated by running a
single full-revaluation simulation in which all equities decline by -50% regardless of
geography. P/L from this single simulation would then be allocated among the various
rows corresponding to different countries/indices.
Thresholds
Sensitivities for countries in Advanced Economies for which the delta is less than
$3mm may be aggregated and entered as a single entry on the "Other Advanced
Economies" row. For other regions, sensitivities for which the delta is less than $2mm
may be aggregated and entered in the appropriate "Other" row for that region.
Spot Shocks
The spot shocks listed in the green cells may be modified to fit what the firm has
available subject to the following constraints:
Spot shocks must at a minimum span 0% to -50% and at least 5 distinct spot shocks less
than 0% must be provided.
The difference between adjacent spot shocks must not exceed 25%.
Additional columns for other shock percent may be added. Unused columns should be
left blank.
Tenors
In the term structure section, please replace the tenor points shown in green with those
the firm has available. Insert additional term structure columns as needed. Unused
columns should be left blank.
115
F.2—Equity Spot-Vol Grid
General Instructions
Each point on the grid should be calculated using full revaluation and should represent firm-wide
Profit/(Loss) results.
Vega post spot shock must be provided in absolute terms (units of $MM / +1 vol point) even if the
spot-vol grid is populated using relative volatility shocks.
Additional rows and columns for other shock values may be added. Unused rows/columns should
be left blank.
Spot Shocks
The spot shocks provided must match those provided on the Equity by Geography worksheet and
are subject to the constraints outlined on that worksheet.
Volatility Shocks
The volatility shocks listed in the green cells may be modified subject to the following constraints:
Vol shocks must go out to at least +20 vol points (or an equivalent amount if using a relative
methodology).
If using relative volatility shocks, it may be necessary to modify the default volatility shocks
shown in the grid based on the level of the volatility surface on the effective date of this
submission. Firms must provide at least 3 absolute volatility shocks which are greater than zero.
Absolute Vol Shocks
When shocking spot, "sticky" (i.e., fixed) strike volatility must be kept constant. The implied
volatility at each strike should not change and the volatility curve within a given tenor should
remain unchanged (in terms of sticky / fixed strike vs. absolute volatility). This is illustrated as we
go from Table 1 to Table 2, below.
When shocking implied volatility within a given tenor, the absolute implied volatility at each strike
(of each option at each strike) should be shocked in a parallel manner by the same absolute amount.
This is illustrated as we go from Table 2 to Table 3.
Table 1:
Table 2:
Spot Shock: 0%
Implied
Strike
Vol
700
32
800
27
900
23
1000
20
Spot Shock: -30%
Strike
700
800
900
1000
Implied
Vol
32
27
23
20
Table 3:
Spot Shock: -30%,
Vol Shock: +10 pts
Implied
Strike
Vol
700
42
800
37
900
33
1000
30
Relative Vol Shocks
Firms applying relative volatility shocks would keep their volatility surface fixed in going from
Table 1 to Table 2. That is, the implied volatility given a -30% shock would be what the implied
volatility was before shocking spot by -30%.
116
F.3—Other Equity
General Instructions
Entries in the dividend table above should represent the Profit/(Loss) in $MM that the firm would
experience if dividend yields in the specified tenors were to decline by -1% in relative terms, i.e.
drop from 3% to 2.97%.
For a precise description of what countries constitute Europe, please refer to the UN GeoScheme:
(http://millenniumindicators.un.org/unsd/methods/m49/m49regin.htm#Europe).
Tenors
In the term structure section, replace the tenor points shown in green with those the firm has
available. Insert additional term structure columns as needed. Unused columns should be left
blank. The unspecified tenor column is to be used only if the firm is unable to break out its
sensitivities by tenor.
117
F.4—FX Spot Sensitivities
General Instructions
Enter currency symbols into the green cells of the Currency1 and Currency2 columns. Additional
rows may be inserted into this section as needed. Any unused rows should be left blank.
Report on-shore and off-shore currency sensitivities separately.
For non-USD currency pairs:
1) Delta is defined as USD delta equivalent of Currency1, with a positive number indicating long
Currency1 / short Currency2, and a negative number indicating short Currency1 / long Currency2.
2) If the currency delta positions are netted and shown only versus USD, then enter zero for delta
and show the P/L arising from gamma only in the corresponding currency pair row.
Profit/(Loss) Calculation
Profit/(Loss) should be calculated assuming full revaluation where possible. In completing the
Profit/(Loss) section, firms should complete each row independently. For example, a row for EUR
vs. USD would be calculated by shocking only the EUR vs. USD exchange rate and leaving all other
exchange rates fixed.
Thresholds
Entries for currencies where the absolute value of the delta is below $50mm and where no grid P/L
entries have an absolute value above $10mm may be aggregated and placed into the OTHER vs. USD
line.
Spot Shocks
The spot shocks listed in the green cells may be modified to fit what the firm has available subject to
the following constraints:
Spot shocks must at a minimum span -30% to +30% and at least four distinct spot shocks on each
side of 0% must be provided.
The difference between adjacent spot shocks must not exceed 10%.
Additional columns for other shock percent may be added. Unused columns should be left blank.
In computing the Profit/(Loss) entries, assume normal volatility does not change.
118
F.5—FX Vega
General Instructions
Enter currency symbols into the green cells of the Currency1 and Currency2 columns. Additional
rows may be inserted as needed. Unused rows should be left blank.
Report on-shore and off-shore currency sensitivities separately.
Thresholds
Enter all currency pairs for which the absolute value of the vega at any tenor (or in total) exceeds
$1 mm / +1 vol point; pairs with smaller vegas may be omitted.
Tenors
In the term structure section, replace the tenor points shown in green with those the firm has
available. Insert additional term structure columns as needed. Unused columns should be left
blank.
119
F.6—Rates DV01
General Instructions
For definitions of the "Other" categories in each section, reference the Regional Groupings
worksheet. For example, "Other Asia Ex-Japan" would include entries for any Asia Ex-Japan
currency (as defined on the Regional Groupings worksheet) that is not explicitly listed in the Asia
Ex-Japan section of this worksheet. This Other Asia Ex-Japan row would also include aggregated
exposures from explicitly listed currencies where the exposures fall below minimal thresholds
specified below.
**DV01s of instruments shocked by market value (MV) such as securitized products, ARS,
Loans and defaulted securities must be entered in aggregate on the "Instruments shocked by
Market Value" row for the appropriate currency. For the regional sections (Other Advanced
Economies, Emerging Europe, Latin America & Caribbean, etc.), DV01s of instruments
shocked by MV should not be included to avoid double counting.
Entries on this sheet should include ALL products with interest rate sensitivities including
those such as munis, agencies and ARS for which DV01s are also requested elsewhere in this
schedule.
DV01 for Corporates should be included in the Swaps / Discounting Curve line for the appropriate
currency. If the OIS curve is used as the discounting curve, report the sensitivities associated with
changes in the OIS curve in the Swaps/Discounting Curve rows.
Examples
Example 1: Consider a 5 year receive fixed swap versus 6-month LIBOR, where the standard curve
is 3 month LIBOR. The DV01 of the fixed side and the first fixing would appear in the Swaps /
Discounting Curve row as a positive directional risk number. The DV01 of the 0.5Y by 5Y year
basis swap would appear in the 6m row as a positive number as well since a 1 bp drop in that curve
would be beneficial. Note that this would correspond to a -1 bp change in x, where x is the spread
in the 6m vs. 3m + x basis swap.
Example 2: 3 year basis swap in which the bank pays 1m LIBOR + 10 bps vs. 3m LIBOR, where the
standard curve is 3 month LIBOR. The initial 1m and 3m fixings would appear in the Swaps /
Discounting Curve line as a directional risk number. The remaining 1m by 3Y basis swap would
appear in the 1m line as a positive number. Note that this would correspond to a +1 bp change in x,
where x is the spread in the 3m vs. 1m + x basis swap.
Sovereign Bonds
Sovereign bonds issued in the same currency as the reference sovereign's base currency should
have their DV01's entered on this worksheet. Examples would include U.S. government bonds
denominated in USD and U.K. government bonds denominated in GBP. Such instruments would
not lead to any credit spread entries on the Sovereign Credit worksheet, though they would lead to
entries in the MV (A) and Notional (B) sections of that worksheet.
Euro-denominated bond positions issued by countries using the euro should also be entered on this
worksheet only. Note that there are specific rows for "Government" exposures for those countries
defined as "Advanced Economies" on the Regional Groupings worksheet. For other countries, the
120
government exposures would be summed with other types of rates exposures and entered in
aggregate in the single row for the corresponding country. So, for example, Spanish government
bonds would be entered on this worksheet on the row in the "EUR Directional Risks" section
labeled "Governments: Spain", while Hungarian government bond exposures would be aggregated
along with any other Hungarian rates exposures and entered in the row labeled "HUF". Again, such
instruments would not lead to any credit spread entries on the Sovereign Credit worksheet, though
they would lead to entries in the MV (A) and Notional (B) sections of that worksheet.
In the case of sovereign bonds issued in a currency that differs from the reference sovereign's base
currency, the rates risk should be entered on this worksheet, while the corresponding credit risk
should be entered on the Sovereign Credit worksheet. Examples would include Japanese
government bonds denominated in USD and U.K. government bonds denominated in EUR.
Any rates exposure from Sovereign CDS should be entered on this worksheet, while the
corresponding credit risk should be entered on the Sovereign Credit worksheet.
These instructions with respect to sovereign bonds pertain solely to the entries on this worksheet.
Please see the instructions on the Sovereign Credit worksheet when entering the notionals and
market values there.
Profit/(Loss) Section
The shock entries listed in the green cells may be modified to fit what the firm has readily available.
Shock levels should range from -200 bps to +500 bps and the difference between adjacent shocks
should not exceed 100 bps.
Additional columns for other shock percent may be added. Unused columns should be left blank.
When calculating the Profit/(Loss) from negative rate shocks, if the firm’s systems cannot
accommodate negative rate levels, floor rates at +1bp (i.e. assume rates cannot become negative).
In computing Profit/(Loss), assume normal (absolute) volatility does not change and, to the
extent possible, preserve the skew by strike for all shock levels.
Do not include instruments shocked by market value (MV) in computing the Profit/(Loss)
points.
Tenors
In the term structure section, replace the tenor points shown in green with those the firm has
available. Insert additional term structure columns as needed. Unused columns should be left
blank.
121
F.7—Rates Vega
General Instructions
For definitions of the "Other" categories in each section, reference the Regional Groupings
worksheet. For example, the "Other Advanced Economies" section should include entries for any
Advanced Economy country (as defined on the Regional Groupings worksheet), when the currency
is not explicitly listed on this worksheet.
Similarly, the Totals sections, such as Total Emerging Europe, should contain the summation of the
vegas across all the currencies when issuing countries are defined as Emerging Europe on the
Regional Groupings worksheet.
Specify in the green cells at the top of the worksheet whether the vegas provided are normal or
lognormal and whether the units are $MM / +10% relative move or $MM / +10 bps absolute move.
Tenors
In the term structure section, replace the tenor points shown in green with those the firm has
available. Insert additional term structure rows and columns as needed. Unused rows and columns
should be left blank.
122
F.8—Other Rates
General Instructions
Cross-Currency vs. USD basis is defined as USD vs. CCY + x Basis Swap ($K).
Tenors
In the term structure section, replace the tenor points shown in green with those the firm has
available. Insert additional term structure columns as needed. Unused columns should be left
blank.
123
F.9—Energy
General Instructions
Delta for commodities is defined as dollarized delta exposure in ($MM).
"Total Gamma" is the unweighted sum of gammas across all tenors for each product. Similarly,
"Total Vega" is the unweighted sum of the vegas across all tenors for each product.
Vega may be reported in absolute ($MM / +1 vol point) or relative ($MM / +10% Rel) terms
regardless of whether relative or absolute vols are provided on the Commodity Spot-Vol
Grids worksheet, but should be consistent across the Energy, Metals, Ags & Softs and
Commodity Indices worksheets. The appropriate vega units may be selected from the list
provided in the Vega title cell.
Ideally, storage and other models, which do not qualify for derivatives accounting treatment, should
be excluded from this schedule while the underlying (exposure and P/L contribution) should be
included. In cases where such exclusion is computationally difficult due to system constraints,
firms may include the impacts of storage and other models provided it is immaterial (i.e., the
absolute value of the incremental P/L contributed by the model at both spot up +75% and spot
down -75% are both <$50mm).
BHCs and IHCs should decompose the commodities sensitivities of complex products into their
constituent product sensitivities wherever possible. The column for Structured Products is meant
to capture commodity exposures that are not easily decomposed into their underlying components.
Examples include structured notes linked to commodity baskets and custom indices.
Tenors
The maturities/maturity buckets in column B may be modified to fit what the firm has available and
all should be considered as relative to the effective date of this submission. Please provide monthly
data for the first 12 months. Maturities greater than 12 months but less than 10 years from the
effective date must be supplied on a monthly, quarterly or annual basis. Maturities greater than 10
Years from the effective date may be grouped together.
Informational section
The columns in the "Informational" section are meant to be SUBSETS of the total exposures
entered in the other columns to the left of the "Total Energy" column. Additional informational
columns (e.g. Coal, Emissions, etc.) may be inserted if desired.
124
F.10—Metals
General Instructions
Delta for commodities is defined as dollarized delta exposure in ($MM).
"Total Gamma" is the unweighted sum of gammas across all tenors for each product. Similarly,
"Total Vega" is the unweighted sum of the vegas across all tenors for each product.
Vega may be reported in absolute ($MM / +1 vol point) or relative ($MM / +10% Rel) terms
regardless of whether relative or absolute vols are provided on the Commodity Spot-Vol
Grids worksheet, but should be consistent across the Energy, Metals, Ags & Softs and
Commodity Indices worksheets. The appropriate vega units may be selected from the list
provided in the Vega title cell of the Energy worksheet.
Ideally, storage and other models, which do not qualify for derivatives accounting treatment, should
be excluded from this schedule while the underlying (exposure and P/L contribution) should be
included. In cases where such exclusion is computationally difficult due to system constraints,
firms may include the impacts of storage and other models provided it is immaterial (i.e., the
absolute value of the incremental P/L contributed by the model at both spot up +75% and spot
down -75% are both <$50mm).
Tenors
The maturities/maturity buckets in column B may be modified to fit what the firm has available and
all should be considered as relative to the effective date of this submission. Please provide monthly
data for the first 12 months. Maturities greater than 12 months but less than 10 years from the
effective date must be supplied on a monthly, quarterly or annual basis. Maturities greater than 10
years from the effective date may be grouped together.
125
F.11—Ags & Softs
General Instructions
Delta for commodities is defined as dollarized delta exposure in ($MM).
"Total Gamma" is the unweighted sum of gammas across all tenors for each product. Similarly,
"Total Vega" is the unweighted sum of the vegas across all tenors for each product.
Vega may be reported in absolute ($MM / +1 vol point) or relative ($MM / +10% Rel) terms
regardless of whether relative or absolute vols are provided on the Commodity Spot-Vol
Grids worksheet, but should be consistent across the Energy, Metals, Ags & Softs and
Commodity Indices worksheets. The appropriate vega units may be selected from the list
provided in the Vega title cell of the Energy worksheet.
Ideally, storage and other models, which do not qualify for derivatives accounting treatment, should
be excluded from this schedule while the underlying (exposure and P/L contribution) should be
included. In cases where such exclusion is computationally difficult due to system constraints, firms
may include the impacts of storage and other models provided it is immaterial (i.e., the absolute
value of the incremental P/L contributed by the model at both spot up +75% and spot down -75%
are both <$50mm).
Tenors
The maturities/maturity buckets in column B may be modified to fit what the firm has available and
all should be considered as relative to the effective date of this submission. Provide monthly data
for the first 12 months. Maturities greater than 12 months but less than 10 years from the effective
date must be supplied on a monthly, quarterly or annual basis. Maturities greater than 10 years
from the effective date may be grouped together.
126
F.12—Commodity Indices
General Instructions
Delta for commodities is defined as dollarized delta exposure in ($MM).
"Total Gamma" is the unweighted sum of gammas across all tenors for each product. Similarly,
"Total Vega" is the unweighted sum of the vegas across all tenors for each product.
Vega may be reported in absolute ($MM / +1 vol point) or relative ($MM / +10% Rel) terms
regardless of whether relative or absolute vols are provided on the Commodity Spot-Vol
Grids worksheet, but should be consistent across the Energy, Metals, Ags & Softs and
Commodity Indices worksheets. The appropriate vega units may be selected from the list
provided in the Vega title cell of the Energy worksheet.
Ideally, storage and other models, which do not qualify for derivatives accounting treatment, should
be excluded from this schedule while the underlying (exposure and P/L contribution) should be
included. In cases where such exclusion is computationally difficult due to system constraints,
firms may include the impacts of storage and other models provided it is immaterial (i.e., the
absolute value of the incremental P/L contributed by the model at both spot up +75% and spot
down -75% are both <$50mm).
Firms should decompose their exposures to diversified commodity indices into their individual
constituents and enter them on the Energy, Metals and Ags & Softs worksheets to the extent
possible. Any residual exposures to diversified commodity indices should be entered on this
worksheet.
The column for Long/Short Commodity Indices is meant to capture exposures to indices that do not
contain outright commodity exposures but instead seek to generate alpha through long/short
commodity strategies.
Tenors
The maturities/maturity buckets in column B may be modified to fit what the firm has available and
all should be considered as relative to the effective date of this submission. Provide monthly data
for the first 12 months. Maturities greater than 12 months but less than 10 years from the effective
date must be supplied on a monthly, quarterly or annual basis. Maturities greater than 10 years
from the effective date may be grouped together.
127
F.13—Commodity Spot-Vol Grids
General Instructions
Please use full revaluation, if possible, in calculating the grid entries.
Ideally storage and other models which do not qualify for derivatives accounting treatment should
be excluded from this schedule while the underlying (exposure and P/L contribution) should be
included. In cases where such exclusion is computationally difficult due to system constraints,
firms may include the impacts of storage and other models provided it is immaterial (i.e. the
absolute value of the incremental P/L contributed by the model at both spot up +75% and spot
down -75% are both <$50mm).
In calculating the grid entries, shock the entire vol surface by the specified vol shock and shock all
spot prices by the specified spot shock. Recalculate the value of all options under these conditions
and compute the change in market value relative to current market value. This change in market
value is what should be entered in the appropriate grid cells.
Diversified Commodity Indices:
The grid for Diversified Commodity Indices should correspond to those exposures listed on the
Commodity Indices worksheet. It should not include the impact from diversified index exposures
which were decomposed and entered into other columns on the Energy, Metals or Ags & Softs
worksheets. The impact from these decomposed index positions should be factored into the other
spot-vol grids on this page. Firm choosing to decompose all diversified commodity index exposures
into their components would leave the Spot-Vol grid for Diversified Commodity Indices blank.
Long/Short Index exposures (detailed on the Commodity Indices worksheet) should be excluded
from the Spot-Vol grids.
Spot/Volatility Shocks:
The specific spot and vol shocks chosen need not be the same across each of the commodity grids.
Rows and columns for additional shock values may be added. Unused rows or columns should be
left blank.
Vol shocks may be specified as either absolute moves in vol points or as a relative (%) change in
volatility.
Indicate in the green cells above each grid which volatility units are being provided.
The spot and volatility shocks listed in the green cells may be modified to fit what the firm has
readily available subject to the following constraints:
Spot shocks must at a minimum span -75% to +75%. At least 5 distinct spot shocks less than
0% and 3 distinct spot shocks greater than 0% must be provided.
The difference between adjacent spot shocks must not exceed 25%.
If volatility shocks are specified in terms of absolute moves, volatility shocks must span at
least 0 to +50 vol pts. At least 4 distinct volatility shocks greater than 0 must be provided
and adjacent shocks must be no more than 15 vol points apart.
128
If volatility shocks are specified in terms of relative (%) moves, then the guidance above
must be converted to relative space using the at the money spot volatilities on the effective
date of this submission.
129
F.14—Securitized Products
Notional and MV amounts should be reported, by rating and vintage, for all relevant products.
* MV for CDS should be reported as the notional amount plus the current MTM of the CDS, i.e. the
bond-equivalent market value of the CDS. The notional amount should be positive for cases where
CDS protection has been sold (long underlying bond) and negative for cases where CDS protection
has been bought (short underlying bond).
Ratings information reflects current rating and not original rating.
If vintage information for a given product is not available, please enter exposures (MV and notional)
in the unspecified vintage bucket for the appropriate rating.
Agency loans that are in forward contract should be included on the Agencies worksheet, otherwise
they should be entered here under Whole Loans.
Warehouse should only include exposure to which there is first loss protection provided.
Otherwise, all residential whole loans and commercial real estate whole loans used for trading or
warehoused without first loss protection should be included in the respective whole loan
categories. For CLO Warehouse exposures, the traded amount should be reported.
The Total Protection column should contain the total first loss protection that is applicable to the
firm’s warehouse exposures. The reported first loss protection can be in the form of cash or assets.
Firms should specify in their supporting documentation how much of this protection is in the form
of cash vs. assets.
A category for European RMBS is provided. European ABS and CMBS exposures should not be
included in this column, but instead entered in the existing ABS and CMBS sections of this
worksheet.
130
F.15—Agencies
General:
The top section above should contain sensitivities for US Agency securities only.
The lower section should contain sensitivities for non-US Agencies without an explicit sovereign
government guarantee. This includes bonds as well as CDS.
Non-US Agency securities that do have an explicit government guarantee should not be entered
here. They should be treated as government bonds and entered on the Rates DV01 worksheet
and/or the Sovereign Credit worksheets in accordance with the instructions on those pages.
Loans should be included on this worksheet only if they are in forward contract or if the loans have
FHA IDs and are in process of being reviewed for FHA insurance. Otherwise, the loans should be
entered on the Securitized Products worksheet under Whole Loans.
Note that the spread sensitivities here refer to Option Adjusted Spread (OAS).
Spread Shocks:
The spread widenings listed in the green cells may be modified to fit what the firm has readily
available subject to the following constraints:
OAS shocks must at a minimum range from 100 bps to at least 400 bps and at least 4 distinct spot
shocks greater than 1 bp must be provided.
Additional columns for other shock levels may be added. Unused columns should be left blank.
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F.16—Munis
General:
* MV for CDS should be reported as the notional amount plus the current MTM of the CDS, i.e. the
bond-equivalent market value of the CDS. The notional amount should be positive for cases where
CDS protection has been sold (long underlying bond) and negative for cases where CDS protection
has been bought (short underlying bond).
This worksheet should contain exposures to all Municipals, regardless of geography and currency.
Municipals refer to local government entities that do not have an explicit guarantee from the
sovereign central government. Issuers with an explicit sovereign guarantee should be treated as
government bonds and entered on either the Rates DV01 and/or the Sovereign Credit worksheet.
Profit/(Loss) Calculation:
Profit/(Loss) should be calculated assuming full revaluation where possible. In completing the
Profit/(Loss) section, firms should run full revaluations assuming all credit spreads (across all
geographies and products- Munis, Corporates, CDS, etc.) move a given amount and then allocate the
resulting P/L to the various rows and sections across all credit worksheets.
For example, firms should run a single full-revaluation simulation in which all spreads widen by
100% regardless of geography/product. P/L from this single simulation would then be allocated
among the various rows and worksheets corresponding to different products, countries and
indices.
Spread Shocks:
Profit/(Loss) from spread widenings should be entered using either the relative (%) section or the
absolute (bps) section, but not in both.
Columns for additional slide points may be inserted, however do not remove or modify any of the
existing slide points shown in gray.
Tenors:
In the term structure section, replace the tenor points shown in green with those the firm has
available.
Insert additional term structure rows as needed. Unused rows should be left blank.
132
F.17—Auction Rate Securities (ARS)
General:
This worksheet is meant to collect basic sensitivities related to Auction Rate Securities (ARS).
Tenors:
In the term structure section, replace the tenor points shown in green with those the firm has
available.
Insert additional term structure rows as needed. Unused rows should be left blank.
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F.18—Corporate Credit-Advanced
General:
Reference the Regional Groupings worksheet for the definition of which countries are included in
Advanced Economies.
Notional and MV amounts should be reported, by rating and tenor, for all relevant products.
* MV for CDS should be reported as the notional amount plus the current MTM of the CDS, i.e. the
bond-equivalent market value of the CDS. The notional amount should be positive for cases where
CDS protection has been sold (long underlying bond) and negative for cases where CDS protection
has been bought (short underlying bond).
"On-the-Run" refers to the two most recent series (i.e. the current and the prior) of the index.
The | ”.
L.5.2—SFT assets posted and received by counterparty legal entity and master netting agreement
Line Item Instructions
Report the information required by each column for each consolidated counterparty reported in L.5.1,
including the CCPs and G-7 sovereign countries, and for all associated legal entities and agreements. In the
case a CCP itself is the bi-lateral counterparty to a SFT, then the CCP must be included in the consideration
of which bi-lateral counterparties are the "top 25" as ranked by the ranking methodologies. Information in
this schedule is reported at a the level of netting agreements.
The top 25 non-CCP and non-G-7 counterparties should be reported for each ranking methodology used to
report counterparties in sub-schedule L.5.1. For those counterparties that appear in more than one table,
only the rank, identifying information (names, IDs, etc.), and any information not reported in any other
submission must be reported.
Netting Agreement Reporting:
Information must be reported for each netting agreement held with a legal entity of a consolidated
counterparty organization, even if the net current exposure for a given netting agreement is zero. For
example, if a counterparty has two subsidiaries, and two netting agreements have been executed with the
first subsidiary and one agreement with the second subsidiary, then three lines of information would be
reported for that counterparty. These must correspond to the netting agreements and associated netting
agreement IDs reported in L.5.1.
Item Instructions
Subschedule ID (CACVM926)
The subschedule on which the consolidated counterparty is being reported, i.e. L.5.2 or L.5.2.a.
Rank (CACNM899)
The rank of the consolidated/parent counterparty as ordered according to the instructions above. For
CCPs, specify rank as “CCP”; for G-7 sovereigns, specify rank as “G7”.
Counterparty Name (CACNM900)
The name of the consolidated organization that is either a CCP, G-7 sovereign country, or one of the top 25
counterparties.
Parent/Consolidated Entity Counterparty ID (CACNM901)
A unique identifier (for example, alphanumeric) assigned to the counterparty reported in the Counterparty
Name column. The counterparty ID must be unique and consistent across sub-schedules in this schedule.
297
Counterparty Legal Entity (CACN9017)
The name of the legal entity with whom the netting agreement was executed. This could be a subsidiary or
affiliate of the consolidated organization or the consolidated organization itself.
Legal Entity ID (CACNR621)
A unique identifier (for example, alphanumeric) assigned to the legal entity reported in the Counterparty
Legal Entity column, which must correspond to the parent/consolidated entity. This ID must be unique and
consistent across sub-schedules.
Netting Agreement ID (CACNM902)
A unique identifier (for example, alphanumeric) assigned to the netting agreement being reported.
Asset Categories
Posted: the aggregate mark-to-market value of the asset category/sub-category posted to a
parent/consolidated counterparty as part of a securities lending/borrowing or repurchase/reverse
repurchase agreement. Include situations in which the firm is acting as a principal or on behalf of a client
for which lender indemnification has been provided against the borrower’s default. If the netting
agreement comprises several netting sets, report the sum of the posted values for those netting sets that
are “in the money”, i.e. have a net positive MtM amount for those netting sets for which the net (stressed)
exposure (i.e. exposure net of collateral) is positive under that scenario.
Received: the aggregate mark-to-market value of the asset category/sub-category received from a
parent/consolidated counterparty as part of a securities lending/borrowing or repurchase/reverse
repurchase agreement. Include situations in which the firm is acting as a principal or on behalf of a client
for which lender indemnification has been provided against the borrower’s default. If the netting
agreement comprises several netting sets, report the sum of the received values for those netting sets that
are “in the money”, i.e. have a net positive MtM amount for those netting sets for which the net (stressed)
exposure (i.e. exposure net of collateral) is positive under that scenario. These amounts must be reported
reflecting their actual mark-to-market amount, i.e. positive mark-to-market values should be reported as
positive.
Central Debt
This category includes debt obligations issued by a sovereign entity or a government-sponsored enterprise
(G.S.E.). This category does not include inflation-indexed securities. The amounts must be separated by the
sovereign entity sub-categories: United States, Germany, United Kingdom & France, Other Eurozone, Japan,
and Other.
Sub-category
United States
Germany
United Kingdom & France
Other Eurozone
Japan
Other
Unstressed
Posted
CACNFC53
CACNFC54
CACNFC55
CACNFC56
CACNFC57
CACNFC58
Unstressed
Received
CACNFC83
CACNFC84
CACNFC85
CACNFC86
CACNFC87
CACNFC88
Stressed
Posted
CACNFD13
CACNFD14
CACNFD15
CACNFD16
CACNFD17
CACNFD18
Stressed
Received
CACNFD43
CACNFD44
CACNFD45
CACNFD46
CACNFD47
CACNFD48
Equity
This category includes publicly traded and privately issued equity securities. The amounts must be
separated by the country in which the issuing entity is domiciled, which are grouped into the following subcategories: United States, Canada, United Kingdom, Eurozone, and Other.
298
Sub-category
United States
Canada
United Kingdom
Eurozone
Other
Unstressed
Posted
CACNFC59
CACNFC60
CACNFC61
CACNFC62
CACNFC63
Unstressed
Received
CACNFC89
CACNFC90
CACNFC91
CACNFC92
CACNFC93
Stressed
Posted
CACNFD19
CACNFD20
CACNFD21
CACNFD22
CACNFD23
Stressed
Received
CACNFD49
CACNFD50
CACNFD51
CACNFD52
CACNFD53
Unstressed
Posted
CACNFC64
CACNFC65
Unstressed
Received
CACNFC94
CACNFC95
Stressed
Posted
CACNFD24
CACNFD25
Stressed
Received
CACNFD54
CACNFD55
Unstressed
Posted
CACNFC66
CACNFC67
Unstressed
Received
CACNFC96
CACNFC97
Stressed
Posted
CACNFD26
CACNFD27
Stressed
Received
CACNFD56
CACNFD57
Unstressed
Posted
CACNFC68
CACNFC69
Unstressed
Received
CACNFC98
CACNFC99
Stressed
Posted
CACNFD28
CACNFD29
Stressed
Received
CACNFD58
CACNFD59
Unstressed
Posted
CACNFC70
CACNFC71
Unstressed
Received
CACNFD00
CACNFD01
Stressed
Posted
CACNFD30
CACNFD31
Stressed
Received
CACNFD60
CACNFD61
Corporate Bonds – Advanced Economies
This category includes all debt obligations issued by any public or private entity that is not backed by the
full faith and credit of a single sovereign country; specifically it includes supranationals. This category does
not include commercial paper. The issuing entity must be domiciled in a sovereign that is defined as an
advanced economy in the instructions for schedule F. The amounts must be separated into two subcategories: Investment Grade (IG) and Sub-Investment Grade (Sub-IG) as based on the rating of the specific
issuances.
Sub-category
Investment Grade
Sub-Investment Grade
Corporate Bonds – Other Economies
This category includes all debt obligations issued by any public or private entity that is not backed by the
full faith and credit of a single sovereign country; specifically, it includes supranationals. This category does
not include commercial paper. The issuing entity must be domiciled in a sovereign that is not an advanced
economy as defined in the instructions for schedule F. The amounts must be separated into two subcategories: IG and Sub-IG as based on the rating of the specific issuances.
Sub-category
Investment Grade
Sub-Investment Grade
Exchange-Traded Funds
This category includes equity shares of exchange-traded investment funds (ETFs). The amounts must be
separated into two sub-categories that define the majority of the assets held by a given ETF: Equity and
Fixed Income.
Sub-category
Equity
Fixed Income
U.S. Agency MBS/CMBS
This category includes mortgage-backed securities (MBS) and commercial mortgage-backed securities
(CMBS) issued by U.S. government agencies and U.S. government-sponsored enterprises (GSEs), as defined
in the FR Y-9C. The amounts must be separated into two sub-categories: Pass-throughs and Other.
Sub-category
Pass-throughs
Other
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Non-Agency RMBS/ABS/CMBS
This category includes residential mortgage-backed securities (RMBS), asset-backed securities (ABS), and
CMBS issued by an entity other than U.S. government agencies or U.S. GSEs. The amounts must be
separated into two sub-categories: IG and Sub-IG as based on the rating of the specific issuances.
Sub-category
Investment Grade
Sub-Investment Grade
Unstressed
Posted
CACNFC72
CACNFC73
Unstressed
Received
CACNFD02
CACNFD03
Stressed
Posted
CACNFD32
CACNFD33
Stressed
Received
CACNFD62
CACNFD63
Unstressed
Posted
CACNFC74
CACNFC75
CACNFC76
CACNFC77
CACNFC78
Unstressed
Received
CACNFD04
CACNFD05
CACNFD06
CACNFD07
CACNFD08
Stressed
Posted
CACNFD34
CACNFD35
CACNFD36
CACNFD37
CACNFD38
Stressed
Received
CACNFD64
CACNFD65
CACNFD66
CACNFD67
CACNFD68
Unstressed
Received
CACNFD09
CACNFD10
CACNFD11
CACNFD12
Stressed
Posted
CACNFD39
CACNFD40
CACNFD41
CACNFD42
Stressed
Received
CACNFD69
CACNFD70
CACNFD71
CACNFD72
Cash
This category includes cash in any currency and must be separated by currency into the following subcategories: USD, EUR, GBP, JPY, and Other.
Sub-category
USD
EUR
GBP
JPY
Other
Other
This category includes all asset types that are not reported in the other defined asset categories. The
amounts must be separated by the following sub-categories: Inflation-Indexed Securities, Commercial
Paper, Municipal Bonds, and Other. For the amount reported in Other, supporting documentation must be
submitted that provides details of the asset types within the sub-category.
Sub-category
Inflation-Indexed Securities
Commercial Paper
Municipal Bonds
Other
Unstressed
Posted
CACNFC79
CACNFC80
CACNFC81
CACNFC82
L.5.3— Aggregate SFTs by Internal Rating
Line Item Instructions
Information must be reported for all counterparties as grouped by internal rating, one line of information
for each internal rating. Posted and received amounts by asset category should be reported as actual markto-market amounts.
Internal rating (CACNM906)
Report the BHC's or IHC’s internal rating associated with the group of counterparties included in the
reported amounts. Counterparties must be grouped and reported for each internal rating.
External rating (CACNM907)
Report the external rating equivalent to the counterparty's internal rating. Provide an external rating from
a Nationally Recognized Statistical Rating Organization (NRSRO).
Net CE (CACNM912)
Report the aggregate Net CE of the counterparties associated with the reported rating bucket.
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Stressed Net CE (Severely Adverse - CACNFD73; Adverse - CACNFD74; BHC or IHC - CACNFD75)
Report the full revaluation of Net CE under applicable stressed conditions. Hold collateral constant; assume
no additional collection of collateral, but do apply stressed conditions to collateral.
Column Instructions (Asset Categories)
Indemnified Securities Lent (Notional Balance) (CACNFD76)
This category includes securities lent for which the respondent has provided borrower default
indemnification to the lender.
Indemnified Cash Collateral Reinvestment (Notional Balance) (CACNFD77)
This category includes cash that has been delivered as collateral for which the respondent has provided
default indemnification to the lender.
US Treasury & Agency (Repo Posted - CACNFD78; Repo Received - CACNFD79; Sec. Lending Posted CACNFD94; Sec. Lending Received - CACNFD95)
This category includes all U.S. Treasury securities, obligations issued by U.S. government agencies, and
obligations issued by U.S. government-sponsored enterprises (GSEs)( as defined in the FR Y-9C.
Agency MBS (Repo Posted - CACNFD80; Repo Received - CACNFD81; Sec. Lending Posted CACNFD96; Sec. Lending Received - CACNFD97)
This category includes mortgage-backed securities issued by a U.S. government agency as defined above.
Equities (Repo Posted - CACNFD82; Repo Received - CACNFD83; Sec. Lending Posted - CACNFD98;
Sec. Lending Received - CACNFD99)
This category includes publicly traded and privately issued equity securities.
Corporate Bonds (Repo Posted - CACNFD84; Repo Received - CACNFD85; Sec. Lending Posted CACNFE00; Sec. Lending Received - CACNFE01)
This category includes all debt obligations issued by any public or private entity that is not backed by the
full faith and credit of a single sovereign country; specifically, it includes supranationals.
Non-Agency (ABS, RMBS) (Repo Posted - CACNFD86; Repo Received - CACNFD87; Sec. Lending
Posted - CACNFE02; Sec. Lending Received - CACNFE03)
This category includes asset-backed securities and residential mortgage-backed securities not issued by a
U.S. government agency as defined above.
Sovereigns (Repo Posted - CACNFD88; Repo Received - CACNFD89; Sec. Lending Posted - CACNFE04;
Sec. Lending Received - CACNFE05)
This category includes debt issued by any sovereign state or organization backed by the full faith and credit
of a sovereign state other than debt issued by the U.S. Treasury or any U.S. Agency.
Other (Repo Posted - CACNFD90; Repo Received - CACNFD91; Sec. Lending Posted - CACNFE06; Sec.
Lending Received - CACNFE07)
This category includes any asset not defined in any of the above asset categories (US Treasury, Agency MBS,
Equities, Corporate Bonds, Non-Agency (ABS, RMBS), and Sovereigns) and excludes cash.
Cash (Repo Posted - CACNFD92; Repo Received - CACNFD93; Sec. Lending Posted - CACNFE08; Sec.
Lending Received - CACNFE09)
This category includes currency to be reported in U.S. dollar amount.
301
L.6— Derivative Profile by Counterparty and Aggregate
Stressed information is only required to be reported for the CCAR as-of quarter with the CCAR submission,
defined below.
Both positive and negative mark-to-market netting set level information must be reported.
Exposure amounts reported on this schedule for each consolidated counterparty should be calculated using
the same netting methodology as used in sub-schedules L.1a-L.1d. For example, the aggregate of the
positive mark-to-market netting set information reported on L.6.1 for a consolidated counterparty should
equal the Gross CE for that same counterparty on L.1. While there are cross-netting and other exceptions
that prevent exact equivalence, the amounts should generally be the same.
For positions with no legal netting agreement, amounts can be aggregated and reported as a single record.
The internal ratings categories reported on this schedule must be the same as those reported on L.1e.
For all fields on L.6, each reported mark-to-market amount must reflect the positive or negative
contribution to exposure upon counterparty default and close-out netting. For example, if margin or
collateral is posted to a counterparty, this would be reported as a positive amount and if collateral is
received from a counterparty, this would be reported a negative amount. In the case of netting collateral
posted against collateral received, net posted positions would be reported as a positive amount and net
received positions would be reported as a negative amount. Similarly, if a position has positive mark-tomarket value from the perspective of the respondent, the mark-to-market value would be reported as
positive and reflected as positive when performing netting computations against negative mark-to-market
positions. Additionally, purchased single-name CDS hedge notional amounts must be reflected as negative,
and sold single-name CDS exposure must be reflected as positive.
L.6.1— Aggregate derivative information by counterparty legal entity and netting set
Line item Instructions
Report the information required by each column for all CCPs, G-7 sovereign countries, and the top 25
consolidated counterparties that are not CCPs or G-7 sovereign countries. In the case a CCP itself is the bilateral counterparty to a derivative agreement, then the CCP must be included in the consideration of which
bi-lateral counterparties are the "top 25" as ranked by the ranking methodologies. Information in this
schedule is reported at a the level of netting sets.
For the submission of data for all quarterly submissions (i.e. “regular quarterly submissions”), the top 25
non-CCP and non-G-7 counterparties must be reported as ranked by at most two of the methodologies
listed below in separate tables. Ranking methodology (1) must be reported. If only one of methodologies
(2) or (3) is applicable, then the applicable methodology must be reported along with methodology (1). If
both methodologies (2) and (3) are applicable, then one of those two methodologies must be reported
along with methodology. For those counterparties included with the top 25 by methodology (1), only the
rank and identifying information (counterparty names, counterparty IDs, country, industry code etc.) must
be reported. CCPs and G7 sovereign counterparty exposures only need to be reported once.
Ranking Methodologies: (1) Rank by exposure amount (net of collateral) as defined in the capital
framework currently applicable to the respondent. (2) If the respondent utilizes an internally computed
exposure risk metric (e.g. potential future exposure), then rank by the internally computed exposure risk
metric. (3) If the respondent utilizes internally developed stress scenarios or scenario-based exposure risk
metric (e.g. stressed potential future exposure), then rank by the scenario that yields the largest aggregate
stressed exposure, or correspondingly by the stressed exposure risk metric. Supporting documentation
302
must be submitted that details the computation of the exposure amount as defined in the currently
applicable capital framework and, if applicable, the internal exposure/risk metric and the applied stress
scenario.
For the submission of data from the as-of quarter for CCAR (i.e. the “CCAR submission”), in addition to the
regular quarterly submission, the top 25 non-CCP and non-G-7 counterparties should be reported as
ranked by Stressed Net CE of the parent/consolidated counterparty under the supervisory severely
adverse scenario, the supervisory adverse scenario, and methodology (1) above. Each ranking
methodology must be reported in a separate table with the appropriate indicator in the Ranking
Methodology item. . For those counterparties that appear in more than one submission, only the rank,
identifying information (names, IDs, etc.), and any information not reported in any other submission must
be reported. Additionally, if any counterparties reported in L.6.1.a or L.6.1.b have been reported in the
regular quarterly submission for the as-of-quarter, unstressed information is not required to be reported in
the CCAR submission for those counterparties.
Netting Set Reporting:
Information must be reported for each netting set held with a legal entity of a consolidated counterparty
organization, even if the net current exposure for a given netting set is zero. For example, if a counterparty
has two subsidiaries, and two netting sets have been executed with the first subsidiary and one netting set
with the second subsidiary, then three lines of information would be reported for that counterparty. For a
given CCP, report results by "collateral group," i.e. netting set equivalent – a set of trades for which margin
is calculated. The Initial Margin and Guarantee Fund will be separate for each collateral group. To
determine the aggregate MtM exposure in situations where collateral is received by the BHC or IHC, sum
the positive MtM value of trades in each of the netting sets that comprise the collateral group.
Consolidated and Legal Entity Counterparty Reporting:
The consolidated counterparty name and ID must be consistent with sub-schedules L.1, L.2, and L.3, if
applicable. Other identifying information – industry, country, internal rating, external rating – must be
reported at the legal-entity level, i.e. for each reported legal entity.
Item Instructions
Subschedule ID (CACVM926)
The subschedule on which the consolidated counterparty is being reported, i.e. L.6.1 or L.6.1.a.
Rank (CACSM899)
The rank of the consolidated/parent counterparty as ordered according to the instructions above. For
CCPs, specify rank as “CCP”; for G-7 sovereigns, specify rank as “G7”.
Counterparty Name (consolidated organization) (CACSM900)
The name of the consolidated organization that is either a CCP, G-7 sovereign country, or one of the top 25
counterparties.
Parent/Consolidated Entity Counterparty ID (CACSR619)
A unique identifier (for example, alphanumeric) assigned to the counterparty reported in the Counterparty
Name column, which must be the parent/consolidated entity. The counterparty ID must be unique and
consistent across all sub-schedules.
Counterparty Legal Entity Name (CACS9017)
The name of the legal entity with whom the netting agreement was executed. This could be a subsidiary or
affiliate of the consolidated organization or the consolidated organization itself.
303
Legal Entity ID (CACSR621)
A unique identifier (for example, alphanumeric) assigned to the legal entity reported in the Counterparty
Legal Entity column, which must correspond to the parent/consolidated entity. This ID must be unique and
consistent across all sub-schedules
Netting Set ID (CACSM902)
A unique identifier (for example, alphanumeric) assigned to the netting agreement being reported. If a
netting set ID is not reported, this field must be populated with “NA.”
Industry Code (CACSR620), Country (CACSM905), and Rating (CACSM906)
As defined in Schedule L.1.
CSA Type (CACSR550)
Identifies the type of credit support annex (CSA) defined in the netting agreement. Possible options are: No
CSA, 1-way CSA, 2-way SCSA, 2-way old CSA, and Centrally Cleared. “No CSA” refers to positions with the
counterparty where no bilateral close-out netting agreement exists, or close-out netting is not legally
enforceable in the jurisdiction of the counterparty legal entity.
Independent Amount (non CCP) or Initial Margin (CCP) (CACSR551)
Report the net amount of initial margin posted by the CP legal entity if the margin is not held in a
bankruptcy remote account; and report only the margin received by the CP legal entity if the margin is held
in a bankruptcy remote account; and report only the margin received by the counterparty legal entity if the
margin is held in a bankruptcy remote account. Do not report the margin that the firm pledged to the CP
legal entity in a manner that is held in a bankruptcy remote account. Margin that was called but not yet
exchanged should not be included; and only those margin that was actually exchanged should be reported.
If the netting agreement is with a CCP legal entity, this amount is the net initial margin posted to the CCP
legal entity. The initial margin may be in the form of cash and/or securities; report the aggregate MtM value
of cash and securities. This amount, if positive, must be reported for all CCPs including those with which the
respondent has no active trades.
Non-Cash Collateral Type (CACSR552)
Identify the type(s) of non-cash collateral or initial margin allowed under the agreement. All posted
collateral/initial margin types should be reported and separated by a comma. Possible options are: U.S.
Debt, Non-U.S. Sovereign Debt, Investment Grade Corporate Debt, Public Equity, Public Convertibles, and
Other.
Excess Variation Margin (for CCPs) (CACSR553)
The total amount of excess variation margin (mark-to-market margin posted by the BHC or IHC in excess of
the CCP’s requirements) posted to the CCP legal entity under the agreement if the margin is not held in a
bankruptcy remote account. Do not report the excess variation margin held in a bankruptcy remote
account. Margin that was called but not yet exchanged should not be reported. Only margin that was
actually exchanged should be reported.
Default Fund (for CCPs) (CACSR554)
The amount required under the agreement to be contributed to the default fund of a CCP legal entity. This
amount, if positive, must be reported for all CCPs including those with which the respondent has no active
trades.
Threshold CP (CACSR555)
The threshold amount for each party is the amount of exposure that one party is willing to have to the
other party before the other party is required to post collateral.
304
Threshold BHC or IHC (CACSR556)
The threshold amount for each party is the amount of exposure that one party is willing to have to the
other party before the other party is required to post collateral.
Minimum Transfer Amount CP (CACSR557)
The minimum amount that must be transferred to the counterparty for any margin call.
Minimum Transfer Amount BHC or IHC (CACSR558)
The minimum amount that must be transferred to the BHC or IHC for any margin call.
Margining Frequency (CACSR559)
The frequency (in days) of margin calls, per the netting agreement.
CSA contractual features (non-vanilla) (CACSR560)
Indicates if any of the transactions conducted under the agreement have any non-vanilla contractual
features. Possible options are: Downgrade Trigger, Break Clause – Mandatory, Break Clause – Optional, and
Other. If more than one applies for a given netting set, list them all (comma separated).
Wrong Way Risk Position (CACSR561)
Indicates if any of the transactions conducted under the agreement are considered wrong-way risk
positions. Possible options are Specific, General, and None. The BHC and IHC should use its internal BAU
risk management process to determine whether an given transaction with the specific counterparty legal
entity is a wrong-way risk position, and if so whether it constitutes “specific” WWR or not.
Total Net Stressed CE (Severely Adverse - CACSR562; Adverse - CACSR563)
The full revaluation of Net CE for both derivative and SFT exposures to the legal entity under the FR
stressed market environment – one value for each supervisory global market shock scenario. This amount
should only be reported once per legal entity and should be the same in sub-schedules L.5.1 and L.6.1 if
reported on both schedules. The global market shock should be applied to all assets, including collateral,
prior to application of the max function. For a single netting agreement, this is calculated as the greater of
zero and the difference between the aggregate stressed mark-to-market value of securities or cash posted
to the counterparty legal entity and the aggregate stressed mark-to-market value of securities or cash
received from that counterparty legal entity.
This item is intended to capture all exposures (both SFTs and derivatives) to a consolidated counterparty
and reported at the legal-entity level. If there are also SFT exposures to a consolidated counterparty
reported on this sub-schedule, the SFT amounts must also be reported for each legal entity to which there
are SFT exposures and included in the Total Net Stressed CE item, even though the SFT exposures are not
included in any derivative agreement with that legal entity. If there are both derivative and SFT exposures
to a given legal entity, only the agreement details associated with the derivative exposures should be
reported.
Please note that any exposure type (SFTs or derivatives) to the consolidated counterparty must be
reported. So if there are only SFT exposures to a legal entity, that legal entity must be reported and the
associated stressed SFT Net CE amount would be reported in the Total Net Stressed CE item and 0 would
be reported in the Net Stressed CE item; the agreement details would be left blank.
Net Stressed CE (Severely Adverse - CACSR564; Adverse - CACSR565)
The full revaluation of Net CE for derivative exposures only under the FR stressed market environment –
one value for each supervisory global market shock scenario. The global market shock should be applied to
all assets, including collateral, prior to application of the max function. For a single netting agreement, this
is calculated as the greater of zero and the difference between the aggregate stressed mark-to-market value
of securities or cash posted to the counterparty legal entity and the aggregate stressed mark-to-market
value of securities or cash received from that counterparty legal entity.
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Unstressed Exposure MtM (CACSR566)
The mark-to-market value of exposure under the agreement, not including collateral but including netting
of positions where legally binding. This could be a positive or negative value. The aggregate of the positive
amounts for a given consolidated counterparty should be equivalent to the Gross CE for the consolidated
counterparty. When a legally-enforceable netting agreement is not in-place, this should be a sum of the
positive and negative mark-to-market values across positions associated with the consolidated
counterparty.
Stressed Exposure MtM (Severely Adverse - CACSR567; Adverse - CACSR568)
The mark-to-market value of exposure based on the full revaluation of all derivatives under the agreement,
as revalued according to the supervisory global market shock scenarios, not including collateral but
including netting of positions where legally binding. This could be a positive or negative value.
Total Unstressed MtM Cash Collateral (non-CCPs) (CACSR569)
The mark-to-market value of net cash collateral posted by the non-CCP legal entity under the netting
agreement, including netting where legally binding. This could be a positive or negative value. All collateral
reported should be eligible financial collateral. This amount is sub-divided by currency in the subsequent
columns. This item is not reported for CCPs.
Cash collateral (non CCPs) or Variation Margin (CCPs) MtM – USD (CACSR570), EUR (CACSR571),
GBP (CACSR572), JPY (CACSR573), Other (CACSR574)
Report the mark-to-market value of net cash collateral posted under the netting agreement by a non-CCP
legal entity or the variation margin posted to the CCP legal entity, in the respective currency, if the
collateral or margin is not held in a bankruptcy remote account. In cases where the collateral or margin is
held in a bankruptcy remote account, include only the amount received by the CP legal entity. Do not report
the collateral or margin that the firm pledged to the CP legal entity in a manner that is held in a bankruptcy
remote account. For CCP legal entities, if non-cash variation margin has been posted/received, report its
MtM value in USD equivalent under the Other category. For non-CCP legal entities, the total of these
columns should be equal to the amount reported in the column Total MtM Unstressed Cash Collateral (nonCCPs). Collateral or margin that was called but not yet exchanged should not be reported. Only collateral or
margin that was actually exchanged should be reported.
Total Unstressed MtM Collateral (non-CCPs) (CACSR575)
The net mark-to-market value of all collateral posted by the non-CCP legal entity under the netting
agreement. All collateral reported should be eligible financial collateral. This item is not reported for CCPs.
Stressed Cash Collateral MtM (Severely Adverse - CACSR576; Adverse - CACSR577)
For non-CCP legal entities, the mark-to-market value of the cash collateral reported in column Total
Unstressed MtM Cash Collateral (non-CCPs) as revalued under the supervisory global market shock
scenarios. For CCP legal entities, the mark-to-market value of the cash initial margin and non-USD cash
variation margin, as revalued under the supervisory global market shock scenarios.
Stressed Total Collateral MtM (Severely Adverse - CACSR578; Adverse - CACSR579)
For non-CCPs legal entities, the mark-to-market value of all collateral reported in the column Total
Unstressed MtM Collateral, as revalued under the supervisory global market shock scenarios. For CCP legal
entities, the mark-to-market value of the total (cash + non-cash) initial margin and (non-USD cash + noncash) variation margin, as revalued under the supervisory global market shock scenarios.
CDS Reference Entity Type (CACSR580)
The institution for which the five-year CDS spread is reported. The possible options are CP Legal Entity, CP
Parent, and Proxy. Use Proxy if and only if there is no internal mark for the CP legal entity or its parent and
provide the BHC’s or IHC’s internal proxy CDS spread under Five-Year CDS Spread and a commercially
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available CDS identifier under Counterparty Legal Entity Identifier (see below). In all other cases, if there is
an internal mark for the CP Legal Entity, choose “CP Legal Entity”, otherwise choose “CP Parent”.
Five-Year CDS Spread (CACSR581)
The quoted five-year CDS spread of the reference entity.
CDS Recovery (CACSR582)
The recovery rate associated with the quoted CDS spread.
Counterparty Legal Entity Identifier (CACS9224)
The official globally recognized legal entity identifier (LEI) of the CP legal entity. If an LEI is unavailable,
report a CDS identifier that is commercially available associated with the reported CDS spread (such as a
Markit RED code or Bloomberg CDS ticker). In case a commercially available CDS identifier is used, specify
the identifier as a string in the form “ | ”.
Wrong Way Risk Hedge (CACSR583)
Indicates if any portion of the CDS hedges are wrong-way risk positions with respect to the CDS
counterparty and the CDS reference entity. The BHC and IHC should use its internal BAU risk management
process to determine whether the CDS protection (e.g. sovereign CDS) with the specific counterparty legal
entity (e.g. bank in the sovereign) is a wrong-way hedge. Possible options are “Y” and “N”.
CDS Hedge Notional (CACSR584)
The notional amount of specific CDS hedges on the derivatives under the agreement. The specific CDS
hedges that are allowed to be included are bought plain-vanilla CDS protection (single-name and index,
where the index includes the CP legal entity as one of the reference entities) which do not have any nonvanilla contractual features, and do not constitute wrong-way positions.
CDS Hedge CR01 (CACSR585)
The CR01 of the CDS hedge, for the specific CDS positions.
Stressed Five-Year CDS Spread (Severely Adverse - CACSR586; Adverse - CACSR587)
The five-year CDS spread as stressed under the supervisory global market shock scenarios.
SCDS Hedge Stressed CR01 (Severely Adverse - CACSR588; Adverse - CACSR589)
CR01 of the CDS hedge under the supervisory global market shock scenarios, for the specific CDS positions,
under the supervisory global market shock scenarios.
Stressed CVA (Severely Adverse - CACSR590; Adverse - CACSR591)
CVA for the derivatives within the agreement as evaluated under the supervisory global market shock
scenarios.
L.6.2—Derivative assets posted and received by consolidated/parent counterparty.
Line item Instructions
Report the information required by each column for all CCPs, G-7 sovereign countries, and the top 25
counterparties that are not CCPs or G-7 sovereign countries. Information must be reported for each
consolidated counterparty organization and associated legal entities and netting sets reported in subschedule L.6.1. In the case a CCP itself is the bi-lateral counterparty to a derivative agreement, then the CCP
must be included in the consideration of which bi-lateral counterparties are the "top 25" as ranked by the
ranking methodologies
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Information in this schedule is reported at a the level of netting agreements. Information must be
reported for each netting set held with a legal entity of a consolidated counterparty organization, even if
the net current exposure for a given netting set is zero, and must correspond to the netting sets reported in
L.6.1. For example, if a counterparty has two subsidiaries, and two netting sets have been executed with the
first subsidiary and one netting set with the second subsidiary, then three lines of information would be
reported for that counterparty. For a given CCP, report results by "collateral group". The Initial Margin and
Guarantee Fund will be separate for each collateral group, which is a netting-set equivalent in that it is a set
of trades for which collateral is computed, of which there only may be only one depending on the CCP.
Subschedule ID (CACVM926)
The subschedule on which the consolidated counterparty is being reported, i.e. L.6.2 or L.6.2.a.
Rank (CACSM899)
The rank of the consolidated/parent counterparty as ordered according to the instructions above. For CCP
legal entities, specify rank as “CCP”; for G-7 sovereigns, specify rank as “G7”.
Counterparty Name (consolidated organization) (CACSM900)
The name of the consolidated organization that is either a CCP, G-7 sovereign country, or one of the top 25
counterparties.
Parent/Consolidated Entity Counterparty ID (CACSR619)
A unique identifier (for example, alphanumeric) assigned to the counterparty reported in the Counterparty
Name column. The counterparty ID must be unique and consistent across sub-schedules in this schedule.
Counterparty Legal Entity Name (CACS9017)
The name of the legal entity with whom the netting agreement was executed. This could be a subsidiary or
affiliate of the consolidated organization or the consolidated organization itself.
Legal Entity ID (CACSR621)
A unique identifier (for example, alphanumeric) assigned to the legal entity reported in the Counterparty
Legal Entity column, which must correspond to the parent/consolidated entity. This ID must be unique and
consistent across all sub-schedules
Netting Set ID (CACSM902)
A unique identifier (for example, alphanumeric) assigned to the netting set being reported.
Derivative Types
Report the unstressed and stressed mark-to-market exposure amounts for the categories of derivatives
below. For any derivative contract that contains optionality, “vanilla” means American or
European style with no additional contract features. All others should be classified as either “structured” or
“exotic.” Derivative contracts that do not contain optionality are considered “vanilla.”
Derivative Type
Vanilla Interest Rate
Vanilla FX
Vanilla Commodity (Cash)
Vanilla Credit
Vanilla Equity
Structured Interest Rate
Flow Exotic and Structured FX
Other Cash & Physical Commodity
Other (Single Name) Credit
Structured (Multi-Name) Credit
Unstressed
CACSR592
CACSR593
CACSR594
CACSR595
CACSR596
CACSR597
CACSR598
CACSR599
CACSR600
CACSR601
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Stressed
CACSR606
CACSR607
CACSR608
CACSR609
CACSR610
CACSR611
CACSR612
CACSR613
CACSR614
CACSR615
Exotic Equity
Hybrids
Structured Products (MBS, ABS)
Other
L.7— Notes to the CCR Schedule
CACSR602
CACSR603
CACSR604
CACSR605
CACSR616
CACSR617
CACSR618
CACSR655
Use this sub-schedule to submit voluntarily any additional information (e.g., data) that gives clarity on the
portfolio. More than one additional tab may be provided. If the BHC or IHC elects to provide additional
data, this should include an explanation of the additional data and why it is provided. If the data links to
data in other tabs of the CCR schedule, then a clear data identifier must be provided such that tabs may be
merged if necessary (see mergeability requirements above).
Schedule M—Balances
Schedule M.1 – Quarter-end Balances
For each line item listed below, report all loans and leases held for investment (HFI) or held for sale (HFS).
Include the fair value of all loans held for investment and all loans held for sale that the holding company
has elected to report at fair value under a fair value option (FVO). In column A report loans held for
investment at amortized cost (HFI at AC) in domestic offices. In column B report loans held for sale or
measured at fair value under a fair value option in domestic offices. In column C report loans held for
investment at amortized cost in international offices. In column D report loans held for sale or measured at
fair value under a fair value option in international offices. Report all dollar amounts in millions.
The balances reported here should be consistent with the balances reported on Schedule HC-C of the FR Y9C for corresponding line items. For example, the reported balance of loans held in domestic offices
secured by first liens on residential real estate (line 1.a.(1).(a), column A + line 1.a.(1).(a), column B + line
1.a.(1).(b), column A, + line 1.a.(1).(b), column B) should equal the balance of such loans reported on
Schedule HC-C of the FR Y-9C (line 1.c.(2).(a), column B). A more comprehensive list of relationships
between this schedule and the FR Y-9C will be included with the technical instructions provided to all
submitting institutions.
Line item 1.a.(1).(a), First mortgages
Report first mortgage loans that meet the loan criteria defined in FR Y-9C, Schedule HC-C, line 1.c.(2).(a).
Do not include first lien closed-end home equity loans.
Line item 1.a.(1).(b), First lien HELOANs
Report first lien closed-end home equity loans (HELOANs) that meet the loan criteria defined in FR Y-9C,
Schedule HC-C, line 1.c.(2).(a). Do not include first mortgages.
Line item 1.a.(2).(a), Junior lien HELOANs
Report junior lien closed-end home equity loans (HELOANs) that meet the loan criteria defined in FR Y-9C,
Schedule HC-C, line 1.c.(2).(b).
Line item 1.a.(2).(b), HELOCs
Report home equity lines of credit (HELOCs) that meet the loan criteria defined in FR Y-9C, Schedule HC-C,
line 1.c.(1).
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Line item 1.b.(1), Construction and land development
Report construction and land development (CLD) loans that meet the loan criteria defined in FR Y-9C,
Schedule HC-C, lines 1.a.(1) and 1.a.(2).
Line item 1.b.(2), Multifamily real estate
Report multifamily real estate loans that meet the loan criteria defined in FR Y-9C, Schedule HC-C, line 1.d.
Line item 1.b.(3).(a), Owner-occupied nonfarm nonresidential
Report owner occupied nonfarm nonresidential loans that meet the loan criteria defined in FR Y-9C,
Schedule HC-C, line 1.e.(1).
Line item 1.b.(3).(b), Non-owner-occupied nonfarm nonresidential
Report non-owner-occupied loans that meet the loan criteria defined in FR Y-9C, Schedule HC-C, line 1.e.(2).
Line item 1.c, Secured by farmland
Report loans secured by farmland that meet the loan criteria defined in FR Y-9C, Schedule HC-C, line 1.b.
Line item 2.a, Graded C&I loans
Report graded C&I loans included in FR Y-9C, Schedule HC-C, lines 4.a and 4.b. Also include non-purpose
loans reported in lines 4.a and 4.b of Schedule HC-C of the FR Y-9C regardless of whether those loans are
graded. Do not include scored or delinquency managed small business loans, small/medium enterprise
(SME) cards, or corporate cards.
Line item 2.b, Small business loans
Report small business loans included in FR Y-9C, Schedule HC-C, lines 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.(2), and
10.b. Small business loans are loans that are “scored” or “delinquency managed” for which a commercial
internal risk rating is not used or that uses a different scale than other corporate loans. Do not include
graded loans, SME cards, corporate cards, non-purpose loans, or loans for purchasing and carrying
securities.
Line item 2.c, SME cards and corporate cards
Report SME card and corporate card loans included in FR Y-9C, Schedule HC-C, lines 4.a, 4.b, 6.a, 6.b, 6.d,
and 9.b.(2). SME cards are credit card accounts where the loan is underwritten with the sole proprietor or
primary business owner as an applicant. Corporate cards are employer-sponsored credit cards for use by a
company’s employees. Only include cards where there is any individual liability associated with the sublines such that the individual borrower characteristics are taken into account during the underwriting
decision and/or performance of the credit is reported to the credit bureaus. Do not include loans for which
a commercially-graded corporation is ultimately responsible for repayment of credit losses (such loans
should be reported as graded C&I loans or other commercial loans).
Line item 3.a, Bank cards
Report bank card loans included in FR Y-9C, Schedule HC-C, line 6.a. Do not include SME card and
corporate card loans.
Line item 3.b, Charge cards
Report charge card loans to consumers included in FR Y-9C, Schedule HC-C, line 6.a and 6.d. Do not include
SME card and corporate card loans or loans for which a commercially-graded corporation is ultimately
responsible for repayment of credit losses.
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Line item 4.a, Auto loans
Report auto loans included in FR Y-9C, Schedule HC-C, line 6.c.
Line item 4.b, Student loans
Report student loans included in FR Y-9C, Schedule HC-C, lines 6.b and 6.d.
Line item 4.c, Non-purpose lending
Report non-purpose loans included in FR Y-9C, Schedule HC-C, lines 6.b and 6.d. Non-purpose loans are
loans collateralized by securities made for any purpose other than purchasing or carrying securities.
Line item 4.d, Auto leases
Report auto leases included in FR Y-9C, Schedule HC-C, line 10.a.
Line item 4.e, Other consumer loans
Report all other consumer loans included in FR Y-9C, Schedule HC-C, lines 6.b and 6.d that are not reported
elsewhere on this schedule.
Line item 4.f, Other consumer leases
Report all other consumer leases included in FR Y-9C, Schedule HC-C, line 10.athat are not reported
elsewhere on this schedule.
Line item 5.a, Loans to foreign governments
Report graded loans to foreign governments included in FR Y-9C, Schedule HC-C, line 7. Also include nonpurpose loans reported in line 7 of Schedule HC-C of the FR Y-9C regardless of whether those loans are
graded. Do not include scored or delinquency managed loans reported as small business loans above.
Line item 5.b, Agricultural loans
Report graded agricultural loans included in FR Y-9C, Schedule HC-C, line 3. Also include non-purpose
loans reported in line 3 of Schedule HC-C of the FR Y-9C regardless of whether those loans are graded. Do
not include scored or delinquency managed loans reported as small business loans above.
Line item 5.c, Securities lending
Report all loans for purchasing or carrying securities included in FR Y-9C, Schedule HC-C, line 9.b.(1).
Line item 5.d, Loans to financial institutions
Report graded loans to financial institutions included in FR Y-9C, Schedule HC-C, lines 2.a, 2.b, and 9.a. Also
include non-purpose loans reported in lines 2.a, 2.b, and 9.a of Schedule HC-C of the FR Y-9C regardless of
whether those loans are graded. Do not include scored or delinquency managed loans reported as small
business loans above.
Line item 5.e, Other commercial loans
Report other graded commercial loans included in FR Y-9C, Schedule HC-C, line 9.b.(2). Also include nonpurpose loans reported in line 9.b.(2) of Schedule HC-C of the FR Y-9C regardless of whether those loans
are graded. Do not include scored or delinquency managed loans reported as small business loans above,
SME and corporate card loans reported as SME and corporate card loans, or charge cards reported as
charge cards above.
Line item 5.f, Other commercial leases
Report other graded commercial leases included in FR Y-9C, Schedule HC-C, line 10.b. Also include nonpurpose loans reported in line 10.b of Schedule HC-C of the FR Y-9C regardless of whether those loans are
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graded. Do not include scored or delinquency managed loans reported as small business loans above.
Schedule M.2 - FR Y-9C Reconciliation
For the select portfolios from Schedule M.1 listed below, report the balance of loans included in the
indicated line items on Schedule HC-C of the FR Y-9C. In column A report loans held for investment at
amortized cost (HFI at AC). In column B report loans held for sale (HFS) or measured at fair value under a
fair value option (FVO). Report all dollar amounts in millions.
The balances reported here should be consistent with the balances reported on Schedule M.1 for the
corresponding portfolios. For example, the reported balance of small business loans held for investment at
amortized cost (lines 1.a to 1.h, column A) should equal the balance of such loans reported on Schedule M.1
(line 2.b, column A + line 2.b, column C). A more comprehensive list of relationships between this schedule,
Schedule M.1, and the FR Y-9C will be included with the technical instructions provided to all submitting
institutions.
1. Small business loans
For each of the following line items under line 1, report the small business loans reported in line 2.b in
Schedule M.1 that are included in the indicated line item on Schedule HC-C of the FR Y-9C:
Line item 1.a - Report loans included in FR Y-9C, Schedule HC-C, lines 2.a and 2.b.
Line item 1.b - Report loans included in FR Y-9C, Schedule HC-C, line 3.
Line item 1.c - Report loans included in FR Y-9C, Schedule HC-C, lines 4.a and 4.b.
Line item 1.d - Report loans included in FR Y-9C, Schedule HC-C, line 7.
Line item 1.e - Report loans included in FR Y-9C, Schedule HC-C, line 9.a.
Line item 1.f - Report loans included in FR Y-9C, Schedule HC-C, line 9.b.(2).
Line item 1.g - Report loans included in FR Y-9C, Schedule HC-C, line 10.b.
2. SME cards and corporate cards
For each of the following line items under line 2, report the SME card and corporate card loans reported in
line 2.c in Schedule M.1 that are included in the indicated line item on Schedule HC-C of the FR Y-9C:
Line item 2.a - Report loans included in FR Y-9C, Schedule HC-C, lines 4.a and 4.b.
Line item 2.b - Report loans included in FR Y-9C, Schedule HC-C, line 6.a.
Line item 2.c - Report loans included in FR Y-9C, Schedule HC-C, line 6.b.
Line item 2.d - Report loans included in FR Y-9C, Schedule HC-C, line 6.d.
Line item 2.e - Report loans included in FR Y-9C, Schedule HC-C, line 9.b.(2).
3. Charge cards
For each of the following line items under line 3, report the charge card loans reported in line 3.b in
Schedule M.1 that are included in the indicated line item on Schedule HC-C of the FR Y-9C:
Line item 3.a - Report loans included in FR Y-9C, Schedule HC-C, line 6.a.
Line item 3.b - Report loans included in FR Y-9C, Schedule HC-C, line 6.d.
4. Student loans
For each of the following line items under line 4, report the student loans reported in line 4.b in Schedule
M.1 that are included in the indicated line item on Schedule HC-C of the FR Y-9C:
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Line item 4.a - Report loans included in FR Y-9C, Schedule HC-C, line 6.b.
Line item 4.b - Report loans included in FR Y-9C, Schedule HC-C, line 6.d.
5. Non-purpose consumer lending
For each of the following line items under line 5, report the non-purpose loans reported in line 4.c in
Schedule M.1 that are included in the indicated line item on Schedule HC-C of the FR Y-9C:
Line item 5.a - Report loans included in FR Y-9C, Schedule HC-C, line 6.b.
Line item 5.b - Report loans included in FR Y-9C, Schedule HC-C, line 6.d.
Schedule M.3 - Principal Balance of Retail Loans in Domestic Offices Held for Investment at
Amortized Cost by Purchase Credit Impairment
For each line item listed below, report the book value and unpaid principal balance (UPB) of all retail loans
and leases held for investment at amortized cost (HFI at AC) in domestic offices by purchase credit
impairment status. Do not include loans held for sale or loans measured at fair value under a fair value
option. Do not include loans held in international offices. In column A report the book value of nonpurchase credit impaired (non-PCI) loans. In column B report the UPB of non-PCI loans. In column C
report the book value of purchase credit impaired (PCI) loans. In column D report the UPB of PCI loans.
Report all dollar amounts in millions.
For the purposes of this schedule, the book value of a loan held for investment at amortized cost is the
original cost of the loan less any write-downs associated with depreciation, amortization, or impairment
costs. The UPB of the loan is the total principal amount outstanding as of the end of the reporting period
and should not reflect any accounting based write-downs or purchase credit impairments.
The book value reported here should be consistent with the balances reported on Schedule M.1 for the
corresponding portfolios. For example, the book value of first mortgages held for investment at amortized
cost in domestic offices (line 1.a.(1).(a), column A + line 1.a.(1).(a), column C) should equal the balance of
such loans reported on Schedule M.1 (line 1.a.(1).(a), column A). A more comprehensive list of
relationships between this schedule and Schedule M.1 will be included with the technical instructions
provided to all submitting institutions.
1.a.(1).(a), First mortgages
Report first mortgage loans that are reported in line 1.a.(1).(a) in Schedule M.1.
1.a.(1).(b), First lien HELOANs
Report first lien closed-end home equity loans (HELOANs) that are reported in line 1.a.(1).(b) in Schedule
M.1.
1.a.(2).(a), Junior lien HELOANs
Report junior lien closed-end home equity loans (HELOANs) that are reported in line 1.a.(2).(a) in Schedule
M.1.
1.a.(2).(b), HELOCs
Report home equity lines of credit (HELOCs) that are reported in line 1.a.(2).(b) in Schedule M.1.
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2.a., Bank cards
Report bank card loans that are reported in line 3.a in Schedule M.1.
2.b., Charge cards
Report charge card loans that are reported in line 3.b in Schedule M.1.
3.a., Auto loans
Report auto loans that are reported in line 4.a in Schedule M.1.
3.b., All other consumer loans and leases
Report all other consumer loans and leases that are reported in lines 4.b, 4.c, 4.d, 4.e, and 4.f in Schedule
M.1.
Appendix A: FR Y-14Q Supporting Documentation
Supporting Documentation for Schedule C – Regulatory Capital Instruments
Additional Information required for capital instrument issued (Tied to C. 3: Regulatory Capital
Instruments Issuances During Quarter)
For all capital instruments except for common stock that were issued during the quarter, include as a
separate attachment to the schedule submission the prospectus supplement, certificate of designation, or
the indenture for the instrument.
Supporting Documentation for Schedule D – Regulatory Capital Transitions
Additional Information Required for Each Planned Action (Tied to D.6)
In addition to the information provided within the Planned Action worksheet, BHCs and IHCs are also
required to submit additional information related to the actual progress made on its planned actions
through the report date.
At a minimum, the document should address the following:
•
•
The status of the action during the reporting quarter, and how it compares to the BHC’s or IHC’s
projection for the planned action to date. This should state whether the BHC or IHC is on-track in terms
of meeting its planned action strategy relative to the impact it projected for the corresponding action in
its most recent FR Y-14A Regulatory Capital Transitions schedule submission, and/or how it has
deviated from the strategy and the rationale behind the changes.
The supplemental document should also describe in detail any new actions the BHC or IHC has taken,
which was not part of its proposed planned actions as submitted per the FR Y-14A Regulatory Capital
Transitions schedule.
This quarterly information related to each planned action must be provided in a separate attachment and
should be titled: BHCRSSD_BHCMNEMONIC_ REGCAPTRANS_QTRLYUPDATE_ACTION#_YYMMDD.
Note that the “#” in this file name must correspond with the appropriate “Action #” in column A of the
Planned Actions Worksheet of the most recent FR Y-14A submission.
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Supporting Documentation for Schedule L – Counterparty
The supporting document should be titled BHCRSSD_BHCMNEMONIC_CCR_METHODOLOGY_YYMMDD.
BHCs and IHCs should submit separate documents for different models and/or methodologies. The
documents should be titled: BHCRSSD_BHCMNEMONIC_CCR_METHODOLOGY_MODELTYPE_YYMMDD.
Model Type refers to Trading Issuer Default, CVA and Counterparty Default Losses. These instructions are
also provided in the FR Y-14A instructions.
The documentation should include a detailed description of the methodologies used to estimate Trading
Issuer Default, CVA, and Counterparty Default losses under the stress scenarios reported on the FR Y-14A
Summary schedule as well as methodologies used to produce the data in the FR Y-14Q CCR schedule (only
for the CCAR as of quarter). All information relevant for supervisors to understand the approach should
be included, and it should be transparent in the documentation where to find the response to each item.
Any differences between the BHC or IHC and the FR scenarios in methodology, position capture, or other
material elements of the loss modeling approach should be clearly described. It is expected that for some
BHCs or IHCs, there will be BHC or IHC-specific or other material methodological items in addition to those
specifically listed in the instructions. These additional items should be included in the documentation as
well.
As part of the detailed methodology document, BHCs and IHCs should provide an Executive Summary that
gives an overview of each model and answers each of the questions below. If one of the questions below is
not fully addressed in the Executive Summary, cite the document name and page number(s) of the
methodology document that fully addresses the question.
In addition to the Executive Summary, there should be a section of the methodology document devoted to
any divergence from the instructions to the Counterparty Risk sub-schedule or the FR_Y-14A Schedule. Use
this section to explain any data that is missing or not provided as requested. This section should also be
used to describe where and how judgment was used to interpret an instruction.
Supporting documentation for a given model should be submitted at the same time as the loss estimates
derived from that model. For example, Trading IDR supporting documentation should be submitted along
with FR Y-14Q Schedule F and CVA and Default Loss supporting documentation should be submitted along
with FR Y-14Q Schedule L.
Trading Issuer Default Losses (Trading IDL)
1. Data and systems
a. What product types are included and excluded? Specifically, comment on whether equities are excluded
and what types of securitized products, if any, are excluded. Comment on the materiality of any
exclusions.
b. Are there any issuer type exclusions? Comment on the materiality of any exclusions.
c. Are there any exposure measurement or trade capture limitations impacting the Trading IDL estimate
in Item 1 on the Counterparty Risk sub-schedule in the SUMMARY_SCHEDULE or the data provided in
sub-schedules Corporate Credit-Advanced, Corporate Credit-EM, Sovereign Credit, Credit Correlation,
IDR-Corporate Credit, or IDR-Jump To Default in the FR_Y-14Q_TRADING Schedule? If so, please
elaborate in the documentation, particularly where these limitations understate losses.
d. Are there any discrepancies in position capture between the MV and Notionals reported in subschedules Corporate Credit-Advanced, Corporate Credit-EM, Sovereign Credit, Credit Correlation, or
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IDR- Corporate Credit in the FR_Y-14Q_TRADING Schedule? If so, please elaborate on the discrepancies
in the documentation.
e. Are any index or structured exposures decomposed/unbundled into single name exposures on the IDR
Corp Credit or IDR Jump to Default sub-schedules in the FR_Y-14Q_TRADING Schedule? If so, provide a
description of the exposures that are decomposed and the methodology used.
f. What types of CVA hedges are included in the FR_Y-14Q_TRADING Schedule and Item 10 on the Trading
sub-schedule of the SUMMARY_SCHEDULE (e.g., market risk hedges, counterparty risk hedges)? Which,
if any, of these hedges are excluded from the Trading IDR loss estimates (Item 1 on the Counterparty
Risk sub-schedule of the SUMMARY_SCHEDULE)? Confirm that hedges modeled in Trading IDR are
excluded from CCR IDR.
2. PD methodology
a. How is the severity of default risk treated? Is a stressed expected PD used, or is it an outcome in the
tail of the default distribution? If an outcome in the tail is used, what is the tail percentile?
b. How is default risk represented over the horizon of the stress test? Is a cumulative two- year PD or a
one-year PD used as a model input? How is migration risk captured?
c. What data sources and related time periods are used to generate the assumptions on stressed
expected PD or the default distribution? In the documentation, provide a breakdown of PDs (e.g., by
rating, asset category). Provide stressed PDs if a stressed PD is used, or provide PD inputs if an
outcome in the tail is used.
3. Correlation assumptions
a. What correlation assumptions are used in the Trading IDL models?
4. LGD methodology
a. Do the models assume a static LGD or a stochastic LGD with a non-zero recovery rate volatility?
i. If a static LGD is used, were the mean LGDs stressed? What data sources and related time
periods were used to determine the LGDs? In the methodology documentation, provide the
relevant breakdown of LGDs used in the model (e.g., by ratings, asset category).
ii. If a stochastic LGD is used, elaborate on the assumptions generating the stochastic LGD in the
documentation, including assumptions on the LGD mean and volatility and rationale for
modeling choices.
5. Liquidity horizon
a. What liquidity horizon assumptions are used?
6. Exposure at default (EAD)
a. What Exposure at Default (EAD) is used for Trading IDL? For example, is the calculation based on
actual issuer exposures, stressed exposures, a mix of both, or something else? If exposures are
stressed, please explain how the exposures were stressed.
7. Treatment of gains
a. Are any gains being reflected in the Trading IDL calculations? If so, elaborate in the documentation
how gains are treated.
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8. Model validation and documentation
a. For any models used to report numbers in the SUMMARY_SCHEDULE or the FR_Y-14Q_Trading that
are also used in Business as Usual (BAU) production, have those models been validated as used in
BAU? If so, attach model validation documents. If not, elaborate in the documentation on any review
process.
b. For any ad-hoc models used for CCAR that would not have been previously validated, what review if
any has occurred? Elaborate in the documentation where appropriate.
CVA Losses
1. Divergence from instructions
a. In the FR_Y-14Q_CCR or Summary Schedules, is bilateral CVA included in any element of the
submission (i.e., CVA where the counterparty default probabilities are conditional on the survival of
the BHC or IHC)? If so, elaborate in the documentation.
b. Are CVA hedges considered or included in any aspect of the firm’s CVA loss reporting or CVA
calculations? If so, please provide detail and document where CVA data are reported net of hedges on
the FR_Y_14Q_CCR Schedule or Item 2 on the Counterparty Risk sub-schedule in the
SUMMARY_SCHEDULE.
c. In calculating Stressed Net CE in sub-schedules 1a, 1b, 1c, 1d, and 1e in FR_Y-14Q_CCR, are there any
occasions where it is assumed additional collateral has been collected after the shock? If so, elaborate
in the documentation.
d. Are there any counterparties for which your firm did not fully implement the FR specification for the
EE profiles on sub-schedule 2 in the FR_Y-14Q_CCR? If so, elaborate in the documentation.
e. Are there any counterparties for which your firm substituted ‘Country of Risk’ for ‘Country of Domicile’
in the FR_Y-14Q_CCR? If so, elaborate in the documentation.
2. Data and systems
In the documentation, clearly identify, describe, and comment on the materiality (in both exposure and CVA
loss terms) of any exclusions that prevent 100% capture of counterparties or trades. At a minimum,
address the questions below and elaborate in the documentation where appropriate.
a. As firms are required to report only counterparties comprising 95% of CVA on sub-schedule 1a of
FR_Y-14Q_CCR, please provide detailed information on the composition of counterparties comprising
the remaining 5%, including any relevant industry concentrations or counterparties with significant
default risk.
b. Are any counterparties on sub-schedule 1a of FR_Y-14Q_CCR excluded from sub-schedule 2? Where
specific counterparties are reported as Top counterparties by 95% of Total CVA on one sub-schedule
of the Schedule, but are not listed on other sub-schedules, list these counterparties in the
documentation by name and provide a reason for their exclusion.
c. Are any counterparties excluded from the unstressed or stressed aggregate data reported in subschedules 1e, 2, or 3 of FR_Y-14Q_CCR or the losses reported in the SUMMARY_SCHEDULE
SUMMARY_SCHEDULE (Item 2 in the Counterparty Risk sub-schedule)? In the documentation,
elaborate on the nature, materiality, and rationale for these exclusions.
d. Please ensure that the methodology documentation includes a description of how stressed or
unstressed discount factors are included in the CVA calculation.
e. Do the expected exposure (EE) profiles, CDS spreads, PDs, LGDs, discount factors, as provided on sub317
f.
g.
h.
i.
j.
k.
l.
m.
schedule 2, come from the same systems as those used for the calculation of CVA losses as provided in
the SUMMARY_SCHEDULE (Item 2 in the Counterparty Risk sub-schedule)? If not, elaborate in the
documentation.
For unstressed and stressed CVA reported in the FR_Y-14Q_CCR Schedule, which counterparties,
counterparty types, or trade types are calculated offline or using separate methodologies? Why are
they calculated offline or with a different methodology? Elaborate in the documentation.
Are any add-ons used to calculate stressed CVA in the FR_Y-14Q_CCR Schedule? Elaborate regarding
the nature and rationale for each type of add-on in the documentation.
Are there any additional/ offline CVA reserves reported in sub-schedule 1e in theFR_Y-14Q_CCR
Schedule? If so, elaborate about the nature of these reserves in the documentation. Explain what
counterparties, counterparty types, or trade types are included, why are they calculated as reserves,
and how they are stressed.
Are there any exposure measurement or product capture limitations impacting the loss estimate in
Item 2 on the Counterparty Risk sub-schedule in the SUMMARY_SCHEDULE? If so, make sure to
elaborate in the documentation, particularly where these limitations understate losses.
Does the firm conduct a reconciliation between the sum of items 15(a) in Schedule HC-L of the FRY-9C
and the aggregate unstressed Gross CE on sub-schedule 1e of the FRY-14Q_CCR Schedule? Note that
the figures in the FRY-9C are called "net current credit exposure", as the "net" refers to counterparty
netting.
Are all sensitivities/ slides provided as requested? If slides are not provided as requested in the FR_Y14Q_CCR Schedule, elaborate in the documentation why they are missing or not provided correctly.
Are the sensitivities/ slides provided in sub-schedule 4 of FR_Y-14Q_CCR sourced from the same
calculation engine and systems as used for the firm's loss estimates (Item 2 in the Counterparty Risk
sub-schedule in the SUMMARY_SCHEDULE)? If not, elaborate in the documentation.
Elaborate on how sensitivities/ slides in sub-schedule 4 of FR_Y-14Q_CCR were determined to be
material. What qualifies a risk factor as immaterial?
3. LGD methodology
a. For the LGD used to calculate PD, are market implied recovery rates used? If not, elaborate on the
source of the LGD assumption in the methodology documentation.
b. Is the same recovery/LGD used in the CVA calculation as is used to calculate PDs from the CDS spread?
If not, in the documentation provide a detailed rationale and backup data to support the use of a
different LGD, and provide the source of the LGD used to calculate CVA.
4. Exposure at default (EAD)
a. What Margin Period of Risk (MPOR) assumptions are used for unstressed and stressed CVA?
b. Are collateral values stressed in the numbers reported in the FR_Y_14Q_CCR Schedule or Items 2 or 3
on the Counterparty Risk sub-schedule in the SUMMARY_SCHEDULE? If so, elaborate on the stress
assumptions applied.
c. In the FR_Y-14Q_CCR sub-schedule 2, for the BHC or IHC specification, are downgrade triggers
modeled in the exposure profiles?
5. Application of shocks
a. Are the shocks applied to CVA (for calculating Item 2 in the Counterparty Risk sub-schedule in the
SUMMARY_SCHEDULE as well as the Stressed figures reported in FR_Y-14Q_CCR) the same as those
applied to the Trading Book (Item 10 in the Trading sub-schedule in the SUMMARY_SCHEDULE)?
Where they differ, or where shocks applied diverge from the FR shock scenario, elaborate in the
documentation.
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6. Model validation and documentation
a. For any models used to report numbers in the SUMMARY_SCHEDULE or the FR_Yb. 14Q_CCR that are also used in Business as Usual (BAU) production, have those models been validated
as used in BAU? If so, attach model validation documents. If not, elaborate in the documentation on any
review process.
c. For any ad-hoc models used for CCAR that would not have been previously validated, what review if
any has occurred? Elaborate in the documentation where appropriate.
Counterparty Default Losses (CDL)
1. Data and systems
a. Are there any exposure capture or measurement limitations related to counterparties, products or
trades impacting the loss estimate in Item 3 on the Counterparty Risk sub-schedule in the
SUMMARY_SCHEDULE? If so, please elaborate in the documentation, particularly where these
limitations understate losses.
b. What types of CVA hedges are included in CDL? Confirm that hedges modeled were excluded from
Trading IDL.
2. PD methodology (if applicable)
a. How is the severity of default risk treated? Is a stressed expected PD used, or is it an outcome in the
tail of the default distribution? If an outcome in the tail is used, what is the tail percentile?
b. How is default risk represented over the horizon of the stress test? Is a cumulative two- year PD or a
one-year PD used as a model input? How is migration risk captured?
c. What data sources and related time periods are used to generate the assumptions on stressed
expected PD or the default distribution? In the documentation, provide a breakdown of PDs (e.g., by
rating, counterparty type). Provide stressed PDs if a stressed PD is used, or provide PD inputs if an
outcome in the tail is used.
3. Correlation assumptions (if applicable)
a. What if any correlation assumptions are used calculating Default Losses?
4. LGD methodology (if applicable)
a. Do the models assume a static LGD or a stochastic LGD with a non-zero recovery rate volatility?
b. If a static LGD is used, are the mean LGDs stressed? What data sources and related time periods are
used to determine the LGDs? In the methodology documentation, provide the relevant breakdown of
LGDs used in the model (e.g., by ratings, counterparty type).
c. If a stochastic LGD is used, elaborate on the assumptions generating the stochastic LGD in the
documentation, including assumptions on the LGD mean and volatility and rationale for modeling
choices.
5. Liquidity horizon (if applicable)
a. What liquidity horizon assumptions are used?
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6. Exposure at default (EAD) (if applicable)
a. Provide an overview of how EAD is modeled for Default Losses?
b. Are any downgrade triggers assumed in the Default Loss model? If so, elaborate in the documentation.
c. What Margin Period of Risk (MPOR) assumptions are modeled in Default Losses?
7. Treatment of gains (if applicable)
a. Are any gains being reflected in the Default Losses calculations? If so, elaborate in the documentation
how gains are treated.
8. Model validation and documentation
a. For any models used to report numbers in the SUMMARY_SCHEDULE or the FR_Y-14Q_CCR that are
also used in Business as Usual (BAU) production, have those models been validated as used in BAU? If
so, attach model validation documents. If not, elaborate in the documentation on any review process.
b. For any ad-hoc models used for CCAR that would not have been previously validated, what review if
any has occurred? Elaborate in the documentation where appropriate.
9. Other
As the firm considers any additional firm-wide losses beyond OTC derivative and SFT transaction losses
that could result from the default or potential default of a counterparty or counterparties, please detail and
document those losses.
Supplemental Data Collection
Please provide a detailed description of the data provided in each table of the supplemental data collection
schedule.
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