Banking Organization Systemic Risk Report

Board of Governors of the Federal Reserve System

Instructions for Preparation of

Banking Organization Systemic Risk Report

Reporting Form FR Y-15
Reissued March 2018

Contents

GENERAL INSTRUCTIONS FOR PREPARATION OF THE BANKING ORGANIZATION
SYSTEMIC RISK REPORT
Who Must Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
A. Reporting Criteria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B. Shifts in Reporting Status . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C. Rules of Consolidation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D. Exclusions from coverage of the consolidated report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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Where to Submit the Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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When to Submit the Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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How to Prepare the Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
A. Applicability of GAAP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B. Report Form Captions and Instructional Detail. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C. Rounding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D. Negative Entries. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E. Confidentiality. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
F. Verification and Signatures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
G. Amended Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
H. Data Items Automatically Retrieved from Other Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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LINE ITEM INSTRUCTIONS FOR THE BANKING ORGANIZATION SYSTEMIC
RISK REPORT
Schedule A – Size Indicator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Schedule B – Interconnectedness Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Schedule C – Substitutability Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Schedule D – Complexity Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Schedule E – Cross-Jurisdictional Activity Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Schedule F – Ancillary Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Schedule G – Short-Term Wholesale Funding Indicator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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Optional Narrative Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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GLOSSARY OF TERMS AND EDITS FOR THE BANKING ORGANIZATION SYSTEMIC
RISK REPORT
Glossary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Validity Edits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Quality Edits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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FR Y-15
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INSTRUCTIONS FOR PREPARATION OF

Banking Organization
Systemic Risk Report
FR Y-15

General Instructions
Who Must Report
A. Reporting Criteria
The following banking organizations must file the Banking Organization Systemic Risk Report (FR Y-15) as of
the last calendar day of March, June, September, and
December:
(1) Holding Companies with Total Consolidated Assets
of $50 Billion or More. Bank holding companies
(BHCs), covered savings and loan holding companies (SLHCs)1, and intermediate holding companies
(IHCs) that have total consolidated assets of $50
billion or more, including those U.S. top-tier holding
companies that are subsidiaries of foreign banking
organizations, must file the FR Y-15, subject to
applicable phase-in arrangements. Only the top tier
of a multi-tiered holding company that meets these
criteria must file.
(2) U.S.-Based Organizations Designated as Global
Systemically Important Banks. Any BHC organized under the laws of the U.S. or any of the states
therein that was identified as a global systemically
important bank (G-SIB) based on their most recent
method 1 score calculation2 must file the FR Y-15
even if they do not meet the consolidated assets
threshold.
B. Shifts in Reporting Status
A top-tier holding company that reaches $50 billion or
more in total consolidated assets as of June 30 must begin
1. Covered SLHCs are those which are not substantially engaged in
insurance or commercial activities. For more information, see the definition of ‘‘covered savings and loan holding company’’ provided in 12 CFR
217.2.
2. See 12 CFR 217.402.
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General Instructions December 2016

reporting the FR Y-15 in December of the same year. If a
top-tier holding company reaches $50 billion or more in
total consolidated assets due to a business combination, a
reorganization, or a branch acquisition that is not a
business combination, then the holding company must
begin reporting the FR Y-15 with the first quarterly
report date following the effective date of the business
combination, reorganization, or branch acquisition. If a
holding company’s total consolidated assets should subsequently fall to less than $50 billion for four consecutive
quarters, then the holding company is no longer required
to file the FR Y-15 starting with the fifth quarter.
A new reporting organization that does not have 12
months of data to report should use a pro-rata approach to
calculate the flow variables each quarter. This would
consist of using a pro-rata annualized factor applied to
each of the flow variables until the banking organization
has 4 full quarters to provide yearly numbers.
C. Rules of Consolidation
For purposes of this report, all offices (i.e., branches,
subsidiaries, variable interest entities and international
banking facilities (IBFs)) that are within the scope of the
consolidated holding company are to be reported on a
consolidated basis. Unless the instructions specifically
state otherwise, this consolidation shall be on a line-byline basis, according to the caption shown. As part of the
consolidation process, the results of all transactions and
all intercompany balances (e.g., outstanding asset/debt
relationships) between offices, subsidiaries, and other
entities included in the scope of the consolidated holding
company are to be eliminated in the consolidation and
must be excluded from the FR Y-15.
Subsidiaries of Subsidiaries. For a subsidiary of a holding company that is in turn the parent of one or more
subsidiaries: (1) Each subsidiary shall consolidate its
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General Instructions

majority-owned subsidiaries in accordance with the consolidation requirements set forth above. (2) Each subsidiary shall account for any investments in unconsolidated
subsidiaries, corporate joint ventures over which the
holding company exercises significant influence, and
associated companies according to the equity method of
accounting.
D. Exclusions from coverage of the consolidated
report
Subsidiaries where control does not rest with the parent. If control of a majority-owned subsidiary by the
holding company does not rest with the holding company
because of legal or other reasons (e.g., the subsidiary is in
bankruptcy), the subsidiary is not required to be consolidated for purposes of the report. Additional guidance on
this topic is provided in accounting standards, including
Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Subtopic 810-10, Consolidation - Overall.
Custody accounts. Custody and safekeeping activities
(i.e., the holding of securities, jewelry, coin collections,
and other valuables in custody or in safekeeping for
customers) must not be reflected on any basis in the
balance sheet items on the FR Y-15 unless cash funds
held in safekeeping for customers are commingled with
the general assets of the reporting holding company. In
such cases, the commingled funds would be reported.
The exclusion of custody accounts does not apply to line
items specifically capturing assets under custody.

The term “submission date” is defined as the date by
which the Federal Reserve must receive the banking
organization’s FR Y-15.
If the submission deadline falls on a weekend or holiday,
the report must be received on the first business day after
the Saturday, Sunday, or holiday. Earlier submission aids
the Federal Reserve in reviewing and processing the
reports and is encouraged. No extensions of time for
submitting reports are granted.
The reports are due by the end of the reporting day on the
submission date (5:00 P.M. at each district Federal
Reserve Bank).

How to Prepare the Report
A. Applicability of GAAP
Banking organizations are required to prepare and file the
FR Y-15 in accordance with U.S. generally accepted
accounting principles (GAAP) and these instructions.
The report shall be prepared in a consistent manner. The
banking organization’s financial records shall be maintained in such a manner and scope so as to ensure that the
FR Y-15 can be prepared and filed in accordance with
these instructions and reflect a fair presentation of the
banking organization’s financial condition and results of
operations.
Banking organizations should retain workpapers and
other records used in the preparation of this report.
B. Report Form Captions and Instructional Detail

Where to Submit the Report
Electronic Submission
All banking organizations must submit their completed
report electronically. Banking organizations should contact their district Reserve Bank or go to
www.frbservices.org/centralbank/reportingcentral/ for
procedures for electronic submission.

When to Submit the Report
The FR Y-15 is required to be submitted as of March 31,
June 30, September 30, and December 31. The submission date is 50 calendar days after the March 31, June 30,
and September 30 as-of dates and 65 calendar days after
the December 31 as-of date. Note that the quarterly
reporting requirement became effective starting with the
June 30, 2016 as-of date.
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No caption on the report forms shall be changed in any
way. Enter an amount or a zero for all items except in the
cases where the data are calculated automatically or
retrieved from another report. The items retrieved from
other reports are listed in the General Instructions under
Section H (Data Items Automatically Retrieved from
Other Reports).
There may be areas in which a banking organization
wishes to obtain more technical detail on the application
of accounting standards and procedures to the requirements of these instructions. Such information may be
found in more detail in the GAAP standards. Selected
sections of the GAAP standards are referenced in the
instructions where appropriate.
Questions and requests for interpretations of matters
appearing in any part of these instructions should be
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General Instructions

addressed to the appropriate Federal Reserve Bank (that
is, the Federal Reserve Bank in the district where the
banking organization submits this report).
C. Rounding
Report all dollar amounts in thousands. Each banking
organization, at its option, may round the figures reported
to the nearest million, with zeros reported in the thousands column. For banking organizations exercising this
option, amounts less than $500,000 will be reported as
zero. Rounding could result in details not adding to their
stated totals. However, to ensure consistent reporting, the
rounded detail items must be adjusted so that the totals
and the sums of their components are identical.
D. Negative Entries
Except for the item listed below, negative entries are
generally not appropriate on the FR Y-15 and should not
be reported. Hence, assets with credit balances must be
reported in liability items and liabilities with debit balances must be reported in asset items, as appropriate, and
in accordance with these instructions. The only items for
which a negative entry may be made are: Schedule A,
item 3(b), ‘‘Regulatory adjustments;’’ Schedule F, item 4,
‘‘Total net revenue;’’ and, Schedule F, item 5, ‘‘Foreign
net revenue.’’ When a negative entry does occur for these
items, it shall be recorded with a minus (-) sign rather
than in parentheses.
E. Confidentiality
Except as otherwise noted, the collected information will
be made available to the public. The following line items
will be kept confidential until the first reporting date after
the final liquidity coverage ratio disclosure standard has
been implemented: Schedule G, items 1 through 4.
A reporting banking organization may request confidential treatment for items on the FR Y-15 if the banking
organization is of the opinion that, due to the institution’s
particular circumstances or activities, disclosure of specific commercial or financial information in the report
would likely result in substantial harm to its competitive
position, or that disclosure of the submitted information
would result in unwarranted invasion of personal privacy.
A request for line-item confidentiality must be submitted
in writing prior to, or concurrently with, the electronic
submission of the report. The request must discuss in
writing the justification for which confidentiality is
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General Instructions September 2016

requested and must demonstrate the specific nature of the
harm that would result from public release of the information. Merely stating that competitive harm would
result or that information is personal is not sufficient.
Information for which confidential treatment is requested
may subsequently be released by the Federal Reserve
System if the Board of Governors determines that the
disclosure of such information is in the public interest.
For data items automatically retrieved from the Consolidated Financial Statements for Holding Companies (FR
Y-9C), line-item confidentiality must be requested in the
context of the FR Y-9C. Should confidentiality for any
such item be granted, confidential status will automatically extend to the corresponding data item on the FR
Y-15 (see General Instructions, Section H). Confidential
status will also extend to any automatically-calculated
items on the FR Y-15 that have been derived from the
confidential data item and that, if released, would reveal
the underlying confidential data.
F. Verification and Signatures
Estimates. For institutions filing this report for the first
time, reasonable estimates are permitted.
Verification. All addition and subtraction should be
double-checked before the report is submitted. Totals and
subtotals should be cross-checked to corresponding items
elsewhere in the report. Before a report is submitted, all
amounts should be compared with the corresponding
amounts in the previous report. If there are any unusual
changes from the previous report (i.e., differences that are
not attributable to general organic growth and/or standard
fluctuations in the business cycle), a brief explanation of
the changes should be provided to the appropriate Federal Reserve Bank. Banking organizations should contact
their district Reserve Bank for information regarding the
submission procedure.
Signatures. The FR Y-15 must be signed by the Chief
Financial Officer of the banking organization (or by the
individual performing this equivalent function). By signing the cover page of this report, the authorized officer
acknowledges that any knowing and willful misrepresentation or omission of a material fact on this report
constitutes fraud in the inducement and may subject the
officer to legal sanctions provided by 18 USC 1001 and
1007.
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General Instructions

Banking organizations must maintain in their files a
manually signed and attested printout of the data
submitted. The cover page of the submitted report should
be used to fulfill the signature and attestation requirement. This page should be attached to the printout placed
in the banking organization’s files.
G. Amended Reports
When the Federal Reserve’s interpretation of how GAAP
or these instructions should be applied to a specified
event or transaction (or series of related events or transactions) differs from the reporting banking organization’s
interpretation, the Federal Reserve may require the banking organization to reflect the event(s) or transaction(s) in
its FR Y-15 in accordance with the Federal Reserve’s
interpretation and to amend previously submitted reports.
The Federal Reserve will consider the materiality of such
event(s) or transaction(s) in making a determination
about requiring the banking organization to apply the
Federal Reserve’s interpretation and to amend previously
submitted reports. Materiality is a qualitative characteristic of accounting information which is defined in Financial Accounting Standards Board (FASB) Concepts No. 2
as ‘‘the magnitude of an omission or misstatement of
accounting information that, in the light of surrounding
circumstances, make it probable that the judgment of a
reasonable person relying on the information would have
been changed or influenced by the omission or misstatement.’’
The Federal Reserve may require the filing of an amended
FR Y-15 if the report as previously submitted contains
significant errors. In addition, a banking organization
must file an amended report when internal or external
auditors make audit adjustments that result in a restatement of financial statements previously submitted to the
Federal Reserve.
The Federal Reserve also requests that banking organizations that have restated their prior period financial statements as a result of an acquisition submit revised reports
for the prior year-ends. In the event that certain of the
required data are not available, banking organizations
should contact the appropriate Federal Reserve Bank for
information on submitting revised reports.
H. Data Items Automatically Retrieved from Other
Reports
Certain data collected on the FR Y-15 may also be
collected in other reports submitted to the Federal
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Reserve. If the banking organization files the other
reports at the same level of consolidation as is required
for the FR Y-15, the duplicate data items will be populated automatically. If the source report is due to be
submitted after the FR Y-15, respondents may submit the
FR Y-15 with the data items from the other report left
blank. Respondents will then need to resubmit the report
after the source report has been filed so that the missing
data is automatically populated.
If the banking organization files the FR Y-9C for the
same reporting period using the same calculation method
(i.e., point-in-time or period average), then the following
data items will be populated automatically:
(1) Schedule B, item 15, ‘‘Subordinated debt securities’’
(FR Y-9C, Schedule HC, items 19(a) and 19(b))
(2) Schedule B, item 16, ‘‘Commercial paper’’ (FR Y9C, Schedule HC-M, item 14(a))
(3) Schedule D, item 5, ‘‘AFS securities’’ (FR Y-9C,
Schedule HC, items 2(b) and 2(c))
(4) Schedule D, item 10, ‘‘Assets valued using Level 3
measurement inputs’’ (FR Y-9C, Schedule HC-Q,
item 7, Column E)
(5) Schedule D, item M.1, ‘‘Held-to-maturity securities’’
(FR Y-9C, Schedule HC, item 2(a))
(6) Schedule F, item 1, ‘‘Total liabilities’’ (FR Y-9C,
Schedule HC, item 21)
(7) Schedule F, item 3, ‘‘Total gross revenue’’ (FR Y-9C,
Schedule HI, item 1(h) plus item 5(m))
(8) Schedule F, item 4, ‘‘Total net revenue’’ (FR Y-9C,
Schedule HI, item 1(h) plus item 5(m) minus item
2(f))
If the banking organization files the Country Exposure
Report (FFIEC 009) for the same reporting period, then
the following data item will be populated automatically:
(1) Schedule E, item 1, ‘‘Foreign claims on an ultimaterisk basis’’ (FFIEC 009, Schedule C, Part II, Columns 1 through 10, Total Foreign Countries)
If the banking organization files the Regulatory Capital
Reporting for Institutions Subject to the Advanced Capital Adequacy Framework (FFIEC 101) for the same
reporting period, then the following data items will be
populated automatically:
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General Instructions

(1) Schedule A, item 1(a), “Current exposure of derivative contracts” (FFIEC 101, Schedule A, item 2.4)
(2) Schedule A, item 1(b), “Potential future exposure
(PFE) of derivative contracts” (FFIEC 101, Schedule A, item 2.5)
(3) Schedule A, item 1(c), “Gross-up for derivatives
collateral” (FFIEC 101, Schedule A, item 2.6)
(4) Schedule A, item 1(d), “Effective notional amount
of written credit derivatives” (FFIEC 101, Schedule A, item 2.9)
(5) Schedule A, item 1(e), “Cash variation margin
included as an on-balance sheet receivable”
(FFIEC 101, Schedule A, item 2.7)
(6) Schedule A, item 1(f), “Exempted central counterparty legs of client-cleared transactions included in
items 1(a) and 1(b)” (FFIEC 101, Schedule A, item
2.8)

FR Y-15
General Instructions December 2016

(7) Schedule A, item 1(g), “Effective notional amount
offsets and PFE adjustments for sold credit protection” (FFIEC 101, Schedule A, item 2.10)
(8) Schedule A, item 2(a), “Gross SFT assets”
(FFIEC 101, Schedule A, item 2.12)
(9) Schedule A, item 2(b), “Counterparty credit risk
exposure for SFTs” (FFIEC 101, Schedule A, item
2.14)
(10) Schedule A, item 2(c), “SFT indemnification and
other agent-related exposures” (FFIEC 101, Schedule A, item 2.15)
(11) Schedule A, item 2(d), “Gross value of offsetting
cash payables” (FFIEC 101, Schedule A, item 2.13)
(12) Schedule A, item 3(a), “Other on-balance sheet
assets” (FFIEC 101, Schedule A, item 2.1)

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LINE ITEM INSTRUCTIONS FOR

Size Indicator
Schedule A

General Instructions
Unless otherwise indicated, all advanced approaches
banking organizations must report the data in this schedule using quarter averages. For on-balance sheet items,
report averages over the reporting period using daily
data. For off-balance sheet items, report averages over
the reporting period using monthly data (i.e., provide the
average of the three month-end balances within the
quarter). Off-balance sheet items include the potential
future exposure of derivative contracts (item 1(b)), the
effective notional amount of offsets and PFE adjustments
for sold credit protection (item 1(g)), counterparty credit
risk exposure for SFTs (item 2(b)), SFT indemnification
and other agent-related exposures (item 2(c)), and other
off-balance sheet exposures (item 4). Except where otherwise indicated, respondents that are not advanced
approaches banking organizations must either report all
of the data in this schedule using averages or report all of
the data using point-in-time values.
Include all positions, regardless of whether they are
included in the trading or banking book. The amounts
provided must be net of specific provisions and valuation
adjustments. Several items involve securities financing
transactions (SFTs) (i.e., repo-style transactions), which
are transactions such as repurchase agreements, reverse
repurchase agreements, and securities lending and borrowing, where the value of the transactions depends on
the market valuations and the transactions are often
subject to margin agreements.

Total Exposures
Line Item 1 Derivative exposures:
Line Item 1(a) Current exposure of derivative
contracts.
Report the current exposure (i.e., replacement cost) of all
derivative contracts, cleared and non-cleared, net of
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Schedule A

December 2016

qualifying cash variation margin. For advanced
approaches banking organizations, report the average
current exposure of all derivative contracts, cleared and
non-cleared, net of qualifying cash variation margin,
using daily data.
When acting as a financial intermediary in clearing client
derivative contracts (i.e., the principal model, where the
banking organization facilitates the clearing of derivatives by becoming a direct counterparty to both the client
and the central counterparty (CCP)), include exposures to
the CCP and the clearing member client. Where a
clearing member banking organization guarantees the
performance of a client to a CCP (and would thus have a
payment obligation to the CCP in the event of a client
default) (i.e., the agency model), the clearing member
banking organization must treat the exposure associated
with the guarantee as a derivative contract and report the
associated current exposure. However, do not include the
exposure if the client and the clearing member are
affiliates and consolidated on the banking organization’s
balance sheet. For more information, see the Glossary
entry for ‘‘qualifying cash variation margin.’’ For a
definition of derivative contract, see 12 CFR 217.2.
This item is equivalent to Part 2, line 4 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,
Table 13).
Line Item 1(b) Potential future exposure (PFE) of
derivative contracts.
Report the potential future exposure for transactions
included in item 1(a), calculated in accordance with 12
CFR 217.34(a). For advanced approaches banking organizations, report the average potential future exposure for
transactions included in item 1(a), calculated in accordance with 12 CFR 217.34(a), using monthly data.
Include derivative contracts to which the banking organization is a counterparty (or each single-product netting
set of such transactions) along with cleared transactions.
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Schedule A

Note that a banking organization may not use cash
variation margin to reduce the net or gross current credit
exposure in the calculation of the net-to-gross ratio.

This item is equivalent to Part 2, line 9 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,
Table 13).

This item is equivalent to Part 2, line 5 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,
Table 13).

Line Item 1(e) Cash variation margin included as
an on-balance sheet receivable.

Line Item 1(c) Gross-up for derivatives collateral.
Report the amount of posted cash and non-cash collateral
that the banking organization uses to offset the negative
mark-to-fair values of associated derivative contracts.
For advanced approaches banking organizations, report
the average amount of posted cash and non-cash collateral that the banking organization uses to offset the
negative mark-to-fair values of associated derivative
contracts using daily data. Do not include qualifying cash
variation margin. Include cash collateral that is reported
under the GAAP offset option that is not qualifying cash
variation margin. Only include the amount of posted
non-cash collateral that has been deducted from the
on-balance sheet assets value reported in item 3(a). For
more information, see the Glossary entry for ‘‘qualifying
cash variation margin.’’
This item is equivalent to Part 2, line 6 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,
Table 13).
Line Item 1(d) Effective notional amount of
written credit derivatives.
Report the effective notional principal amount (that is,
the apparent or stated notional principal amount multiplied by the effective multiplier in the derivative contract) of credit derivatives, or other similar instruments,
through which the banking organization provides credit
protection (e.g., credit default swaps or total return swaps
that reference instruments with credit risk, such as
bonds). For advanced approaches banking organizations,
report the average effective notional principal amount of
credit derivatives, or other similar instruments, through
which the banking organization provides credit protection, using monthly data. This value represents the
amount owed upon a default event. The effective notional
principal amount of sold credit protection that the banking organization clears on behalf of a clearing member
client through a CCP may be excluded.
A-2

Report the amount of qualifying cash variation margin,
which is posted to a counterparty to a derivative contract
and included in item 3(a) as an on-balance sheet receivable. Only include cash variation margin that meets the
criteria outlined in 12 CFR 217.10(c)(4)(ii)(C). For
advanced approaches banking organizations, report the
average amount of qualifying cash variation margin,
which is posted to a counterparty to a derivative contract
and included in item 3(a) as an on-balance sheet receivable, using daily data. For more information, see the
Glossary entry for ‘‘qualifying cash variation margin.’’
This item is equivalent to Part 2, line 7 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,
Table 13).
Line Item 1(f) Exempted central counterparty legs
of client-cleared transactions included in items 1(a)
and 1(b).
Report the current exposure and the PFE for the exempted
CCP legs of client-cleared transactions under the principal model (i.e., where the clearing member banking
organization did not guarantee the performance of the
CCP to the client) that are included in items 1(a) and
1(b), respectively. For advanced approaches banking
organizations, report the average current exposure using
daily data and the average PFE using monthly data for
the exempted CCP legs of client-cleared transactions that
are included in items 1(a) and 1(b), respectively.
This item is equivalent to Part 2, line 8 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,
Table 13).
Line Item 1(g) Effective notional amount offsets
and PFE adjustments for sold credit protection.
Report the value of effective notional principal amount
offsets and PFE adjustments for sold credit protection.
For advanced approaches banking organizations, report
the average value of effective notional principal amount
offsets and PFE adjustments for sold credit protection
using monthly data. Offsets include any reduction in the
mark-to-fair value of the sold credit protection that is
Schedule A

FR Y-15
December 2016

Schedule A

recognized in common equity tier 1 capital, along with
the effective notional principal amount of purchased
credit derivatives or similar instruments that meet the
following criteria (see 12 CFR 217.10(c)(4)(ii)(D)(2)):
(1) The remaining maturity of the credit protection purchased must be equal to or greater than the remaining
maturity of the credit protection sold; and,
(2) The reference obligation of the purchased credit
protection must be pari passu with or junior to the
underlying reference obligation of the credit protection sold. If the sold credit protection references a
tranched product, the purchased credit protection
must be on a reference obligation with the same level
of seniority.
If the effective notional amount of this sold credit
protection is included in item 1(d), the associated PFE
may be reported as an adjustment to avoid doublecounting (see CFR 217.10(c)(4)(ii)(B)(1) and (2)). However, the associated PFE may not be reported as an
adjustment if it is already being offset through purchased
credit protection.
Note that the effective notional amount of sold credit
protection may be reduced by any negative change in fair
value reflected in common equity tier 1 capital provided
that the effective notional amount of the offsetting purchased credit protection is also reduced by any resulting
positive change in fair value reflected in common equity
tier 1 capital. If a banking organization purchases credit
protection through a total return swap and records the net
payments received as net income but does not record
offsetting deterioration in the mark-to-fair value of the
sold credit protection on the reference exposure (either
through reductions in fair value or by additions to
reserves) in common equity tier 1 capital, the banking
organization may not reduce the effective notional principal amount of the sold credit protection.
This item is equivalent to Part 2, line 10 of the supplemental leverage ratio disclosure table (see 12 CFR
217.173, Table 13).

Line Item 2 Securities financing transaction (SFT)
exposures:
Line Item 2(a) Gross SFT assets.
Report the gross value of on-balance sheet assets related
to securities financing transactions. For advanced
approaches banking organizations, report the average
gross value of on-balance sheet assets related to securities financing transactions using daily data. Do not
include securities that are already included in item 3(a)
(e.g., securities received as collateral in a principal
securities lending transaction that have not been rehypothecated or sold). Include the gross value of cash
receivables for reverse repurchase agreements. Include
securities sold under a repurchase agreement or a securities lending transaction that qualify for sales treatment
under GAAP.
This item is equivalent to Part 2, line 12 of the supplemental leverage ratio disclosure table (see 12 CFR
217.173, Table 13).
Line Item 2(b) Counterparty credit risk exposure
for SFTs.
Report the counterparty credit risk exposure for SFTs.
For advanced approaches banking organizations, report
the average counterparty credit risk exposure for SFTs
using monthly data. Counterparty exposure is determined
as the gross fair value of the securities and cash provided
to a counterparty for all transactions included within a
qualifying master netting agreement less the gross fair
value of the securities and cash received from the counterparty for those transactions, or zero, whichever is
greater (see the definition of ‘‘qualifying master netting
agreement’’ in 12 CFR 217.2). For transactions that are
not subject to a qualifying master netting agreement,
report the exposure on a transaction-by-transaction basis,
with each SFT treated as its own netting set. Do not
include transactions where the banking organization acts
as an agent, as these exposures are captured separately in
item 2(c).
This item is equivalent to Part 2, line 14 of the supplemental leverage ratio disclosure table (see 12 CFR
217.173, Table 13).

Line Item 1(h) Total derivative exposures.

Line Item 2(c) SFT indemnification and other
agent-related exposures.

The sum of items 1(a) through 1(d), minus the sum of
items 1(e) through 1(g).

For transactions where the banking organization acts as
an agent and provides an indemnity to a customer, report

FR Y-15
Schedule A

December 2015

A-3

Schedule A

the gross fair value of the securities and cash lent for all
transactions within a qualifying master netting agreement
less the gross fair value of the securities and cash
received from the counterparty for those transactions, or
zero, whichever is greater. For advanced approaches
banking organizations, report the average gross fair
value, using monthly data, of the securities and cash lent
for all transactions within a qualifying master netting
agreement less the gross fair value of the securities and
cash received from the counterparty for those transactions, or zero, whichever is greater. For transactions that
are not subject to a qualifying master netting agreement,
report the exposure on a transaction-by-transaction basis,
with each individual transaction treated as its own netting
set. In cases where the indemnification exceeds the
calculated difference described above, report the full
value of the guarantee. If the banking organization’s
exposure to the underlying security or cash in a transaction extends beyond the indemnification (e.g., when the
banking organization manages received collateral using
their own account rather than the customer’s account),
the full value of the underlying security or cash must be
reported.
This item is equivalent to Part 2, line 15 of the supplemental leverage ratio disclosure table (see 12 CFR
217.173, Table 13).
Line Item 2(d) Gross value of offsetting cash
payables.
Report the gross value of cash payables associated with
repurchase agreements that are permitted to offset the
cash receivables included in item 2(a). For advanced
approaches banking organizations, report the average
gross value of cash payables associated with repurchase
agreements that are permitted to offset the cash receivables included in item 2(a), using daily data. Such offset
is permitted when the related SFTs are with the same
counterparty, subject to the same explicit settlement date,
and within a qualifying master netting agreement (see the
definition of ‘‘qualifying master netting agreement’’ in 12
CFR 217.2) and are limited to the gross value of the
related cash receivable.
This item is equivalent to Part 2, line 13 of the supplemental leverage ratio disclosure table (see 12 CFR
217.173, Table 13).

Line Item 3
Line Item 3(a)

Other on-balance sheet exposures:
Other on-balance sheet assets.

Report the balance sheet carrying value of all on-balance
sheet assets, including collateral but excluding the
on-balance sheet assets for derivative transactions and
repo-style transactions. Include the amount of on-balance
sheet cash and collateral received from counterparties in
derivative transactions. For advanced approaches banking organizations, report the average balance sheet carrying value of all on-balance sheet assets, including collateral but excluding the on-balance sheet assets for
derivative transactions and repo-style transactions, using
daily data.
This item is equivalent to Part 2, line 1 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,
Table 13).
Line Item 3(b) Regulatory adjustments.
Report the amount of regulatory adjustments from common equity tier 1 capital and additional tier 1 capital
under the fully phased-in requirements of Regulation Q
(see 12 CFR 217.22).1 These adjustments include the
deduction of goodwill and intangibles, deferred tax
assets, and hedging gains and losses. Report adjustments
that reduce tier 1 capital as a positive value. If the
adjustment increases tier 1 capital, report the value with a
minus (-) sign. All respondents must provide a point-intime value, including advanced approaches banking organizations.
This item is equivalent to Part 2, line 2 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,
Table 13).
Line Item 4 Other off-balance sheet exposures:
For this item, do not include off-balance sheet exposures
associated with derivatives transactions or SFTs, as these
are already being captured in items 1 and 2, respectively.
Securities collateral that has been received by the bank
and which is not recorded as an on-balance sheet asset
under the relevant accounting standard should not be
included in this item.

Line Item 2(e) Total SFT exposures.
The sum of items 2(a) through 2(c), minus item 2(d).
A-4

1. See www.gpo.gov/fdsys/browse/collectionCfr.action.

Schedule A

FR Y-15
December 2016

Schedule A

Line Item 4(a) Gross notional amount of items
subject to a 0% credit conversion factor (CCF).

the treatment of off-balance sheet exposures under the
standardized approach to credit risk, see 12 CFR 217.33.

Report the gross notional amount of off-balance sheet
items subject to a 0% credit conversion factor under the
standardized approach to credit risk (this includes the
unused portion of commitments which are unconditionally cancellable at any time by the bank without prior
notice). For advanced approaches banking organizations,
report the average gross notional amount, using monthly
data, of off-balance sheet items subject to a 0% credit
conversion factor under the standardized approach to
credit risk. For more information on the treatment of
off-balance sheet exposures under the standardized
approach to credit risk, see 12 CFR 217.33.

Line Item 4(d) Gross notional amount of items
subject to a 100% CCF.

Line Item 4(b) Gross notional amount of items
subject to a 20% CCF.
Report the gross notional amount of off-balance sheet
items subject to a 20% credit conversion factor under the
standardized approach to credit risk. For advanced
approaches banking organizations, report the average
gross notional amount, using monthly data, of offbalance sheet items subject to a 20% credit conversion
factor under the standardized approach to credit risk.
This would include commitments with an original maturity up to one year that are not unconditionally cancelable
and short-term self-liquidating trade letters of credit
arising from the movement of goods (e.g., documentary
credits collateralized by the underlying shipment). For
more information on the treatment of off-balance sheet
exposures under the standardized approach to credit risk,
see 12 CFR 217.33.
Line Item 4(c) Gross notional amount of items
subject to a 50% CCF.
Report the gross notional amount of off-balance sheet
items subject to a 50% credit conversion factor under the
standardized approach to credit risk. For advanced
approaches banking organizations, report the average
gross notional amount, using monthly data, of offbalance sheet items subject to a 50% credit conversion
factor under the standardized approach to credit risk.
This includes commitments with an original maturity of
more than one year that are not unconditionally cancelable and transaction-related contingent items such as
performance bonds, bid bonds, warranties, and performance standby letter of credit. For more information on
FR Y-15
Schedule A

December 2015

Report the gross notional amount of off-balance sheet
items subject to a 100% credit conversion factor under
the standardized approach to credit risk. For advanced
approaches banking organizations, report the average
gross notional amount, using monthly data, of offbalance sheet items subject to a 100% credit conversion
factor under the standardized approach to credit risk.
This includes guarantees, credit-enhancing representations and warranties that are not securitization exposures,
financial standby letters of credit, and forward agreements. Do not include exposures associated with SFTs,
as these are already captured in item 2. For more
information on the treatment of off-balance sheet exposures under the standardized approach to credit risk, see
12 CFR 217.33.
Line Item 4(e) Credit exposure equivalent of other
off-balance sheet items.
The sum of 0.1 times item 4(a), 0.2 times item 4(b), 0.5
times item 4(c), and item 4(d). This total represents the
credit exposure equivalent of the other off-balance sheet
items, with the 0% credit conversion factor subject to a
10% floor.
This item is equivalent to Part 2, line 19 of the supplemental leverage ratio disclosure table (see 12 CFR
217.173, Table 13).
Line Item 5 Total exposures prior to regulatory
deductions.
The sum of items 1(h), 2(e), 3(a), and 4(e).
This item is equivalent to the sum of Part 2, lines 1 and
21 minus Part 2, line 3 of the supplemental leverage ratio
disclosure table (see 12 CFR 217.173, Table 13).
Line Item 6 Does item 5 represent an average
value over the reporting period?
Specify whether or not the holding company has reported
the subcomponents of item 5 using average values over
the reporting period. Advanced approaches banking organizations must report this data using averages. Respondents that are not advanced approaches banking organizations may choose to report the data using averages,
A-5

Schedule A

though they are not required to do so. Enter a ‘‘1’’ for
Yes; enter a ‘‘0’’ for No.

Memoranda
Line Item M1 Securities received as collateral in
securities lending.
Report the amount of securities included in item 3(a) that
have been received as collateral in principal securities
lending transactions but have not been rehypothecated or
sold. All respondents must provide a point-in-time value,
including advanced approaches banking organizations.
Line Item M2 Cash collateral received in conduit
securities lending transactions.
Report the cash collateral received in conduit securities
lending transactions. In conduit securities lending transactions, a bank borrows securities from one party and
directly on-lends the identical securities to another party.
The bank acts as an intermediary between the security
owner and the ultimate borrower, essentially substituting
their own credit for that of the borrower. The securities in

A-6

question may not be part of a general inventory available
for onward lending. Instead, the bank will only obtain the
securities at such time as they can directly fulfil an
outstanding order from the ultimate borrower. Report the
collateral regardless of whether or not the transaction is
being indemnified by the bank. Include the collateral that
was received and then subsequently passed through to the
security owner. All respondents must provide a point-intime value, including advanced approaches banking organizations.
Line Item M3 Credit derivatives sold net of
related credit protection bought.
Report the effective notional principal amount of credit
derivatives sold net of related credit protection bought.
Only net out the protection bought if it is for the same
reference entity. If the protection bought for a reference
entity exceeds the amount sold, report a zero for that
particular reference entity. All respondents must provide
a point-in-time value, including advanced approaches
banking organizations.

Schedule A

FR Y-15
December 2016

LINE ITEM INSTRUCTIONS FOR

Interconnectedness Indicators
Schedule B

General Instructions
For the purpose of the intra-financial system assets and
intra-financial system liabilities indicators, financial institutions are defined as depository institutions (as defined
in the FR Y-9C, Schedule HC-C, item 2), bank holding
companies, securities dealers, insurance companies,
mutual funds, hedge funds, pension funds, investment
banks, and central counterparties (CCPs) (as defined in
Schedule D, item 1). Central banks (e.g., the Federal
Reserve) and other public sector bodies (e.g., multilateral
development banks and the Federal Home Loan Banks)
are excluded, but state-owned commercial banks are
included. Stock exchanges are not included, though most
stock exchanges have subsidiaries that are considered
financial institutions (e.g., securities dealers and CCPs).
Include entities that are both securities brokers and
dealers, but exclude entities that are strictly securities
brokers. Note that the definition of financial institution
for purposes of this report differs from the definition used
in the FR Y-9C and the FFIEC 002, which, among other
things, includes finance companies.
In determining whether a transaction is with another
financial institution (i.e., a financial institution outside of
the consolidated holding company), do not adopt a
look-through approach. Instead, report figures based on
the immediate counterparty.

Intra-Financial System Assets

transactions. Do not include settlement balances (i.e.,
exposures arising from unsettled transactions). Deposits
include balances due from financial institutions, and
currency and coin due from financial institutions (as
defined in the FR Y-9C, Schedule HC, item 1). Include
certificates of deposit but do not include margin accounts
and posted collateral. Include funds deposited with or
lent to other financial institutions that are accounted for
as receivables. Do not include receivables related to
settlement balances (e.g., fees and payments related to
the exchange of goods and services). Include margin
lending, but exclude accrued interest.
Line Item 1(a) Certificates of deposit.
Report the total holdings of certificates of deposit due
from other financial institutions as included in item 1. For
more information on certificates of deposit, refer to the
Glossary entry for ‘‘certificate of deposit.’’
Line Item 2 Unused portion of committed lines
extended to other financial institutions.
Report the nominal value of the unused portion of all
committed lines extended to other financial institutions.
Include lines which are unconditionally cancellable. Do
not include letters of credit and unsettled securities
financing transactions (e.g., reverse repos). For more
information on commitments, see FR Y-9C, Schedule
HC-L, item 1.

Line Item 1 Funds deposited with or lent to other
financial institutions.

Line Item 3 Holdings of securities issued by other
financial institutions.

Report all funds deposited with or lent to other financial
institutions (i.e., financial institutions outside of the
consolidated reporting group). Lending includes all forms
of term/revolving lending, federal funds sold, acceptances of other banks, and other extensions of credit to
financial institutions. Do not include commercial paper,
which is reported in item 3(d), and securities financing

This item reflects all holdings of securities issued by
other financial institutions. Report total holdings at fair
value (as defined in the FR Y-9C Glossary entry for ‘‘fair
value’’) in accordance with ASC Topic 820, Fair Value
Measurements (formerly FASB Statement No. 157, Fair
Value Measurements), for securities classified as trading
(including securities for which the fair value option

FR Y-15
Schedule B

December 2016

B-1

Schedule B

(FVO) is elected) and available-for-sale (AFS) securities;
report held-to-maturity (HTM) securities at amortized
cost in accordance with ASC 320, Investments − Debt
and Equity Securities (formerly FASB Statement No.
115, Accounting for Certain Investments in Debt and
Equity Securities, as amended). Report the historical cost
of any equity securities without readily determinable fair
values (e.g., bankers’ bank stock) (see FR Y-9C, Schedule HC-F, item 4). Do not report products where the
issuing institution does not back the performance of the
asset (e.g., asset-backed securities). Include holdings of
securities issued by equity-accounted associates (i.e.,
associated companies and affiliates accounted for under
the equity method of accounting) and special purpose
entities (SPEs) that are not part of the consolidated entity
for regulatory purposes. Do not include synthetic exposures related to derivatives transactions (e.g., when a
derivative references securities issued by other financial
institutions). Do not include loans, bond exchange traded
funds (ETFs), credit card receivables, letters of credit,
bond options, bond swaps, or bond swaps on ETFs.
Line Item 3(a) Secured debt securities.
Report the total holdings of secured debt securities (e.g.,
covered bonds). Note that this item is not designed to
capture collateralized trades. Instead, the item is capturing capital that has been raised through the issuance of
secured debt.
Line Item 3(b) Senior unsecured debt securities.
Report the total holdings of senior unsecured debt securities.
Line Item 3(c) Subordinated debt securities.
Report the total holdings of subordinated debt securities.

tered outside of the reporting group. Report the entire
mutual fund investment (i.e., do not look through into the
fund to determine the underlying holdings). Include
assets that are held for trading, available for sale, and
held to maturity.
Line Item 3(f) Offsetting short positions in relation
to the specific equity securities included in item 3(e).
Report the fair value of the banking organization’s
liabilities resulting from short positions held against the
stock holdings included in item 3(e). Include the short
legs of derivatives used to hedge the equity securities
reported in item 3(e) (e.g., total return swaps).1
Line Item 4 Net positive current exposure of
securities financing transactions (SFTs) with other
financial institutions.
This item includes the following:
(a) Net positive reverse repurchase agreement exposure,
where the value of the cash provided exceeds the fair
value of the securities received.
(b) Net positive repurchase agreement exposure, where
the fair value of the securities provided exceeds the
value of the cash received.
(c) Net positive securities lending exposure, where the
fair value of securities lent exceeds the value of cash
collateral received (or the fair value of non-cash
collateral received).
(d) Net positive securities borrowing exposure, where
the value of cash collateral provided (or the fair value
of non-cash collateral provided) exceeds the fair
value of securities borrowed.

Line Item 3(e) Equity securities.

The reported value is not intended to reflect amounts
recorded on the balance sheet. Rather, it represents the
single legally owed amount per netting set. Net multiple
transactions only when the transactions are covered by a
qualifying master netting agreement (see the definition of
‘‘qualifying master netting agreement’’ in 12 CFR 217.2).
For transactions that are not subject to a qualifying
master netting agreement, report the exposure on a
transaction-by-transaction basis, with each SFT treated

Report the total holdings of equity securities, including
common and preferred shares, of other financial institutions. Include investments in mutual funds (e.g., equity,
bond, hybrid, and money market funds) that are adminis-

1. For example, Bank A holds 1,000 shares of Bank B at $10 per share
and has entered into an equity total return swap to short 1,000 Bank B
shares and thereby eliminate market risk. Bank A would report $10,000 for
item 3(e) and $10,000 for item 3(f).

Line Item 3(d) Commercial paper.
Report the total holdings of commercial paper of other
financial institutions. For more information on commercial paper, refer to the Glossary entry for ‘‘commercial
paper.’’

B-2

Schedule B

FR Y-15
December 2016

Schedule B

as its own netting set. That is, report the difference (if
positive) between the value of the financial instruments
provided (cash and/or securities) and the financial instruments received (cash and/or securities). Include transactions cleared through a CCP. Do not include conduit
lending transactions and do not apply haircuts in assessing the gross fair value of non-cash collateral. Include
unsettled SFTs if the bank is using trade-date accounting.

derivatives included in item 5(a). Include the PFE for any
netting sets with a fair value of zero. For more information on determining the PFE refer to 12 CFR 217.34(a).

Line Item 5 Over-the-counter (OTC) derivative
contracts with other financial institutions that have
a net positive fair value:
Line Item 5(a) Net positive fair value.
Report the sum of net positive fair value OTC derivative
exposures netted in accordance with GAAP netting rules
(i.e., designated, legally enforceable, netting sets or
groups). Only netting sets with a positive value may be
included here. Netting sets where the net result is negative must be captured in item 9(a). Include collateral held
only if it is within the master netting agreement (i.e.,
pursuant to legally enforceable credit support annexes).
If applicable, net opposing collateral positions (e.g.,
initial margin posted with variation margin held). Deduct
the net collateral position from the underlying obligation
only if it reduces the overall exposure. If the net collateral
exceeds the payment obligation, record a fair value of
zero for the netting set. If a derivative contract with a
positive fair value is not covered under a qualifying
master netting agreement, the derivative exposure amount
should be included on a gross basis (see the definition of
‘‘qualifying master netting agreement’’ in 12 CFR 217.2).
For more information on netting, refer to ASC Subtopic
210-20, Balance Sheet − Offsetting, and the FR Y-9C
Glossary entry for ‘‘offsetting.’’

Intra-Financial System Liabilities

Do not include derivative contracts initiated via an
exchange such as ICE, CME, or Eurex (e.g., futures
contracts would not be included).
When acting as a financial intermediary (i.e., where the
banking organization is a counterparty to both the client
and the CCP), report exposures to the CCP. Report
exposures to clients if they fit the definition of financial
institution. In cases where a clearing member bank,
acting as an agent, guarantees the performance of a CCP
to a client, the associated exposure to the client must be
reported.
Line Item 5(b) Potential future exposure.
Report the amount of potential future exposure (PFE),
calculated using the current exposure method, for the
FR Y-15
Schedule B

December 2016

Line Item 6 Total intra-financial system assets.
The sum of items 1, 2 through 3(e), 4, 5(a), and 5(b),
minus item 3(f).

Line Item 7 Deposits due to other financial
institutions:
This section captures information regarding the deposits
held by the banking organization. Do not include settlement balances (i.e., exposures arising from unsettled
transactions) and collected collateral. For more information on deposits, see the FR Y-9C Glossary entry for
“deposits.”
Include any funds deposited by other financial institutions that are accounted for as payables. Do not include
payables related to settlement balances, (e.g., fees and
payments related to the exchange of goods and services).
Do not include certificates of deposit, margin accounts,
and accrued interest.
Line Item 7(a) Deposits due to depository
institutions.
Report total deposits due to depository institutions. Do
not include certificates of deposit, which are captured
separately in item 17.
Line Item 7(b) Deposits due to non-depository
financial institutions.
Report total deposits due to non-depository financial
institutions. Do not include certificates of deposit, which
are captured separately in item 17.
Line Item 8 Borrowings obtained from other
financial institutions.
Report the amount of outstanding loans obtained from
other financial institutions. Include both term loans and
revolving, open-end loans. Include acceptances sold and
federal funds purchased that are not part of a securities
financing transaction (as these are captured in item 10).
Include bank overdrafts. Do not include any of the
outstanding securities captured in item 20.
B-3

Schedule B

Report both secured and unsecured borrowings obtained
from other financial institutions. Thus, financing involving pledged assets and equity-linked notes would be
included. Note, however, that secured financing involving the issuance of securities is captured separately in the
Securities Outstanding Section. Include the borrowings
of all entities, including variable-interest entities (VIEs),
within the regulatory scope of consolidation, but do not
include borrowings between entities within the consolidated group. Include bank overdrafts and margin lending,
but exclude margin accounts.
Line Item 9 Unused portion of committed lines
obtained from other financial institutions.
Report the nominal value of the unused portion of all
committed lines obtained from other financial institutions. Include lines which are unconditionally cancelable.
This item measures the amount of credit committed as of
the reporting date, irrespective of whether it may be
unconditionally cancelled the day after. Do not include
letters of credit and unsettled SFTs (e.g., repos). For
more information on commitments, see FR Y-9C, Schedule HC-L, item 1.
Line Item 10 Net negative current exposure of
SFTs with other financial institutions.
This item includes the following:
(a) Net negative reverse repurchase agreement exposure,
where the fair value of securities received exceeds
the value of the cash provided.
(b) Net negative repurchase agreement exposure, where
the value of the cash received exceeds the fair value
of the securities provided.
(c) Net negative securities lending exposure, where the
value of cash collateral received (or the fair value of
non-cash collateral received) exceeds the fair value
of securities lent.
(d) Net negative securities borrowing exposure, where
the fair value of securities borrowed exceeds the
value of cash collateral provided (or the fair value of
non-cash collateral provided).
The reported value is not intended to reflect amounts
recorded on the balance sheet. Rather, it represents the
single legally owed amount per netting set. Net multiple
transactions only when the transactions are covered by a
qualifying master netting agreement (see the definition of
B-4

‘‘qualifying master netting agreement’’ in 12 CFR 217.2).
For transactions that are not subject to a qualifying
master netting agreement, report the exposure on a
transaction-by-transaction basis, with each SFT treated
as its own netting set. That is, report the difference (if
negative) between the value of the financial instruments
provided (cash and/or securities) and the financial instruments received (cash and/or securities). Include transactions cleared through a CCP. Do not include conduit
lending transactions and do not apply haircuts in assessing the gross fair value of non-cash collateral. Include
unsettled SFTs if the bank is using trade-date accounting.
Report the final net negative exposure value as a positive
number.
Line Item 11 OTC derivative contracts with other
financial institutions that have a net negative fair
value:
Line Item 11(a) Net negative fair value.
Report the sum of net fair value OTC derivative liabilities netted in accordance with GAAP netting rules (i.e.,
designated, legally enforceable, netting sets or groups).
Include only netting sets with a negative value. Report
netting sets where the net result is positive in item 5(a).
Include collateral provided only if it is within the master
netting agreement (i.e., pursuant to legally enforceable
credit support annexes). If applicable, net opposing collateral positions (e.g., initial margin held with variation
margin posted). Deduct the net collateral position from
the underlying obligation only if it reduces the overall
exposure. If the net collateral exceeds the payment
obligation, record a fair value of zero for the netting set.
If a derivative contract with a positive fair value is not
covered under a qualifying master netting agreement, the
derivative exposure amount should be included on a
gross basis (see the definition of ‘‘qualifying master
netting agreement’’ in 12 CFR 217.2). For more information on netting, refer to ASC Subtopic 210-20, Balance
Sheet − Offsetting, and the FR Y-9C Glossary entry for
‘‘offsetting.’’
Do not include derivative contracts initiated via an
exchange such as ICE, CME, or Eurex (e.g., futures
contracts would not be included).
When acting as a financial intermediary (i.e., where the
banking organization is a counterparty to both the client
and the CCP), report exposures to the CCP. Report
exposures to clients if they fit the definition of financial
Schedule B

FR Y-15
December 2016

Schedule B

institution. In cases where a clearing member bank,
acting as an agent, guarantees the performance of a CCP
to a client, the associated exposure to the client must be
reported.
Report the final net negative fair value as a positive
number. For example, a master netting agreement with a
net fair value of -$10 would be reported as +$10.
Line Item 11(b) Potential future exposure.
Report the amount of the PFE, calculated using the
current exposure method, for the derivatives included in
item 11(a). For more information on determining the PFE
refer to 12 CFR 217.34(a).
Line Item 12 Total intra-financial system
liabilities.
The sum of items 7(a) through 11(b).

Securities Outstanding
The values reported for items 13 through 19 should
reflect all of the outstanding securities of the banking
organization regardless of whether or not they are held by
another financial institution. Do not report products
where the reporting institution does not back the performance of the asset (e.g., asset-backed securities).
For items 13 through 17, provide the book value (i.e.,
carrying amount) of the securities. Note that this value
will depend on the applicable accounting classification
and measurement, and thus may reflect the amortized
cost of the securities, the fair value of the securities, or a
mixture of the two.
Line Item 13 Secured debt securities.
Report the book value of all outstanding secured debt
securities (e.g., covered bonds and REIT preferred securities) issued by the banking organization. Do not include
advances from Federal Home Loan Banks (FHLB). Do
not include standby letters of credit. Note that this item is
not designed to capture collateralized trades. Instead, the
item is capturing capital that has been raised through the
issuance of secured debt.

Line Item 15 Subordinated debt securities.
Report the book value of all outstanding subordinated
debt securities (as defined in the FR Y-9C, Schedule HC,
items 19(a) and 19(b)) issued by the banking organization.
Line Item 16 Commercial paper.
Report the book value of all outstanding commercial
paper issued by the banking organization. For more
information on commercial paper, refer to the Glossary
entry for ‘‘commercial paper.’’
Line Item 17 Certificates of deposit.
Report the book value of all outstanding certificates of
deposit issued by the banking organization, , irrespective
of the holder (e.g., corporate or individual). Include all
certificates of deposit issued as securities, even if they
were not issued as a receipt (i.e., certificates of deposit
with an ISIN number).
For more information on certificates of deposit, refer to
the Glossary entry for ‘‘certificate of deposit.’’
Line Item 18 Common equity.
Report the fair value of outstanding common equity. For
publicly traded shares, report the closing share price
multiplied by the number of shares outstanding. Do not
report non-publicly traded shares or any other shares for
which a market price is unavailable. For shares issued by
consolidated subsidiaries, only include those shares that
were issued to third parties. Do not include certificates of
mutual banks.
Line Item 19 Preferred shares and other forms of
subordinated funding not captured in item 15.
Report the fair value of outstanding preferred shares and
other forms of subordinated funding not captured in item
15 (e.g., savings shares and silent partnerships). For
publicly traded shares, report the closing share price
multiplied by the number of shares outstanding. Do not
report non-publicly traded shares. Include shares issued
by consolidated subsidiaries to third parties.

Line Item 14 Senior unsecured debt securities.
Report the book value of all outstanding senior unsecured
debt securities issued by the banking organization.
FR Y-15
Schedule B

December 2016

Line Item 20 Total securities outstanding.
The sum of items 13 through 19.
B-5

Schedule B

Memoranda
Line Item M1 Standby letters of credit extended
to other financial institutions.
Report the amount of financial and performance standby
letters of credit extended to other financial institutions. A
financial standby letter of credit irrevocably obligates the
banking organization to pay a third-party beneficiary

B-6

when a customer fails to repay an outstanding loan or
debt instrument. A performance standby letter of credit
irrevocably obligates the banking organization to pay a
third-party beneficiary when a customer fails to perform
some contractual non-financial obligation. For more
information, refer to FR Y-9C, Schedule HC-L, items 2
and 3.

Schedule B

FR Y-15
December 2015

LINE ITEM INSTRUCTIONS FOR

Substitutability Indicators
Schedule C

Payments Activity
Line Item 1 Payments made in the last four
quarters.
Report the total gross value of all cash payments sent by
the banking organization via large-value payment systems,1 along with the gross value of all cash payments
sent through an agent or correspondent bank (e.g., using a
correspondent or nostro account), in the last twelve
months for each indicated currency. Include the amount
of payments made into Continuous Linked Settlement
(CLS). All payments sent via an agent bank should be
reported, regardless of how the agent bank actually
settles the transaction. Payments may be recorded using
either the trade date or the settlement date as long as the
reporting remains consistent between periods. If both are
readily available, the settlement date should be used.
Report payments regardless of purpose, location, or
settlement method. This includes, but is not limited to,
cash payments associated with derivatives, securities
financing transactions, and foreign exchange transactions. Do not include the value of any non-cash items
settled in connection with these transactions. Include
cash payments made on behalf of the reporting entity as
well as those made on behalf of customers (including
financial institutions, other commercial customers, and
retail customers). However, do not include internal payments (i.e., book transfers) or any other intra-group
transactions (i.e., transactions made within or between
entities within the reporting group), even if the transactions were initiated through an external agent (e.g., when
a payment is sent to a subsidiary through an external
institution). Do not include payments made through retail
payment systems. Do not report payment facilitation (i.e.,
1. For examples of large-value payment systems, refer to Payment,
clearing and settlement systems in the CPSS countries, published by the
Committee on Payment and Settlement Systems (CPSS). The November
2012 release is available at www.bis.org/cpmi/publ/d105.htm.
FR Y-15
Schedule C

December 2015

when the bank acts as a payment service provider) where
the customer is a direct member of the large value
payment system and uses their own BIC code to complete the transaction. Only include savings account payments if they are made via a large value payment system
or through an agent.
Only include outgoing payments (i.e., exclude payments
received). Except for those payments sent via CLS, do
not net any outgoing wholesale payment values, even if
the transaction was settled on a net basis.2 Retail payments sent via a large-value payment system or through a
correspondent may be reported net only if they were
settled on a net basis.
Though payment totals are not rounded, the level of
expected accuracy depends on the magnitude of the
reported value. The leading two digits must be accurate3
(within rounding) for payment totals at or above $10
trillion, while only the leading digit must be accurate for
payment totals below $10 trillion. If precise totals are
unavailable, known overestimates may be reported.
Convert the aggregate payments in items 1(a) through
1(k) to U.S. dollars using average exchange rates for the
last four quarters. These average exchange rates must be
constructed using a consistent series of exchange rate
quotations. The method used must be reasonable, consistent, and reproducible. Documentation concerning the
method employed to calculate the average exchange rates
2. Wholesale payments are payments, generally involving very large
values, which are mainly exchanged between banks or other participants in
the financial markets and often require urgent and timely settlement. In
contrast, retail payments are payments, generally involving low values,
which are mainly made on behalf of customers and often involve a low
degree of urgency (e.g., personal checks, credit card transactions, direct
debits, direct deposits, and ATM withdrawals).
3. As an example, a figure between 100,000 and 999,999 would need to
be correct to the nearest 100,000 for the leading digit to be considered
accurate. The figure would need to be correct to the nearest 10,000 for the
two leading digits to be considered accurate.

C-1

Schedule C

must be maintained and made available to supervisors
upon request.
Line Item 1(a) Australian dollars (AUD).
Report the U.S. dollar equivalent amount of all payments
made in Australian dollars (AUD) in the last four quarters.

Line Item 1(k) Swedish krona (SEK).
Report the U.S. dollar equivalent amount of all payments
made in Swedish krona (SEK) in the last four quarters.
Line Item 1(l)

United States dollars (USD).

Report the total value of all payments made in United
States dollars (USD) in the last four quarters.

Line Item 1(b) Brazilian real (BRL).
Report the U.S. dollar equivalent amount of all payments
made in Brazilian real (BRL) in the last four quarters.
Line Item 1(c) Canadian dollars (CAD).
Report the U.S. dollar equivalent amount of all payments
made in Canadian dollars (CAD) in the last four quarters.
Line Item 1(d) Swiss francs (CHF).
Report the U.S. dollar equivalent amount of all payments
made in Swiss francs (CHF) in the last four quarters.
Line Item 1(e) Chinese yuan (CNY).
Report the U.S. dollar equivalent amount of all payments
made in Chinese yuan (CNY) in the last four quarters.
Line Item 1(f)

Euros (EUR).

Report the U.S. dollar equivalent amount of all payments
made in euros (EUR) in the last four quarters.
Line Item 1(g) British pounds (GBP).
Report the U.S. dollar equivalent amount of all payments
made in British pound sterling (GBP) in the last four
quarters.
Line Item 1(h) Hong Kong dollars (HKD).
Report the U.S. dollar equivalent amount of all payments
made in Hong Kong dollars (HKD) in the last four
quarters.
Line Item 1(i)

Indian rupee (INR).

Report the U.S. dollar equivalent amount of all payments
made in Indian rupee (INR) in the last four quarters.
Line Item 1(j)

The sum of items 1(a) through 1(l).

Assets Under Custody
Line Item 3 Assets held as a custodian on behalf
of customers.
Report the value of all assets, including cross-border
assets, that the banking organization holds as a custodian
on behalf of customers, including other financial firms
(i.e., financial institutions other than the reporting group).
Include such assets even if they are being held by
unaffiliated institutions (e.g., central securities depositories, payment systems, central banks, and subcustodians).4 In the case where assets are held by a
sub-custodian, both the primary custodian and the subcustodian must report the assets. All assets held as a
custodian on behalf of customers must be reported,
including those which are also assets under management.
Only include assets under management and assets under
administration if they meet the definition of assets under
custody. The value of the assets should reflect the
accounting method required by the respective clients.
Thus, the reported total will likely involve a mixture of
both book and market values. Custodial accounts held in
all legal entities of the holding company must be
reported.
Include cash that is being held in custody accounts. Note
that assets held as collateral are not generally considered
assets under custody. Report only the assets for which the
banking organization provides custody and safekeeping
services. For more information, see the Glossary entries
for ‘‘assets under management,’’ ‘‘assets under administration,’’ ‘‘assets under custody,’’ and ‘‘custodian.’’ For a
description of custody and safekeeping accounts, refer to

Japanese yen (JPY).

Report the U.S. dollar equivalent amount of all payments
made in Japanese yen (JPY) in the last four quarters.
C-2

Line Item 2 Payments activity.

4. A sub-custodian is an institution that provides custody services on
behalf of another custodian.

Schedule C

FR Y-15
December 2016

Schedule C

the instructions for the Consolidated Reports of Condition and Income (FFIEC 031 and 041) Schedule RC-T,
item 11.

Underwritten Transactions in Debt and
Equity Markets
Include all underwriting (public and private) over the last
four quarters where the banking organization was obligated to purchase unsold securities. When the underwriting is on a best-efforts basis (i.e., the banking organization is not obligated to purchase the remaining inventory),
only include the securities that were actually sold. For
transactions underwritten by multiple institutions, only
include the portion attributable to the reporting group.
These portions should be reported regardless of whether
or not the bank is acting as the lead underwriter.

either assets or liabilities at their fair value. See ASC
Topic 815 for the definition of derivatives.
Contracts that do not in their entirety meet the definition
of a derivative instrument, such as bonds, insurance
policies, and leases, may contain ’’embedded’’ derivative
instruments. Embedded derivatives are implicit or explicit
terms within a contract that affect some or all of the cash
flows or the value of other exchanges required by the
contract in a manner similar to a derivative instrument.
The effect of embedding a derivative instrument in
another type of contract (‘‘the host contract’’) is that
some or all of the cash flows or other exchanges that
otherwise would be required by the host contract, whether
unconditional or contingent upon the occurrence of a
specified event, will be modified based on one or more of
the underlyings.

Line Item 4 Equity underwriting activity.

Line Item 5 Debt underwriting activity.

Report the total value of all types of equity instruments
underwritten during the last twelve months, excluding
transactions with subsidiaries and/or affiliates and selfled transactions. This includes all types of equity market
transactions such as initial public offerings, additional
offerings of common stocks, units, depositary receipts
(e.g., American depositary receipts (ADRs) and Global
depositary receipts (GDRs)), and rights offerings. Also
include equity-linked transactions such as convertible
bonds, convertible preferred bonds, and exchangeable
bonds. Include all types of transactions at all maturities.
Do not differentiate transactions between front-end, backend, and best-effort transactions. Do not differentiate
with regard to maturity, currency, or market of issuance.

Report the total value of all types of debt instruments
underwritten during the last twelve months, excluding
intra-group or self-led transactions. This includes all
types of underwriting transactions relating to debt securities. Include both secured debt instruments (e.g., covered
bonds, asset-backed security (ABS) transactions, etc.)
and unsecured debt instruments. Include all types of
transactions at all maturities. Do not differentiate transactions between front-end, back-end, and best-effort or
‘‘soft’’ transactions. Do not differentiate with regard to
maturity, currency, or market of issuance. Do not differentiate between sovereign and corporate debt. Do not
include loan underwriting. Include underwriting activity
related to sovereign debt and the debt of governmentsponsored enterprises (GSE). However, do not include
other activities that facilitate the issuance or placement of
third-party securities (e.g., auctions).

Include equity securities with embedded derivatives, but
exclude stand-alone derivatives underwriting. With
regards to the delineation between securities with embedded derivatives and stand-alone derivatives, use the
existing definitions in GAAP.
The accounting and reporting standards for derivative
instruments, including certain derivative instruments
embedded in other contracts, and for hedging activities
are set forth in ASC Topic 815, Derivatives and Hedging
(formerly FASB Statement No. 133, Accounting for
Derivative Instruments and Hedging Activities, as
amended), which banking organizations must follow for
purposes of this report. ASC Topic 815 requires all
derivatives to be recognized on the balance sheet as
FR Y-15
Schedule C

December 2016

Also include debt securities with embedded derivatives.
For more detail on embedded derivatives, refer to the
instructions for item 4.
Line Item 6 Total underwriting activity.
The sum of items 4 and 5.

Memoranda
For items M1 through M2, refer to the general instructions provided for item 1.
C-3

Schedule C

Line Item M1

Mexican pesos (MXN).

Report the U.S. dollar equivalent amount of all payments
made in Mexican pesos (MXN) in the last four quarters.
Line Item M2

New Zealand dollars (NZD).

Report the U.S. dollar equivalent amount of all payments
made in New Zealand dollars (NZD) in the last four
quarters.
Line Item M3

Russian rubles (RUB).

Report the U.S. dollar equivalent amount of all payments
made in Russian rubles (RUB) in the last four quarters.
Line Item M4 Payments made in the last four
quarters in all other currencies.
Report the U.S. dollar equivalent amount of all payments
made in the last four quarters using currencies not listed
in items 1(a) through 1(l) or M1 through M3. Convert the
yearly aggregates to U.S. dollars using the average
exchange rate for the last four quarters. These average

C-4

exchange rates must be constructed using a consistent
series of exchange rate quotations. The method used
must be reasonable, consistent, and reproducible. Documentation concerning the method employed to calculate
the average exchange rates must be maintained and made
available to supervisors upon request.
Line Item M5
provided.

Unsecured settlement/clearing lines

Report the total amount of unsecured intraday credit lines
extended to the banking organization’s customers. This
includes, but is not limited to, lines extended for cash
overdrafts, securities clearing, and transaction lines (e.g.,
FX settlement limits). Include lines which are unconditionally cancellable. Unsecured lines that are extended at
will to the client (i.e., on a case-by-case basis and at the
full discretion of the banking organization), should not be
reported.

Schedule C

FR Y-15
December 2016

LINE ITEM INSTRUCTIONS FOR

Complexity Indicators
Schedule D

Notional Amount of Over-the-Counter (OTC)
Derivative Contracts
For items 1 and 2, do not include derivative contracts
initiated via an exchange such as ICE, CME, or Eurex.
For example, futures contracts would not be included.
Line Item 1 OTC derivative contracts cleared
through a central counterparty.
Report the notional amount outstanding of OTC derivative positions which will be settled through a central
counterparty (CCP). Include all types of risk categories
and instruments (e.g., foreign exchange, interest rate,
equity, commodities, and credit default swaps (CDS)).
Report transactions regardless of whether they are part of
a master netting agreement. For more information, see
the Glossary entry for ‘‘central counterparty.’’ For more
information on derivatives, refer to ASC Topic 815,
Derivatives and Hedging, and the FR Y-9C Glossary
entry for ‘‘derivative contracts.’’
Do not include cleared derivative transactions (i.e., transactions where the bank provides clearing services for
clients executing trades via an exchange or with a CCP)
where the bank is not a direct counterparty in the
contract. When acting as a financial intermediary (i.e.,
where the banking organization is a counterparty to both
the client and the CCP), report the notional amounts
associated with each contract (i.e., the contract with the
CCP and the contract with the client). In cases where a
clearing member banking organization, acting as an
agent, guarantees the performance of a CCP to a client,
the associated notional amounts must be reported.
Line Item 2 OTC derivative contracts settled
bilaterally.
Report the notional amount outstanding of OTC derivative positions which will be settled bilaterally (i.e.,
without the use of a central counterparty). Include all
FR Y-15
Schedule D

March 2018

types of risk categories and instruments (e.g., foreign
exchange, interest rate, equity, commodities, and CDS).
Report transactions regardless of whether they are part of
a master netting agreement. For more information on
derivatives, refer to ASC Topic 815, Derivatives and
Hedging, and the FR Y-9C Glossary entry for ‘‘derivative contracts.’’
Line Item 3 Total notional amount of OTC
derivative contracts.
The sum of items 1 and 2.

Trading and Available-for-Sale (AFS)
Securities
Line Item 4 Trading securities
Report the fair value of all securities classified as trading.
Securities that are intended to be held principally for the
purpose of selling them in the near term are classified as
trading assets. Trading activity includes active and frequent buying and selling of securities for the purpose of
generating profits on short-term fluctuations in price.
Securities held for trading purposes must be reported at
fair value. Do not include loans, derivatives, and nontradable assets (e.g., receivables).
Report values on a gross long basis (i.e., do not net short
positions against long positions). For long and short
positions in the same CUSIP, report the long position
prior to any CUSIP netting. For more information on
trading securities, refer to ASC Topic 320, Investments −
Debt and Equity Securities, and the FR Y-9C Glossary
entry for ‘‘securities activities.’’
Line Item 5 AFS securities.
Report the fair value of all securities classified as AFS.
Include both AFS securities and equity securities with
readily determinable fair values not held for trading (as
defined in the FR Y-9C, Schedule HC, items 2(b) and
D-1

Schedule D

2(c)). All securities not categorized as trading securities
or held-to-maturity (HTM) must be reported as AFS. Do
not include loans, derivatives and non-tradable assets
(e.g., receivables).
Report values on a gross long basis (i.e., do not net short
positions against long positions). For long and short
positions in the same CUSIP, report the long position
prior to any CUSIP netting. For more information on
AFS securities, refer to ASC Topic 320, Investments −
Debt and Equity Securities, and the FR Y-9C Glossary
entry for ‘‘securities activities.’’
Line Item 6 Total trading and AFS securities.
The sum of items 4 and 5.
Line Item 7 Trading and AFS securities that meet
the definition of level 1 liquid assets.
Report the gross fair value of all trading and AFS
securities captured in item 6 that qualify as level 1 liquid
assets as set forth in the liquidity coverage ratio (LCR)
(see 12 CFR 249.20(a)). Include qualifying securities
even if they are not eligible high-quality liquid assets
(HQLA) according to 12 CFR 249.22.
Line Item 8 Trading and AFS securities that meet
the definition of level 2 liquid assets, with haircuts.
Report the gross fair value, after applying haircuts, of all
trading and AFS securities captured in item 6 that qualify
as level 2A or level 2B liquid assets as set forth in the
LCR (see 12 CFR 249.20(b)-(c)). Include qualifying
securities even if they are not eligible HQLA according
to 12 CFR 249.22. Report level 2A and level 2B liquid
assets with haircuts of 15% and 50%, respectively (see 12
CFR 249.21(b)). Do not apply the caps outlined in 12
CFR 249.21(c)-(i).
Line Item 9 Total adjusted trading and AFS
securities.

Level 3 Assets
Line Item 10 Assets valued for accounting
purposes using Level 3 measurement inputs.
Report the gross fair value of all assets that are priced on
a recurring basis on the balance sheet using Level 3
measurement inputs. ASC Topic 820, Fair Value Measurement, established a three-level fair value hierarchy
that prioritizes inputs used to measure fair value based on
observability. Level 3 fair value measurement inputs,
while not readily observable in the market, are used to
develop an exit price for the asset (or liability) from the
perspective of a market participant. Therefore, Level 3
fair value measurement inputs reflect the banking organization’s own assumptions about the assumptions that a
market participant would use in pricing an asset (or
liability) and should be based on the best information
available under the given circumstances. Do not include
assets that are measured at fair value for disclosure
purposes only.
The level in the fair value hierarchy within which the fair
value measurement is categorized is determined on the
basis of the lowest level input that is significant to the fair
value measurement in its entirety. If a fair value measurement uses observable inputs that require significant
adjustment based on unobservable inputs, then this is
considered a Level 3 measurement. For more information, refer to the FR Y-9C Glossary entry for ‘‘fair
value.’’

Memoranda
Line Item M1

Held-to-maturity securities.

Report the amortized cost of all securities classified as
held-to-maturity (HTM) (as defined in the FR Y-9C,
Schedule HC, item 2(a)). This item includes all debt
securities that an institution has the positive intent and
ability to hold to maturity. For more information on HTM
securities, refer to ASC Topic 320, Investments − Debt
and Equity Securities, and the FR Y-9C Glossary entry
for ‘‘securities activities.’’

Item 6 minus the sum of items 7 and 8.

D-2

Schedule D

FR Y-15
March 2018

LINE ITEM INSTRUCTIONS FOR

Cross-Jurisdictional Activity Indicators
Schedule E

Cross-Jurisdictional Claims
Line Item 1 Foreign claims on an ultimate-risk
basis.

included in the banking organization. For definitions,
refer to the instructions for preparation of the FFIEC 009
and the Treasury International Capital (TIC) B Reports.

Report the value of all claims over all sectors that, on an
ultimate-risk basis, are cross-border claims on non-local
residents or foreign-office claims on local residents (see
FFIEC 009, Schedule C, Part II, Columns 1 through 10,
Total Foreign Countries). Do not include claims from
positions in derivative contracts (see FFIEC 009, Schedule D). For definitions, refer to the instructions for
preparation of the FFIEC 009.

Line Item 2(a) Any foreign liabilities to related
offices included in item 2.

Cross-Jurisdictional Liabilities

Line Item 3

Line Item 2 Foreign liabilities (excluding local
liabilities in local currency).

Report the value of all foreign-office liabilities in local
currency (see FFIEC 009, Schedule L, Column 2). Do not
include liabilities from positions in derivative contracts.
Do not include intercompany liabilities. For definitions,
refer to the instructions for the preparation of the FFIEC
009.

Report the sum of all foreign-office liabilities in nonlocal currency, all U.S. dollar liabilities to foreign residents, and all foreign currency liabilities to foreigners
(see FFIEC 009, Schedule L, Column 1; TIC BL-1,
Column 7; and, TIC BQ-2, Columns 1 and 2). Do not
include liabilities from positions in derivative contracts.
Include liabilities between a non-domestic office within
the banking organization and a domestic counterparty not

FR Y-15
Schedule E

December 2016

Report the value of any intercompany liabilities included
in item 2 (i.e., liabilities that are to the banking organization’s own foreign offices) (see TIC BL-1, Column 8, and
the liabilities to related offices reported as part of TIC
BQ-2, Columns 1 and 2). For definitions, refer to the
instructions for preparation of the TIC B Reports.

Line Item 4

Local liabilities in local currency.

Total cross-jurisdictional liabilities.

The sum of items 2 and 3 minus item 2(a).

E-1

LINE ITEM INSTRUCTIONS FOR

Ancillary Indicators
Schedule F

Ancillary Indicators
Line Item 1 Total liabilities.
Report total liabilities (as defined in the FR Y-9C,
Schedule HC, item 21).
Line Item 2 Retail funding.
Report total deposits less the sum of deposits from
depository institutions, deposits from central banks, and
any other deposits (including certificates of deposit) not
held by retail customers or small businesses. Small
business customers are those customers with less than $1
million in consolidated deposits that are managed as
retail customers and are generally considered as having
similar liquidity risk characteristics to retail accounts.
For more information on deposits, see the FR Y-9C
Glossary entry for “deposits.”
Line Item 3 Total gross revenue.
Report total gross revenue, which is defined as interest
income plus noninterest income (FR Y-9C, Schedule HI,
item 1(h) plus item 5(m)).
Line Item 4 Total net revenue.
Report total net revenue, which is defined as interest
income plus noninterest income minus interest expense
(FR Y-9C, Schedule HI, item 1(h) plus item 5(m) minus
item 2(f)).
Line Item 5 Foreign net revenue.
Report the net revenue, defined as interest income plus
noninterest income minus interest expense, from all
foreign offices. For purposes of this report, a foreign
office of a reporting banking organization is a branch or
consolidated subsidiary located outside of the organization’s home country (i.e., the country where the banking
organization is headquartered); an Edge or Agreement
subsidiary, including both its U.S. and its foreign offices;
FR Y-15
Schedule F

December 2015

or an International Banking Facility (IBF). Branches or
consolidated subsidiaries located in territories or possessions of the home country are considered foreign offices.
Branches of bank subsidiaries located on military facilities belonging to the home country, wherever located, are
not considered foreign offices. For more information on
Edge or Agreement subsidiaries and on IBFs, refer to the
FR Y-9C Glossary entries for “Edge and Agreement
corporation” and “International Banking Facility (IBF),”
respectively.
Line Item 6 Gross value of cash provided and
gross fair value of securities provided in securities
financing transactions (SFTs).
Report the gross value of all cash provided and the gross
fair value of all securities provided in the outgoing legs
of securities financing transactions. Only include transactions completed by the banking organization on its own
behalf. Include variation margin provided, but do not
include any counterparty netting. Include the outgoing
legs associated with repurchase and reverse repurchase
agreements, and securities lending and borrowing. Do
not include outgoing legs associated with conduit lending
and margin lending transactions.
Line Item 7 Gross value of cash received and
gross fair value of securities received in SFTs.
Report the gross value of all cash received and the gross
fair value of all securities received in the incoming legs
of securities financing transactions. Only include transactions completed by the banking organization on its own
behalf. Include variation margin received, but do not
include any counterparty netting. Include the incoming
legs associated with repurchase and reverse repurchase
agreements, and securities lending and borrowing. Do
not include incoming legs associated with conduit lending and margin lending transactions.
F-1

Schedule F

Line Item 8 Gross positive fair value of
over-the-counter (OTC) derivative contracts.
Report the gross positive fair value of all OTC derivative
contracts (i.e., contracts not initiated via an exchange).
Do not include any counterparty netting.
Line Item 9 Gross negative fair value of OTC
derivative contracts.
Report the gross negative fair value of all OTC derivative
contracts not initiated via an exchange. Do not include
any counterparty netting.

F-2

Line Item 10 Number of jurisdictions.
Report the number of countries, including the home
jurisdiction, where the banking organization has a branch,
a subsidiary, or other entity that is consolidated under
GAAP. Determine the jurisdiction using the physical
address of the branch, subsidiary, or other consolidated
entity. Include offshore financial centers (e.g., Cayman
Islands and Hong Kong SAR) as separate jurisdictions.

Schedule F

FR Y-15
December 2016

LINE ITEM INSTRUCTIONS FOR

Short-Term Wholesale Funding Indicator
Schedule G

General Instructions

Short-Term Wholesale Funding

Respondents that have $700 billion or more in total
consolidated assets or $10 trillion or more in assets under
custody must complete this schedule starting with the
December 31, 2016 as-of date. Respondents that have
less than $10 trillion in assets under custody and less than
$700 billion in total consolidated assets, but have $250
billion or more in total consolidated assets or $10 billion
or more in on-balance sheet foreign exposure must start
filing this schedule starting with the December 31, 2017
as-of date. Respondents with at least $50 billion in total
consolidated assets, but less than $250 billion in total
consolidated assets; and less than $10 billion in
on-balance-sheet foreign exposure must complete this
schedule starting with the June 30, 2018 as-of date.

Line Item 1

Unless otherwise specified in the line item instructions,
for the items in Schedule G, report the average value
calculated over the last twelve months (e.g., data reported
as-of March would include observations made from April
1 of the previous year through March 31 of the current
year). Banking organizations that have reported the Complex Institution Liquidity Monitoring Report (FR 2052a)
daily for the last twelve months must report the average
value using daily data. All other respondents must report
the average value using monthly data (i.e., provide the
average of the twelve month-end balances within the last
four quarters).
Note that the values associated with each item are
divided into four maturity buckets. Report funding with a
remaining maturity of 30 days or less, along with funding
with no maturity date, in column A. Report funding with
a remaining maturity of 31 to 90 days in column B.
Report funding with a remaining maturity of 91 to 180
days in column C. Finally, report funding with a remaining maturity of 181 to 365 days in column D.

Line Item 1(a)
assets.

First tier:
Funding secured by level 1 liquid

Report the value of secured funding transactions secured
by level 1 liquid assets. For more information, see the
Glossary entry for ‘‘secured funding transaction.’’ For the
definition of level 1 liquid assets, see 12 CFR 249.20.
Line Item 1(b)
sweeps.

Retail brokered deposits and

Report the value of brokered deposits and sweeps provided by retail customers or counterparties. For more
information, see the Glossary entries for “brokered
deposits” and “brokered sweep deposits.”
Line Item 1(c) Unsecured wholesale funding
obtained outside of the financial sector.
Report the value of unsecured wholesale funding where
the customer or counterparty is not a financial sector
entity or a consolidated subsidiary of a financial sector
entity (as defined in 12 CFR 249.3). For more information, see the Glossary entry for ‘‘unsecured wholesale
funding.’’
Line Item 1(d) Firm short positions involving
level 2B liquid assets or non-HQLA.
Report the value of firm short positions involving level
2B liquid assets or assets that do not qualify as highquality liquid assets (HQLA). For the list of assets that
are level 2B liquid assets and a definition of HQLA, see
12 CFR 249.20 and 249.3, respectively.
Line Item 1(e) Total first tier short-term
wholesale funding.
The sum of items 1(a) through 1(d).

FR Y-15
Schedule G

December 2016

G-1

Schedule G

Line Item 2 Second tier:
Line Item 2(a)
assets.

Funding secured by level 2A liquid

Report the value of secured funding transactions secured
by level 2A liquid assets. For more information, see the
Glossary entry for ‘‘secured funding transaction.’’ For the
list of assets that are level 2A liquid assets, see 12 CFR
249.20.
Line Item 2(b)
to level 2A).

Covered asset exchanges (level 1

Report the fair value of assets that must be returned under
covered asset exchanges where a level 1 liquid asset will
be exchanged for a level 2A liquid asset. For more
information, see the Glossary entry for ‘‘covered asset
exchanges.’’ For the list of assets that are level 1 and
level 2A liquid assets, see 12 CFR 249.20.
Line Item 2(c) Total second tier short-term
wholesale funding.
The sum of items 2(a) and 2(b).
Line Item 3
Line Item 3(a)
assets.

Third tier:
Funding secured by level 2B liquid

Report the value of secured funding transactions secured
by level 2B liquid assets. For more information, see the
Glossary entry for “secured funding transaction.” For the
list of assets that are level 2B liquid assets, see 12 CFR
249.20.
Line Item 3(b)

Other covered asset exchanges.

a consolidated subsidiary of a financial sector entity (as
defined in 12 CFR 249.3). For more information, see the
Glossary entry for “unsecured wholesale funding.”
Line Item 3(d) Total third tier short-term
wholesale funding.
The sum of items 3(a) through 3(c).
Line Item 4 All other components of short-term
wholesale funding.
Report the value of secured funding transactions secured
by assets that do not qualify as HQLA. For more
information, see the Glossary entry for ‘‘secured funding
transaction.’’ For the definition of HQLA, see 12 CFR
249.3.
Line Item 5
by maturity.

Total short-term wholesale funding,

Column A: The sum of 0.25 times item 1(e), 0.5 times
item 2(c), 0.75 times item 3(d), and item 4.
Column B: The sum of 0.1 times item 1(e), 0.25 times
item 2(c), 0.5 times item 3(d), and 0.75 times item 4.
Column C: The sum of zero times item 1(e), 0.1 times
item 2(c), 0.25 times item 3(d), and 0.5 times item 4.
Column D: The sum of zero times item 1(e), zero times
item 2(c), 0.1 times item 3(d), and 0.25 times item 4.
Line Item 6

Total short-term wholesale funding.

The sum of item 5, Columns A through D.
Line Item 7

Average risk-weighted assets.

Report the fair value of assets that must be returned under
covered asset exchanges not already captured in item
2(b). For more information, see the Glossary entry for
‘‘covered asset exchanges.’’

Report the average total risk-weighted assets value over
the previous four quarters, using quarterly data. For each
quarter, use the total risk-weighted assets amount associated with the lower of the two risk-based capital ratios in
that quarter. For more information, see FR Y-9C, Schedule HC-R, items 40a and 40b.

Line Item 3(c) Unsecured wholesale funding
obtained within the financial sector.

Line Item 8

Report the value of unsecured wholesale funding where
the customer or counterparty is a financial sector entity or

G-2

Short-term wholesale funding metric.

Item 6 divided by item 7.

Schedule G

FR Y-15
December 2016

LINE ITEM INSTRUCTIONS FOR

Optional Narrative Statement

Line Item 1 Narrative statement.
The management of the reporting banking organization
has the option to submit a public statement regarding the
values reported on the FR Y-15. The statement must not
contain any confidential information that would compromise customer privacy or that the respondent is not
willing to have made public. Furthermore, the information in the narrative statement must be accurate and must
not be misleading.
The statement may not exceed 750 characters, including
punctuation, indentation, and standard spacing between
words and sentences. Statements exceeding this limit will

FR Y-15
Optional Narrative Statement December 2015

be truncated at 750 characters with no notice to the
respondent. Other than the truncation of statements
exceeding the character limit, the statement will appear
on agency computerized records and in releases to the
public exactly as submitted. Public disclosure of the
statement shall not signify that a federal supervisory
agency has verified the accuracy or relevance of the
information contained therein.
If the respondent elects not to make a statement, the item
should be left blank (i.e., do not enter phrases such as
‘‘No statement,’’ ‘‘Not applicable,’’ ‘‘N/A,’’ ‘‘No comment,’’ or ‘‘None’’).

ONS-1

Glossary

The definitions in this Glossary apply to the Banking
Organization Systemic Risk Report (FR Y-15) and are not
necessarily applicable for other regulatory or legal purposes. Any accounting discussions in this glossary are
relevant to the preparation of this report and are not
intended to constitute a comprehensive presentation on
bank accounting or on generally accepted accounting
principles. For purposes of this glossary, the FASB
Accounting Standards Codification is referred to as
‘‘ASC.’’
Assets under Management: Assets under management
are securities or other assets that are managed by a
banking organization or subsidiary of the banking organization on behalf of a customer for which the reporting
banking organization or the subsidiary acts as investment
adviser. For more information, see FR Y-9C, Schedule
HC-M, item 16.
Assets under Administration: Assets under administration are securities or other assets for which a banking
organization or subsidiary of the banking organization is
contractually obligated to provide an administration service (e.g., back office administration and recordkeeping
services).
Assets under Custody: Assets under custody are securities or other assets that are held by a banking organization or subsidiary of the banking organization on behalf
of a customer under a safekeeping arrangement. For
additional information see the FR Y-9C glossary entry
for ‘‘Custody Account.’’
Brokered Deposit: Brokered deposit is defined in 12
CFR 249.3.
Brokered Sweep Deposit: A brokered sweep deposit is a
deposit held at a banking organization by a customer or
counterparty through a contractual feature that automatically transfers to the banking organization from another
regulated financial company at the close of each business
FR Y–15
Glossary December 2016

day amounts identified under the agreement governing
the account from which the amount is being transferred.
Central Counterparty: Central counterparties are entities (e.g., a clearing house) that facilitate trades between
counterparties in one or more financial markets by either
guaranteeing trades or novating contracts.
Certificate of Deposit: Certificates of deposit are time
deposits where the bank issues a receipt for the funds
specifying that they are payable on a specific date seven
or more days in the future. For additional information,
refer to the FR Y-9C Glossary entry for “Deposits.”
Commercial Paper: Commercial paper consists of shortterm negotiable promissory notes that mature in 270 days
or less. Commercial paper may be backed by a standby
letter of credit from a bank, as in the case of documented
discounted notes.
Consolidated Subsidiary: A consolidated subsidiary is a
company that is consolidated on the balance sheet of a
banking organization or other company under GAAP.
Covered Asset Exchange: A covered asset exchange is a
transaction in which a banking organization has provided
assets of a given liquidity category to a counterparty in
exchange for assets of a higher liquidity category, and the
banking organization and the counterparty agreed to
return such assets to each other at a future date. Categories of assets, in descending order of liquidity, are level 1
liquid assets, level 2A liquid assets, level 2B liquid
assets, and assets that are not high-quality liquid assets
(HQLA). Covered asset exchanges do not include secured
funding transactions. For the list of assets that are level 1,
level 2A, and level 2B liquid assets and a definition of
HQLA, see 12 CFR 249.20 and 249.3, respectively.
Custodian: For the purposes of the FR Y-15, a custodian
is defined as a bank or other organization (e.g., securities
firms and trust companies) that manages or administers
the custody or safekeeping of stock certificates, debt
GL-1

Glossary

securities, cash, or other assets for institutional and
private investors.
Qualifying Cash Variation Margin: Qualifying cash
variation margin is cash variation margin (i.e., the cash
collateral recognized to reduce the mark-to-fair value of
derivative contracts) that satisfies all of the following
conditions:
(1) For derivative contracts that are not cleared through a
qualifying central counterparty (QCCP), the cash
collateral received by the recipient counterparty is
not segregated;
(2) Variation margin is calculated and transferred on a
daily basis based on the mark-to-fair value of the
derivative contract;
(3) The variation margin transferred under the derivative
contract or the governing rules for a cleared transaction is the full amount that is necessary to fully
extinguish the current credit exposure amount to the
counterparty of the derivative contract, subject to the
threshold and minimum transfer amounts applicable
to the counterparty under the terms of the derivative
contract or the governing rules for a cleared transaction;
(4) The variation margin is in the form of cash in the
same currency as the currency of settlement set forth
in the derivative contract, provided that, for purposes
of this paragraph, currency of settlement means any
currency for settlement specified in the qualifying

GL-2

master netting agreement, the credit support annex to
the qualifying master netting agreement, or in the
governing rules for a cleared transaction; and
(5) The derivative contract and the variation margin are
governed by a qualifying master netting agreement
between the legal entities that are the counterparties
to the derivative contract or by the governing rules
for a cleared transaction. The qualifying master
netting agreement or the governing rules for a cleared
transaction must explicitly stipulate that the counterparties agree to settle any payment obligations on a
net basis, taking into account any variation margin
received or provided under the contract if a credit
event involving either counterparty occurs.
Secured Funding Transaction: Secured funding transaction is defined in 12 CFR 249.3.
Short Position: A short position is a transaction in which
a banking organization has borrowed or otherwise
obtained a security from a counterparty, which was then
sold to another counterparty, and the banking organization must return the security to the initial counterparty in
the future.
Unsecured Wholesale Funding: Unsecured wholesale
funding is defined in 12 CFR 249.3.
Wholesale Customer or Counterparty: Wholesale customer or counterparty means a customer or counterparty
that is not a retail customer or counterparty (as defined in
12 CFR 249.3).

Glossary

FR Y–15
December 2015

Quality(Q)EditsfortheFRYͲ15
(EffectiveasofMarch31,2017)

Series

EffectiveStartDate EffectiveEndDate

EditChange

Schedule

EditType

EditNumber

TargetItem MDRMNumber

EditTest

AlgEditTest

FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15

20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20131231
20141231
20141231
20151231
20141231
20141231
20141231
20141231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20151231
20141231
20141231
20141231
20151231
20151231
20151231
20141231
20141231
20141231

Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange

A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
B
B
B
B
B
B
B
B
B
B
B
F
B
B
B
B
B
B
B
F
B
B
F
B
B
B
B
B
B
C
C
C
C
C
C
C
C
C
C
C
C
C
C
C
C
C
C
C
D
D
D

Interseries
Interseries
Interseries
Interseries
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality

3000
3010
3020
3030
9000
9000
9000
9000
9000
9000
9000
9000
9000
9000
9000
9000
9000
9000
9000
9000
9000
9000
3055
9020
9020
9020
9020
9020
9020
9020
9020
3060
9020
9020
3063
9020
9020
9020
9020
9020
9020
9020
3067
9020
9020
3070
9020
9020
9020
9020
9020
9020
9030
9030
9030
9030
9030
9030
9030
9030
9030
9030
9030
9030
9030
9030
9030
9030
9030
9030
9030
9040
9040
9040

F1
B6
B12
A2a
A1a
A1b
A1c
A1e
A1f
A1g
A2a
A2b
A2c
A2d
A3a
A4a
A4b
A4c
A4d
AͲMem1
AͲMem2
AͲMem3
D6
B1
B1a
B2
B3a
B3b
B3c
B3d
B3e
B3e
B3f
B4
F6
B5a
B5b
B7a
B7b
B8
B9
B10
F7
B11a
B11b
F1
B13
B14
B17
B18
B19
BͲMem1
C1a
C1b
C1c
C1d
C1e
C1f
C1g
C1h
C1i
C1j
C1k
C1l
CͲMem4
C3
C4
C5
CͲMem1
CͲMem2
CͲMem3
D1
D2
D4

F1shouldbelessthanHCͲ12.
B6shouldbelessthanHCͲ12.
B12shouldbelessthanHCͲ12.
IfA6equalszero,thenA2ashouldbegreaterthanorequaltoHCͲ3b.
A1ashouldnotbenegative.
A1bshouldnotbenegative.
A1cshouldnotbenegative.
A1eshouldnotbenegative.
A1fshouldnotbenegative.
A1gshouldnotbenegative.
A2ashouldnotbenegative.
A2bshouldnotbenegative.
A2cshouldnotbenegative.
A2dshouldnotbenegative.
A3ashouldnotbenegative.
A4ashouldnotbenegative.
A4bshouldnotbenegative.
A4cshouldnotbenegative.
A4dshouldnotbenegative.
AͲMem1shouldnotbenegative.
AͲMem2shouldnotbenegative.
AͲMem3shouldnotbenegative.
D6shouldbelessthanA5.
B1shouldnotbenegative.
B1ashouldnotbenegative.
B2shouldnotbenegative.
B3ashouldnotbenegative.
B3bshouldnotbenegative.
B3cshouldnotbenegative.
B3dshouldnotbenegative.
B3eshouldnotbenegative.
B3fshouldbelessthanorequaltoB3e
B3fshouldnotbenegative.
B4shouldnotbenegative.
F6shouldbegreaterthanorequaltoB4
B5ashouldnotbenegative.
B5bshouldnotbenegative.
B7ashouldnotbenegative.
B7bshouldnotbenegative.
B8shouldnotbenegative.
B9shouldnotbenegative.
B10shouldnotbenegative.
F7shouldbegreaterthanorequaltoB10
B11ashouldnotbenegative.
B11bshouldnotbenegative.
F1shouldbegreaterthanorequaltoB12.
B13shouldnotbenegative.
B14shouldnotbenegative.
B17shouldnotbenegative.
B18shouldnotbenegative.
B19shouldnotbenegative.
BͲMem1shouldnotbenegative.
C1ashouldnotbenegative.
C1bshouldnotbenegative.
C1cshouldnotbenegative.
C1dshouldnotbenegative.
C1eshouldnotbenegative.
C1fshouldnotbenegative.
C1gshouldnotbenegative.
C1hshouldnotbenegative.
C1ishouldnotbenegative.
C1jshouldnotbenegative.
C1kshouldnotbenegative.
C1lshouldnotbenegative.
CͲMem4shouldnotbenegative.
C3shouldnotbenegative.
C4shouldnotbenegative.
C5shouldnotbenegative.
CͲMem1shouldnotbenegative.
CͲMem2shouldnotbenegative.
CͲMem3shouldnotbenegative.
D1shouldnotbenegative.
D2shouldnotbenegative.
D4shouldnotbenegative.

risk2948ltbhck2170
riskm362ltbhck2170
riskm370ltbhck2170
ifriskfc52eq0,thenriskm334gebhckb989
riskm337ge0
riskm339ge0
RISKY822ge0
RISKY823ge0
RISKY824ge0
RISKY825ge0
riskm334ge0
riskn507ge0
RISKY827ge0
RISKY828ge0
RISKY830ge0
riskm342ge0
riskm718ge0
riskm346ge0
riskm347ge0
riskm335ge0
riskm336ge0
riskm341ge0
riskm414ltrisky832
riskm351ge0
riskm355ge0
riskj458ge0
riskm352ge0
riskm353ge0
riskm354ge0
riskm345ge0
riskm356ge0
riskm357leriskm356
riskm357ge0
riskm358ge0
riskm432geriskm358
riskm359ge0
riskm360ge0
riskm363ge0
riskm364ge0
RISKY833ge0
riskm365ge0
riskm366ge0
riskm433geriskm366
riskm367ge0
riskm368ge0
risk2948geriskm370
riskm371ge0
riskm372ge0
riskm374ge0
riskm375ge0
riskn509ge0
RISKY834ge0
riskm377ge0
riskm378ge0
riskm379ge0
riskm380ge0
riskm381ge0
riskm382ge0
riskm383ge0
riskm384ge0
riskm385ge0
riskm386ge0
riskm387ge0
riskm388ge0
riskm389ge0
riskm405ge0
riskm406ge0
riskm407ge0
RISKY835ge0
RISKY836ge0
RISKY837ge0
riskm409ge0
riskm410ge0
riskm412ge0

March2017

99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231

RISK2948
RISKM362
RISKM370
RISKM334
RISKM337
RISKM339
RISKY822
RISKY823
RISKY824
RISKY825
RISKM334
RISKN507
RISKY827
RISKY828
RISKY830
RISKM342
RISKM718
RISKM346
RISKM347
RISKM335
RISKM336
RISKM341
RISKM414
RISKM351
RISKM355
RISKJ458
RISKM352
RISKM353
RISKM354
RISKM345
RISKM356
RISKM356
RISKM357
RISKM358
RISKM432
RISKM359
RISKM360
RISKM363
RISKM364
RISKY833
RISKM365
RISKM366
RISKM433
RISKM367
RISKM368
RISK2948
RISKM371
RISKM372
RISKM374
RISKM375
RISKN509
RISKY834
RISKM377
RISKM378
RISKM379
RISKM380
RISKM381
RISKM382
RISKM383
RISKM384
RISKM385
RISKM386
RISKM387
RISKM388
RISKM389
RISKM405
RISKM406
RISKM407
RISKY835
RISKY836
RISKY837
RISKM409
RISKM410
RISKM412

FRYͲ15:EDITͲ1of3

Quality(Q)EditsfortheFRYͲ15
(EffectiveasofMarch31,2017)

Series

EffectiveStartDate EffectiveEndDate

EditChange

Schedule

EditType

EditNumber

TargetItem MDRMNumber

EditTest

AlgEditTest

FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15

20131231
20141231
20141231
20151231
20141231
20141231
20141231
20141231
20141231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20161231

99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
20161231

Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Ended

D
D
D
E
E
E
E
E
F
F
F
F
F
F
F
F
F
C
F
G

Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality

3095
9040
9040
9050
9050
3140
9050
9050
9060
3150
3160
3170
3180
9060
9060
9060
9060
9060
9060
9070

D6
D7
D8
E1
E2
E2
E2a
E3
F2
F4
F5
F3
F5
F6
F7
F8
F9
CͲMem5
F10
G1aA

RISKM414
RISKN510
RISKN511
RISKM422
RISKM423
RISKM423
RISKM424
RISKM425
RISKM427
RISKM428
RISKM429
RISKM430
RISKM429
RISKM432
RISKM433
RISKM434
RISKM435
RISKM436
RISKM437
RISKY838

SumofD7andD8shouldbelessthanorequaltoD6
D7shouldnotbenegative.
D8shouldnotbenegative.
E1shouldnotbenegative.
E2shouldnotbenegative.
E2ashouldbelessthanorequaltoE2.
E2ashouldnotbenegative.
E3shouldnotbenegative.
F2shouldnotbenegative.
F4shouldbelessthan100trillion.
F5shouldbelessthanorequaltoF4.
F3shouldbegreaterthanF4.
F5shouldbelessthan100trillion.
F6shouldnotbenegative.
F7shouldnotbenegative.
F8shouldnotbenegative.
F9shouldnotbenegative.
CͲMem5shouldnotbenegative.
F10shouldnotbenegative.
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1aAshouldnotbe
null

(riskn510+riskn511)leriskm414
riskn510ge0
riskn511ge0
RISKM422ge0
riskm423ge0
riskm424leriskm423
riskm424ge0
riskm425ge0
riskm427ge0
riskm428lt100000000000
riskm429leriskm428
riskm430gtriskm428
riskm429lt100000000000
riskm432ge0
riskm433ge0
riskm434ge0
riskm435ge0
riskm436ge0
riskm437ge0
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY838
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G1aB

RISKY839

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1aBshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY839
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G1aC

RISKY840

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1aCshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY840
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G1aD

RISKY841

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1aDshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY841
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G1bA

RISKY842

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1bAshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY842
nenull
null

FRY15

20161231

20161231

Ended

G

Quality

9070

G1bB

RISKY843

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1bBshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY843
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G1bC

RISKY844

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1bCshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY844
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G1bD

RISKY845

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1bDshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY845
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G1cA

RISKY846

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1cAshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY846
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G1cB

RISKY847

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1cBshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY847
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G1cC

RISKY848

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1cCshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY848
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G1cD

RISKY849

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1cDshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY849
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G1dA

RISKY850

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1dAshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY850
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G1dB

RISKY851

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1dBshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY851
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G1dC

RISKY852

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1dCshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY852
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G1dD

RISKY853

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1dDshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY853
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G2aA

RISKY858

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G2aAshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY858
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G2aB

RISKY859

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G2aBshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY859
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G2aC

RISKY860

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G2aCshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY860
nenull
null

March2017

FRYͲ15:EDITͲ2of3

Quality(Q)EditsfortheFRYͲ15
(EffectiveasofMarch31,2017)

Series

EffectiveStartDate EffectiveEndDate

EditChange

Schedule

EditType

EditNumber

TargetItem MDRMNumber

EditTest

FRY15

20161231

20161231

Ended

G

Quality

9070

G2aD

RISKY861

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G2aDshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY861
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G2bA

RISKY862

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G2bAshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY862
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G2bB

RISKY863

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G2bBshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY863
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G2bC

RISKY864

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G2bCshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY864
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G2bD

RISKY865

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G2bDshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY865
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G3aA

RISKY870

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3aAshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY870
nenull
null

FRY15

20161231

20161231

Ended

G

Quality

9070

G3aB

RISKY871

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3aBshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY871
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G3aC

RISKY872

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3aCshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY872
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G3aD

RISKY873

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3aDshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY873
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G3bA

RISKY874

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3bAshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY874
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G3bB

RISKY875

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3bBshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY875
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G3bC

RISKY876

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3bCshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY876
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G3bD

RISKY877

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3bDshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY877
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G3cA

RISKY878

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3cAshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY878
nenull
null

FRY15

20161231

20161231

Ended

G

Quality

9070

G3cB

RISKY879

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3cBshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY879
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G3cC

RISKY880

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3cCshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY880
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G3cD

RISKY881

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3cDshouldnotbe IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY881
null
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G4A

RISKY886

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G4Ashouldnotbe
null

IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY886
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G4B

RISKY887

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G4Bshouldnotbe
null

IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY887
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G4C

RISKY888

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G4Cshouldnotbe
null

IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY888
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G4D

RISKY889

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G4Dshouldnotbe
null

IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY889
nenull

FRY15

20161231

20161231

Ended

G

Quality

9070

G7

RISKY895

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G7shouldnotbe
null

IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY895
nenull

March2017

AlgEditTest

FRYͲ15:EDITͲ3of3

Validity(V)EditsfortheFRYͲ15
(EffectiveasofMarch31,2017)
Eacheditinthechecklistmustbalance,roundingerrorsarenot allowed
Series
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15

Effective
StartDate
20141231
20141231
20141231
20141231
20141231
20141231
20160930
20151231
20151231
20160930
20160930
20160930
20160930
20160930
20160930
20160930
20160930
20160930
20151231
20151231
20151231
20151231
20151231
20151231
20160930
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20151231
20151231

March2017

EffectiveEnd EditChange
Date
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange

Schedule
Page1
Page1
Page1
Page1
Page1
Page1
A
A
A
A

A
A
A
A
A

A
A
A
A
A

A
A
A
A
A
B
B
B
B
B
B
B
B
B
B
B
B
B
B
B
B
B
B
B
B
B
B
B
B

B
C
C
C
C
C
C
C
C
C
C
C
C

C
C

EditType Edit
Number
Validity 0100
Validity 0105
Validity 0110
Validity 0115
Validity 0120
Validity 0125
Validity 0130
Validity 0135
Validity 0140
Validity 0145
Validity 0148
Validity 0152
Validity 0153
Validity 0154
Validity 0155
Validity 0157
Validity 0158
Validity 0160
Validity 0165
Validity 0175
Validity 0188
Validity 0190
Validity 0195
Validity 0200
Validity 0205
Validity 0210
Validity 0215
Validity 0220
Validity 0225
Validity 0230
Validity 0235
Validity 0240
Validity 0245
Validity 0250
Validity 0255
Validity 0260
Validity 0265
Validity 0270
Validity 0275
Validity 0277
Validity 0280
Validity 0285
Validity 0290
Validity 0295
Validity 0300
Validity 0305
Validity 0310
Validity 0315
Validity 0320
Validity 0323
Validity 0325
Validity 0330
Validity 0335
Validity 0340
Validity 0345
Validity 0350
Validity 0355
Validity 0360
Validity 0365
Validity 0370
Validity 0375
Validity 0380
Validity 0382
Validity 0383

TargetItem
CFO
DATESIGN
CONTACTN
CONTACTP
CONTACTF
CONTACTE
A2a
AͲMem1
AͲMem2
A1a

A1c
A1e
A1f
A1g
A2b

A2c
A2d
A1b
AͲMem3
A4a

A3a
A4b
A4c
A4d
A3b
B1
B1a
B2
B3a
B3b
B3c
B3d
B3e
B3f
B4
B5a
B5b
B7a
B7b
B8
B9
B10
B11a
B11b
B13
B14
B17
B18
B19

BͲMem1
C1a
C1b
C1c
C1d
C1e
C1f
C1g
C1h
C1i
C1j
C1k
C1l

CͲMem1
CͲMem2

MDRM
Number
RISKC490
RISKJ196
RISK8901
RISK8902
RISK9116
RISK4086
RISKM334
RISKM335
RISKM336
RISKM337
RISKY822
RISKY823
RISKY824
RISKY825
RISKN507
RISKY827
RISKY828
RISKM339
RISKM341
RISKM342
RISKY830
RISKM718
RISKM346
RISKM347
RISKM349
RISKM351
RISKM355
RISKJ458
RISKM352
RISKM353
RISKM354
RISKM345
RISKM356
RISKM357
RISKM358
RISKM359
RISKM360
RISKM363
RISKM364
RISKY833
RISKM365
RISKM366
RISKM367
RISKM368
RISKM371
RISKM372
RISKM374
RISKM375
RISKN509
RISKY834
RISKM377
RISKM378
RISKM379
RISKM380
RISKM381
RISKM382
RISKM383
RISKM384
RISKM385
RISKM386
RISKM387
RISKM388
RISKY835
RISKY836

EditTest

AlgEditTest

CFOmustnotbenull.
DATESIGNmustnotbenull.
CONTACTNmustnotbenull.
CONTACTPmustnotbenull.
CONTACTFmustnotbenull.
CONTACTEmustnotbenull.
Forinstitutionsthatarenotadvancedapproaches,A2amustnotbenull.
AͲMem1mustnotbenull.
AͲMem2mustnotbenull.
Forinstitutionsthatarenotadvancedapproaches,A1amustnotbenull
Forinstitutionsthatarenotadvancedapproaches,A1cmustnotbenull
Forinstitutionsthatarenotadvancedapproaches,A1emustnotbenull
Forinstitutionsthatarenotadvancedapproaches,A1fmustnotbenull
Forinstitutionsthatarenotadvancedapproaches,A1gmustnotbenull
Forinstitutionsthatarenotadvancedapproaches,A2bmustnotbenull
Forinstitutionsthatarenotadvancedapproaches,A2cmustnotbenull
Forinstitutionsthatarenotadvancedapproach,A2dmustnotbenull
Forinstitutionsthatarenotadvancedapproaches,A1bmustnotbenull
AͲMem3mustnotbenull.
A4amustnotbenull.
Forinstitutionsthatarenotadvancedapproaches,A3amustnotbenull
A4bmustnotbenull.
A4cmustnotbenull.
A4dmustnotbenull.
A3bmustnotbenull
B1mustnotbenull.
B1amustnotbenull.
B2mustnotbenull.
B3amustnotbenull.
B3bmustnotbenull.
B3cmustnotbenull.
B3dmustnotbenull.
B3emustnotbenull.
B3fmustnotbenull.
B4mustnotbenull.
B5amustnotbenull.
B5bmustnotbenull.
B7amustnotbenull.
B7bmustnotbenull.
B8mustnotbenull
B9mustnotbenull.
B10mustnotbenull.
B11amustnotbenull.
B11bmustnotbenull.
B13mustnotbenull.
B14mustnotbenull.
B17mustnotbenull.
B18mustnotbenull.
B19mustnotbenull.
BͲMem1mustnotbenull
C1amustnotbenull.
C1bmustnotbenull.
C1cmustnotbenull.
C1dmustnotbenull.
C1emustnotbenull.
C1fmustnotbenull.
C1gmustnotbenull.
C1hmustnotbenull.
C1imustnotbenull.
C1jmustnotbenull.
C1kmustnotbenull.
C1lmustnotbenull.
CͲMem1mustnotbenull
CͲMem2mustnotbenull

riskc490nenull
riskj196nenull
RISK8901nenull
risk8902nenull
risk9116nenull
risk4086nenull
Forinstitutionsthatarenotadvancedapproaches,RISKM334nenull
riskm335nenull
riskm336nenull
Forinstitutionsthatarenotadvancedapproaches,RISKM337nenull
Forinstitutionsthatarenotadvancedapproaches,RISKY822nenull
Forinstitutionsthatarenotadvancedapproaches,RISKY823nenull
Forinstitutionsthatarenotadvancedapproaches,RISKY824nenull
Forinstitutionsthatarenotadvancedapproaches,RISKY825nenull
Forinstitutionsthatarenotadvancedapproaches,RISKN507nenull
Forinstitutionsthatarenotadvancedapproaches,RISKY827nenull
Forinstitutionsthatarenotadvancedapproaches,RISKY828nenull
Forinstitutionsthatarenotadvancedapproaches,RISKM339nenull
riskm341nenull
riskm342nenull
Forinstitutionsthatarenotadvancedapproaches,RISKY830nenull
riskm718nenull
riskm346nenull
riskm347nenull
RISKM349nenull
riskm351nenull
riskm355nenull
riskj458nenull
riskm352nenull
riskm353nenull
riskm354nenull
riskm345nenull
riskm356nenull
riskm357nenull
riskm358nenull
riskm359nenull
riskm360nenull
riskm363nenull
riskm364nenull
risky833nenull
riskm365nenull
riskm366nenull
riskm367nenull
riskm368nenull
riskm371nenull
riskm372nenull
riskm374nenull
riskm375nenull
riskn509nenull
risky834nenull
riskm377nenull
riskm378nenull
riskm379nenull
riskm380nenull
riskm381nenull
riskm382nenull
riskm383nenull
riskm384nenull
riskm385nenull
riskm386nenull
riskm387nenull
riskm388nenull
risky835nenull
risky836nenull

FRYͲ15:CHKͲ1of3

Validity(V)EditsfortheFRYͲ15
(EffectiveasofMarch31,2017)
Eacheditinthechecklistmustbalance,roundingerrorsarenot allowed
Series
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15

Effective
StartDate
20151231
20151231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20151231
20141231
20141231
20141231
20141231
20151231

EffectiveEnd EditChange
Date
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange
99991231
Nochange

FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15

20151231
20151231
20151231
20151231
20151231
20151231
20151231
20160930
20170331

99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231

Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Nochange
Added

Schedule

C
C
C
C
D
D
D
D
D
E
E
E
E
F
F

EditType Edit
Number
Validity 0384
Validity 0385
Validity 0390
Validity 0395
Validity 0400
Validity 0405
Validity 0410
Validity 0415
Validity 0420
Validity 0425
Validity 0427
Validity 0430
Validity 0435
Validity 0440
Validity 0445
Validity 0450

CͲMem4
C3
C4
C5
D1
D2
D4
D7
D8
E1
E2
E2a
E3
F2
F5

MDRM
Number
RISKY837
RISKM389
RISKM405
RISKM406
RISKM407
RISKM409
RISKM410
RISKM412
RISKN510
RISKN511
RISKM422
RISKM423
RISKM424
RISKM425
RISKM427
RISKM429

F
F
F
F
C
F
A
A
G

Validity
Validity
Validity
Validity
Validity
Validity
Validity
Validity
Validity

F6
F7
F8
F9
CͲMem5
F10
A6
A1d
G1aA

RISKM432
RISKM433
RISKM434
RISKM435
RISKM436
RISKM437
RISKFC52
RISKM340
RISKY838

C

0460
0465
0470
0475
0480
0485
0486
0487
0500

TargetItem

CͲMem3

FRY15

20170331

99991231

Added

G

Validity

0501

G1aB

RISKY839

FRY15

20170331

99991231

Added

G

Validity

0502

G1aC

RISKY840

FRY15

20170331

99991231

Added

G

Validity

0503

G1aD

RISKY841

FRY15

20170331

99991231

Added

G

Validity

0504

G1bA

RISKY842

FRY15

20170331

99991231

Added

G

Validity

0505

G1bB

RISKY843

FRY15

20170331

99991231

Added

G

Validity

0506

G1bC

RISKY844

FRY15

20170331

99991231

Added

G

Validity

0507

G1bD

RISKY845

FRY15

20170331

99991231

Added

G

Validity

0508

G1cA

RISKY846

FRY15

20170331

99991231

Added

G

Validity

0509

G1cB

RISKY847

FRY15

20170331

99991231

Added

G

Validity

0510

G1cC

RISKY848

FRY15

20170331

99991231

Added

G

Validity

0511

G1cD

RISKY849

FRY15

20170331

99991231

Added

G

Validity

0512

G1dA

RISKY850

FRY15

20170331

99991231

Added

G

Validity

0513

G1dB

RISKY851

FRY15

20170331

99991231

Added

G

Validity

0514

G1dC

RISKY852

FRY15

20170331

99991231

Added

G

Validity

0515

G1dD

RISKY853

FRY15

20170331

99991231

Added

G

Validity

0516

G2aA

RISKY858

FRY15

20170331

99991231

Added

G

Validity

0517

G2aB

RISKY859

FRY15

20170331

99991231

Added

G

Validity

0518

G2aC

RISKY860

FRY15

20170331

99991231

Added

G

Validity

0519

G2aD

RISKY861

FRY15

20170331

99991231

Added

G

Validity

0520

G2bA

RISKY862

FRY15

20170331

99991231

Added

G

Validity

0521

G2bB

RISKY863

FRY15

20170331

99991231

Added

G

Validity

0522

G2bC

RISKY864

March2017

EditTest

AlgEditTest

CͲMem3mustnotbenull
CͲMem4mustnotbenull.
C3mustnotbenull.
C4mustnotbenull.
C5mustnotbenull.
D1mustnotbenull.
D2mustnotbenull.
D4mustnotbenull.
D7mustnotbenull.
D8mustnotbenull.
E1mustnotbenull.
E2mustnotbenull.
E2amustnotbenull.
E3mustnotbenull.
F2mustnotbenull.
F5mustnotbenull.

riskY837nenull
riskm389nenull
riskm405nenull
riskm406nenull
riskm407nenull
riskm409nenull
riskm410nenull
riskm412nenull
riskn510nenull
riskn511nenull
riskm422nenull
riskm423nenull
riskm424nenull
riskm425nenull
riskm427nenull
riskm429nenull

F6mustnotbenull.
F7mustnotbenull.
F8mustnotbenull.
F9mustnotbenull.
CͲMem5mustnotbenull.
F10mustnotbenull.
A6shouldequalzero(No)orone(Yes)andmustnotbenull.
Forinstitutionsthatarenotadvancedapproaches,A1dmustnotbenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1aAmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1aBmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1aCmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1aDmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1bAmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1bBmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1bCmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1bDmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1cAmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1cBmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1cCmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1cDmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1dAmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1dBmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1dCmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G1dDmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G2aAmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G2aBmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G2aCmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G2aDmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G2bAmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G2bBmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G2bCmustnotbe
null

riskm432nenull
riskm433nenull
riskm434nenull
riskm435nenull
riskm436nenull
riskm437nenull
riskfc52eq0orriskfc52eq1andriskfc52nenull
Forinstitutionsthatarenotadvancedapproaches,RISKM340nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY838nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY839nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY840nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY841nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY842nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY843nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY844nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY845nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY846nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY847nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY848nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY849nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY850nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY851nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY852nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY853nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY858nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY859nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY860nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY861nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY862nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY863nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY864nenull

FRYͲ15:CHKͲ2of3

Validity(V)EditsfortheFRYͲ15
(EffectiveasofMarch31,2017)
Eacheditinthechecklistmustbalance,roundingerrorsarenot allowed
Series

EffectiveEnd EditChange
Date
99991231
Added

Schedule

FRY15

Effective
StartDate
20170331

TargetItem

G

EditType Edit
Number
Validity 0523

G2bD

MDRM
Number
RISKY865

FRY15

20170331

99991231

Added

G

Validity

0524

G3aA

RISKY870

FRY15

20170331

99991231

Added

G

Validity

0525

G3aB

RISKY871

FRY15

20170331

FRY15

20170331

99991231

Added

G

Validity

0526

G3aC

RISKY872

99991231

Added

G

Validity

0527

G3aD

RISKY873

FRY15

20170331

99991231

Added

G

Validity

0528

G3bA

RISKY874

FRY15

20170331

99991231

Added

G

Validity

0529

G3bB

RISKY875

FRY15

20170331

99991231

Added

G

Validity

0530

G3bC

RISKY876

FRY15

20170331

99991231

Added

G

Validity

0531

G3bD

RISKY877

FRY15

20170331

99991231

Added

G

Validity

0532

G3cA

RISKY878

FRY15

20170331

99991231

Added

G

Validity

0533

G3cB

RISKY879

FRY15

20170331

99991231

Added

G

Validity

0534

G3cC

RISKY880

FRY15

20170331

99991231

Added

G

Validity

0535

G3cD

RISKY881

FRY15

20170331

99991231

Added

G

Validity

0536

G4A

RISKY886

FRY15

20170331

99991231

Added

G

Validity

0537

G4B

RISKY887

FRY15

20170331

99991231

Added

G

Validity

0538

G4C

RISKY888

FRY15

20170331

99991231

Added

G

Validity

0539

G4D

RISKY889

FRY15

20170331

99991231

Added

G

Validity

0540

G7

RISKY895

FRY15

20170331

99991231

Added

G

Validity

0557

G7

RISKY895

March2017

EditTest

AlgEditTest

IftherespondenthasfiledtheFR2052aforatleast356daysthen,G2bDmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3aAmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3aBmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3aCmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3aDmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3bAmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3bBmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3bCmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3bDmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3cAmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3cBmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3cCmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G3cDmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G4Amustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G4Bmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G4Cmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G4Dmustnotbe
null
IftherespondenthasfiledtheFR2052aforatleast356daysthen,G7mustnotbe
null
IftherespondentdoesnotreporttheFR2052aorhasreporteditforlessthan356
days,thenScheduleG,Item1.a.through1.d,item2.aand2.b,anditem3.athrough
3.c,anditem4,anditem7mustbenull.

IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY865nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY870nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY871nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY872nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY873nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY874nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY875nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY876nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY877nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY878nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY879nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY880nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY881nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY886nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY887nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY888nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY889nenull
IftherespondenthasfiledtheFR2052aforatleast356daysthen,RISKY895nenull
IftherespondentdoesnotreporttheFR2052aorhasreporteditforlessthan356days,then
RISKY838eqnull,andRISKY839eqnull,andRISKY840eqnull,andRISKY841eqnull,and
RISKY842eqnull,andRISKY843eqnull,andRISKY844eqnull,andRISKY845eqnull,and
RISKY846eqnull,andRISKY847eqnull,andRISKY848eqnull,andRISKY849eqnull,and
RISKY850eqnull,andRISKY851eqnull,andRISKY852eqnull,andRISKY853eqnull,and
RISKY858eqnull,andRISKY859eqnull,andRISKY860eqnull,andRISKY861eqnull,and
RISKY862eqnull,andRISKY863eqnull,andRISKY864eqnull,andRISKY865eqnull,and
RISKY870eqnull,andRISKY871eqnull,andRISKY872eqnull,andRISKY873eqnull,and
RISKY874eqnull,andRISKY875eqnull,andRISKY876eqnull,andRISKY877eqnull,and
RISKY878eqnull,andRISKY879eqnull,andRISKY880eqnull,andRISKY881eqnull,and
RISKY886eqnull,andRISKY887eqnull,andRISKY888eqnull,andRISKY889eqnull,and
RISKY895eqnull

FRYͲ15:CHKͲ3of3